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interpretation of the transition probability of a brownian motion in terms of the Wiener mea...

Let $W(t)$ be a standard brownian motion in $E \triangleq \mathbb{R}^d$. The transition probability from a state $x \in E$ at time $t$ to a state $y \in E$ at time $T$ is $$ p(x,t;y,T) = \frac{1}{\sq …
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