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 2025001, LIDAM Discussion Papers 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: 12
Date: 2025-03-19
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