Solution to differential equation with time continuous Markov coefficient

We consider first-order differential equations whose stochastic nature is determined by time-continuous Markov's processes. We show that implementation of the Fokker–Plank–Kolmogorov equation leads to a system of advection equation. We formulate a theorem on the characteristics of obtained system of partial differential equations, formulate main derives on necessary conditions for determination of calculation of probability density and adduce an example of the solution.