On the Ito-Venttsel formula

zbMath0307.60052MaRDI QIDQ1218231

Boris L. Rosovskii

Publication date: 1973

Published in: Moscow University Mathematics Bulletin (Search for Journal in Brave)

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Markov processes (60J99)

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The generalized Itô–Venttsel’ formula in the case of a noncentered Poisson measure, a stochastic first integral, and a first integral ⋮ A “direct” method to prove the generalized Itô–Venttsel’ formula for a generalized stochastic differential equation ⋮ Characteristics of degenerate second-order parabolic Ito equations