Conditioning the tanh-drift process on first-passage times: Exact drifts, bridges, and process equivalences

Kacim François-Élie, Alain Mazzolo

In this article, we consider the Benes process with drift $\mu (x)=\alpha \tanh (\alpha x+\beta )$, with $\alpha >0$, $\beta \in \mathbb{R}$, that is, the diffusion defined by the stochastic differential equat…