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.
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The incident was believed to be a fallout of some family dispute, they said.The police said it was probing the matter.