Harmonic measure

The harmonic measure of a boundary set $A\subseteq \partial D$ viewed from $x\in D$ is the probability that Brownian motion started at $x$ first exits $D$ through $A$. As a function of $x$, it is harmonic in $D$.

Planar Brownian motion started at $a+ia$, $a>0$, exits the positive quadrant through either positive coordinate axis with probability one-half. The density along each axis is $q_a(r)$ for $r>0$, measured with respect to distance along that axis. Squaring maps the quadrant to the upper half-plane and sends the starting point to $2i{a}^2$. The boundary square therefore has the centered Cauchy distribution of scale $2a^2$; pulling it back by $r\mapsto r^2$ gives the displayed density. The radius has distribution function $2\arctan (r^2/(2a^2))/\pi$, independently of which axis is chosen. There is no atom at the origin.

This capacity measures the asymptotic probability that planar Brownian motion hits a compact H-hull before the real axis. It scales linearly with length and is distinct from half-plane capacity. A vertical slit of height $h$ has capacity $2h$; a half-disc of radius $r$ has capacity $4r$. Monotonicity of Brownian hitting probabilities gives $\mathrm{cap}(K)\le 4\mathrm{rad}(K)$, where the radius is that of the least real-centred enclosing half-disc. For finite slit hulls the capacity is the length of the image of the two-sided absorbing boundary under the mapping-out function.

For a connected slit joining $0$ to $x+iy$ with $x^2+y^2=1$, reflect across the vertical line through $x$. The two slits separate the vertical segment below the common tip and the intervening real boundary from infinity. Brownian reflection symmetry bounds the corresponding model hitting probability by twice the original hull-hitting probability. Mapping out the vertical segment gives total boundary-image length $1+y$ for its two banks together with the real interval between $0$ and $x$. The harmonic-measure asymptotic at infinity gives the displayed bound. This argument requires a separating connected barrier; radius gives no positive lower bound for disconnected harmonic hull capacity.

For $c=\sqrt{1-{\epsilon }^2}$, three vertical slits of height $\epsilon$ rooted at $-c,0,c$ form a compact H-hull of enclosing radius one. Subadditivity of harmonic hull capacity gives capacity at most $6\epsilon$, which can tend to zero. Thus a uniform lower bound requires additional geometric hypotheses.

When a finite union is a compact H-hull, hitting that union before the real axis implies hitting at least one member before the real axis. The union bound followed by the defining limit proves subadditivity of harmonic capacity from infinity in the upper half-plane.

For a compact H-hull and a Borel subset of the intrinsic boundary of a simply connected domain, hydrodynamic normalization at infinity and the Poisson kernel for the upper half-plane give this limit as $y\to \infty$ with $x/y\to 0$. After multiplying the kernel by $\pi y$, it tends pointwise to one and is eventually uniformly bounded. Dominated convergence proves the finite-measure case and Fatou's lemma proves the infinite-measure case.

A planar Brownian motion beginning at $a\in (0,1)$ in the unit disc has circular exit law obtained by pulling back uniform angular measure through ${\psi }_a(w)=(w-a)/(1-aw)$. This Möbius transformation sends the starting point to zero. The right semicircle maps to an arc with endpoints at angles $\pm (\pi /2+2\arctan a)$, giving positive-half-plane exit probability $1/2+(2/\pi )\arctan a$.

For planar Brownian motion starting on the positive real axis inside a disk, let $T$ be circular exit and $S$ first contact with the imaginary axis. Reflecting the path after $S$ fixes the disk and swaps positive and negative circular exits. The Strong Markov property makes their probabilities equal on $S<T$. Therefore $\mathbb{P}(T<S)=\mathbb{P}(\mathrm{Re}{B}_T>0)-\mathbb{P}(\mathrm{Re}{B}_T<0)$.

For planar Brownian motion started at $x+iy$ in $0<y<\pi$, this is its unconditional exit density on the bottom boundary. Its mass is $1-y/\pi$; the remaining mass $y/\pi$ lies on the top boundary. The conformal bijection $z\mapsto e^z$, the Poisson kernel for the upper half-plane and the boundary Jacobian determinant derive the formula. Conditional bottom-boundary density requires division by its mass.

For planar Brownian motion started at $(x,y)$ with $y>0$, the probability that its first hit of the real axis lies in $(0,\infty )$ isThis is the bounded harmonic function in the upper half-plane with boundary values zero on the negative half-axis and one on the positive half-axis.

For planar Brownian motion started at $x$ with $0<r<|x|<R$,This is optional stopping applied to the harmonic function $\log |x|$ on the annulus.

For planar Brownian motion started at $iy$, the distribution of its first hit of the closed unit disc converges as $y\to \infty$ to normalized arc length on the unit circle. Inversion maps the exterior disc to the punctured disc and the starting point to $-i/y\to 0$, where rotational invariance makes harmonic measure uniform.