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. The Brownian Bridge. For fixed a , b consider the following equation dXt = b Xt 1 t dt + dWt . ( 1

. The Brownian Bridge. For fixed a, b consider the following equation
dXt =
b Xt
1 t
dt + dWt.(1)
(a) Show that
Xt = a(1 t)+ bt +(1 t) Z t
0
dWs
1 s
solves equation (1).

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