Past exam of the mathematics course of the University of Cambridge 2019 ii Paper 1 27K b iii Solution Created 2026-09-24 Updated 2026-09-29
First, . For every ,It cannot vanish: if for some , thenwould imply for every positive integer , contradicting continuity at zero. Thus . Since every characteristic function has modulus at most one,
Now set . It is continuous, nonnegative, and additive:The classification of a continuous additive function on the nonnegative real numbers gives , where . Consequently
Past exam of the mathematics course of the University of Cambridge 2024 iii Paper 203 4 d Solution Created 2026-09-24 Updated 2026-09-25
Part (c), iterated over disjoint nested annuli, gives independent increments, and the law gives stationary increments. Every finite vector is jointly Gaussian by the definition of the Zero-boundary Gaussian free field, and a continuous version was assumed. Moreover , because the field has zero boundary values.
Thus is a continuous centered Gaussian process with stationary increments and independent increments. Its variance is a continuous additive function on the nonnegative real numbers, so for some . The Gaussian-process characterization of Brownian motion now givesfor standard Brownian motion . This is the Circle-average process of the Gaussian free field is Brownian motion.