Past exam of the mathematics course of the University of Cambridge / 2016 / iii / Paper 202 / 5

Interpret $f$ as a conformal bijection onto $D^{\prime }$. If it is merely an injective map into a larger target, the correct exit domain is $f(D)$ instead. Let $\zeta$ be the exit time from $D$, write $f=u+iv$, and identify planar Brownian motion with $B^1+i{B}^2$. The Cauchy-Riemann equations give $u_x=v_y$, $u_y=-v_x$, and both $u,v$ are harmonic functions. The Itô formula, localized on compact subsets of $D$, yieldsThus both coordinates are continuous local martingales, withSince $f^{\prime }$ never vanishes, $A$ is strictly increasing before $\zeta$. Let ${\eta }_s=\inf \{t:A_t>s\}$, defined for $s<A_{\zeta -}$. The optional time-change theorem gives continuous local martingale coordinates for ${\beta }_s=f(B_{{\eta }_s})$, with bracket matrix $sI$. The Lévy characterization of multidimensional Brownian motion makes $\beta$ a standard planar Brownian motion started at $f(z)$, up to its lifetime. Therefore conformal invariance of planar Brownian motion takes the formTo identify the lifetime, exhaust $D$ by relatively compact open sets $D_n$ with nested closures. The images $f(D_n)$ exhaust $D^{\prime }$ because $f$ is a homeomorphism onto $D^{\prime }$. Each stopped transformed path exits $f(D_n)$ at precisely the clock value of its exit from $D_n$. Increasing these exit times gives the exit lifetime of Brownian motion from $D^{\prime }$, including a possibly infinite lifetime. This identifies $A_{\zeta -}$ with that lifetime and needs no global extension of $f$ to the boundary.

Use the open strip $S=\{x+iy:0<y<\pi \}$; the printed closed strip denotes the region together with its exit boundary. Starting at $z=x+iy$, the conformal bijection $e^z$ sends $S$ onto the complex upper half-plane and the bottom edge $a\in \mathbb{R}$ onto $v=e^a>0$. The upper edge maps to the negative half-axis. The transformed initial point is $e^x\cos y+i{e}^x\sin y$.

By conformal invariance of planar Brownian motion, transform the given Poisson kernel for the upper half-plane and include the Jacobian determinant $dv/da=e^a$. The bottom-boundary harmonic measure of a strip isThis is the unconditional exit density on the bottom edge, not the density conditional on using that edge. Its total mass isIndeed substitution $v=e^{a-x}$ gives the positive-half-axis mass of the Poisson kernel, equal to $\frac{1}{2}+{\pi }^{-1}\arctan (\cot y)=1-y/\pi$ for $0<y<\pi$. To obtain the conditional bottom-edge density, divide by $1-y/\pi$. The top-edge density is $\sin y/[2\pi (\cosh (a-x)+\cos y)]$ and has mass $y/\pi$, a useful normalization check.

For a harmonic function $u$ on $\mathbb{C}\cong {\mathbb{R}}^2$, the Itô formula givesStop on leaving increasing discs and at increasing deterministic times. On each such interval the gradient is bounded, so the stochastic integral is a martingale. This proves that $u(B)$ is a continuous local martingale.

If $|u|\le K$, this is a bounded local martingale and hence a true martingale. Start Brownian motion at an arbitrary $z$. Its Gaussian heat kernel givesFor a unit vector $e$, ${\partial }_e{p}_t(v)=-(e\cdot v)p_t(v)/t$, so $\int |{\partial }_e{p}_t(v)|dv=\sqrt{2/\pi }/\sqrt{t}$. Integrating the directional derivative along the segment from $z$ to $w$ yieldsLetting $t\to \infty$ gives the harmonic Liouville theorem:This Gaussian heat-kernel proof of the harmonic Liouville theorem uses the bounded martingale identity established above.