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Write the kernel as $K(s,t)=(4\pi t{)}^{-1/2}{e}^{-s^2/(4t)}$, with $t>0$. Its partial derivatives areThus the heat kernel itself satisfies $K_t=K_{ss}$. The proposed convolution consequently givesThis verifies the heat equation. The parameter is positive time; the real integral formula is not defined at negative time.

The passage of derivatives through the integral needs justification. A sufficient condition is the Gaussian-weighted absolute integrability in heat-kernel convergence for Gaussian-integrable initial data; it holds, in particular, for data of polynomial growth. On compact positive-time intervals strictly below an integrable later time, the differentiated kernels have an integrable Gaussian bound, so differentiation under the integral sign applies.

Even if the PDF's assumed convergence is read as ordinary conditional convergence, one can justify the same calculation. Choose a later time $T>t$ and let $H(\xi )$ be a primitive of $\phi (\xi )e^{-{\xi }^2/(4T)}$. Convergence at spatial point zero and time $T$ makes $H$ bounded on both tails. Put $q(x,\xi ,t)=K(x-\xi ,t)e^{{\xi }^2/(4T)}$. This function, its spatial and time derivatives, and their $\xi$-derivatives decay as Gaussians when $t<T$. Integration by parts rewrites the convolution as $-\int H{q}_{\xi }d\xi$, with vanishing endpoint terms. Boundedness of $H$ now permits differentiation under this absolutely convergent integral; since $q_t=q_{xx}$, the same equation follows. Thus one need not silently equate conditional and absolute convergence.

The indicated integration by substitution givesPointwise, the argument of $\phi$ tends to $x$. Since the Gaussian integral is $\int e^{-{\eta }^2}d\eta =\sqrt{\pi }$, the expected limit is $\phi (x)$. To justify it for unbounded data, use the approximate identity property rather than assuming a uniform bound on $\phi$.

In the original variable, normalization givesFor $|\xi -x|<\delta$, continuity makes the difference smaller than any prescribed $\epsilon$ if $\delta$ is small enough, and the kernel mass is at most one. On the complement the Gaussian mass tends to zero; the data-weighted tail tends to zero by heat-kernel convergence for Gaussian-integrable initial data. This provesFor heat-kernel convergence from a conditionally convergent Gaussian integral, the same tail conclusion follows using the bounded primitive of $(\phi (\xi )-\phi (x))e^{-{\xi }^2/(4T)}$. The factor $q=K(x-\xi ,t)e^{{\xi }^2/(4T)}$ has its maximum at $\xi =xT/(T-t)$, approaching $x$. For sufficiently small $t$, it is monotone on each of the two tails outside $|\xi -x|<\delta$, and its values at the tail endpoints tend to zero exponentially. Integration by parts bounds each tail by a constant times its endpoint value, proving the same limit without an absolute-convergence assumption. The approach $t\downarrow 0$ is from positive time.