I wonder how to solve the following quadratic optimization problem?
$\min_{f:[0,1]\to \mathbb{R}} \int_0^1 f(t)^2dt-2\int_0^1 f(t)dB_t$
where $B(t)$ is standard Brownian motion.
Intuitively, the optimization can be performed pointwise, i.e., for any $t\in[0,1]$, solve
$\min_{f(t)} f(t)^2dt-2f(t)dB_t$,
however the solution is $f(t)=dB_t/dt$ which doesn't make sense since $B_t$ is not differentiable.