<t>The SDE for a Brownian bridge is dB(t) = ( B(T) - B(t) ) / ( T - t ) dt + dB', where B' is a regular Brownian motion. So you can write your integral asI = Integrate[ Exp[-k t] dB(t), { t, 0, T } ] = Integrate[ Exp[-k t] ( B(T) - B(t) ) / ( T - t ) dt, { t, 0, T } ] + Integrate[ Exp[-k t] dB'(t), ...