Consider a general random walk
$$ X_n=x_0+sum_{k=1}^{n} J_k $$
where the jumps $J_k$ are IID RV’s following $N(mu,sigma^2)$. Find the distribution of $X_n$ and:
$$mathbb{P}(X_n leq x, X_m leq y) $$
where $n<m$. I don’t know how to start,
I’m just learning what random walks are.
