Let Z t denote the standard Brownian process. Show that the covariance matrix of the bivariate Gaussian

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Let Zt denote the standard Brownian process. Show that the covariance matrix of the bivariate Gaussian random variable (Z01Zu du) is given by

t(1 - {/) E[(Z. [' Zu du)' (Zi. f' Zu du)] = ('-5) (79)). Zt, 1 (1 {) 3 Also, show that the conditional

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