Under the risk$-$neutral probability measure $Q,$ the short rate process satisfies

$r_{t+}=\frac{1-{}_{}^{**}}{b}ar(r{)}^{**}+{}_{}^{**}{r}_t+\sqrt[\phantom{2}]{}{}_{t+}^{**}$

where ${}_{}^{**}=1-{}^{**}$ and ${}_{t+}^{**}{}^{Q}N(0,1).$ Under the physical measure $P,$ the short rate process instead satisfies

$r_{t+}=\frac{1-{}_{}}{b}ar(r)+{}_{}{r}_t+\sqrt[\phantom{2}]{}{}_{t+}$

where ${}_{}=1-$ and ${}_{t+}{}^{P}N(0,1).$ The parameters are: ${}^{**}=0\mathrm{.}6\frac{,}{b}ar(r{)}^{**}=0\mathrm{.}02,=0\mathrm{.}5,\frac{?}{\text{b}\text{a}\text{r}}(r)=0\mathrm{.}06,$ and $=2\%.$ The current time is $t=0$ and the current short rate is $r_0=0\mathrm{.}04.$

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