If $B$ and $f(B)$ are Brownian motions, then $f$ is affine

Abstract

It is shown that if the processes $B$ and $f(B)$ are both Brownian motions (without a random time change) then $f$ must be an affine function. As a by-product of the proof, it is shown that the only functions which are solutions to both the Laplace equation and the eikonal equation are affine.