Stochastic First Integrals, Kernel Functions for Integral Invariants and the Kolmogorov equations
Probability
2014-01-06 v1
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.
Keywords
Cite
@article{arxiv.1401.0589,
title = {Stochastic First Integrals, Kernel Functions for Integral Invariants and the Kolmogorov equations},
author = {Valery Doobko and Elena Karachanskaya},
journal= {arXiv preprint arXiv:1401.0589},
year = {2014}
}
Comments
17 pages