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The dominated convergence theorem states that if measurable functions converge almost everywhere and their absolute values are bounded by a single Lebesgue integrable function, their limit is integrable and their integrals converge to its integral.

Put $b_j=a_j/j$. The hypothesis makes $b_j$ summable. On the positive integers with counting measure define $f_n(j)=(j/n)b_j{1}_{j\le n}$. For each fixed $j$ it tends to zero and $0\le f_n(j)\le b_j$. Dominated convergence givesthe stated Kronecker lemma.

For a bounded interval union $B$, $S_j\sim N(0,j)$ has density bounded by $1/\sqrt{2\pi j}$. Hence $\mathbb{P}(S_j\in B)\le |B|/\sqrt{2\pi j}$, andBy Tonelli's theorem, the nonnegative series is finite almost surely. Kronecker lemma then makes the empirical occupation fraction of $B$ tend to zero. The family of finite rational-endpoint interval unions is countable, so intersecting their probability-one events proves simultaneous convergence for all of them. For the whole line, every indicator is one. ThusThere is no countably additive Borel measure extending these values: $\mathbb{R}={\bigcup }_{n\ge 1}(-n,n)$ would have measure zero by continuity from below, contrary to its assigned measure one. The escaped empirical mass cannot be captured by a probability measure on the real line.

This is the Gaussian random walk spends zero density of time in bounded sets phenomenon.