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Variance of the Ito integral of W dW

Question

WtW_t is a standard Brownian motion. The variance of ∫0tWs dWs\displaystyle\int_0^t W_s\,dW_s equals kt2kt^2 for some constant kk. Determine kk.

Short answer

k=12k=\tfrac12. Ito's formula on Wt2W_t^2 gives ∫0tWs dWs=12(Wt2−t)\int_0^tW_s\,dW_s=\tfrac12(W_t^2-t), whose variance is 14Var⁡(Wt2)=14⋅2t2\tfrac14\operatorname{Var}(W_t^2)=\tfrac14\cdot2t^2. Equivalently, by the Ito isometry the variance is ∫0tE[Ws2] ds=t22\int_0^t\mathbb{E}[W_s^2]\,ds=\tfrac{t^2}{2}.

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