Question: Brownian Bridge For a Wiener process Wt consider Xt := Wt t T WT for 0 t T . Calculate Var(Xt) and

Brownian Bridge For a Wiener process Wt consider Xt := Wt − t T WT for 0 ≤ t ≤ T . Calculate Var(Xt) and show that ) t 1 − t T Z with Z ∼ N (0, 1) is a realization of Xt

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