xbeta
Ornstein-Uhlenbeck process

The Ornstein-Uhlenbeck process can be represented as a stochastic differential equation

with $r(0)=r_0$ and where $W(t)$ is a Brownian motion. It is the continuous-time analog of a discrete AR(1) process.

References

Cox J. C., J. Ingersoll, and S. Ross (1985): ”A Theory of the Term Structure of Interest Rates” Econometrica 53, 385-407.