Simon Lyons

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.

Academic interests

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 pdf,
Simon M.J. Lyons, Simo Särkkä, Amos J. Storkey

Series Expansion Approximations of Brownian Motion for Non-Linear Kalman Filtering of Diffusion Processes pdf,
Simon M.J. Lyons, Simo Särkkä, Amos J. Storkey
To appear, IEEE Transactions on Signal Processing

The Coloured Noise Expansion and Parameter Estimation of Diffusion Processes pdf, supplementary material
Simon M.J. Lyons, Amos J. Storkey, Simo Särkkä
Proceedings of NIPS 2012

Contact Details

Postal address:

Room 2.38
Informatics Forum
University of Edinburgh
10 Crichton Street
United Kingdom

Email: S.Lyons-(four)(at)

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