How would I go about finding the distribution of $B(u) + B(u+v)$ where $u+v > u$?
I know that both $B(u)$ and $B(u+v)$ are normal random variables. The sum of two normal random variables is also normal with parameters equal to the sum of means and variances. However, this only applies for independent normal variables. How can I make $B(u) + B(u+v)$ independent? Or am I completely on the wrong track?
Thanks for the help.