Question: Let (W(t), t > 0) be a standard Brownian motion on (N2, F, P) and dX(t) = W(t)dt + dW(t), with X(0) = 0. Under

Let (W(t), t > 0) be a standard Brownian motion on

Let (W(t), t > 0) be a standard Brownian motion on (N2, F, P) and dX(t) = W(t)dt + dW(t), with X(0) = 0. Under what probability measure on (12, F) is (X(t), t > 0) a standard Brownian motion? Let (W(t), t > 0) be a standard Brownian motion on (N2, F, P) and dX(t) = W(t)dt + dW(t), with X(0) = 0. Under what probability measure on (12, F) is (X(t), t > 0) a standard Brownian motion

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