(The solution of the FPE satisfies the CKE and (4.39)–(4.41)) (i) Use the existence and uniqueness theorem for linear parabolic initial value problems to show that the solution p (y, t| x, s) of (4.116), (4.117) satisfies the Chapman– Kolmogorov equation (2.59). (ii) Prove that if a(x, t) and σ(x, t) are sufficiently regular, then the pdf p (y, t| x, s) of (4.116), (4.117) satisfies (4.39)–(4.41) in the sense that
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