Grey-box pharmacokinetic/pharmacodynamic (PK/PD) modelling is presented as a promising way of modelling PK/PD systems. The concept behind grey-box modelling is based on combining physiological knowledge along with information from data in the estimation of model parameters. Grey-box modelling consists of using stochastic differential equations (SDEs) where the stochastic term in the differential equations represents unknown or incorrectly modelled dynamics of the system. The methodology behind the grey-box PK/PD modelling framework for systematic model improvement is illustrated using simulated data and furthermore applied to Bergman's minimal model of glucose kinetics using clinical data from an intravenous glucose tolerance test (IVGTT). The grey-box estimates of the stochastic system noise parameters indicate that the glucose minimal model is too simple and should preferably be revised in order to describe the complicated in vivo system of insulin and glucose following an IVGTT.