  Let $W_t$ be a standard Brownian motion. It is well-known that the Langevin
equation $d U_t = -\theta U_td t + d W_t$ defines a stationary process called
Ornstein-Uhlenbeck process. Furthermore, Langevin equation can be used to
construct other stationary processes by replacing Brownian motion $W_t$ with
some other process $G$ with stationary increments. In this article we prove
that the converse also holds and all continuous stationary processes arise from
a Langevin equation with certain noise $G=G_\theta$. Discrete analogies of our
results are given and applications are discussed.
