Past exam of the mathematics course of the University of Cambridge / 2015 / iii / Paper 30 / 6 / c / Solution

The variance at zero is zero, so $X_0=0$ almost surely. For $s<t$, the increment is Gaussian with mean zero and varianceFor every $u\le s$,The increment and any finite vector of past values are jointly Gaussian. Zero cross-covariances imply their independence, by the factorization of the joint Gaussian characteristic function. The Monotone class theorem extends this independence to the sigma-field generated by all past values, ${\mathcal{F}}_s^X=\sigma (X_u:u\le s)$.

Together with the assumed continuity, these proveThis is the Gaussian-process characterization of Brownian motion. Completion of the natural filtration preserves the independence assertion.