Question: 6. Let $ X(t): t 0 % be a Brownian motion with variance parameter 2. As we know, for t1 and t2, t1 <

6. Let $ X(t): t ≥ 0 % be a Brownian motion with variance parameter σ2. As we know, for t1 and t2, t1 < t2, the random variables X(t1) and X(t2) are not independent. Find the distribution of X(t1) + X(t2).

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