Stochastic First Integrals, Kernel Functions for Integral Invariants and the Kolmogorov equations
arXiv:1401.0589
Abstract
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, described by the generalized Itô equations.
17 pages