Consider the mean reverting square root SDE $dr(t)=\alpha(\mu-r(t))dt+\sigma \sqrt{r(t)}dW(t)$
Under what conditions on the coefficients does the solution to a mean reverting sde satisfy $E[\sup_{[0,T]} r(t)^2]<\infty$ for all $T>0$. I am having some trouble coming up with a strategy to answer this question since we do not know the explicit solution of this particular SDE except that there exists a strong unique non-negative solution to this SDE. Any hints on how could I solve this problem