Stochastic First Integrals, Kernel Functions for Integral Invariants and the Kolmogorov equations
Abstract
In this article the authors present 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.
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