></sub></sub> = <em>h</em>(<em>t</em><sub><em>k</em></sub>, <em>x</em><sub><em>t</em><sub><em>k</em></sub></sub>, <em>u</em><sub><em>t</em><sub><em>k</em></sub></sub>, <em>θ</em>)</span></p>
<p>Here the latent state <span class="math inline"><em>x</em><sub><em>t</em></sub></span> evolves continuously in time, governed by a set of stochastic differential equations, and information about the system is available at discrete times through the observations <span class="math inline"><em>y</em><sub><em>