Let's $W_t$ and $B_t$ are tow independent Brownian motion, where : $W_t$ ~ $N(0, t)$, $B_t$ ~ $N(0, t)$ $Cov(W_t,B_t)=0$ We know that sum of two Gaussian random variable is also Gaussian. $$E(1/2(W_t+B_t)) = 1/2(E(W_t+B_t))=0$$ $$Var(1/2(W_t+B_t))=1/4(var(W_t+B_t))=1/4(var(W_t)+var(B_t))=.5t$$ because $W_t$ and $B_t$ are independent. So: $X_t$=$1/2(B_t+W_t)$ ~ $N(0, .5t)$ EDIT : $X_t$ has continuous path and $X_t=0$ for $t=0$ but $Var(X_t) \neq t$( a necessary condition for Brownian Motion). Hence $X_t$ is not Brownian Motion. @Gordon mention rightly $\sqrt{1/2}(Wt+Bt)$ is a BM but not $X_t$.