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To answer this I sum up a paragraph of "Interest rate models - An Introduction" by A.Cairns: For $i=1,\ldots,d$ consider the OU-processes $$ dX^i_t = -\frac 12 \alpha X^i_t dt + \sqrt{\alpha} dW^i_t. $$ Looking at the squared radius $R_t = \sum_{i=1}^d (X^i_t)^2 $ (in $\mathbb{R}^d$) of this process we get by Ito: $$ dR_t = \sum_{i=1}^d (2 X^i_t dX^i_t) + d ...

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