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Problems and Solutions in Mathematical Finance: Stochastic Calculus, Volume I by Eric Chin, Sverrir Olafsson, Dian Nel

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  1. 21. Backward Kolmogorov Equation for One-Dimensional Diffusion Process. Let c03-math-745 be a standard Wiener process on the probability space c03-math-746. For c03-math-747, c03-math-748 consider the generalised stochastic differential equation
    equation

    where c03-math-749 and c03-math-750 are functions dependent on c03-math-751 and c03-math-752. By conditioning c03-math-753 and c03-math-754, let c03-math-755 be the transition probability ...

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