Equation of form dX_t = μ(t, X_t),dt + σ(t, X_t),dW_t describing the infinitesimal evolution of X_t as a deterministic drift plus a Brownian diffusion. Lipschitz/linear-growth conditions on μ, σ guarantee strong existence and uniqueness of solutions (Itô 1951). Numerically integrated by Euler-Maruyama (O(√(Δ t)) strong convergence) or Milstein scheme (O(Δ t), requires partial_x σ). Forms with dN_t jump terms or dB_t^H (fractional Brownian) extend the framework to jump-diffusion and rough-vol models.