Hi
In Van Kampen's "Stochastic Processes in Physics" it says (page 79) that any given 2 non negative functions: p1(y,t), p11(y1,t1 | y2,t2) that satisfy:
1. The Chapman-Kolmogorov equation: p11(y3,t3 | t1,t1) = integrate(p11(y3,t3 |y2,t2) p11(y2,t2| y1,t1).
2. p1(y2,t2)= Integrate(p11(y2,t2...