Past exam of the mathematics course of the University of Cambridge / 2012 / iii / Paper 35 / 3

Let $D$ be the unit disc and normalize its positive Poisson kernel at the boundary point $1$ byIt is harmonic in $D$. Let $p_D(t,z,w)$ be the killed Brownian transition density, for planar Brownian motion with generator $\frac{1}{2}\Delta$. The Doob h-transform has sub-Markov transition densityIts missing mass represents paths already absorbed at the distinguished boundary point. Equivalently, for a stopping time $\sigma$ before exit from a compact subdomain, its law is weighted relative to ordinary killed Brownian motion by $h(B_{\sigma })/h(B_0)$. These stopped laws are consistent and define a diffusion up to its lifetime. Its generator isThis is a rigorous Brownian motion conditioned to exit at a boundary point, not conditioning on an event of positive probability. Exhaustion of $D$ shows that its terminal boundary limit is $1$; its lifetime is finite. For example its expected lifetime from $0$ is ${\int }_D{G}_D^{\mathrm{BM}}(0,w)h(w)dw$, which is finite: the Green function vanishes linearly near the smooth boundary and cancels the Poisson-kernel singularity there, while its logarithmic singularity at $0$ is integrable.

One can also condition ordinary Brownian motion on exiting through an arc $I_{ϵ}$ about $1$, and then let its length decrease to zero. The conditional harmonic functions ${\omega }_D(z,I_{ϵ})/{\omega }_D(0,I_{ϵ})$ converge locally uniformly to $h(z)$. Thus their stopped conditional laws converge to this same diffusion. Both constructions specify the conditioning unambiguously.

Here the map direction is opposite to Question 2: write $\varphi :U\to D$, with $\varphi (0)=0$ and $\varphi (1)=1$. The separation condition makes $U$ agree with $D$ near $1$. Schwarz reflection across that analytic boundary arc therefore defines the boundary derivative, whose modulus is positive.

For ordinary Brownian motion $W$ started at $0$, let ${\sigma }_U$ be its first exit from $U$. Take sufficiently short arcs $I_{ϵ}$ around $1$. They are also arcs of $\partial U$. The event that $W$ stays in $U$ until its disc exit and exits in $I_{ϵ}$ is exactly the event $W_{{\sigma }_U}\in I_{ϵ}$. Therefore the conditional avoidance probability isConformal invariance of planar Brownian motion gives ${\omega }_U(0,I_{ϵ})={\omega }_D(0,\varphi (I_{ϵ}))$. At the disc center harmonic measure is normalized arc length, so the ratio tends to $|{\varphi }^{\prime }(1)|$.

To justify that this limit is the avoidance probability for the point-conditioned diffusion, one may use the stopped transform directly. Its probability of reaching a smooth boundary arc at $1$ before any other boundary of $U$ is the mass at that pole in the transformed harmonic measure. All other exit points have weights $h(w)$ and represent failure. Equivalently integrate the Poisson-kernel density at $1$ for $U$ and divide by that for $D$. This gives the boundary-density ratio above, without assuming that a full-path avoidance event is a continuity set for arbitrary weak convergence. The kernels transform by the boundary Jacobian:ConsequentlyThere is no extra factor of $|{\Phi }_U^{\prime }(0)|$. The starting point is fixed and the conditioning concerns boundary harmonic-measure density. In this normalization the boundary derivative is a positive real, so it may also be written ${\Phi }_U^{\prime }(1)$. It is at most one by the probability interpretation. Given avoidance, the mapped path is the same conditioned Brownian motion up to conformal time change; this is radial restriction for a conditioned Brownian path.

One precise relation is to radial SLE with parameter $2$. Its orientation is from the boundary point $1$ to the interior target $0$. With conformal-radius time it is defined byThere is a coupling of the conditioned Brownian path $B$ with this simple radial curve $\eta$ such that, for each initial curve segment, the first point at which $B$ encounters it is its tip. More precisely, if $s_t=\inf \{s:B_s\in \eta [0,t]\}$, then $B_{s_t}=\eta (t)$. Reversing the Brownian path turns these first-hit times into the last-visit times that characterize loop-erasure of planar Brownian motion. ThusThis is an existence statement for a coupling, not a pointwise equality of the two processes or a claim that a naive finite-loop deletion algorithm applies to Brownian motion.

Here is the martingale mechanism behind the coupling. Put $a_t=e^{i{\theta }_t}$ andThis is the positive slit-domain Poisson kernel at the tip, normalized by $Q_t(0)=1$. Writing $q_t=g_t(z)/a_t$, the radial equation givesThe drift of $(1+q_t)/(1-q_t)$ is $(2-\kappa )q_t(1+q_t)/(1-q_t{)}^3$, so $Q_t(z)$ is a local martingale at $\kappa =2$.

Start independent stopped $B$ and radial SLE2, and weight their joint laws, before meeting, byFor fixed $s$ this is an SLE local martingale. For fixed $t$ it is a Brownian-transform local martingale, because ${\mathcal{L}}^h(Q_t/h)=(2h{)}^{-1}\Delta Q_t=0$. Since $L(0,t)=L(s,0)=1$, localized two-parameter weighting preserves both original marginals. For a fixed slit, the changed Brownian law is the transform by $Q_t$, so it hits that slit at the pole, its tip. Compatible stopped couplings, followed by exhaustion, give the first-hit-at-tip property. This completion is the substantive continuum coupling step. Discrete loop-erased random walks and their radial-SLE2 limit give a parallel approximation picture.

For example, in this coupling avoidance by $B$ implies avoidance by $\eta$, since the radial curve is contained in the Brownian trace. The probability from part (b) therefore supplies a lower bound $|{\varphi }^{\prime }(1)|\le \mathbb{P}(\eta \subset U)$. The two avoidance laws are not identical: unweighted simple radial ${\mathrm{SLE}}_2$ does not have the Brownian radial-restriction property. This is a way to transfer path-containment information while retaining the distinct geometry and orientation of the two random curves.