It happened on Sunday, September 5, at 3:20 p.m. on a D train.
Authorities say it started when the 4-year-old girl's father asked the man to stop smoking what he says was marijuana.
That's when police say the man spit on the little girl and her father, before pulling out the knife and threatening them.
The victims got off the subway at Fordham Road, and the man remained on the southbound train.
Fortunately, no one was injured.
Anyone with information in regard to this incident is asked to call the NYPD's Crime Stoppers Hotline at 1-800-577-TIPS (8477) or for Spanish, 1-888-57-PISTA (74782).
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