Consider the process specified by the following Ito SDE

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

Derive ordinary differential equation for  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!