  An integro-differential equation for the probability density of the
generalized stochastic Ornstein-Uhlenbeck process with jump diffusion is
considered. It is shown that for a certain ratio between the intensity of jumps
and the speed of reversion, the fundamental solution can be found explicitly.
The properties of this solution are investigated. The fundamental solution
allows one to obtain explicit formulas for the densities at each moment of
time.
