Variables X1 and X2 follow generalized Wiener processes, with drift rates μ1 and μ2 and variances σ12 and σ22. What process does X1 + X2 follow if:
(a) The changes in X1 and X2 in any short interval of time are uncorrelated?
(b) There is a correlation p between the changes in X1 and X2 in any short time interval?
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