QuoteOriginally posted by: DoubleTroublePerhaps one can find the distribution of easier by reasoning like this:where the approach in your first post is a standard one ( i didn't check for exact calculations). what you are doing in the second post doesn't seem to lead anywhere. in fact, starting from the second equality sign it becomes nonsense.... The confusion comes from the fact that W_t is not equal to sqrt(t) N. Both have the same distribution though.
Last edited by ThinkDifferent
on August 1st, 2011, 10:00 pm, edited 1 time in total.