Where to begin in approaching Stochastic Calculus?

I have experience in Abstract algebra (up to Galois theory), Real Analysis(baby Rudin except for the measure integral) and probability theory up to Brownian motion(non-rigorous treatment). Is there a suggested direction I can take in order to begin studying stochastic calculus and stochastic differential equations?

I Suggest

For Measure Theory

1. Real Analysis -Royden
2. Measure Theory- Halmos.

For probability theory, Brownian motion and stochastic Calculus

1. "Probability with Martingales" by David Williams.
2. "An Introduction to Probability Theory and Its Applications 1-2" William Feller.
3. "Diffusions, Markov Processes and Martingales:1-2" by Chris Rogers and David Williams.
4. "Introduction to Stochastic Integration" by K. L. Chung, R.J. Williams
5. "Stochastic Differential Equations: An Introduction with Applications" by Bernt Øksendal.

You may also need to learn some Complex Analysis. Although Complex analysis is not essential to learn probability theory and stochastic processes. However, contour integration and Fourier transforms are indispensable tools and it is also one of the most beautiful and useful areas of mathematics.

In my experience it is best to get to your goal as quickly as possible to maintain momentum. You could read Royden and then Billingsley and finally start on stochastic calculus. But personally, I would probably run out of steam before long.

I would recommend you read

Jeff Rosenthal's book A First Look at Rigorous Probability.

It is 200 pages long. It is very clearly explained (baby Rudin is all you need). It develops all the measure theory you need in a probability context. It has a lot of easy exercises that build confidence that you understand basic concepts. Half of these have solutions!

The last chapter whets your appetite for stochastic calculus and he gives suggested reading.

As previous answers have indicated, a solid measure-theoretic approach to probability is essential. A book I would strongly recommend for the measure-theoretic approach to probability is:

R. M. Dudley - Real Analysis and Probability

I found it very clear, well-organised and invaluable when I was working on such things.