Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2002/iii/paper-31/6/c/solution

There is no density; scaling by two gives a law singular to Wiener measure. On form the pathwise dyadic sums
Under 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.

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