I hope some of you know something about transition density functions. I'm wondering if there are some nice properties I can use... 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?