Given that $s<t$ and $\{B(t),t\geq 0\}$ is a standard brownian motion,
how would I show that $B(s) - \frac{s}{t}B(t)$ is normal?
I tried doing something like
$$B(s) - \frac{s}{t}B(t) = 1/t (s(B(t)+B(s)) - (t-s)B(s))
$$
which doesn't result in anything.
Also, what does showing that $\mathrm{Cov}(B(s), -\frac{s}{t}B(t)) = -s^2/t \neq 0$ mean? I thought this would mean that $B(s), -\frac{s}{t}B(t)$ are not independent, meaning their sum won't gauranteed be normal.
2026-03-25 19:04:45.1774465485
Showing $B(s) - \frac{s}{t}B(t)$ is normal
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