We know that $\operatorname{Cov}(B_s,B_t)=\min(s,t)$ if $B_t$ is Brownian motion.
What is $\operatorname{Cov}(B_{f(s)},B_{f(t)})$ for some injective $f$?
How can I write $B_{f(t)}$ in an Ito process form $dX=\mu(X,t)dt+\sigma(X,t)dB_t$, or Ito integral?
Best Answer
Let $f: [0,\infty) \to [0,\infty)$ and $s,t \in [0,\infty)$. Then
$$\DeclareMathOperator{cov}{cov} \cov(B_{f(s)},B_{f(t)}) = \min \{f(s),f(t)\}$$
since $\cov(B_u,B_v)=\min\{u,v\}$ holds for all $u,v \in [0,\infty)$, so in particular for $u:=f(s)$, $v:=f(t)$.
Concerning your second question:
(You can find some more information here, it's theorem 1.)
In this case: If there exists a function $g$ such that $f(t)=\int_0^t g(s)^2 \, ds$, then we can define
$$X_t := \int_0^t g(s) \, dB_s$$
which gives $[X]_t = \int_0^t g(s)^2 \, ds=f(t)$. By applying the theorem we obtain that there exists a Brownian motion $(W_t)_{t \geq 0}$ such that $$X_t = \int_0^t g(s)^2 \, dB_s = W_{[X]_t} = W_{f(t)}$$
This works in particular if $f$ is differentiable and $f(0)=0$, put $g(s) := \sqrt{f'(s)}$. Of course that's not what you were looking for since you wanted to find a representation as an Itô process for a given Brownian motion.
The problem is the following: You could define (as above)
$$X_t := \int_0^t g(s) \, dB_s$$
where $g(s) := \sqrt{f'(s)}$, $f(0)=0$. Then $X_t$ is a centered Gaussian random variable with variance $f(t)$ and $X_t-X_s$ has variance $f(t)-f(s)$ which means that $X_t$ has the same distribution as the time-changed Brownian motion $B_{f(t)}$. But they are not necessarily the same processes! If you choose for example $f(t):=2t$ you obtain
$$X_t = \int_0^t \sqrt{2} \, dB_s = \sqrt{2} B_t$$
and this is clearly not the same process as $B_{f(t)} = B_{2t}$. On the other hand we know that $W_t := \sqrt{2} \cdot B_{\frac{t}{2}}$ is a Brownian motion and obviously $$X_t = \sqrt{2} \cdot B_{t} = \sqrt{2} \cdot B_{\frac{2t}{2}} = W_{2t} = W_{f(t)}$$
Remark: