If X1,X2X_1, X_2X1,X2 are i.i.d. N(μ,σ2)N(\mu, \sigma^2)N(μ,σ2), what is the distribution of X1−X2X_1 - X_2X1−X2?
N(0,2σ2)N(0, 2\sigma^2)N(0,2σ2)
N(0,σ2)N(0, \sigma^2)N(0,σ2)
N(2μ,2σ2)N(2\mu, 2\sigma^2)N(2μ,2σ2)
N(0,2σ)N(0, \sqrt{2}\sigma)N(0,2σ)