The Coloured Noise Expansion and Parameter Estimation of Diffusion Processes. - Simon M. J. Lyons; Amos J. Storkey; Simo Särkkä (NIPS, 2012)

Series Expansion Approximations of Brownian Motion for Non-Linear Kalman Filtering of Diffusion Processes. - Simon M. J. Lyons; Simo Särkkä; Amos J. Storkey (IEEE Trans. Signal Process., 2014)