In P. E. Kloeden & E. Platen (1995). Numerical Solution of Stochastic Differential Equations.
pg.118, they go over some special cases of nonlinear SDEs $dX\_t=\alpha(t,X\_t)\,dt+\sigma(t,X\_t)\,dB\_t$ that have exact solutions.


I am just wondering if there are any more large lists somewhere that you came across. Thanks.



Long list of exactly solvable nonlinear SDEs
A follow-up of Kloeden and Platen is C.H. Skiadas, [Exact Solutions of Stochastic Differential Equations](https://link.springer.com/article/10.1007/s11009-009-9145-3) (2010).


