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

Probability 2010-08-11 v1

Abstract

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)(t,x). The rate of convergence is n14(logn)34n^{\frac14} (\log n)^{\frac34} that is close to the best possible. The tools we apply are almost exclusively from elementary probability theory.

Keywords

Cite

@article{arxiv.1008.1701,
  title  = {An elementary approach to Brownian local time based on simple, symmetric random walks},
  author = {Tamas Szabados and Balazs Szekely},
  journal= {arXiv preprint arXiv:1008.1701},
  year   = {2010}
}

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17 pages