. Show that the Stratonovich SDE dX = f{X)\_pdi + a dW~\ may be transformed to that of a Wiener process by setting Y =

1 f{X')

dX\

so that the transition density of X may be obtained as P(, x,<,1| xq), = i / w r ' exp

----- dx' — lit J x o f j x ' ) ________ 2a^t