Brownian exit-time ball averaging identity ($g_D(x)=r^2/(n+2)+|B(x,r){|}^{-1}{\int }_{B(x,r)}{g}_D(y)dy$)

Let $g_D(x)={\mathbb{E}}_x{T}_D$, possibly infinite, and suppose the closed ball $\overline{B(x,r)}$ lies in the open set $D$. A Strong Markov property decomposition at an independent random-radius exit time, using uniform ball sampling by Brownian stopping, gives the displayed identity in the nonnegative extended reals. Indeed the expected exit time from a radius-$s$ ball started at its centre is $s^2/n$, and averaging this against $n{s}^{n-1}/r^n$ gives $r^2/(n+2)$. The identity gives local integrability whenever $g_D(x)$ is finite.

For a connected open set $D$, finiteness of the Brownian exit time expectation at one point implies finiteness everywhere. The Brownian exit-time ball averaging identity gives integrability on a ball centred at any finite point. Every point of that ball has a smaller centred ball contained in it; the same identity then gives a finite value there. The set of finite points is open. It is also relatively closed: near a limit point in $D$, choose a fixed ball radius smaller than a quarter of its distance to $D^c$ and centre it at a nearby finite point. The limit point lies in that ball and hence is finite. Connectedness completes the proof.