Integrated Brownian motion ($I_t={\int }_0^t{B}_{s}ds$)

The ordinary time integral of standard Brownian motion is a centered Gaussian process with continuously differentiable paths and derivative $B_t$. For $0\le s\le t$, its covariance is $\mathbb{E}(I_s{I}_t)=s^2(3t-s)/6$, obtained by integrating the Brownian covariance $\min (u,v)$. Consequently $I_t$ has normal distribution $N(0,t^3/3)$. This time integral is distinct from the Itô integral with respect to Brownian motion.