I want to find the variance of the Ito integral:
$X_t=\displaystyle \int_0^t\sqrt{s}W_sdW_s$,
where W is a Brownian motion and s is the variable of integration.
This is what I have done so far:
$$Var(X_t)=E\left[\left(\displaystyle\int_0^t\sqrt{s}W_sdW_s\right)^2\right]=E\left[\displaystyle\int_0^tsW_s^2ds\right]$$
However, I'm not sure where to go from here. I think what's really confusing me is what to do with the fact that s is the variable of integration.
I would appreciate any guidance!
Best Answer
$$E\left(\int_0^tsW_s^2\,\mathrm ds\right)=\int_0^tsE(W_s^2)\,\mathrm ds=\int_0^ts\cdot s\,\mathrm ds=\cdots$$