I'm a PhD student in the Institute for Adaptive and Neural Computation (ANC) within the Informatics department at the University of Edinburgh. My supervisor is Amos Storkey.
I'm interested in most aspects of probability theory. My current work focuses on inference and parameter estimation for a class of stochastic processes called diffusions. These are described by stochastic differential equations.
Most introductory texts on stochastic differential equations assume quite a lot of mathematical background. There are relatively few articles aimed at people who might want to use SDEs for probabilistic modelling without worrying about the formal details, so I tried to write one myself. You can read it here (Updated 26/11/2013) . Feel free to get in touch if you have any questions or comments.
Series Expansion Approximations of Brownian Motion and the Unscented Particle Filter
Simon M.J. Lyons, Simo Särkkä, Amos J. Storkey
Series Expansion Approximations of Brownian Motion for Non-Linear Kalman Filtering of
Simon M.J. Lyons, Simo Särkkä, Amos J. Storkey To appear, IEEE Transactions on Signal Processing