1. The problem statement, all variables and given/known data How to solve this SDE? dX_t = [1/X_t] dt + aX_t dB_t 2. Relevant equations 3. The attempt at a solution If I didnt get it wrong, this is not a general linear SDE, and my course in elementary stochastic calcus did not cover SDEs other than the general linear ones. Thanks for the help!