Geodesic
A~transformation of the phase space of a~diffusion process that removes the drift
Sbornik. Mathematics, Tome 22 (1974) no. 1, pp. 129-149

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In this paper we construct a one-to-one (and quasi-isometric) transformation of a phase space that allows us to pass from a diffusion process with nonzero drift coefficient to a process without drift. Using this transformation we construct strong solutions of stochastic differential equations with a “bad” drift coefficient and give other applications. Bibliography: 21 titles. 
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     title = {A~transformation of the phase space of a~diffusion process that removes the drift},
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A. K. Zvonkin. A~transformation of the phase space of a~diffusion process that removes the drift. Sbornik. Mathematics, Tome 22 (1974) no. 1, pp. 129-149. http://geodesic.mathdoc.fr/item/SM_1974_22_1_a7/