Assignment 6.

1. Assume a family p
h
(dy) of probability distributions on R
d
satisfy
lim
h0
1
h

y
i
p
h
(dy) = b
i
lim
h0
1
h

y
i
y
j
p
h
(dy) = a
i,j
and for some > 0
lim
h0
1
h

y
2+
p
h
(dy) = 0
Conclude that for any smooth function f(y)
lim
h0
1
h

[f(y) f(0)]p
h
(dy) =
1
2

i,j
a
i,j

2
f
x
i
x
j

(0) +

j
b
j

f
x
j

(0)
2. Show that the transition probability p(s, x, t, dy) of the solution x(t) to the SDE dx = bdt +d satises
lim
h0
1
h

[f(y) f(x)]p(t, x, t + h, dy) =

1
2

i,j
a
i,j
(t, x)

2
f
x
i
x
j

(x) +

j
b
j
(t, x)

f
x
j

(x)
1