Math 565C - Stochastic Differential Equations - Books
There are two books that will be useful.
Stochastic Differential Equations : An Introduction with Applications
by Bernt Oksendal.
Available online from the UA library - use one of the Springer links to get a full pdf to download.
An Introduction to Stochastic Differential Equations
by Lawrence Evans.
Available online from the UA library (although the interface is a pain).
The primary text is Oksendal, but it contains much more than we can cover in a semester. Evans is at a lower level and often skips over some of the mathematics. But it is a good book for a simpler "first read" than Oksendal, and it is a lot shorter.