The PDF's subscript is $0$, and the <Brownian motion> starts from zero. Thus $B_0=0$ almost surely and the process is exactly $B$ at every time. \b[Its law is <Wiener measure> itself, with density $1$.] There is no random future coefficient or anticipating transformation in this printed case.

Solution

Past exam of the mathematics course of the University of Cambridge / 2002 / iii / Paper 31 / 6 / d / Solution

 Solution (source code)