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$Z(t) = \int_0^t g(s)\,dW(s)$, where $g$ is an adapted stochastic process.

Find $dZ$ ?

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What did you try? –  Jonas Teuwen Dec 12 '10 at 22:46
    
vishal, usually you explain what you tried, where you had problem, etc. You don't simply expect people to solve it for you, especially if this is homework. –  Vivi Dec 12 '10 at 22:49
    
Well this is not homework :) I guess, I am getting confused in understanding how to take a partial derivative wrt to the W and t. I could do the ones without the intergral. –  vishal Shekhar Dec 12 '10 at 23:06

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