Stochastic integral representation of a Brownian bridge ($X_t=(1-t){\int }_0^t(1-s{)}^{-1}d{B}_s$)

For $t<1$ this stochastic integral solves $d{X}_t=d{B}_t-X_t(1-t{)}^{-1}dt$. The Itô product rule also gives $X_t=B_t-(1-t){\int }_0^t{B}_s(1-s{)}^{-2}ds$. The process is centered Gaussian, with covariance $\min (s,t)-st$, and has a continuous extension $X_1=0$. Time reversal of a Brownian bridge proves endpoint continuity without assuming it at the start.