''All generalizations are wrong,'' said Peter Gay. ''That's why I find being an historian so interesting.'' Mr. Gay, 78 now, emeritus professor of history at Yale, author of 25 books, was having a cup of morning coffee and some little chocolates in his apartment on the Upper West Side. The sun burst in from the Hudson River, lighting up a pair of dark red Victorian slipper chairs, a large Victorian secretary and a silver sugar caster on the coffee table, relics of the period that has absorbed Mr. Gay for the last 30 years.

There is still a bit of the Old World in Mr. Gay, in his a dry, restrained humor, in the traces of his German childhood in his voice. Mr. Gay fled Berlin in 1938 at 16, and he lost two aunts in concentration camps. But he has refused to accede to a loathing of German culture and Germany, as he recounts in his 1998 memoir, ''My German Question'' (Yale University Press), though he says it took him time to arrive at that point.

For Mr. Gay, in fact, nothing is simple, as he has shown in his books on Freud, Mozart, the Enlightenment and more. For instance, in ''Weimar Culture: The Outsider as Insider'' (Harper, 1968), Mr. Gay wrote that the Weimar Republic was not a universally tragic failure, as it has usually been seen, but that it was also a time of great German cultural experimentation and vitality.

Then there is Mr. Gay's five-volume study, ''The Bourgeois Experience: Victoria to Freud'' (Oxford University Press and Norton, 1984-1997), which took apart clichés about the bourgeoisie of that time. The bourgeois image of prudence, chastity, sobriety, he wrote, is far from true. Using diaries, letters, sexual surveys, Mr. Gay showed that bourgeois life embraced eroticism, that mutual sexual satisfaction was part of marriage, that women were not entirely subjugated and that the feminist movement had its origins in the period.

Next week, Mr. Gay will publish ''Schnitzler's Century'' (Norton). In many ways, it is a summary of his five-volume study of the bourgeoisie, but it is also a continuation. The book is based on the Viennese writer Arthur Schnitzler (1862-1931), who portrayed the sexual anxieties of his age in works including ''The Round Dance'' (which David Hare adapted in his 1998 play ''The Blue Room'') and ''Dream Novella,'' the basis for the 1999 movie ''Eyes Wide Shut.'' Schnitzler was a meticulous chronicler of his sex life, and his diaries, in which he listed the number of orgasms he had with each mistress, proved a gold mine, Mr. Gay said. From 1887 to 1889, for instance, Schnitzler recounted that he had made love 583 times with his mistress, Anna Heeger. Freud, who was Schnitzler's contemporary, once called Schnitzler his double in his avid investigations of the human soul.

''I didn't like him very much,'' Mr. Gay said of Schnitzler with a little smile. ''I used Schnitzler as a witness.'' Schnitzler embodied the contradictions of bourgeois culture. Though he professed to despise the stodginess of bourgeois life, he dutifully followed his father into medicine. Though he was a satyr, he liked his mistresses (who were usually from the petit bourgeoisie) to be virgins. And, Mr. Gay says, Schnitzler's women were not victims. Mr. Gay grants them a degree of emancipation, arguing that their sexual dalliances with Schnitzler were a means of escape from the monotony of their impecunious existences and boring husbands.

The book opens with Schnitzler describing his rage that his father read his diary without permission when he was 16, discovering his son's lively sex life in the process. The consequence was a stinging rebuke from his father, who forced him to read Moritz Kaposi's treatise on syphilis and skin diseases, complete with gory illustrations. But this explosive scene illustrates the central role of privacy in bourgeoisie life, Mr. Gay writes; privacy was a relatively new concept, and imaginable only as the general population could afford separate bedrooms for children. Privacy gave the child a separate domain, contributing to the modern cult of the self, the notion of a self distinct from parents, from society, from the state.

In a sense, Mr. Gay in his writing is his own history. He was born Peter Fröhlich in Berlin, a son of the German-speaking bourgeoisie. His father, Moritz, was a manufacturer's middleman who dealt in porcelain and china. Mr. Gay had a comfortable childhood. He was an only child, dutiful, who loved soccer but was a poor athlete, he says, hungry for books, an avid stamp collector.

The family was assimilated, Mr. Gay writes, and his father was an atheist. The Fröhlichs did not consider themselves Jews until Hitler came to power in 1933 and his anti-Semitic scourges began. Initially, the family escaped more severe forms of persecution. The headmaster in Mr. Gay's school handed out anti-Semitic tracts on Prize Day, but Mr. Gay was ''never ridiculed, never harassed, never attacked,'' he writes. At the 1936 Olympics in Berlin, his father, having bought his tickets on a trip to Hungary, sat with the boy Peter in the Hungarian section. Both were relieved not to have to give the Nazi salute when Hitler arrived. Oddly, after Hitler came to power, his father's business prospered for a while, Mr. Gay writes, and the family moved to a larger apartment. But by 1937, the persecution of Jews had become more severe, and the family made plans to leave Germany.