Hi all im having some simple problems in brownian motion at the moment. I have done one question below and just want to verify whether or not it is the right answer if not then please recorrect me.
the other im just out of ideas in solving it. If you could help me, your assitance is much appreciated! Thank you!
The covarance of is 21t. Is that the right answer?
My second quesiton is:
Let and be independent Brownian motions and defined:
Show that is a brownian motion.
If possible can you show that they have independent increments, Gaussian increments and has a continuity path.