Exercise 13.4 Prove that the PDE (13.10) holds for any time-homogeneous diffusion {X(t)} with sufficiently smooth drift
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Exercise 13.4 Prove that the PDE (13.10) holds for any time-homogeneous diffusion {X(t)} with sufficiently smooth drift function μ(x), diffusion function
σ(x), and killing rate k(x).
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Related Book For 
Stochastic Processes With Applications To Finance
ISBN: 9781439884829
2nd Edition
Authors: Masaaki Kijima
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