Cross Validated Asked on December 1, 2021
What is the solution to the following SDE
$$
dX_t = X_t^2 dt + sigma dW_t
$$
where $X_t$ is the random variable;
$W_t$ is the Weiner process
More generally, how can we find solution to the SDE of the form
$$
dX_t = function(X_t) dt + sigma dW_t
$$
I know how to find solution to OU process using the integrating factor method. Is it the same approach to be followed for the SDE above?. If so what should be the integrating factor. Thanks in advance.
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