[countersixte]

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

[2] https://users.aalto.fi/~asolin/sde-book/sde-book.pdf

[faizshah]

Thanks! Exactly what I was looking for.

[countersixte]

Glad it helped. :)