Let B(t), t 0, be a standard Brownian motion. Show that each of the following is
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Let B(t), t ≥ 0, be a standard Brownian motion. Show that each of the following is a standard Brownian motion:
(1) (Scaling relation) a
−1B(a2t), t ≥ 0, where a = 0 is fixed.
(2) (Time inversion) W(t) = 0, t = 0 and tB(1/t), t > 0.
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