In the following link, Distribution of Sum of Brownian Motion and Integrated BM, it is said that
1- $W(t) + \int_0^T W(t) dt$ does not exist, why?
2- What topic should I read or learn to understand whatever "Saz" has commented under the question? What is $t_j^n := T \cdot j/n dt$? Why do we define it? What is $X^n$? Why is it defined at all? I am very lost and I don't know what topic to study to understand those.