If $(B_t)$ is a standard Brownian motion, then
$$ B_t - \frac{T_1-t}{T_1-T_0} B_{T_0} - \frac{t-T_0}{T_1-T_0} B_{T_1}$$
is a Brownian bridge on $[T_0,T_1]$. It is know that this Brownian bridge is Markov.
Now consider another process
$$ U_t=A_t - \frac{T_1-t}{T_1-T_0} A_{T_0} - \frac{t-T_0}{T_1-T_0} A_{T_1}$$ where $(A_t)$ is an arbitrary continuous stochastic process.
- If $(A_t)$ is Markov, does that imply that $(U_t)$ is Markov ?
- If $(A_t)$ is Gaussian and Markov, does that imply that $(U_t)$ is Markov ?
- If $(U_t)$ is Markov, does that mean $(A_t)$ is Markov ?
- If $(U_t)$ is Gaussian and Markov, does that mean $(A_t)$ is Markov ?