I'm trying to learn a bit of stochastic calculus; can anyone recommend a good introductory textbook? I've got a lot of background in regular calculus, and a reasonable amount in statistics (though nothing formally).
Also, I'm trying to figure out a particular stochastic process. The process is
dx = (a + b x) dt + c x dz
where dz is a Weiner process (dz = Epsilson Sqrt[dt], where Epsilon is sampled from a distribution with mean zero and variance 1).
I know how to integrate a simpler stochastic process like
dx = a + b dz
by adding independent increments to build a distribution, but I can't figure out how to do it with the first example.