Exact solutions for the probability density of various conditioned processes with an entrance boundary

Abstract

The probability density is a fundamental quantity for characterizing diffusion processes. However, it is seldom known except in a few renowned cases, including Brownian motion and the Ornstein–Uhlenbeck process and their bridges, geometric Brownian motion, Brownian excursion, or Bessel processes. In this paper, we utilize Girsanov’s theorem, along with a variation of the method of images, to derive the exact expression of the probability density for diffusions that have one entrance boundary. Our analysis encompasses numerous families of conditioned diffusions, including the Taboo process and Brownian motion conditioned on its growth behavior, as well as the drifted Brownian meander and generalized Brownian excursion.