Topic: Diffusions and the Markov Property

Worked Problems with Kernels, Generators, and Dynkin’s Formula

Transition Kernels and Chapman-Kolmogorov

Transition Densities of Brownian Motion and Geometric Brownian Motion

Time-Inhomogeneous Diffusions as Augmented Markov Processes

The Strong Markov Property for Lipschitz Diffusions

The Semigroup-Generator Identity

The Ornstein-Uhlenbeck Transition Density

The Markov Property of Strong SDE Solutions

Semigroups of Diffusion Processes

Infinitesimal Generators and Test-Function Domains