V. A. Dubko, E. V. Karachanskaya, “Stochastic First Integrals, Kernel Functions for Integral Invariants and the Kolmogorov equations”, Dal'nevost. Mat. Zh., 2014, Volume 14, Number 2,Pages <nobr>200

This article is cited in 3 papers

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

V. A. Dubko, E. V. Karachanskaya^a

^a Pacific National University, Khabarovsk

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 which described by the generalized Itô equations.

Key words: Stochastic first integrals, Stochastic kernel function, Stochastic integral invariant, the Itô equation with Poisson measure, the Generalized Itô-Wentzell formula, Kolmogorov's equations.

UDC: 519.21

MSC: Primary 60H15; Secondary 60J60

Received: 11.05.2014