To compute $E[(\int_0^1 W(s) ds)^2]$, I know that using integration by parts and Ito isometry, we have: \begin{align} E\left[\left(\int_0^1 W(s) ds\right)^2\right] &= E\left[\left(W(1) - \int_0^1 sdW(s)\right)^2\right]\\ & = E\left[\left(\int_0^1dW(s) - \int_0^1 sdW(s)\right)^2\right]\\ & = E\left[\left(\int_0^1 (1-s) dW(s)\right)^2\right]\\ & = E\left[\int_0^1 (1-s)^2 ds\right]\\ & = \frac13 \end{align} But what is wrong with the following calculation? \begin{align} E\left[\left(\int_0^1 W(s) ds\right)^2\right] &= E\left[\left(W(1) - \int_0^1 sdW(s)\right)^2\right]\\ & = E\left[W(1)^2 - 2W(1)\int_0^1 s dW(s) + \left(\int_0^1 sdW(s)\right)^2\right]\\ &= 1 + E\left[\int_0^1 s^2 ds\right]\\ & = \frac43 \end{align}
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3The random variables $W(1)$ and $\int_0^1sdW(s)$ are not independent. – UBM Dec 20 '20 at 20:59
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@UBM, ah... thanks! I got it. – Michael Dec 31 '20 at 20:43