After countless hours of breaking my head, I think I finally cracked it with this method:
The change of measure from P to Q for dr(t) is computed by:
1) Compute the equation for r(t) from dr(t).
2) Multiply dW(t) to the diffusion term of r(t) and integrate the diffusion term from t to T. This will be deterministic value.
3) Multiply the diffusion term from dr(t) with answer in 2 - let's call this M.
4) Now under risk neutral measure Q,
dr(t) = equation dr(t) under P (with W(t) replaced by W(t)bar) - M*d(t).
Last edited: Sep 16, 2013