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Cited article:

On the Relation Between the Girsanov Transform and the Kolmogorov Equations for SPDEs

Franco Flandoli, Dejun Luo and Cristiano Ricci
Potential Analysis 57 (4) 473 (2022)
https://doi.org/10.1007/s11118-021-09924-1

On stochastic Langevin and Fokker-Planck equations: The two-dimensional case

Andrea Pascucci and Antonello Pesce
Journal of Differential Equations 310 443 (2022)
https://doi.org/10.1016/j.jde.2021.11.004

Probability density function of SDEs with unbounded and path-dependent drift coefficient

Dai Taguchi and Akihiro Tanaka
Stochastic Processes and their Applications 130 (9) 5243 (2020)
https://doi.org/10.1016/j.spa.2020.03.006