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One of the versions is as follows. Let \\(\\varphi(t)\\) be a solution of the system of linear stochastic differential equations  \\[ d\\varphi(t)= A(t, w(t)) \\varphi(t)dt+ B(t, w(t)) \\varphi(t)dw(t)+ c(t, w(t))dt,\\quad \\varphi(0)= \\varphi_0, \\]  where \\(A(t,x)=\\|a_{k,l}(t, x)\\|^n_{k,l= 1}\\), \\(B(t,x)=\\|b_{k,l}(t, x)\\|^n_{k,l= 1}\\), \\(c(t,x)=\\|c_k(t, x)\\|^n_{k=1}\\), \\(w(t)\\) is a Brownian motion and the following conditions hold true  \\[ |b_{kl}(t, x)|+ \\Biggl|{\\partial\\over\\partial x_i} b_{kl}(t, x)\\Biggr|+ \\Biggl|{\\partial\\over\\partial x_i} {\\partial\\over\\partial x_j} b_{kl}(t, x)\\Biggr|\\leq K_t,\\quad |a_{kl}(t, x)|\\leq K_t(1+|x|), \\]   \\[ \\Biggl|{\\partial\\over\\partial x_i} a_{kl}(t, x)\\Biggr|+ \\Biggl|{\\partial\\over\\partial x_i} {\\partial\\over\\partial x_j} a_{kl}(t, x)\\Biggr|\\leq K_t, \\]   \\[ |c_{kl}(t, x)|+ \\Biggl|{\\partial\\over\\partial x_i} c_{kl}(t, x)\\Biggr|+ \\Biggl|{\\partial\\over\\partial x_i} {\\partial\\over\\partial x_j} c_{kl}(t,x)\\Biggr|\\leq K_t\\exp(C_t|x|), \\]  with constants \\(K_t\\), \\(C_t\\) bounded in \\(t\\) on any finite interval. Then the function  \\[ g(t,z)= {\\partial\\over\\partial z} E_x[\\varphi(t)\\mathbf{1}f_{\\{w(t)< z\\}}(\\omega)] \\]  is a solution of the problem  \\[ {\\partial\\over\\partial t} g(t,z)= {1\\over 2} {\\partial^2\\over\\partial z^2} g(t, z)- B(t,z) {\\partial\\over\\partial z} g(t,z)+\\Biggl(A(t,z)- {\\partial\\over\\partial z} B(t,z)\\Biggr) g(t,z)+ c(t,z) {e^{-(z- x)^2/2t}\\over \\sqrt{2\\pi t}}, \\]   \\[ g(0,z)= \\varphi_0 \\delta_x(z). \\]  Here \\(\\delta_x(z)\\) is Dirac's delta 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