Considering the large‐scale development of renewable energy resources globally, control optimization of coal‐fired power plants is becoming increasingly crucial. The dynamics of the coordinated control system (CCS) must be studied prior to designing a controller. These dynamics of the subcritical units have been expressed through various modeling methods. However, in previous studies, ordinary differential equations (ODEs) have been primarily employed, which cannot reflect the uncertainties in the system. Therefore, a model with a greater accuracy should be observed to comprise uncorrelated residuals. In this study, the uncertainties in the calorific value of fired coal and combustion process were analyzed first. A normal distribution of disturbance was assumed in this process. The dynamics of the CCS were then described with stochastic differential equations (SDEs). Furthermore, a parameter estimation procedure was designed. The residual evaluation is employed to improve the model evaluation. After simulations, the SDE‐based model‐3 in this study elucidates the dynamics of the subcritical boiler‐turbine system better than the ODE‐based model and other SDE‐based models. The measured values can be regarded as a possible result of this model, rendering it a potential platform to employ stochastic model predictive control in CCS.