Past exam of the stochastic differential equations and Brownian motion in complex analysis course of the University of Oxford / 2009 / B / 6 / a / Solution

Let $d=|z_0|$, the initial distance from the annulus center, and $T=T_{A_{r,R}}$. The function $z\mapsto \log |z-z_0|$ is harmonic on the annulus, so its value along stopped planar Brownian motion is a local martingale by Itô's formula. It is bounded between $\log r$ and $\log R$ before exit, hence is a true bounded martingale.

By the assumed almost sure finiteness of $T$, continuity, and dominated convergence,where $p$ is the inner-boundary exit probability. Solving gives the harmonic measure of an annulus:The two probabilities sum to one, as the exit must lie on one of the two circles.