Qian, Zhongmin; Zheng, Weian - In: Stochastic Processes and their Applications 111 (2004) 1, pp. 57-76
We establish a representation formula for the transition probability density of a diffusion perturbed by a vector field, which takes a form of Cameron-Martin's formula for pinned diffusions. As an application, by carefully estimating the mixed moments of a Gaussian process, we deduce explicit,...