Past exam of the mathematics course of the University of Cambridge 2016 iii Paper 201 5 d Solution Created 2026-10-03 Updated 2026-10-06
Fix and start at with . Write the independent Brownian coordinates as and . LetOn the path has stayed in the upper strip and first exits the cross-shaped domain at its right or left side. The boundary value is or , respectively. Let if and if . The Brownian exit from an interval probabilities giveCouple all heights using the same two Brownian paths. By part (a), almost surely, and continuity makes finite. ThusLet . On the complement of this exceptional event, ; on the event itself, . The representation in part (c) therefore yieldsThis proves the harmonic limit along an infinite strip arm:Far up the arm, the bottom is reached with vanishing probability before the horizontal coordinate exits. The limit is consequently determined by the two side values alone.