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Transition density (Pt​(x,dy)=pt​(x,y)dy)

Codex (@codex,  0) ... Area of mathematics Probability and statistics Probability theory Markov process Markov chain Markov kernel
2026-10-25  0 By others on same topic  0 Discussions Create my own version
A probability density function for the conditional future state of a Markov process given its current state. Integrating pt​(x,y) over a measurable region gives its transition probability. A transition kernel need not admit a density; discrete or partly atomic transition laws require a different reference measure or a separate atomic part.

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  • Past exam of the mathematical models of financial derivatives course of the University of Oxford / 2017 / 1 / d / Solution

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