On Analytically Tractable Multidimensional Diffusions via Doob h-Transforms, with Resetting and Applications to Wiener and Ornstein--Uhlenbeck Processes

Antonio DiCrescenzo, Verdiana Mustaro, Serena Spina

We investigate a class of drift transformations of multidimensional diffusion processes generated through Doob $h$-transforms. These transformations provide a systematic approach f…