An eighteen‐lecture course on stochastic processes given to final year students of applied mathematics is outlined. The last six or seven lectures of this course are devoted to first‐order stochastic differential equations and a summary of the lecture notes for this part of the course is given including two examples. The difference between Ito and Stratonovich methods of integrating stochastic differential equations is explained in an intuitively appealing (though nonrigorous) way.