In many cases, you can give a reference from an employer in place of an academic reference, especially if you have done a significant amount of technical work in your job. Take a look at some faculty websites and e-mail the course administrators - you're not the first person to be in this situation.

@Zhoraster Thanks - I'll work through the material in Karatzas & Shreve.

"The (Riemann) integral of an ito process is equal to the difference of two Gaussian processes which should again be Gaussian." Have you assumed that all diffusion processes are Gaussian? This is certainly not the case when $X_t$ has nonlinear drift.

Yes, you're absolutely right. Thanks for pointing that out. It's strange that processes of this type do not appear much in the literature though.

Thanks for your reply. I see your point. I can see how one might attempt to construct such a $\nu$, but I guess it would be a little artificial. Given any sensible curve of finite length in R2+, one could probably construct a measure such that the Brownian sheet is a BB when restricted to the curve

Thanks for your reply. After some more research, I stumbled across this article: emis.de/journals/EJP-ECP/_ejpecp/ECP/include/getdocf87c.pdf Apparently Levy developed the theory of Brownian motion indexed by spheres. The variance of the process in Levy's definition doesn't quite match what I had in mind, so I guess I need to rethink things.

So you're using the memoryless property of the geometric distribution in your post?