Past exam of the mathematics course of the University of Cambridge / 2021 / iii / Paper 220 / 4 / c

With the notation supplied in the question, ${\tilde{U}}_t={\psi }_t(U_t)$ and $d{U}_t=\sqrt{\kappa }d{B}_t$. The Itô formula and ${\partial }_t{\psi }_t(U_t)=-3{\psi }_t^{\prime \prime }(U_t)$ giveFor $\kappa =6$, the drift vanishes. The resulting continuous local martingale has quadratic variationIf $s=\tilde{a}(t)/2$ is the usual half-plane-capacity time, then $⟨\tilde{U}⟩=6s$. The Dambis-Dubins-Schwarz theorem therefore givesfor a standard Brownian motion $\tilde{B}$. The mapped hulls are consequently an ${\mathrm{SLE}}_6$, which proves locality.