Smooth diffusion measures and their transformations (Q1603222)

The author shows that solutions of the Burgers equation can be obtained in the form of logarithmic derivatives of transition densities of certain diffusion processes. The author uses also the Darboux transformation in the theory of the Sturm-Liouville equations in order to derive an explicit expression for the Radon-Nikodym derivative of a pair of absolutely continuous measures generated by various scalar multiplicative functionals of diffusion processes.