<t>Assume you have a two dimensional diffusion processd(X_t,Y_t)=b(t,X_t,Y_t)dt+A(t,X_t,Y_t)dW_tis there an elegant way to compute the functionH(t,y)=E[X_t | Y_t=y]?I'll accept a two dimensional differential equation but not a three dimensional one.The problem comes up through Dupire's equation wher...