Consider a continuous-time random walk {X(t):t 0} in which the jump size, , is normally distributed with mean and variance 2, and the

Consider a continuous-time random walk {X(t):t ≥ 0} in which the jump size, , is normally distributed with mean μ and variance σ2, and the waiting time, T , is exponentially distributed with mean 1/λ. Obtain the master equation, P(x,t), which is the probability that the position of the walker at time t is X(t) = x, given that it was in position 0 at time t = 0.