On the Distribution of the Integral of a Function with Respect to a Brownian Bridge

descriptionPublicationkeyboard_double_arrow_right Article , Research 01 Jan 2025 Belgium Publisher:Elsevier BVJournal:Journal of Computational and Applied Mathematics, volume 477, page 117,174 (issn: 0377-0427,

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Authors: Frédéric Vrins;

doi: 10.2139/ssrn.5210282 , 10.1016/j.cam.2025.117174

handle: 2078.1/307212 , 2078.1/300172

On the Distribution of the Integral of a Function with Respect to a Brownian Bridge

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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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Belgium

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Université Catholique de Louvain
Belgium

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