## Question

###### Problem [10 points =5 + 5] Consider Brownin bridge {W() 0 <<} defined 45 Gnussian prOCCNS with Zero ICAD AIId cuvurinuce futction_ Cov [W(s), W(I min|s, t (0 < $.6<1) Evaluato covuriance, Cov [W() W(L ')]: where 0 < t< 1Derive the variance, Var [W( + W(T t)]: where << [Solution

Problem [10 points =5 + 5] Consider Brownin bridge {W() 0 <<} defined 45 Gnussian prOCCNS with Zero ICAD AIId cuvurinuce futction_ Cov [W(s), W(I min|s, t (0 < $.6<1) Evaluato covuriance, Cov [W() W(L ')]: where 0 < t< 1 Derive the variance, Var [W( + W(T t)]: where << [ Solution

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