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As is known, the Cole-Hopf substitution reduces the Burgers equation to a linear differential equation. Another example is known as the inverse scattering problem, which is based on a connection between the KdV and a linear Schr\u00f6dinger equation. The connection between some nonlinear equations of soliton theory and absolute continuous transformation of diffusion measures is studied. In particular, using a multidimensional extension of the KdV equation the existence of the logarithmic derivative of a one-dimensional family of smooth measures generated by a diffusion process, is established. 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