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Mick
  • Member for 4 years, 9 months
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How to find the PDE for the following transition density
When "defining" $\Gamma(x,z;t)dt= \mathbb P(Z_\tau \in dt | X_0=x,Z_0=z) $, do you mean $\mathbb P(Z_\tau \in [t,t+dt) | X_0=x, Z_0=z)$?
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