Brownian hitting probability of a ball (${\mathbb{P}}_x(T_{\epsilon }<\infty )=(\epsilon /|x|{)}^{d-2}$)

For $d\ge 3$ and $|x|>\epsilon$, stop the harmonic function $u(x)=|x{|}^{2-d}$ at the two boundaries of $\{\epsilon <|x|<R\}$. Bounded optional stopping gives the probability of hitting the inner sphere first as $(u(x)-u(R))/(u(\epsilon )-u(R))$. Letting $R\to \infty$ gives the displayed formula; a finite hitting path is contained in some finite-radius ball.

For $d\ge 3$, fixed $x\ne 0$ and $t>0$, apply optional stopping to $u(B_{t\wedge T_{\epsilon }})$ with $u(z)=|z{|}^{2-d}$. The resulting identity is ${\epsilon }^{2-d}{\mathbb{P}}_x(T_{\epsilon }\le t)=u(x)-\mathbb{E}u(B_t)+\mathbb{E}[u(B_t);T_{\epsilon }\le t]$. The last term tends to zero by integrability of $u(B_t)$ and the vanishing total hitting probability. The Newtonian potential of the Brownian heat kernel identifies the remaining difference.