On two approaches for obtain of the generalized Ito-Wentzell formula

2013/09/12 by Valery Doobko, Doobko, Valery, Elena Karachanskaya +1 · 1 citation
Mathematics · #60H30 #FOS: Mathematics #Primary: 60G60 #Probability (math.PR) #Secondary: 60H15 #math.PR #msc:60G60 #msc:60H15 #msc:60H30

paper · pdf · doi:10.48550/arxiv.1309.3038

23 pages, in Russian, Preprint, 2012, ISBN 978-5-7389-1059-3. (in Russian)

arxiv created 2013/09/12 · arxiv updated 2013/09/13

Abstract

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 functions for integral invariants.

Cited by

• "The direct approach" for a proof of the generalized Ito-Wentzell formula for a generalized stochastic differential equation

Related

• The Stochastic First Integrals, Kernel Functions for Integral Invariants and the Kolmogorov equations
• "The direct approach" for a proof of the generalized Ito-Wentzell formula for a generalized stochastic differential equation
• Stochastic First Integrals, Kernel Functions for Integral Invariants and the Kolmogorov equations
• On a generalization of the Itô-Wentzell formula for system of generalized Itô's SDE and the stochastic first integral
• On a generalization of the Itô-Wentzel formula for system of generalized Itô's SDEs and the stochastic first integral