[Math] Is $W_{2t}-W_t$ a brownian motion

brownian motionstochastic-processes

Is $W_{2t}-W_t$ a brownian motion?

$(W_t)_{t\geq 0}$ is a brownian motion, I have to show that $X_t:=W_{2t}-W_t$ is a brownian motion as well.

$$W_{2t}= 1/\sqrt{2} W_t$$ (by scaling property)

then I can write $$1/\sqrt{2} W_t-W_t$$ and its distribution is Normal, with mean $0$ and variance $\frac{3-2\sqrt{2}}{2}$.

I would conclude it is a brownian motion.

Best Answer

For each fixed $t$, the random variable $X_t=W_{2t}-W_t$ is centered normal with variance $t$ hence indeed distributed like $W_t$.

But the process $(X_t)$ is not a Brownian motion. To see this, note that $X_2=W_4-W_2$ and $X_1=W_2-W_1$ are the increments of a Brownian motion on some disjoint time intervals hence they are independent while $W_2$ and $W_1$ are not (for example, $E(X_2X_1)=0$ and $E(W_2W_1)=1$).

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