Far Eastern Mathematical Journal

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

V. A. Dubko, E. V. Karachanskaya

2014, issue 2, P. 200–216

Abstract

In this article the authors present stochastic first integrals (SFI), the generalized Ito-Wentzell formula and its application for obtaining the equations for SFI, for kernel functions for integral invariants and the Kolmogorov equations which described by the generalized Ito equations.

Keywords: Stochastic first integrals, Stochastic kernel function, Stochastic integral invariant, the Ito? equation with Poisson measure, the Generalized Ito-Wentzell formula, Kolmogorov's equations

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References

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