$\mathbb E\left(W_s\int_s^tW_s\,\mathrm ds\right)$, $(W_t)$ is a brownian motion

121 Views Asked by At

Let $(W_t)$ be a Brownian motion. I found $$\mathbb E\left(W_s\int_s^tW_s\,\mathrm ds\right)$$ in a much longer exercise, but I don't know how to compute it. Any suggestions?

1

There are 1 best solutions below

2
On BEST ANSWER

$$E\left[W_s\int_s^tW_u\mathrm du\right]=\int_s^tE[W_sW_u]\mathrm du=\ldots$$