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

2014/01/03 by Doobko, Valery, Karachanskaya, Elena
#58J65 (Secondary) #60G20 (Primary) 60H15 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1401.0589

Abstract

In this article the authors present stochastic first integrals (SFI), the generalized Itô-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 Itô equations.

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