Brownian conditioning by a stopped Bessel density ($\mathcal{L}(R^{T_M})={\mathcal{L}}_x(B^{T_M}\mid T_M<T_0)$)

For $0<x<M$, a three-dimensional Bessel process stopped at $M$ has the law of Brownian motion conditioned to hit $M$ before zero and stopped at $M$. On $(\epsilon ,M)$, the Girsanov theorem and the Itô formula give terminal density $X_{\tau }/x$. Its value is $M/x$ at the upper exit and $\epsilon /x$ at the lower exit. Letting $\epsilon \downarrow 0$ in bounded stopped-path functionals gives density $(M/x)1_{\{T_M<T_0\}}$ relative to the corresponding stopped Wiener measure. The exit probability is $x/M$ by the optional stopping theorem, so the density is normalized. On the unstopped full path space the same density defines the conditioned Brownian law; pushing it forward by the stopping map gives the stopped Bessel law. The already-stopped law is not absolutely continuous relative to unstopped Wiener measure, since eventually constant paths have Wiener probability zero.