Conditioning a diffusion at first-passage and last-exit times, and a mirage arising in drug therapy for HIV (Q1261975)

A real-valued diffusion process is studied upon conditioning by the values of the first-passage time and/or of the last-exit time. At first, results on nonhomogeneous diffusion are summarized. Then, the results are divided into three parts: the distribution of the process before the first-passage time; the conditional distribution of the process between first-passage and last-exit times; and the distribution of the process after the last-exit time. The results on the distribution of the process before the first-passage time are also specified for the case of homogeneous diffusion. The results are illustrated by application to Brownian motion with constant drift and also by the Ornstein-Uhlenbeck process augmented by a linear term representing a constant drift. The research is aimed at modeling the immune system of HIV-positive individuals having AZT treatment.