Integral representations of solutions for linear stochastic equations with multiplicative perturbances

We consider the problem of explicitly representing the solutions of multiplicatively perturbed stochastic equations. We represent the solution as an integral Cauchy formula whose transition matrix is random in the case of multiplicative perturbations. Similar to deterministic theory, the transition matrix can be expressed in terms of the fundamental matrix or given by a stochastic Peano series. We give equations for statistical moments of the state vector and explicit integral representations of their solutions. For computing transition matrices of equations on moments, we use some group-theoretical notions and results whose usefulness is illustrated with simple examples.