Abstract
L. A. Shepp [1] has studied the distribution of the integral of the absolute value of the pinned Wiener process, and has expressed the moment generating function in terms of a Laplace transform. Here we apply Shepp's results to obtain an integral for the density of the distribution. This integral is then evaluated by numerical integration along a path in the complex plane.
Citation
S. O. Rice. "The Integral of the Absolute Value of the Pinned Wiener Process-- Calculation of Its Probability Density by Numerical Integration." Ann. Probab. 10 (1) 240 - 243, February, 1982. https://doi.org/10.1214/aop/1176993927
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