Somebody know a book/text about Stochastic Differential Equations? I'm in the last period of the undergraduate course and I have interest in this field, but my university don't have a specialist in this area. So, I want a book that can introduce me in this field without many difficulty and that permite me study still others more advanced texts. Thanks!
Here is a free book by Evans:
This is also a good text:
A gentle introduction to the topic of stochastic differential equations can be found in
It covers stochastic differential equations driven by Brownian motion.