Consider the process specified by the following Ito SDE

$\displaystyle dX = \frac{1}{\tau}Xdt + \sqrt{2D}dW $ with $\displaystyle X(0) = x_0 $

Derive ordinary differential equation for $\displaystyle g(t) = <{X_t}^2> $ and solve it.

Could anyone please give me some hints with this question? I think I have to use Ito's formula but not sure how...

Thanks in advance!