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

Frédéric Vrins ()
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Frédéric Vrins: Université catholique de Louvain, LIDAM/LFIN, Belgium

No 2025012, LIDAM Reprints LFIN from Université catholique de Louvain, Louvain Finance (LFIN)

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.

Pages: 16
Date: 2025-10-29
Note: In: Journal of Computational and Applied Mathematics, Vol. 477, 117174
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Persistent link: https://EconPapers.repec.org/RePEc:ajf:louvlr:2025012

DOI: 10.1016/j.cam.2025.117174

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