LFIN DP 2025 / 01
lfin |
On the distribution of the integral of a function with respect to a Brownian Bridge / Frédéric Vrins.
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.