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In Barashkov and Gubinelli (2019) section 2, the authors make the claim that the distribution of $$Y_t = \int_0^t \langle D \rangle^{-1}\sigma_s(D)dX_s$$ is given by the pushforward $(\rho_t(D))_*\...

Consider a surjective map $f:(X, \sigma(f)) \to (Y, \mathcal{Y})$, if a measure $\nu$ is given in $(Y, \mathcal{Y})$ the pullback $\nu(f(\cdot))$ is a measure on $(X, \sigma(f))$, similarly if $\mu$ ...

Let $p_1$ and $p_2$ be two probability densities and $X_i\sim N(\mu_i,\Sigma_i)$. Write $w(X)\sim p$ if the law of the random variable $w(X)$ has a density equal to $p$. For general densities $p_i$, ...