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I wanted to know whether it is possible to incorporate Stan in another C++ application. Since Stan is also written in C++, there should be a way. Currently, I am using RInside to achieve this but then you have all this data transferring which is time-consuming.
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What specifically did you want from Stan? We're going to separate out the math library into a standalone include for Stan 2.7 --- that contains all the matrix, probability, and autodiff code. Our repos already reflect this structure. All of the MCMC and transform and I/O code is callable through C++, as is the translator from a Stan program to a C++ class.