Assume now that \tau is very small so that we can make an expansion in terms of a small step xi , with \mathbf{x}'=\mathbf{x}-\xi , that is
W(\mathbf{x},s|\mathbf{x}_0)+\frac{\partial W}{\partial s}\tau +O(\tau^2) = \int_{-\infty}^{\infty} W(\mathbf{x},\tau|\mathbf{x}-\xi)W(\mathbf{x}-\xi,s|\mathbf{x}_0)d\mathbf{x}'.We assume that W(\mathbf{x},\tau|\mathbf{x}-\xi) takes non-negligible values only when \xi is small. This is just another way of stating the Master equation!!