Exercise 12.3 For a Brownian motion {X(t)}, prove that the transition probability function P(x, y, t) given
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Exercise 12.3 For a Brownian motion {X(t)}, prove that the transition probability function P(x, y, t) given by (12.2) as well as the density function p(x, y, t) satisfies the Kolmogorov backward equation (12.3).
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Stochastic Processes With Applications To Finance
ISBN: 9781439884829
2nd Edition
Authors: Masaaki Kijima
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