Stan for stochastic systems

Modeling
1

Hi.

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?

Thanks!
Mehdi

2

Not yet but it’s in the pipeline

https://discourse.mc-stan.org/t/ito-process-as-numerical-solution-of-stochastic-differential-equation/9192/35

If you have time to look over the implementation would be appreciated!

3

Some information of your model and use case would definitely help us on design. Thanks.