Past exam of the mathematics course of the University of Cambridge 2005 iii Paper 34 4 a Solution Created 2026-10-03 Updated 2026-10-14
Write . For a radial function , the Laplacian isThus is a harmonic function off zero. Fix and stop Brownian motion when it reaches either sphere of radius or , at time . This exit time is finite: stopping the martingale at yields , and monotone convergence applies. By Itô's formula, is a bounded martingale. Optional stopping and dominated convergence therefore giveThe events increase to as : a continuous path up to any finite hitting time is bounded. Since , , proving the Brownian hitting probability of a ball