Geodesic
On the density of probability measures of diffusion-type processes
Izvestiya. Mathematics , Tome 3 (1969) no. 5, pp. 1055-1066

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In this paper we obtain a formula (9) for the derivative $\varphi_t(\omega)$, with respect to Wiener measure, of the Radon–Nikodým measure corresponding to the diffusion type process (1). 
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     author = {R. Sh. Liptser and A. N. Shiryaev},
     title = {On the density of probability measures of diffusion-type processes},
     journal = {Izvestiya. Mathematics },
     pages = {1055--1066},
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     number = {5},
     year = {1969},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/IM2_1969_3_5_a6/}
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R. Sh. Liptser; A. N. Shiryaev. On the density of probability measures of diffusion-type processes. Izvestiya. Mathematics , Tome 3 (1969) no. 5, pp. 1055-1066. http://geodesic.mathdoc.fr/item/IM2_1969_3_5_a6/