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

Vrins, Frédéric
(2025) , 12 pages

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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. (2025). On the distribution of the integral of a function with respect to a Brownian Bridge (LIDAM Discussion Paper LFIN 2025/01). https://hdl.handle.net/2078.5/243046