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We consider the analogue of Wiener measure on the space of all real continuous functions, and then establish the measure-valued measure and the operator-valued measure on our space and we investigate their important properties, for example, the integration formula, the rotation theorem, the Bartle integral, the Bochner integral and the Dobrakov integral, the simple formula for conditional expectation, the measure-valued Feynman-Kac formula and Volterra integral equation and integral transform.

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