  SDEs are solved in two steps: (1) for short times by successive approximation
in the integral equation, which leads to non-Gaussian increments when the noise
is multiplicative, (2) by summing up these increments in consecutive short time
intervals. This corresponds to a modified anti-Ito integral. That procedure
saves the choice of an integration sense, and it also avoids an intrinsic
mismatch between the standard stochastic integrals (with Gaussian increments)
and the Fokker-Planck equations (with non-Gaussian solutions). As a further new
feature, the local diffusion parameters (plus a noise-independent drift) are
sufficient to specify the SDE. This can simplify the modelling. For the FPE it
means that the diffusion matrix alone accounts for the noise (the well-known
and valid anti-Ito FPE involves a noise-induced drift part that cancels with
some other term).
