The two other daughters were critically injured, they said.
The incident took place yesterday in Badlapur area when Gita Devi (38) jumped in front of a train with her daughters, Khushi (14) and Khushbu (5) and Kusum (3), they said.
Gita and Khushi died on the spot.
The incident was believed to be a fallout of some family dispute, they said.
The police said it was probing the matter.
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