Mathematics Stack Exchange is a question and answer site for people studying math at any level and professionals in related fields. Join them; it only takes a minute:

Sign up
Here's how it works:
  1. Anybody can ask a question
  2. Anybody can answer
  3. The best answers are voted up and rise to the top

page 19 of gives a defintion of Wiener measure Ft1,t2,..,tk. But how can we show it is a probability measure and it satisfies the consistency condition given in Kolmogrov extension theorem ? Also , how to show the independence and normal distribution part? These are Excercise 1 a,b,c following the difinition. Could anyone show me how to do it ? Thanks in advance

share|cite|improve this question
Come! You would be unable to prove this is probability measure, to begin with? – Did Oct 17 '12 at 10:50
@did but how to get measure of whole space is 1 ? there seems no defintion for little p in the notes ? – user -45 Oct 17 '12 at 11:00
up vote 0 down vote accepted

The definition of $p$ is on page 9 of the notes.

share|cite|improve this answer

Your Answer


By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.