What is the best source for teaching stochastic differential equations to engineering undergraduates?

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Christian S. Pilz

Simo Särkkä and Arno Solin (2019). Applied Stochastic Differential Equations. Cambridge University Press.

Rundong Xu

In my opinion, one cannot avoid to learn the theory of SDEs without any theorems/proofs. I recommend Bernt Oksendal's book "Stochastic Differential Equations", which has some examples about the applications of SDEs in finance.