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Heston Riccati equation
For the proof, it suffices to follow this procedure with
$$\begin{align}
q_0(t) &= \frac{1}{2}u(1-u)\\
q_1(t) &= \frac{1}{2}\kappa-\rho\sigma u\\
q_2(t) &= -\frac{1}{2}\sigma^2\\
\end{...
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Heston Riccati equation
Partial Answer
In [1] on p. 290-291 you find a discussion of the Cox-Ingersoll-Ross model in which the the Riccati equation
$$
\textstyle n_t(t,T)-\frac{1}{2}\sigma^2\, n^2(t,T)-b\,n(t,T)+1=0\,,\quad ...
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