Question: 1.1 Let (W+)to be a Wiener process. Show that for 0 < s < t < u the conditional distribu- tion of W given

1.1 Let (W+)to be a Wiener process. Show that for 0 < s < t < u the conditional distribu- tion of W given W, and W is Gaussian N((u-t) Ws+(-s) Wu, 2 (u-t) (t-s)). u-s u-s

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