Evans L.C. An Introduction to Stochastic Differential Equations

UC Berkeley, 2006. — 139 pages.These notes survey, without too many precise details, the basic theory of probability, random differential equations and some applications. A really careful treatment assumes the students' familiarity with probability theory, measure theory, ordinary differential equations, and partial differential equations as well. The author tried to design these lectures so that starting graduate students can follow most of the theory, at the cost of some omission of detail and precision.