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A construction of Casimir functions of such groups, i.e., invariants of the coadjoint representation is given (for polynomial functions). Casimir functions may be considered as integrals of the Hamiltonian system of Pontryagin maximum principle. The coadjoint orbits are invariant under the flow of the vertical part of this Hamiltonian system.  An algorithm for constructing Casimir functions is described. Some illustrations are given, in particular -- the table of Casimir functions computed according to this algorithm with the help of Wolfram Mathematica for the free 3-step Carnot group.  For free 3-step nilpotent Lie groups a full description of coadjoint orbits is presented. For a three-step free Carnot group of rank \\(r > 3\\) it is proved that there are \\((r^3 - r)/3\\) linear Casimir functions and \\((r^2 - 3r)/2\\) Casimir functions that are linear on the level sets of the first ones (the degrees of these functions are equal to \\(r + 1\\)). This is a complete system of Casimir functions. Here general coadjoint orbits are affine subspaces, and special coadjoint orbits are affine subspaces or direct products of nonsingular quadrics. For step 3 an exceptional case is the free nilpotent Lie group of step 3 and rank 2 (called the Cartan group). In this case there are two independent linear Casimir functions and a quadratic one.  Some applications of Casimir functions for investigation of integration properties of dynamical systems and optimal control problems on Carnot groups are given. In particular, for some wide class of time-optimal problems on 3-step free Carnot groups it is shown that extremal controls corresponding to two-dimensional coadjoint orbits have the same behavior as in time-optimal problems on the Heisenberg group or on the Engel 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