QUESTION 2. (10 marks) The stochastic process {X}20 satisfies the stochastic differential equation (SDE): dX₁ = 2X₁dt + √√1+X²dW₁, Xo = 0, where {W}2o is a standard Brownian motion. Find the

SDE of Y₁ = √1+ X². (Note that the SDE dY, should be expressed in terms of dt, dW₁, and Y, only.)