Question: 8. Let $ X(t): t 0 % be a Brownian motion with variance parameter 2. For u > 0, t 0, find E

8. Let $ X(t): t ≥ 0 % be a Brownian motion with variance parameter σ2. For u > 0, t ≥ 0, find E 4 X(t)X(t + u)5 .

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