# covariance function for Brownian motion

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