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.