LFIN DP 2025 / 01

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.