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Take the convention that the coordinates of planar Brownian motion are independent standard real Brownian motions, so its infinitesimal generator is $\frac{1}{2}\Delta$. Define the forward conformal Brownian clockSince a conformal bijection has nonzero derivative, $A$ is a strictly increasing continuous map from $[0,T)$ onto $[0,\tilde{T})$. The time used inside the original path is its inverse:Thus the interval direction for $\tau$ is the inverse-clock direction.

Write $\varphi =u+iv$. The Cauchy-Riemann equations and the Itô formula make $u(B_s),v(B_s)$ continuous local martingales, withIndeed both components are harmonic functions, and their gradients are orthogonal with the same squared norm. After the time change of a continuous process by $\tau$, their quadratic variations are $t$ and their quadratic covariation is zero. The Lévy characterization of multidimensional Brownian motion therefore identifies $\tilde{B}$ as planar Brownian motion started at $z^{\prime }$, up to its lifetime.

It remains to identify that lifetime as the exit time, rather than merely produce a local Brownian path. Boundedness of $D$ gives $T<\infty$ almost surely. For every compact subset $C\subset D^{\prime }$, its inverse image under $\varphi$ is compactly contained in $D$. As $s\uparrow T$, continuity gives $B_s\to B_T\notin D$, so $\varphi (B_s)$ eventually leaves $C$. Consequently the transformed path leaves every compact subset of $D^{\prime }$ at its lifetime. If $\tilde{T}<\infty$, its Brownian extension has a finite limit, and that limit is outside $D^{\prime }$; if $\tilde{T}=\infty$, the path never exits. In both cases its maximal lifetime is precisely the exit time from $D^{\prime }$.

The killed paths, together with their lifetimes, have the same law:

For the SLE driver $d{\xi }_t=\sqrt{6}d{W}_t$, apply the Itô formula to ${\tilde{\xi }}_t={\varphi }_t({\xi }_t)$. At a fixed spatial point, ${\varphi }_t$ has finite variation locally in time by the derivative formula in part (c); there is no extra spatial martingale term. ConsequentlyThis exact cancellation is the target-change locality of SLE6. For a general parameter the transformed SLE driving function would have drift $(\kappa /2-3){\varphi }_t^{\prime \prime }({\xi }_t)$.

Define the increasing clock and its inverse byThe derivative $p_t$ is real and strictly positive before $T$, so this is a valid continuous time change of a continuous process. The driver is a continuous local martingale with quadratic variation $[\tilde{\xi }{]}_t=6a(t)$ and initial value zero. The Dambis-Dubins-Schwarz theorem gives a standard Brownian motion $\hat{W}$ such thatIf the terminal clock is finite, the Brownian motion may be extended beyond that stopping time; only its stopped part is used here. Reparameterizing the image maps givesThese are exactly the defining Chordal Loewner equation and half-plane-capacity parameterization for ${\mathrm{SLE}}_6$. The trace is ${\tilde{\gamma }}_{t(s)}$. Hence the image curve is also ordinary chordal ${\mathrm{SLE}}_6$ after this time change, up to the specified stopping time:

With the printed assumptions alone, the general quadratic covariation calculation from the two noise coefficients givesA continuous finite-variation process contributes no quadratic covariation, so the drift terms in the previous part do not alter these formulas. Taking $\vartheta =B$ gives $d[X,Y]=e^{2B}\cos (2B)dt$, which is nonzero near zero since $B_0=0$. Also $d([X]-[Y])=-4XYdt$ is not identically zero. Thus the requested assertions are false as printed.

Under the corrected assumption $C=0$, $X^2+Y^2=e^{2B}$ yieldsThe pair is therefore a pair of orthogonal continuous local martingales. This equality also identifies the clock for the intended time change of a continuous process.

The strictly increasing continuous clock $[M]$ has a finite continuous inverse ${\tau }_s$. The time change of a continuous process therefore preserves continuity and adaptedness. Moreover,The optional time-change theorem makes $M_{{\tau }_s}$ a continuous local martingale for ${\tilde{\mathcal{F}}}_s={\mathcal{F}}_{{\tau }_s}$, while composition with the increasing map $s\mapsto {\tau }_s$ preserves the finite variation of $A$. Hence $\tilde{X}$ is a continuous semimartingale in the time-changed filtration.

Part (b) shows that $s\mapsto {\tau }_s$ is finite and continuous. Since both $t\mapsto B_t$ and the power function $x\mapsto |x{|}^{\delta }$ are continuous, their compositionis continuous. This is an instance of a time change of a continuous process.

As printed, the requested conclusion is false for $\delta \ne 1$. On an interval on which $X$ stays positive, the time change of a continuous process satisfies $d{\tau }_s=ds/({\delta }^2{X}_s^{2(\delta -1)/\delta })$. The time-changed martingale term has quadratic variation $s$, so the Lévy characterization of Brownian motion identifies it with a standard Brownian motion $\tilde{B}$. Dividing the drift in part (a) by the derivative of the clock givesConsequently the construction actually satisfieswhich is the Bessel process equation of dimension $2-1/\delta$. It equals the paper's claimed drift $(\delta -1)/(2X_s)$ only when $\delta =1$. The mismatch between the specified power, clock, and conclusion is therefore a typographical error in the question.