some accessible refs on SDE's

1. Stochastic Differential Equations: An Introduction with Applications 
  by Bernt Oksendal
  Springer; 6th ed. 2003
  
2.  An Algorithmic Introduction to Numerical Simulation of Stochastic Differential equations,
 by D. J. Higham, SIAM Review, Vol 43, 2001, 525--546.  
 
    (also has online Matlab codes)
    http://www.maths.strath.ac.uk/~aas96106/algfiles.html 
 
3.  online:

     -http://www.taygeta.com/sde/lecture1/stokos1/stokos1.html 
                  online lectures -- brief intro to SDE's
     -http://www-math.bgsu.edu/~zirbel/sde/    
                  Matlab resources for SDE's
     -http://www.nada.kth.se/kurser/kth/2D1269/aktuellt.html
              Lecture notes & other stuff from a course on SDE's numerical methods

     -http://math.berkeley.edu/~evans/SDE.course.pdf 
     -http://www.math.kth.se/~szepessy/sdepde.pdf      
                 a couple of more advanced lecture notes