Question: Variables X 1 and X 2 follow generalized Wiener processes with drift rates 1 and 2 and variances 1 2 and

Variables X1 and X2 follow generalized Wiener processes with drift rates μ1 and μ2 and variances σ12 and σ12. What process does X1 + X2 follow if: 

(a) The changes in  and  in any short interval of time are uncorrelated?

(b) There is a correlation  between the changes in  and  in any short interval of time?

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