ABSTRACT
It is known that any Markov process of second order should have the form of a diffusion process with jumps (see Dynkin [33]). For instance, some basic material on this subject can be found in Anulova [2, 3], Bensoussan and Lions [11], Gikhman and Skorokhod [46], Gimbert and Lions [48], Komatsu [61], Lenhard [68], Lepeltier and Marchal [69], Menaldi [75], Menaldi and Robin [80], Stroock [104].
