Geodesic
Distributions of functionals of switching diffusions
Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 24, Tome 454 (2016), pp. 52-81

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The paper deals with the methods of computations of distributions of functionals of switching diffusions. The switching between two collections of diffusion coefficients happens at the Poisson time moments, which are independent of the initial diffusions. It is also possible to consider the more general switching diffusions when the choice is taken from three and more collections of diffusion coefficients. 
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     author = {A. N. Borodin},
     title = {Distributions of functionals of switching diffusions},
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     pages = {52--81},
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     volume = {454},
     year = {2016},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/ZNSL_2016_454_a2/}
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A. N. Borodin. Distributions of functionals of switching diffusions. Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 24, Tome 454 (2016), pp. 52-81. http://geodesic.mathdoc.fr/item/ZNSL_2016_454_a2/