Geodesic
Transformation of measure for diffusions with double-break drift
Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 36, Tome 535 (2024), pp. 58-69

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We consider transformation of measure for diffusions with discontinuous drift analogous to the Girsanov transformation. It is essential that we have a double-break drift. It is possible for the drift to extract discontinuous component as a step function and derive the transformation of the measure of initial diffusion to the measure of diffusion with continuous drift. 
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     author = {A. N. Borodin},
     title = {Transformation of measure for diffusions with double-break drift},
     journal = {Zapiski Nauchnykh Seminarov POMI},
     pages = {58--69},
     publisher = {mathdoc},
     volume = {535},
     year = {2024},
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     url = {http://geodesic.mathdoc.fr/item/ZNSL_2024_535_a4/}
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A. N. Borodin. Transformation of measure for diffusions with double-break drift. Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 36, Tome 535 (2024), pp. 58-69. http://geodesic.mathdoc.fr/item/ZNSL_2024_535_a4/