The Stochastic First Integrals, Kernel Functions for Integral Invariants and the Kolmogorov equations
Probability
2013-12-17 v1
Abstract
In this article we present the 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.1312.4123,
title = {The Stochastic First Integrals, Kernel Functions for Integral Invariants and the Kolmogorov equations},
author = {Valery Doobko and Elena Karachanskaya},
journal= {arXiv preprint arXiv:1312.4123},
year = {2013}
}
Comments
18 pages, in Russian