On the distribution of the integral of a function with respect to a Brownian bridge

Vrins, Frédéric
(2026) Journal of Computational and Applied Mathematics — Vol. 477, p. 117-174 (2026)

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Abstract
We derive a couple of results associated with the distribution of the integral J of a square-integrable function with respect to a Brownian bridge. These results are useful to design sampling algorithms and provide a tight upper bound for the distribution of the running supremum of J.
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Vrins, F. (2026). On the distribution of the integral of a function with respect to a Brownian bridge. Journal of Computational and Applied Mathematics, 477, 117-174. https://hdl.handle.net/2078.5/272953 (Original work published 2026)