Stochastic First Integrals, Kernel Functions for Integral Invariants and   the Kolmogorov equations
  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. 
Valery Doobko, Elena Karachanskaya
math.PR