Brownian wedge-exit probability 2026-10-06
A planar Brownian motion starting at exits the disk of radius before leaving a wedge of opening , centered on the positive axis, with probability . The power-map reduction for Brownian exit from a wedge, the reflection identity for Brownian exit from a half-disc and the Möbius calculation of circular Brownian exit give the formula. Its large-radius decay exponent is .
Past exam of the mathematics course of the University of Cambridge 2014 iii Paper 29 2 c Solution Created 2026-10-03 Updated 2026-10-06
Scale the disk to the unit disc, so that the starting point is . Use the Möbius transformationwhich maps the disk onto itself, sends to , and sends to . By conformal invariance of planar Brownian motion, the exit image is the circular exit of a Brownian motion starting at . Rotational invariance of planar Brownian motion makes that exit uniform in angle.
The endpoints of the right semicircle satisfyIts image is the arc through between these points, of angular length . Thus the Möbius calculation of circular Brownian exit givesSince and partition the exit almost surely, part (b) yieldsThe last equality uses , so the double-angle tangent identity uses the stated principal branch. As a check, the boundary angle derivative of is ; integrating this circular exit density over the right semicircle gives exactly the integral supplied in the question.