Question: Let B(t) be a standard Brownian process and consider the process {X(t), t 1} with X(t) = B(t) - B(t - 1). a) Let t

Let B(t) be a standard Brownian process and consider the process {X(t), t 1} with X(t) = B(t) - B(t - 1).

a) Let t1 , t2 1 be such that t2 - 1 < t1 < t2 . Is the vector (X(t1), X(t2)) bivariate Normal? Give reasons.

b) Explain why X(t1) and X(t2) are independent when |t2 - t1| > 1.

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