 One-factor short-rate model

A one-factor short-rate model specifies $d{r}_t=\mu (t,r_t)dt+\eta (t,r_t)d{W}_t$ with deterministic coefficient functions. All zero-coupon bond prices are functions of time, maturity and this single scalar state. The physical drift and pricing drift differ by $\eta \lambda$, where $\lambda$ is the market price of risk.