What is the covariance function for $U(t)$ if $U(t) = e^{-t}B(e^{2t})$ for $t \geq 0$ where $B(t)$ is standard Brownian motion? Any help would be great
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The process $U$ is a standard OU process. – Shai Covo Apr 27 '11 at 23:17
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See also the answer in http://math.stackexchange.com/questions/30817/covariance-function-for-brownian-motion/30837#30837. – Shai Covo Apr 27 '11 at 23:27
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1Do you know that ${\rm Cov}(B(s),B(t))=s$ for $0 \leq s \leq t$? – Shai Covo Apr 27 '11 at 23:42
