I have to show next property of stochastic integration.
Let $X$ be adapted integrand, for which we know that $E[\int_0^T X_s^2 ds] < \infty$. Let $0 \leq s < t \leq T $ and we have some $W \in F_s$ ($F_s$ is $\sigma$-algebra) and we know $E[\int_s^t W^2 X_s^2 ds] < \infty$.
Show that $\int_s^t W X_u dBu = W \int_s^t X_u dBu$.
I think I should start first with simple integrands and then make construction on other, but I am not sure if it is obvious how to make this on simple integrands.
Thanks for help.