Athreya, Krishna B.; Normand, Raoul; Roy, Vivekananda; … - In: Statistics & Probability Letters 100 (2015) C, pp. 42-47
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.