{\rm d}v &=& ae^{at}u {\rm d}t e^{at}{\rm d}u\\ &=& ae^{at}u {\rm d}t e^{at}(-au{\rm d}t - \sigma{\rm d}W_t)\\ &=& -\sigma e^{at}{\rm d}W_t
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  1. http://formula.s21g.com/