Brownian wedge-exit probability 2026-10-06
A planar Brownian motion starting at exits the disk of radius before leaving a wedge of opening , centered on the positive axis, with probability . The power-map reduction for Brownian exit from a wedge, the reflection identity for Brownian exit from a half-disc and the Möbius calculation of circular Brownian exit give the formula. Its large-radius decay exponent is .
Past exam of the mathematics course of the University of Cambridge 2014 iii Paper 29 2 b Solution Created 2026-10-03 Updated 2026-10-06
Let and denote positive and negative real part at the circular exit. On , reflect the portion of the planar Brownian motion after by . This reflection fixes the imaginary axis and preserves distances from the origin. The Strong Markov property and reflection symmetry show that the resulting path has the same law, its circular exit time is unchanged, and is exchanged with . ThereforeAn exit with negative real part must first cross the imaginary axis. An exit before has positive real part. The two points have zero circular exit probability, since circular harmonic measure has no atoms. HenceSubtracting provesThis is the reflection identity for Brownian exit from a half-disc.