Let $X_t=\sigma \int_0^t e^{-a(t-s)} dW_s$, where $\sigma , a $ are constants. How can I find the expected value of the product of $X_t, X_s$ For t>s, $\mathbb{E}[X_t, X_s]$, and $\mathbb{E}[X_t, W_s]$ where $W_s$ is brownian.
I am not sure how i can modify ito's isometry so that i can find a simple solution. Thanks