If $W(t)$ is a Brownian Motion and $g(t)$ and $h(t)$ non-random functions defined as $X(t)=\int_{0}^{t}g(u)dW(u)$ and $Y(t)=\int_{0}^{t}h(u)X(u)du$.
Then we have $$Var[Y(t)]=\int_{0}^{t}g^{2}(u)(\int_{u}^{t}h(y)dy)^{2}du.$$
My question is: how to obtain the above equation?
Any motivation or insight is appreciated. Thanks.