I would like to know if the fundamental theorem of calculus is applicable to stochastic integrals? I have seen a recent working in a textbook where the author did the following
$$ y(t)=\int_0^te^{\theta S}dW_s $$ $$ dy(t)=e^{\theta t}dW_t $$
And I am not sure how did he go from the first line to the second.