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arXiv · 1401.0589

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

Valery Doobko·Elena Karachanskaya
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Abstract

In this article the authors present stochastic first integrals (SFI), the generalized It\^o-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 It\^o equations.

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Valery Doobko, Elena Karachanskaya. 2014-01-03. Stochastic First Integrals, Kernel Functions for Integral Invariants and the Kolmogorov equations. https://arxiv.org/abs/1401.0589

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