Geodesic
Stochastic First Integrals, Kernel Functions for Integral Invariants and the Kolmogorov equations
Dalʹnevostočnyj matematičeskij žurnal, Tome 14 (2014) no. 2, pp. 200-216

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In this article the authors present stochastic first integrals (SFI), the generalized Itô-Wentzell formula and its application for obtaining the equations for SFI, for kernel functions for integral invariants and the Kolmogorov equations which described by the generalized Itô equations. 
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     author = {V. A. Dubko and E. V. Karachanskaya},
     title = {Stochastic {First} {Integrals,} {Kernel} {Functions} for {Integral} {Invariants} and the {Kolmogorov} equations},
     journal = {Dalʹnevosto\v{c}nyj matemati\v{c}eskij \v{z}urnal},
     pages = {200--216},
     publisher = {mathdoc},
     volume = {14},
     number = {2},
     year = {2014},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/DVMG_2014_14_2_a6/}
}
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V. A. Dubko; E. V. Karachanskaya. Stochastic First Integrals, Kernel Functions for Integral Invariants and the Kolmogorov equations. Dalʹnevostočnyj matematičeskij žurnal, Tome 14 (2014) no. 2, pp. 200-216. http://geodesic.mathdoc.fr/item/DVMG_2014_14_2_a6/