Stochastic First Integrals, Kernel Functions for Integral Invariants and the Kolmogorov equations

V. A. Dubko ; E. V. Karachanskaya

Dalʹnevostočnyj matematičeskij žurnal, Tome 14 (2014) no. 2, pp. 200-216.

Résumé

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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