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math.PR2013★ 3 cited
The Stochastic First Integrals, Kernel Functions for Integral Invariants and the Kolmogorov equations
Valery Doobko, Elena Karachanskaya
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…
math.PR2013★ 1 cited
"The direct approach" for a proof of the generalized Ito-Wentzell formula for a generalized stochastic differential equation
Elena V. Karachanskaya
This paper is complete proof of one method for obtaining the generalized Ito-Wentzell formula, its basic idea was announced earlier in a pre-print (arXiv:1309.3038v1). This proof s…
math.PR2013
On two approaches for obtain of the generalized Ito-Wentzell formula
Valery Doobko, Elena Karachanskaya
We consider two approaches for obtain of the generalized Ito-Wentzell formula: the first way uses the generalized Ito's formula; the second one is based on a concept of kernel func…