# Change of measure formula for the Föllmer process

While reading a preprint Eldan, Lehec, and Shenfeld - Stability of the logarithmic Sobolev inequality via the Föllmer Process I came across the following SDE in Section 3: $$d X_t=d B_t+\nabla \log P_{1-t} f\left(X_t\right) d t$$ where $$B_t$$ is the Brownian motion and $$P_t$$ denotes the heat semigroup.

Given a probability measure $$\mu(dx)=f(x)\gamma(dx)$$ where $$\gamma$$ is the gaussian density, one can consider $$X_t$$ to be the process that is close to a Brownian motion while having the law $$\mu$$ at time $$t=1$$.

I would like to understand why the following change of measure formula holds for every test function $$u$$,

$$\mathbb{E}\left[u\left(X_1\right) \mid \mathcal{F}_t\right]=\frac{P_{1-t}(u f)\left(X_t\right)}{P_{1-t} f\left(X_t\right)}$$

where $$\mathcal{F}_t$$ denotes the natural filtration associated with the process $$X_t$$. I looked into Girsanov's theorem in this regard but I don't see any exponential martingales in the above expression, so I am not sure what is going on here.

One can show it using the Feynman-Kac formula. In particular, from Feynman-Kac, we know that $$h(x, t) := \mathbb{E}[u(X_1) \mid \mathcal{F}_t ]$$ solves the following PDE:
$$\frac{\partial}{\partial t} h(x, t) + \nabla \log P_{1-t} f(X_t)^T \nabla_x h(x, t) + \frac{1}{2} \Delta_x h(x, t) = 0.$$
with the terminal condition $$h(x, 1) = u(x)$$.
Now, note that your proposed function for $$h(x, t)$$, namely $$\frac{P_{1-t} (uf)}{P_{1-t}(f) }$$ satisfies the terminal condition, so you just need to plug your proposed function to the above equation to show that it satisfies the PDE above.