 Solution

Take $\lambda >0$ and $t>0$, the positive diffusivity requirement for the forward heat kernel. The PDF does not explicitly specify the sign of $\lambda$; the stated real Gaussian function formula requires this assumption. For a direct calculation, initially assume sufficiently smooth and rapidly decreasing data, so that the Fourier transform, its inverse and the following integrations are justified. The resulting heat-kernel convolution extends to wider classes of initial data.

Using the stated Fourier transform convention and integration by parts,The transformed ordinary differential equation has solution $\tilde{u}(k,t)=e^{-\lambda k^{2}t}{\tilde{u}}_0(k)$. Fourier inversion then givesComplete the square:Part (a), after scaling by $\sqrt{\lambda t}$, evaluates the remaining Gaussian integral even though its shift is imaginary. ThereforeThe heat kernel has integral one and is an approximate identity as $t\downarrow 0$, which recovers the initial condition. Mere decay at spatial infinity does not by itself imply every Fourier integral is absolutely convergent; the regularity assumption above supplies a rigorous setting for the derivation.