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Thomas Kojar
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Supposing that they are all independent Brownian bridges with $B_{j}(0)=B_{j}(T)=0$, we have for independent Brownian motions $W_{j}$

$$X(t)=\sum_{j=1}^m w_j(t)B_j(t)=\sum_{j=1}^m w_j(t)W_j(t)-\frac{t}{T}\sum_{j=1}^m w_j(t)W_j(T).$$

For the first term to be a Brownian motion $W_{t}$ we would need

$EW_{t}W_{s}=t\wedge s\sum_{j=1}^m w_j(t)w_j(s)=t\wedge s$ i.e.

$\sum_{j=1}^m w_j(t)w_j(s)=1$ for all $s,t\in [0,T]$.

Thomas Kojar
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  • 41