I need a formal definition for the path measure for stochastic differential equations.
Which textbook or paper should I consult?
I need a formal definition for the path measure for stochastic differential equations.
Which textbook or paper should I consult?
since I don't see any other answers, I will turn my comment into answer.
One Wiener measure and path integrals reference is "Quantum Physics: a Functional Integral Point of View" from here
For more references in the context of regularity structures and functional integration, see here:
Some interesting series of works on the connection between the two are: