Let (W)to be a Brownian Motion. (a) Let Xt, check that (X+) is an Itô-integrable process. (b) Let Y₁ = sdWs. Find E[Y] and Var(Y). (c) Let Z= W, ds (note that this is a Riemann integral, Using approximation by simple processes or Itô formula, prove that In other words, prove that Yt+Zt=tWt. I saw. + [W₁ds = W₁. L sdWs =tWt. This should remind you of the formula for the derivative of a product or the inte- gration by parts formula.