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JGWang
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First of all, $\int_0^t\exp[B(t)-B(s)]\,dW(s)$ should be understood as $\exp[B(t)]\int_0^t\exp[-B(s)]\,dW(s)$, otherwise, the integral couldn't be defined as an Ito's integral.

Let \begin{align} Z(t)&\Bigl(=\int_0^t\exp[B(t)-B(s)]\,ds\int_0^t\exp[B(t)-B(s)]\,dW(s)\Bigr)\\ &=e^{2B(t)}\int_0^t\exp[-B(s)]\,ds\int_0^t\exp[-B(s)]\,dW(s) \end{align} Using Ito's formula, we have \begin{align} dZ(t)&=2Z(t)\,dB(t)+2Z(t)\,dt+\Bigl(e^{B(t)}\int_0^t\exp[-B(s)]\,dW(s)\Bigr)\,dt\\ &\quad +\Bigl(e^{B(t)}\int_0^t\exp[-B(s)]\,ds\Bigr)\,dW(t) +2\gamma \Bigl(e^{B(t)}\int_0^t\exp[-B(s)]\,ds\Bigr)\,dt \tag{1} \end{align} Denote $m(t)=\mathsf{E}[Z(t)]$, then $m(0)=0$ and from (1) we have \begin{align} dm(t)&=2m(t)\,dt+\mathsf{E}\Bigl[e^{B(t)}\int_0^t e^{-B(s)}\,dW(s)\Bigr] +2\gamma\int_0^t\mathsf{E}[e^{B(t)-B(s)}]\,dt\\ &=2m(t)\,dt+6\gamma(e^{t/2}-1).\tag{2} \end{align} where we use following equalities: \begin{align} \mathsf{E}\Bigl[e^{B(t)}\int_0^t e^{-B(s)}\,dW(s)\Bigr]&=2\gamma(e^{t/2}-1),\tag{3}\\ \mathsf{E}[e^{B(t)-B(s)}]&=e^{(t-s)/2} \end{align} To get (3) using same way as above(Ito's formula and solving a ODE). Now from (2) and $m(0)=0$ we could get the expression of $$m(t)=\mathsf{E}\Bigl[\int_0^t\exp[B(t)-B(s)]\,ds\int_0^t\exp[B(t)-B(s)]\,dW(s)\Bigr].$$ Please excuse me couldn't give the final expression, since the process includes
many details be checked.

JGWang
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