Past exam of the stochastic differential equations and Brownian motion in complex analysis course of the University of Oxford / 2008 / A / 3 / c

Condition on the Brownian path up to $t\le T$. The independent normal increment $B_T-B_t$ has $\mathbb{E}\cos (B_T-B_t)=e^{-(T-t)/2}$ and zero expected sine. HenceApply Itô's formula to this expression. Its time derivative and second spatial derivative cancel, leavingTherefore the required representation isThe bounded integrand is square integrable, and uniqueness follows from the Itô isometry. The drift-containing decomposition in part (b) alone would not be the required representation as a constant plus one stochastic integral.