An elementary construction of the Wiener measure

R. P. Pakshirajan, M. Sreehari

Published 2020-11-11Version 1

Our construction of the Wiener measure on $\mathfrak{C}$ consists in first defining a set function $\varphi$\ on the class of all compact sets based on certain $n$-dimensional normal distributions, $n = 1,\ 2,\ldots$\ using the structural relation at (1) below. This structural relation, discovered by the first author, is recorded in his book [2] on page 130. We then define a measure $\mu$ on the Borel $\sigma$-field of subsets of $\textbf{C}$ which is the Wiener measure.