Geodesic
Transformations of diffusions with jumps
Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 12, Tome 351 (2007), pp. 79-100

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The paper deals with some transformations of diffusions with jumps. We consider the class of diffusions with jumps which is closed with respect to the composition with invertable twice continuously differentiable functions. The special randon time change leads again to the diffusion with jumps. The result concerning a transformation of the measure is valid to this class of diffusions with jumps. 
@article{ZNSL_2007_351_a3,
     author = {A. N. Borodin},
     title = {Transformations of diffusions with jumps},
     journal = {Zapiski Nauchnykh Seminarov POMI},
     pages = {79--100},
     publisher = {mathdoc},
     volume = {351},
     year = {2007},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/ZNSL_2007_351_a3/}
}
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A. N. Borodin. Transformations of diffusions with jumps. Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 12, Tome 351 (2007), pp. 79-100. http://geodesic.mathdoc.fr/item/ZNSL_2007_351_a3/