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Let W1(t) and W2(t) be two Wiener processes that are independent of one another with both defined for t0 with variance parameters 1 and 2,

Let W1(t) and W2(t) be two Wiener processes that are independent of one another with both defined for t0 with variance parameters 1 and 2, respectively. Define the random process given by X(t) = W1(t) - W2(t).

a. What is RXX(t1,t2) ?

b. What is the PDF fx(x;t)?

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