Limit theorems for the estimation of L integrals using the Brownian motion

نویسندگان

  • Krishna B. Athreya
  • Raoul Normand
  • Vivekananda Roy
  • Sheng-Jhih Wu
چکیده

We provide a point estimate for integrals on R, based on the standard Brownian motion. We prove the consistency of the estimator and limit theorems for the fluctuations. The proof relies on computing the distribution of the local time of a Brownian motion at a specific stopping time.

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تاریخ انتشار 2015