Geometric Brownian motion has the explicit strong solution
Xt=X0exp(σBt+(μ−21σ2)t).
The differential operator L=21x2∂xx+21x∂x−21 has solution operator Ptg(x)=e−t/2E[g(xeBt)]. For x=0 its integral kernel with respect to Lebesgue measure is p(t,x,y)=e−t/2(∣y∣2πt)−1exp[−log2(∣y/x∣)/(2t)] when xy>0, and zero otherwise. For x=0 the kernel is the measure e−t/2δ0, not a density. The Itô formula applied to e−s/2u(t−s,Xs) proves this Feynman-Kac formula.
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