What is Kolmogorov's forward differential equation?| Class 17,CS2-Risk Modelling & Survival Analysis

Our website https://smearseducation.com CS2-Risk Modelling & Survival Analysis This is in continuation of last class. What is Kolmogorov's forward differential equation? What happens when we analyze a continuous time stochastic process discretely? For example when we analyze the closing prices of a stock at the end of each day. We need to be able to find the transition matrix probabilities. However we can only estimate the transition rates from sample as its a continuous time process. Without transition matrix probabilities we cant analyze the future of this process. Here Kolmogorov equations comes to rescue. I discussed only one of the four equations in this video. The rest will follow.