Question: Let B be a Brownian motion. Define Xt = Bt tB1 for 0 t 1. This process is called the Brownian bridge, because it starts

Let B be a Brownian motion. Define Xt = Bt tB1 for 0 t 1. This process is called the Brownian bridge, because it starts at 0 at time 0 and also ends at 0 at time 1, and it looks roughly "Brownian" in between

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