Past exam of the mathematics course of the University of Cambridge / 2015 / iii / Paper 29 / 4 / i / Solution

A standard form of the Kakutani solution of the Dirichlet problem uses a bounded domain $D\subset {\mathbb{R}}^d$, continuous Dirichlet boundary data $f\in C(\partial D)$, and regularity of every boundary point for the Dirichlet problem. The boundedness of $D$ makes $\partial D$ a compact set, so $f$ is a bounded function and a uniformly continuous function. A bounded domain with $C^2$ boundary is a sufficient geometric case; one must not omit boundary regularity for an arbitrary bounded domain.

One standard analytic characterization of a regular boundary point on a bounded domain is the existence of a positive harmonic barrier: for each $\xi \in \partial D$ there is a harmonic function $h_{\xi }\in C(\overline{D})$ with $h_{\xi }(\xi )=0$ and $h_{\xi }(x)>0$ for $x\in \overline{D}\setminus \{\xi \}$. This is the harmonic form of a barrier for the Dirichlet problem; the barrier characterization of regularity is a standard fact of potential theory.

Let $B$ be $d$-dimensional Brownian motion started at $x\in D$ and let ${\tau }_D=\inf \{t\ge 0:B_t\notin D\}$ be its Brownian exit time. Then the unique solution in $C(\overline{D})\cap C^2(D)$ isEquivalently, $u(x)={\int }_{\partial D}f(\xi ){\omega }_D(x,d\xi )$, where ${\omega }_D$ is harmonic measure, the exit probability distribution of Brownian motion. The harmonic function equation is $\Delta u=0$, with the Laplace operator convention $\Delta ={\sum }_j{\partial }_j^2$.