A few weeks ago I decided I wanted to get into this so I started self-studying probability theory (with measure theory) [0] as a bridge to start in on stochastic calculus [1]

I think the hardest part of self-studying anything that has some formal math foundations is knowing _what_ to pay attention to. There's so much in just the first chapter of the probability book. Is having a general understanding of set theory enough or should I actually know how to prove a function is a singular function?

That's why I often like to find a university course with lectures posted online so I can use that as a rough guideline for what's important, but I haven't quite found that yet for stochastic calculus. Would love if someone coul point me to one.

[0]: https://www.amazon.com/dp/3030976815 [1]: https://www.amazon.com/dp/9811247560