Hi All,

I am reading thorugh some material of how Expectation of future short rate can be derived by using the SDE of Vasicek short rate model.

However, I am stuck at the Row 3 & 4 of the formula derivation due to the fact that I can not exactly recreate the row 3 formula on the LHS if i take a partial derivate of the LHS from row 4, especially i can not see where the dt comes from after taking the partial derivative.

Could someone help me with this?

Cheers.