Past exam of the mathematics course of the University of Cambridge 2024 iii Paper 201 3 a Solution Created 2026-09-24 Updated 2026-09-25
Let . The function is a harmonic function on the annulus , so Itô formula shows thatis a bounded martingale. By the optional sampling theorem for a supermartingale applied to this martingale,where . Solving gives the planar Brownian annulus hitting probability
Past exam of the mathematics course of the University of Cambridge 2024 iii Paper 202 3 d i Solution Created 2026-09-24 Updated 2026-09-25
The function is a harmonic function on the annulus . The Itô formula therefore makes a bounded martingale. The optional sampling theorem for a supermartingale giveswhere . Solving this linear equation yields the planar Brownian annulus hitting probability