Help needed with one integral

[Sherlock]

Hi, I need a piece of help to understand how this integral is computed. If you can give me some hints or just directly tell me I would really appreciate it. It is not for any homework or exam or whatever, it is for my own research for my senior thesis. Thank you in advance.

Thank you in advance.
Cheers.

 

[Eugene Krel]

http://en.wikipedia.org/wiki/CIR_process

 

[Sherlock]

Thank you, really stupid of me not to google CIR :D