Consider the stochastic differential equation $$ dX_t = \ln(1 + X^2_t)\space dt + X^+_tdB_t $$
with $X_0 = a$ and $x^+ = \max({x, 0})$ is the positive part of real number $x$, and $a$ is a real constant.
I have no idea how to even approach solving this SDE. Are there any general tricks to use when given a new SDE?