D. F. Kuznetsov
Russia, 195251, St.-Petersburg, Polytechnicheskaja st. 29,
St.-Petersburg State Technical University,
Department of Higher mathematics,
Two families of analytic formulae for computing stochastic integrals are given. We obtain these formulae using an approach based on solving partial second order differential equation by the additive and multiplicative separation of its variables. In particular, we present formulae for stochastic Ito integrals on Ito processes that are solutions of stochastic Ito differential equations not satisfying usual conditions of existence and uniqueness. We give also formulae for computing stochastic integrals on Ito processes with restrictions on their domains of definitions and ranges of values.