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

Abstract

In this article we present the 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, described by the generalized Itô equations.

18 pages, in Russian

References in corpus (2)

• On a generalization of the Itô-Wentzel formula for system of generalized Itô's SDEs and the stochastic first integral
• "The direct approach" for a proof of the generalized Ito-Wentzell formula for a generalized stochastic differential equation