Question: Let {Bt, t [0, 1]} be a Brownian bridge. Set Xt = (1 + t)Bt/1+t . Show that {Xt : t 0} is a standard

Let {Bt, t [0, 1]} be a Brownian bridge. Set Xt = (1 + t)Bt/1+t . Show that {Xt : t 0} is a standard Brownian motion.

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