1. ## stochastic differential equation

$\mu\in\mathbb{R},\sigma>0$ and we consider the stochastic differential equation $dX_t=\mu X_tdt+\sigma X_tdB_t$ with $X_0=x>0$. How do I show that $X_t=xe^{\sigma B_t+(\mu-\sigma^2/2)t}$?

2. Apply Ito's Lemma with f=log.

3. Thank you, it worked.

4. No worries