Use this tag only if your question is about the modern theoretical footing for probability, for example probability spaces, random variables, law of large numbers, and central limit theorems. Use [tag:probability] instead for specific problems and explicit computations. Use ...
I am going through a paper trying to understand all the single steps, but I got stuck. I need to calculate $$p(x+\delta t) \mid x(t), t)= \int p(x(t+\delta t) \mid \mu , x(t), t)p(\mu\mid x(t), t) ...