Module 3:Branching process, Application of Markov chains, Markov Processes with discrete and                 continuous state space
  Lecture 12:Weiner Process
 

(3.12) is the forward diffusion equation of the Winer process and is of first order in  and of second order in .

Similarly using

Using which we have

(3.13)

(3.13) is the backward diffusion equation of the Winer process and is of first order in  and of second order in .

Note

Till now we consider  and  are independent of time.