I hope some of you know something about transition density functions. I'm wondering if there are some nice properties I can use...(adsbygoogle = window.adsbygoogle || []).push({});

Suppose p is a transition density function, defined as follows:

p(t,f,a|T,F,A) dF dA := Prob(F<f<F+dF, A<a<A+dA | F(t)=f, A(t)=a).

My question: what happens to p and its derivatives if we take limits of F and/or A to infinity? Is there a source where I can refer to for this?

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# Properties of transition density functiions

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