Who explain short-term interest rate by a stochasti

Question

Who illustrated short-term interest rate through a stochastic differential equation?

Answer 1

Oldrich Vasicek illustrated the short-term interest rate through a stochastic differential equation of the form:

dr = µ(r, t) dt + σ(r, t) dX.

The bond pricing equation is a parabolic partial differential equation, same to the Black–Scholes equation.