I finished Oksendal "SDE , an introduction with applications" , did most of the exercises (not all with success, but I read the solutions for those); my next project would be to read the Karatzas & Shreve "Brownian motion and stochastic calculus". After perusing the first pages, it seems to me that there is a major knowledge gap between both.
Would anyone suggest a book to read after Oksendal, in order to start Karatzas & Shreve with a decent chance to make sense of it ?
Thanks.