We have requirement to implement redirection. When user are not login, it will be redirected to another application, on that application, user will be authenticated. Once authenticated, it will be redirected back to Pega based on the URL that user entered before.
As Chandra suggested, you could use custom authentication for this purpose. Which version of Pega are you on? If you are on 7.1.6 or later, you could use pySAMLWebSSOAuthenticationActivity as a reference. Please note that your "other" application should be able to redirect back to Pega. For that, you must send the original Pega URL to the other application and upon successful authentication, it should redirect the user back to the original URL.