# \#sde

**URL:** https://discourse.mc-stan.org/tag/sde/205.md

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## [Stan differential equation functionality development priorities](https://discourse.mc-stan.org/t/stan-differential-equation-functionality-development-priorities/14906)

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**Author:** [@xiehw](https://discourse.mc-stan.org/u/xiehw)\
**Replies:** 74\
**Last updated:** [December 11, 2020, 6:41pm UTC](https://discourse.mc-stan.org/t/stan-differential-equation-functionality-development-priorities/14906 "2020-12-11T18:41:04Z")

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Tagging @charlesm93, @wds15, @yizhang, and @bbbales2 to start for this question, since I know you guys are working on various things related to the topic. I was wondering about the general state of priorities right now …

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## [Stochastic differential equation and latent variables (Affine model, Vasicek model)](https://discourse.mc-stan.org/t/stochastic-differential-equation-and-latent-variables-affine-model-vasicek-model/24375)

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**Author:** [@Paparize](https://discourse.mc-stan.org/u/Paparize)\
**Replies:** 1\
**Last updated:** [September 19, 2021, 10:32am UTC](https://discourse.mc-stan.org/t/stochastic-differential-equation-and-latent-variables-affine-model-vasicek-model/24375 "2021-09-19T10:32:58Z")

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If I want to fit a model that : y=x\_{1t}+x\_{2t}+p\_t+s\_t x\_{1t},x\_{2t}, p\_{t}, s\_t are latent variables. have distribution: x\_{it+1} \\sim N(\[1-exp(-\\kappa\_i\\Delta t)\]\\mu\_i+exp(-\\kappa\_i)x\_{it},\\frac{\\sigma\_i^2}{2\\kappa…

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## [Simulation and inference for a stochastic process with a random time of event in rstan](https://discourse.mc-stan.org/t/simulation-and-inference-for-a-stochastic-process-with-a-random-time-of-event-in-rstan/16310)

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**Author:** [@SuPie](https://discourse.mc-stan.org/u/SuPie)\
**Replies:** 16\
**Last updated:** [October 5, 2020, 2:44pm UTC](https://discourse.mc-stan.org/t/simulation-and-inference-for-a-stochastic-process-with-a-random-time-of-event-in-rstan/16310 "2020-10-05T14:44:22Z")

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I would like to model a continuous-time (partly) stochastic process X(t) that has a jump at a random time point \\tau and that is not directly observed. The process is deterministic up to \\tau X(t) \\equiv 0 \\qquad \\tex…

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## [SDE formulation of Gaussian Processes with Kalman filtering in Stan](https://discourse.mc-stan.org/t/sde-formulation-of-gaussian-processes-with-kalman-filtering-in-stan/14672)

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**Author:** [@mtsaari](https://discourse.mc-stan.org/u/mtsaari)\
**Replies:** 3\
**Last updated:** [April 29, 2020, 4:23pm UTC](https://discourse.mc-stan.org/t/sde-formulation-of-gaussian-processes-with-kalman-filtering-in-stan/14672 "2020-04-29T16:23:57Z")

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I wrote a GP model for time series using the sde formulation as proposed by Särkkä & Solin. The covariance function is a sum of short-term, longer term and (weekly) periodic covariance fucntions. It turned out to be more…

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## [Reverse mode SDE idea](https://discourse.mc-stan.org/t/reverse-mode-sde-idea/12574)

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**Author:** [@stevebronder](https://discourse.mc-stan.org/u/stevebronder)\
**Replies:** 8\
**Last updated:** [January 28, 2020, 1:34am UTC](https://discourse.mc-stan.org/t/reverse-mode-sde-idea/12574 "2020-01-28T01:34:31Z")

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(This is mostly for Stan math devs) @James\_Savage sent me the tweet thread below https://twitter.com/DavidDuvenaud/status/1215347970159382534?s=19 Var doesnt have any templates so we would need a new type, but could w…

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## [Ito process as numerical solution of stochastic differential equation](https://discourse.mc-stan.org/t/ito-process-as-numerical-solution-of-stochastic-differential-equation/9192)

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**Author:** [@yizhang](https://discourse.mc-stan.org/u/yizhang)\
**Replies:** 36\
**Last updated:** [July 11, 2019, 2:01pm UTC](https://discourse.mc-stan.org/t/ito-process-as-numerical-solution-of-stochastic-differential-equation/9192 "2019-07-11T14:01:40Z")

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Just pushed the first cut of an Euler scheme for SDE Unit test is based on simple model dX = \\mu X dt + \\sigma X dW. sde\_euler\_1d.pdf (8.7 KB) The proposed signature of the function ito\_process\_euler is matrix i…

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## [Performance of stochastic volatility model](https://discourse.mc-stan.org/t/performance-of-stochastic-volatility-model/8500)

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**Author:** [@yizhang](https://discourse.mc-stan.org/u/yizhang)\
**Replies:** 12\
**Last updated:** [July 1, 2019, 9:06pm UTC](https://discourse.mc-stan.org/t/performance-of-stochastic-volatility-model/8500 "2019-07-01T21:06:20Z")

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In the middle of designing general SDE solvers, I wonder if anyone has experience with applying volatility models in practice. In particular, since the model samples for wiener process in every time step, the number of n…

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## [Estimating Parameters for Chaotic Systems (Lotka-Volterra Redux)](https://discourse.mc-stan.org/t/estimating-parameters-for-chaotic-systems-lotka-volterra-redux/5243)

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**Author:** [@idontgetoutmuch](https://discourse.mc-stan.org/u/idontgetoutmuch)\
**Replies:** 14\
**Last updated:** [August 23, 2018, 1:03pm UTC](https://discourse.mc-stan.org/t/estimating-parameters-for-chaotic-systems-lotka-volterra-redux/5243 "2018-08-23T13:03:31Z")

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In response to my question Hierarchical Lotka Volterra on estimating parameters, it was pointed out that estimating parameters for chaotic systems was hard I have put together a blog post showing how I think it’s poss…

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## [Gaussian Process & Stochastic Differential Equations](https://discourse.mc-stan.org/t/gaussian-process-stochastic-differential-equations/2790)

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**Author:** [@maedoc](https://discourse.mc-stan.org/u/maedoc)\
**Replies:** 5\
**Last updated:** [December 18, 2017, 8:28pm UTC](https://discourse.mc-stan.org/t/gaussian-process-stochastic-differential-equations/2790 "2017-12-18T20:28:32Z")

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I was looking at the example of a GP in BDA3, and immediately thought that the data could’ve been modeled with a non autonomous SDE with colored noise, but there’s no mention of SDEs in the section (why would there be I …

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## [How to solve Stochastic Differential Equations in Stan](https://discourse.mc-stan.org/t/how-to-solve-stochastic-differential-equations-in-stan/1162)

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**Author:** [@mhashemi0873](https://discourse.mc-stan.org/u/mhashemi0873)\
**Replies:** 3\
**Last updated:** [July 10, 2017, 8:57am UTC](https://discourse.mc-stan.org/t/how-to-solve-stochastic-differential-equations-in-stan/1162 "2017-07-10T08:57:04Z")

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Hello, Someone has an example code to solve a simple stochastic differential equation in Stan? Thank you so much in advance for your help. Sam