I want to find covariance function for $W_t^2$, $W_t$ - Brownian motion. Can you help me with it? I don't know where to start.
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1Start with the definition of covariance, at least. – Nap D. Lover Nov 16 '20 at 19:12
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@Nap D. Lover: thank you, what would I do without you. Any constructive thoughts? – Сalendula Nov 17 '20 at 02:07
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https://math.stackexchange.com/questions/3356784/covariance-of-squares-of-brownian-motion you can try to follow the answers here too. – Nap D. Lover Nov 18 '20 at 01:14