Suppose (Xt, Px) is a Brownian motion and Show that is a Markov process and determine the transition probabilities. Suppose is a Brownian motion, f a non-negative, bounded, Borel measurable...

Suppose (X_t, P_x) is a Brownian motion and

Show that

is a Markov process and determine the transition probabilities.

Suppose

is a Brownian motion, f a non-negative, bounded, Borel measurable function, and

Show that

is a Markov process.