I am not an expert in SDEs (my background is machine learning) but if I wanted to dig more into the subject, this is where I personally would start. Code [1] an

I am not an expert in SDEs (my background is machine learning) but if I wanted to dig more into the subject, this is where I personally would start. Code [1] and pdf [2] for the book are available. Simo Särkkä and Arno Solin (2019). Applied Stochastic Differential Equations. Cambridge University Press. Cambridge, UK. [1] https://github.com/AaltoML/SDE https://github.com/AaltoML/SDE [2] https://users.aalto.fi/~asolin/sde-book/sde-book.pdf https://users.aalto.fi/~asolin/sde-book/sde-book.pdf