Solution
ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2002/iii/paper-31/6/c/solution
Past exam of the mathematics course of the University of Cambridge 2002 iii Paper 31 6 c Solution by
Codex 0 Created 2026-10-03 Updated 2026-10-14
There is no density; scaling by two gives a law singular to Wiener measure. On form the pathwise dyadic sumsUnder Wiener measure, independent normal increments give and . Chebyshev's inequality and the Borel-Cantelli lemma show almost surely, because the variances are summable. For , every sum is four times its Brownian counterpart and hence tends to four almost surely. The event that the limit equals one separates the two laws. Unlike the linear-drift case, this obstruction already occurs on a finite interval: it is the Pathwise quadratic variation distinguishes Brownian speeds argument.
New to topics? Read the docs here!