In Feynman's Statistical Mechanics - A Set of Lectures, upon the introduction of the path integral, a series of approximations are made in order to calculate integrals. I am unsure how exactly to get to the following important approximation.
Section 3.1 Path Integral Formulation of the Density Matrix:
For low $\epsilon$, because $\rho_\text{free}$ is a very localized Gaussian, most of the contribution in the integral over $x''$ occurs near $x''=x_0$ with
$$x_0=\frac{ux+(\epsilon-u)x'}{\epsilon}$$
So we can, for small $\epsilon$ , write
$$\rho(x,x';\epsilon)\approx -\int\limits_{0}^{\epsilon}V(x_0)\underbrace{\rho_\text{free}(x,x';\epsilon)}_{…?}\ \text{d}u$$
with the density matrix of the free particle
$$\rho_0(x,x',\epsilon)=\rho_{\text{free}}(x,x',\epsilon)=\sqrt{\frac{m}{2m\hbar \epsilon}}\exp\bigg(\frac{-m}{2\hbar \epsilon}(x-x')^2\bigg)$$
and the integral in question
$$\rho(x,x';\epsilon)=-\int\limits_{0}^{\epsilon}\int\limits_{-\infty}^{+\infty}\rho_0(x,x'';\epsilon-u)V(x'')\rho_0(x'',x';u) \ \text{d}u\text{d}x''$$
I thought, that with
$$ \int\limits_{-\infty}^{+\infty}\rho_0(x,x'';\epsilon-u)\rho_0(x'',x';u) \ \text{d}x''=\int\limits_{-\infty}^{+\infty}<x|\rho_0(\epsilon-u)\underbrace{|x''><x''|}_{\mathbb{1}}\rho_0(u)|x'> \ \text{d}x''$$
I might get further, that still leaves me with
$$ \rho_0(\epsilon-u)\cdot\rho_0(u)$$