Analytical solutions of a class of multidimensional Fokker-Planck equations

Analytical representations of the solutions of Kolmogorov's forward (i.e., Fokker-Planck) and backward partial differential equations are obtained by employing Girsanov's (1960) transformation. The equations considered are restricted to those with the drift vector being the gradient of a function and the diffusion matrix being nonsingular and dependent upon time only.