[proof]
Substitute the definition $\hat{f}(u) = \int_{\mathbb{R}^d} f(y)\,e^{i\langle u, y\rangle}\,d\mathcal{L}^d(y)$ into $I_t(x)$:
\begin{align*}
I_t(x) = \frac{1}{(2\pi)^d}\int_{\mathbb{R}^d}\left(\int_{\mathbb{R}^d} f(y)\,e^{i\langle u, y\rangle}\,d\mathcal{L}^d(y)\right) e^{-i\langle u, x\rangle}\,e^{-t|u|^2/2}\,d\mathcal{L}^d(u).
\end{align*}
The double integral is absolutely convergent: $|f(y)\,e^{i\langle u, y-x\rangle}\,e^{-t|u|^2/2}| = |f(y)|\,e^{-t|u|^2/2}$, and $\int |f(y)|\,d\mathcal{L}^d(y) \cdot \int e^{-t|u|^2/2}\,d\mathcal{L}^d(u) = \|f\|_1 \cdot (2\pi/t)^{d/2} < \infty$. By [Fubini's theorem](/theorems/513), exchange the order:
\begin{align*}
I_t(x) = \int_{\mathbb{R}^d} f(y)\left(\frac{1}{(2\pi)^d}\int_{\mathbb{R}^d} e^{i\langle u, y - x\rangle}\,e^{-t|u|^2/2}\,d\mathcal{L}^d(u)\right) d\mathcal{L}^d(y).
\end{align*}
The inner integral is $(2\pi)^{-d}$ times the Fourier transform of $u \mapsto e^{-t|u|^2/2}$ evaluated at $-(y - x)$. Completing the square (as in the Gaussian Fourier transform computation): $\int e^{i\langle u, z\rangle} e^{-t|u|^2/2}\,d\mathcal{L}^d(u) = (2\pi/t)^{d/2} e^{-|z|^2/(2t)}$. Setting $z = y - x$:
\begin{align*}
\frac{1}{(2\pi)^d}\int_{\mathbb{R}^d} e^{i\langle u, y-x\rangle}\,e^{-t|u|^2/2}\,d\mathcal{L}^d(u) = \frac{1}{(2\pi t)^{d/2}}\,e^{-|y-x|^2/(2t)} = g_t(y - x).
\end{align*}
Substituting back: $I_t(x) = \int_{\mathbb{R}^d} f(y)\,g_t(y - x)\,d\mathcal{L}^d(y) = (f * g_t)(x)$.
[/proof]