An elementary approach to Brownian local time based on simple, symmetric random walks

Tamas Szabados, Balazs Szekely

Published 2010-08-10Version 1

In this paper we define Brownian local time as the almost sure limit of the local times of a nested sequence of simple, symmetric random walks. The limit is jointly continuous in $(t,x)$. The rate of convergence is $n^{\frac14} (\log n)^{\frac34}$ that is close to the best possible. The tools we apply are almost exclusively from elementary probability theory.