In this chapter, we present a method to infer the structure of the gene regulatory network that takes in account both the kinetic molecular interactions and the randomness of data. The dynamics of the gene expression level are fitted via a nonlinear stochastic differential equation (SDE) model. The drift term of the equation contains the transcription rate related to the architecture of the local regulatory network. The statistical analysis of data combines maximum likelihood principle with Akaike Information Criteria (AIC) through a forward selection Strategy to yield a set of specific regulators and their contribution. Tested with expression data concerning the cell cycle for S. Cerevisiae and embryogenesis for the D. melanogaster, this method provides a framework for the reverse engineering of various gene regulatory networks.