Suppose every time units a process either increases by the amount with probability p or

Suppose every time units a process either increases by the amount σ

√

with probability p or decreases by the amount σ

√

with probability 1 − p where

Show that as goes to 0, this process converges to a Brownian motion process with drift parameter μ and variance parameter σ2.

Transcribed Image Text:

p= 1 + A).