If Wt (wiener) is normally distributed with mean 0 and variance t, why is Wt+h|(Wt=x) normally distributed with mean x and variance h? Is this as a result of the conditional expectation martingale property?
The amount of content is astronomical. This will be my first sitting, and I am quite confident that I won’t pass. There seems to be many fringe topics thrown in that are just driving me up a wall, and they tested quite a few of them on the Spring 2021 sitting. I failed that exam when testing at home.