Past exam of the mathematics course of the University of Cambridge / 2017 / iii / Paper 201 / 5 / b / Solution

Take a sequence $R\uparrow \infty$ with $R>|x|$. The events $\{{\tau }_r<{\tau }_R\}$ increase, and their union is $\{{\tau }_r<\infty \}$. Indeed, if the sphere of radius $r$ is reached at a finite time, continuity makes the path bounded up to that time, so a sufficiently large outer sphere has not yet been hit. Conversely, each event in the union includes a finite inner hit.

Taking the limit of part (a)'s Brownian sphere-hitting probability in dimension three yields the sharper formulaThis establishes the required escape probability without presupposing the transience of Brownian motion in dimension at least three.