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

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 p = 1 2

(1 + μ

σ

√

).

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