On a problem concerning probability and its connection with the theory of diffusion
Mark Kac · Bulletin of the American Mathematical Society · 1940
Introduction.The present note gives a certain probabilistic approach to the problem of diffusion.The main result is that the classical solution of the differential equation of diffusion is an asymptotic formula for the statistical problem under consideration.The method which will be used is essentially that of Steinhaus and the present author which they applied to a similar but simpler problem of P. and T. Ehrenfest.2