SERVING THE QUANTITATIVE FINANCE COMMUNITY

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savr
Posts: 48
Joined: January 21st, 2013, 3:28 pm

### Distribution of max BM - BM

QuoteI always thought that if something holds for *any* dt then it should hold for continuous time.Your intuition is good, rather here the limit object has more properties than the (slipshod) approximations.e.g. the supports of Mt and |Wt| : although they are different for fixed dt>0, since dt scales both time and space, they are actually getting nearer.