How do I construct random variables increment (X(t+h) - X(t)) such that each increment is normally distributed with mean 0 and variance = h.
I thought of using Ito's lemma and use standard normals with "e" mean 0 and variance 1. Use say 100 of them, and then the increments shall have mean 0 and variance h.
However, the hint in the book talks about using compound poisson process or using uniform random variables. Any help appreciated.