“…We want to determine an extended solution of the Kolmogorov forward equation given in Formula (A11), that is an extended solution of P t (s 0 , t, λ) = P(s 0 , t, λ)Q(t, λ) P(t, t) = I, (10) an equation which, as seen in Formula (A12), can be read in integral form as, P(s 0 , t, λ) = I + [s 0 ,t] P(s 0 , s, λ)Q(s, λ)ds. (11) As previously said, we will now follow the general idea of successive approximations in the proof of the Picard-Lindelöf theorem for proving existence and unicity of solutions of ordinary differential equations for the forward Kolmogorov equation.…”