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Let $X=(X_t)_{t\in I}$ ($I\subset\mathbb{R}$ an interval) be a stochastic process with continuous sample paths and such that $X_t$ admits a continuous Lebesgue density $\chi_t\in C(\mathbb{R}^d)$ for ...

The following expression is known as Mehta's integral and deeply connected to random matrix theory: $$\frac{1}{(2\pi)^{n/2}}\int_{-\infty}^{\infty} \cdots \int_{-\infty}^{\infty} \prod_{i=1}^n e^{-...

This is a cross-post of this and this questions from math.stackexchange.com since I have not received any response there. I would like to seek help here. Suppose $x(t,\omega): [0,T]\times\Omega\...