Assume now that τ is very small so that we can make an expansion in terms of a small step xi, with x′=x−ξ, that is
W(x,s|x0)+∂W∂sτ+O(τ2)=∫∞−∞W(x,τ|x−ξ)W(x−ξ,s|x0)dx′.We assume that W(x,τ|x−ξ) takes non-negligible values only when ξ is small. This is just another way of stating the Master equation!!