Kolmogorov Forward Equation.

Also by the Markov property, it immediately follows that

Z
(x,s)
u(x, s) = E f (Xt ) = p(x, s; y, t)u(y, t) dy
We derived the Kolmogorov backward equation in class. This short note deduces
the Kolmogorov forward equation from the Kolmogorov backward equation. Let X
be a diffusion satisfying the SDE for any t ∈ [s, T ]. (Alternately, you can deduce the above equality using uniqueness
of solutions to (1).) Now, differentiating both sides in t, and using (1) gives
dXt = b(Xt ) dt + σ(Xt ) dWt , Z
0 = ∂t u(x, s) = [∂t p(x, s; y, t)u(y, t) + p(x, s; y, t)∂t u(y, t)] dy
where b and σ are time independent and Lipshitz. Suppose further X has a (smooth) Z
transition density
(x,s) = [∂t p(x, s; y, t)u(y, t) − p(x, s; y, t)Ly u(y, t)] dy
p(x, s; y, t) = P (Xt ∈ dy).
Z
∂t p(x, s; y, t) − L∗y p(x, s; y, t) u(y, t) dy
 
We know that p satisfies the Kolmogorov backward equation in the initial variables =
x and s. Namely,
Note, to obtain the last inequality we had to integrate by parts. All the boundary
∂s p + Lx p = 0, and lim p(·, s; y, t) = δy ,
s→t− terms involved are 0 because one can show that p vanishes at infinity.
Now choosing t = T , we see that
where X 1X Z
L= bi ∂i + ai,j ∂i,j
∂t p(x, s; y, T ) − L∗y p(x, s; y, T ) f (y) dy = 0.
 
i
2 i,j

and X Since f ∈ C02 is arbitrary, we are done.

ai,j = ai,j (x) = σi,k (x)σj,k (x).
k

The Kolmogorov forward equation says that p satisfies the dual equation in the
variables y, t.
Proposition 1 (Kolmogorov forward equation). Let L∗ be the dual of L, defined by
X 1X
L∗ g = −∂i (bi g) + ∂i,j (ai,j g).
i
2 i,j

Then
∂t p + Ly p = 0, and lim p(x, s; ·, t) = δx ,
t→s+

Remark. The operator L∗ is the dual of L with respect to the L2 inner product.
Namely, if f, g ∈ Cc2 (Rd ), then
Z Z
Lf (x) g(x) dx = f (x) L∗ g(x) dx
Rd Rd

Proof. Fix T > 0, and always assume 0 6 s < t 6 T . Let f ∈ Cb2 (Rd ), and define
Z
(x,s)
u(x, s) = E f (XT ) = p(x, s; y, T )f (y) dy.

We know that u satisfies the Kolmogorov backward equation

∂s u + Lx u = 0 and u(x, T ) = f (x). (1)