Let . The function is a harmonic function on the annulus , so Itô formula shows that
is a bounded martingale. By the optional sampling theorem for a supermartingale applied to this martingale,
where . Solving gives the planar Brownian annulus hitting probability
The function is a harmonic function on the annulus . The Itô formula therefore makes a bounded martingale. The optional sampling theorem for a supermartingale gives
where . Solving this linear equation yields the planar Brownian annulus hitting probability