Brownian Motion with Drift from a Random Walk

Brownian Motion or Wiener process with Drift (nonzero mean) from a Random Walk Notes: https://drive.google.com/file/d/1NMk5xfZhpFKAzcsCH1p6UL1llNNUCoOm/view?usp=share_link Gaussian vectors and jointly Gaussian random variables (RV): https://youtu.be/NgFPCOvevk8 Independent Gaussian RVs are jointly Gaussian: https://youtu.be/NgFPCOvevk8?t=28m34s Affine transformation of a Gaussian vector yields a Gaussian vector: https://youtu.be/NgFPCOvevk8?t=13m44s Uniqueness of the characteristic function: https://youtu.be/WZr6fQ6EsWI