[step:Show the Kalman span lies in the reachable subspace]
We prove the reverse inclusion by orthogonal complements. Let $y \in \mathbb{R}^n$ satisfy $y \perp \mathcal{R}_T$ with respect to the Euclidean [inner product](/page/Inner%20Product). Define the continuous map
\begin{align*}
g:(0,T) \to \mathbb{R}^m,\qquad s \mapsto B^\top e^{(T-s)A^\top}y.
\end{align*}
Since $g$ is continuous on the bounded interval $(0,T)$ and extends continuously to $[0,T]$, we have $g \in L^2((0,T);\mathbb{R}^m)$. For every $u \in L^2((0,T);\mathbb{R}^m)$,
\begin{align*}
0 = y \cdot \int_0^{\!T}e^{(T-s)A}B u(s)\,d\mathcal{L}^1(s)
= \int_0^{\!T}g(s)\cdot u(s)\,d\mathcal{L}^1(s).
\end{align*}
By the nondegeneracy of the $L^2$ inner product, applied to the [Hilbert space](/page/Hilbert%20Space) $L^2((0,T);\mathbb{R}^m)$, a function whose inner product with every $L^2$ [test function](/page/Test%20Function) is zero must vanish in $L^2$. Hence
\begin{align*}
B^\top e^{(T-s)A^\top}y = 0
\end{align*}
for $\mathcal{L}^1$-almost every $s \in (0,T)$. Since $g$ is continuous, $g(s)=0$ for every $s \in (0,T)$.
Define
\begin{align*}
h:\mathbb{R} \to \mathbb{R}^m,\qquad t \mapsto B^\top e^{tA^\top}y.
\end{align*}
Then $h(t)=0$ for every $t \in (0,T)$. Since $h$ is real analytic on $\mathbb{R}$ and vanishes on the nonempty open interval $(0,T)$, the identity theorem for real analytic functions gives $h(t)=0$ for every $t \in \mathbb{R}$. Therefore all derivatives of $h$ at $t=0$ vanish. For each integer $k \ge 0$,
\begin{align*}
h^{(k)}(0) = B^\top (A^\top)^k y.
\end{align*}
Thus
\begin{align*}
B^\top (A^\top)^k y = 0
\end{align*}
for every $k \in \{0,\dots,n-1\}$. Equivalently,
\begin{align*}
y \cdot A^kBv = 0
\end{align*}
for every $k \in \{0,\dots,n-1\}$ and every $v \in \mathbb{R}^m$. Hence $y \perp W$.
We have shown $\mathcal{R}_T^\perp \subseteq W^\perp$. Taking orthogonal complements in the finite-dimensional Hilbert space $\mathbb{R}^n$ gives
\begin{align*}
W \subseteq \mathcal{R}_T.
\end{align*}
Together with $\mathcal{R}_T \subseteq W$, this proves $\mathcal{R}_T=W$.
[/step]