Compute $E(Y_t^2)$ with $Y_t =\int_{0}^{t}(e^{-as} \sigma \int_{0}^{s} e^{au} dW_{u})ds$

89 Views Asked by At

Consider the process, $Y_t =\int_{0}^{t}(e^{-as} \sigma \int_{0}^{s} e^{au} dW_{u})ds$. To compute the variance of this process, I need to compute $E[(\int_{0}^{t}(e^{-as} \sigma \int_{0}^{s} e^{au} dW_{u})ds)^2]$. If $dW_u$ was the outer integral then we could apply Ito's Isometry? But how would one change the order of integration here?