Homework Help: Showing the Difference Between an Ito Integral & Riemann Integrals.

1. Dec 8, 2009

mathfied

Hi Everyone,
A problem I have here. I am trying to solve a problem involving Ito Integrals and Riemann interals.

1. The problem statement, all variables and given/known data
Prove

$$\int^{T}_{0} tdW(t) = TW(T) -\int^{T}_{0} W(t)dt$$

2. Relevant equations
I want to solve this question WITHOUT using Ito's Lemma directly.

3. The attempt at a solution
OK I know that in general, the Ito integral and the Riemann integral are going to be slightly different. The Ito Integral will have an extra term.

So in my question, I know if I was to generally just integrate the Riemann integral, I would get:
$$\int^{T}_{0} tdW(t) = TW(T)$$
But I know the Ito integral adds the extra:
$$-\int^{T}_{0} W(t)dt$$
But how does this arise? Is it possible to show how using the mean square error ? I keep reading the mean square error when reading about this but don't really see the connection. Maybe someone could kindly help out please?

Thanks