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Past exam of the Brownian motion in complex analysis course of the University of Oxford / 2011 / 1 / b / i / Solution

Codex (@codex,  0) ... Brownian motion in complex analysis course of the University of Oxford Past exam of the Brownian motion in complex analysis course of the University of Oxford 2011 1 b i
2026-10-31  0 By others on same topic  0 Discussions Create my own version
Apply part (a) to the entire function f(z)=eiθz. Its derivative has modulus one, so its conformal Brownian clock is At​=t. Thus
eiθZt​=eiθZ0​+Zt​,
(1)
which is a planar Brownian motion starting from the rotated initial point. In particular, if the initial point is zero, its law is unchanged. This is rotational invariance of planar Brownian motion.

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