The Wiener Process

dx=σdWdx=σdW
dW  — Wiener measure.

Labelled "free diffusion" in the diagram below.

Virtually every stochastic process has some relation to the Wiener measure and everything from the Black-Scholes Equation (options modeling) to signal processing depends on this fundamental process.

The kicker:
It's Fokker-Planck (e.g. Kolmogorov Forward) equation is the Diffusion Equation:
∂f=k∂x^2f