Show that the solution \(X_t\) of
\[ dX_t=X_t^2 dt + X_t dB_t\]
where \(X_0=1\) and \(B_t\) is a standard Brownian motion has the representation
\[ X_t = \exp\Big( \int_0^t X_s ds -\frac12 t + B_t\Big)\]
Show that the solution \(X_t\) of
\[ dX_t=X_t^2 dt + X_t dB_t\]
where \(X_0=1\) and \(B_t\) is a standard Brownian motion has the representation
\[ X_t = \exp\Big( \int_0^t X_s ds -\frac12 t + B_t\Big)\]