The generalized Itô–Venttsel’ formula in the case of a noncentered Poisson measure, a stochastic first integral, and a first integral

DOI10.3103/S1055134415030049zbMath1340.60085OpenAlexW2405588187MaRDI QIDQ2945827

Elena V. Karachanskaya

Publication date: 14 September 2015

Published in: Siberian Advances in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s1055134415030049

zbMATH Keywords

generalized stochastic differential equationIto-Venttsel formulakernel of an integral invariantnoncentered Poisson measurestochastic first integral

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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