I was wondering if Stan can be used to infer parameters of a stochastic differential equation (SDE)? I have not seen an example of using Stan for these types of systems and am relatively new to Stan. In biological systems modeling, it is common to encounter SDEs such as
dX = f(X,\theta) dt + g(X,\theta) dW_t
where W_t is Wiener process and \theta are parameters.
Can Stan be used to infer parameters of the model above?