 Applied Stochastic Differential Equations by Simo Särkkä and Arno Solin

By Simo Särkkä, Arno Solin.

Publisher: Cambridge University Press.

Online text: users.aalto.fi/~asolin/sde-book/sde-book.pdf

Cited passages: Applied Stochastic Differential Equations, Example 6.2, printed p. 81, equations (6.27)–(6.30); centered model with diffusion constant q; Applied Stochastic Differential Equations, Example 6.8, printed pp. 91–92, equations (6.73)–(6.76): steady-state variance and covariance.