Bernt ?ksendal: Stochastic Differential Equations, 2013. Springer. (6th Edition Corrected Printing).
Chapters:
1,
2,
3, sections 3.1, 3.2 and 3.3 until page 35 "A comparison of Ito and Stratonovic integrals"
4,
5, From Example 5.3.2 is self-read (pages 75-76)
6,
7, Section 7.1, 7.2 (except page 122-123, "Hitting distributions..."), 7.3, 7.4. Section 7.5 is self-read
8, Section 8.6,
Appendix B
In addition, all given exercises.