An elementary construction of the Wiener measure

Abstract

Our construction of the Wiener measure on $\mathfrak{C}$ consists in first defining a set function $\phi$\ on the class of all compact sets based on certain $n$-dimensional normal distributions, $n=1,2,\dots$\ 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 $\text{C}$ which is the Wiener measure.

8 pages