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.