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page 19 of http://www.math.tifr.res.in/~publ/ln/tifr64.pdf 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

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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

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

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