We can combine these equations and arrive at the famous Einstein-Smoluchenski-Kolmogorov-Chapman (ESKC) relation
W(\mathbf{x}t|\mathbf{x}_0t_0) = \int_{-\infty}^{\infty} W(\mathbf{x},t|\mathbf{x}',t')W(\mathbf{x}',t'|\mathbf{x}_0,t_0)d\mathbf{x}'.We can replace the spatial dependence with a dependence upon say the velocity (or momentum), that is we have
W(\mathbf{v},t|\mathbf{v}_0,t_0) = \int_{-\infty}^{\infty} W(\mathbf{v},t|\mathbf{v}',t')W(\mathbf{v}',t'|\mathbf{v}_0,t_0)d\mathbf{x}'.