Intro

A less rigorous, but fast primer on SDEs

Stochastic Processes

Brownian Motion

ODEs to SDEs

Sources

An Infinitesimal Introduction to Stochastic Differential Equation Modeling

SDE.pdf

https://www.peterholderrieth.com/blog/2023/Diffusion-Models-with-Stochastic-Differential-Equations-A-Introduction-with-Self-Contained-Mathematical-Proofs/

(Universitext) Bernt Øksendal - Stochastic differential equations_ an introduction with applications-Springer (2010).pdf