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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.

Thanks for the help!

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anyone else with a solution? please! – icobes Apr 4 '11 at 3:44

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I'm sorry but I don't see how this is relevant in helping me calculate the covariance. Any more help would be appreciated. – icobes Apr 4 '11 at 2:48
@icobes The formula for the covariance is on the Wikipedia page I linked to. – Byron Schmuland Apr 4 '11 at 2:49

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