Stochastic Differential Equations

From the reviews to the first edition:
Most of the literature about            stochastic differential
equations seems to place so much emphasis on rigor   and
completeness that it scares the nonexperts away. These notes
are an attempt to approach the subject from the nonexpert
point of view.: Not         knowing anything ... about a subject to
start with, what would I like to      know first of all. My
answer would be: 1) In what situations does the         subject
arise ? 2) What are its essential features? 3) What are                  the
applications and the connections to other fields?„ The
author, a      lucid mind with a fine pedagocical instinct, has
written a splendid text      that achieves his aims set forward
above. He starts out by stating six         problems in the
introduction in which stochastic differential equations      play
an essential role in the solution. Then, while                                    developing
stochastic calculus, he frequently returns to these                     problems
and variants thereof and to many other problems to show how
thetheory works and to motivate the next step in the
theoretical development.   Needless to say, he restricts
himself to stochastic integration with respectto Brownian
motion. He is not hesitant to give some basic                           results
without proof in order to leave room for “some more                        basic
applications"...
It can be an ideal text for a graduate course,   but it is
also recommended to analysts (in particular, those working
in differential equations and deterministic dynamical
systems and control) who wish to learn quickly what
stochastic differential equations are all            about.
From: Acta Scientiarum Mathematicarum, Tom 50, 3-4, 1986