In this research were discussed stochastic differential equation
and how to solve it. Where we studied the theory of measurement and
integration, and explain concept of a random variable and its relation to
the function of measurable how to change measure the integration.
And then studied the Brownian motion and the most important
properties and not to the possibility of integration by Lebesgue
integrating. To solve the stochastic differential equation we used ITO
integral after studying this integration and its properties.
It also contains research on applications of stochastic differential
equation and the most important issue of control random.
