Date & Time: February 04, 2015, 16:00-17:00.
Venue: Ramanujan Hall
Title: Estimation of an integral on R using Brownian Motion and its local times
Speaker: Krishna B. Athreya, Iowa State University
Abstract: Let f be integrable w.r.t. Lebesgue measure on R. In this talk we show how to use the standard Brownian motion to provide a point estimate as well as a confidence interval for the integral of f. We discuss some new results on local time processes for Brownian motion.