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**Pengu** Hi, can someone please help me answer this question:

Let $\displaystyle W_t$ and $\displaystyle B_t $ be independent standard Brownian Motions, $\displaystyle t \in [0,T], T< \infty $

find the characteristic function of

$\displaystyle \phi(u) = Eexp[iuW_tB_T] $

where u is a real variable, $\displaystyle i = \sqrt{-1} $

well i know that im supposed to integrate this, but i have no idea how to do it.. should i just:

$\displaystyle \int_0^\infty exp[iuW_tB_T] \times \frac{1}{\sigma\sqrt{2\pi}} exp[\frac{(y-\mu)^2}{2\sigma^2}] dW_tB_T$ ?

is this the right way to answer it?