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most citedOn solutions of Kolmogorov's equations for jump Markov processes

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math.PR2016

Kolmogorov's Equations for Jump Markov Processes with Unbounded Jump Rates

Eugene A. Feinberg, Manasa Mandava, Albert N. Shiryaev

As well-known, transition probabilities of jump Markov processes satisfy Kolmogorov's backward and forward equations. In the seminal 1940 paper, William Feller investigated solutio…