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

zbMath1334.60097arXiv1401.0589MaRDI QIDQ2795498

V. A. Dubko, Elena V. Karachanskaya

Publication date: 21 March 2016

Full work available at URL: https://arxiv.org/abs/1401.0589

zbMATH Keywords

Poisson measureKolmogorov equationsItō equationgeneralized Itō-Wentzell formulastochastic first integralsstochastic integral invariantstochastic kernel function

Mathematics Subject Classification ID

Diffusion processes (60J60) Generalized stochastic processes (60G20) Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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