The integral of the absolute value of the pinned Wiener process - calculation of its probability density by numerical integration

DOI10.1214/aop/1176993927zbMath0479.60080OpenAlexW2042680143MaRDI QIDQ1162067

Stephen Rice

Publication date: 1982

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176993927

zbMATH Keywords

pinned Wiener processnumerical integration in the complex planeprobability density of an integral

Mathematics Subject Classification ID

Brownian motion (60J65) General theory of numerical methods in complex analysis (potential theory, etc.) (65E05) Stochastic integrals (60H05) Numerical integration (65D30)

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