Possible Duplicate:
What is the intuitive meaning of $K_1, K_2, K_3$ in regards to the conditional density formula derivation in Brownian motion.
The image below shows that when the process goes A->B, there should be a $-B^2\over2(t-s)$
Somehow, Part B doesn't include it. I can't seem to understand why. Is it because somehow it's built into K2? If so, what's the terminology called for K1-3? Am i missing a mathematically concept here?
Thanks!!
The excerpt is as below
Suppose we require the conditional distribution of X(s) given that X(t) = B where s < t.
The conditional density is:
where K1, K2, K3 do not depend of x.