I
Indy007
Member
Hi!
I'm looking at Chapter 5 section 4 of the notes (page 20), and am having difficulty following the logic behind the calculation of the Kolmogorov Forward equation.
Specifically, I'm having problem with the first step where:
Sum[Pik(t)Pkj(h)] = Pij(t) +h*Sum[Pik(t) *MUkj +o(h)]
I can't seem to figure out how this has been determined. I've tried using the relationship as specified on page 20, but end up with the following:
Sum[Pik(t)Pkj(h)] = Pij(t)(1+MUjj+oh) +h*Sum[Pik(t) *MUkj +o(h)]
Apologies if I've overlooked something obvious, but have been staring at the notes for a while now and can't seem to wrap my head round it!
I'd appreciate any help you can give me.
~Indy
I'm looking at Chapter 5 section 4 of the notes (page 20), and am having difficulty following the logic behind the calculation of the Kolmogorov Forward equation.
Specifically, I'm having problem with the first step where:
Sum[Pik(t)Pkj(h)] = Pij(t) +h*Sum[Pik(t) *MUkj +o(h)]
I can't seem to figure out how this has been determined. I've tried using the relationship as specified on page 20, but end up with the following:
Sum[Pik(t)Pkj(h)] = Pij(t)(1+MUjj+oh) +h*Sum[Pik(t) *MUkj +o(h)]
Apologies if I've overlooked something obvious, but have been staring at the notes for a while now and can't seem to wrap my head round it!
I'd appreciate any help you can give me.
~Indy