Answer:
[tex]\boxed{ \ dY_t=(2\theta+2\psi Y_t+\phi^2)dt+2\phi \sqrt{Y_t}dW_t\ }[/tex]
Step-by-step explanation:
it is a long time I have not applied Ito's lemma
I would say the following
for [tex]f(x)=x^2[/tex]
f'(x)=2x
f''(x)=2
so using Ito's lemma we can write that
[tex]dY_t=2V_tdV_t+\phi^2dt[/tex]
[tex]dY_t=2(\theta+\psi V_t^2)dt+2\phi V_tdW_t+\phi^2dt[/tex]
[tex]dY_t=(2\theta+2\psi V_t^2+\phi^2)dt+2\phi V_tdW_t[/tex]
so it comes
[tex]dY_t=(2\theta+2\psi Y_t+\phi^2)dt+2\phi \sqrt{Y_t}dW_t[/tex]
