Rotational invariance of Brownian motion ($QB\stackrel{d}{=}B(Q{Q}^T=I)$)

For standard Brownian motion started at zero in ${\mathbb{R}}^n$, every fixed orthogonal transformation preserves the process law. Its transformed increments remain independent centred Gaussian random vectors with covariance $(t-s)I$, and its paths remain continuous. Consequently its exit law from any centred sphere is normalized surface measure. Translations give the same assertion for spheres centred at its starting point.