A heuristic (but very helpful) interpretation of the stochastic differential equation is that in a small time interval of length "δ" the stochastic process "X""t" changes its value by an amount that is normally distributed with expectation "μ"("X""t", "t") "δ" and variance "σ"("X""t", "t")² "δ" and is independent of the past behavior of the process.
A heuristic (but very helpful) interpretation of the stochastic differential equation is that in a small time interval of length "δ" the stochastic process "X""t" changes its value by an amount that is normally distributed with expectation "μ"("X""t", "t") "δ" and variance "σ"("X""t", "t")² "δ" and is independent of the past behavior of the process.