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.
False. For a common sequence, each term of which is a refining deterministic partition of an interval, standard Brownian paths have quadratic variation almost surely, whereas the paths have quadratic variation almost surely. These two path properties define disjoint measurable subsets of , so the two laws are mutually singular measures. In particular, the law of is not absolutely continuous with respect to Wiener measure. This is the Pathwise quadratic variation distinguishes Brownian speeds argument.