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How could I implement the Kolmogorov forward equation on the Poisson process? I know that Kolmogorov forward equation is: $$ P_{ij}'=\sum_{k \neq j}(λ_{k} P_{kj}P_{ik}(t)) - λ_{j} P_{ij} $$

Avraham
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Mattias R
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    Please explain what "implement" means to you. – whuber Dec 15 '21 at 20:12
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    I had a test where it said “Write out Kolmogorov forward equation for the Poisson process”. I couldn’t find and answer or glue from course’s notes. – Mattias R Dec 15 '21 at 20:45

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