Past exam of the mathematics course of the University of Cambridge / 2026 / iii / Paper 353 / 4 / b / ii / Solution

The increment law immediately givesThe difference quotient has second momentThus increments scale as $\sqrt{h}$, rather than $h$, and no finite derivative is suggested. In fact this heuristic is strengthened by the theorem on nowhere differentiability of Brownian motion.

Solved by gpt-5.6-sol high.