King James I ratified the judgement, and it was handed down on 10 May 1605. In 1621, an official investigation in Tuscany, Dudley's new country, concluded that Dudley's "friends maintain that his father married Lady Sheffield, but they are unable to account for her marriage during his lifetime, an act so injurious to the alleged legitimacy of her son." Dudley left England in July 1605, by Calais. His lover and cousin Elizabeth Southwell accompanied him, disguised as a page. She was a daughter of Sir Robert Southwell and Lady Elizabeth Howard, who was a granddaughter of Charles Howard, 1st Earl of Nottingham, Dudley's uncle. The couple declared that they had converted to Catholicism. Dudley married Elizabeth Southwell in Lyon in 1606, after they had received a papal dispensation because they were blood relatives, and they first settled in Florence. He began to use his father's title of Earl of Leicester and his uncle's title of Earl of Warwick. Dudley designed and built warships for the arsenal of Livorno and became a naval advisor to Ferdinand I, Grand Duke of Tuscany, of the Medici family. He received an annuity of 2,000 ducats. In 1608, Dudley convinced the Duke to send the privateer galleon "Santa Lucia Buonaventura" to Guiana and northern Brazil in the only tentative of Italian colonization in the Americas, known as the Thornton expedition. James I revoked Dudley's travel licence in 1607. When he ordered Dudley to return home to provide for his deserted wife and family, Dudley refused. He was then declared an outlaw, and his estate was confiscated. He continued contacts with the English court through Sir Thomas Chaloner, who was now a chamberlain to Henry, Prince of Wales. He corresponded with the young Prince on the subjects of navigation and shipbuilding, and in 1611 tried to broker a marriage between him and Caterina, daughter of Duke Ferdinand. Meanwhile, Henry Frederick had taken a fancy to Kenilworth Castle, calling it "the most noble and magnificent thing in the midland parts of this realm". Wanting it, he was willing to buy it from Dudley and agreed in 1611 to pay £14,500, with Dudley to hold the office of constable of the castle for his lifetime. When Henry died in 1612, only £3,000 had been paid, and it is unclear whether Dudley ever received it. The new Prince of Wales, Charles, then took possession of the castle but failed to pay the balance owing.