Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2001/iii/paper-21/4/e/solution

False. For every deterministic , Brownian scaling gives . In particular, for any ,
independently of . Almost-sure convergence would imply convergence in probability, but these fixed positive tail probabilities rule out convergence in probability to zero. The square-root normalization retains fluctuations of order one.

New to topics? Read the docs here!