Past exam of the mathematics course of the University of Cambridge 2005 iii Paper 34 4 c Solution Created 2026-10-03 Updated 2026-10-14
Continue with equal to the integral defined in the PDF and . Until the Brownian motion hits the radius- ball, is a bounded local martingale, hence a true martingale. At the finite stopping time , optional stopping givesRearranging,The fixed random variable is integrable by the Gaussian heat kernel and the local-integrability calculation above. Also . For any , the final expectation is at mostFirst send , then , proving that it vanishes. The identities from part (b) giveSubtracting yields the small-ball Brownian hitting asymptoticThus the constant in this printed limit requires exactly the same reciprocal correction as in part (b). For the multiplier is , not . The argument proves the corrected finite-time limit directly, rather than inferring it from the eventual hitting probability alone.