How do I solve the following BSDE? $$ \left\{ \begin{aligned} dX_t &=(rX_t+\theta Z_t ) \, dt + Z_t \, dW_t \\ X_T &=\xi \end{aligned} \right. $$
There appears to be nothing online about this, so maybe its super trivial?
2026-03-29 12:23:57.1774787037
Solve this simple Linear SDE?
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