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ergodic theorem
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(Theorem)
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Let $(X, \borel, \mu)$ be a probability space, $f \in L^1(\mu)$ and $T\colon X \to X$ a measure preserving transformation. Birkhoff's ergodic theorem (often called the pointwise or strong ergodic theorem) states that there exists $f^*\in L^1(\mu)$ such that
\begin{equation*} \lim_{n\to\infty}\frac{1}{n}\sum_{k=0}^{n-1} f(T^k x) = f^*(x) \end{equation*}for almost all $x\in X$ Moreover, $f^*$ is $T$ invariant (i.e., $f^*\circ T = f^*$ almost everywhere and $$\int f^*d\mu = \int f d\mu.$$ In particular, if $T$ is ergodic then the $T$ invariance of $f^*$ implies that it is constant almost everywhere, and so this constant must be the integral of $f^*$ that is, if $T$ is ergodic, then $$\lim_{n\to\infty}\frac{1}{n}\sum_{k=0}^{n-1} f(T^k x) = \int fd\mu$$ for almost every $x$ This is often interpreted in the following way: for an ergodic transformation, the time average equals the space average almost surely.
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"ergodic theorem" is owned by Koro. [ full author list (3) | owner history (2) ]
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See Also: ergodic
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strong ergodic theorem, Birkhoff ergodic theorem, Birkhoff-Khinchin ergodic theorem |
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Cross-references: average, integral, implies, ergodic, almost all, strong, pointwise, transformation, measure preserving, probability space
This is version 8 of ergodic theorem, born on 2002-02-16, modified 2006-06-08.
Object id is 1996, canonical name is ErgodicTheorem.
Accessed 13182 times total.
Classification:
| AMS MSC: | 47A35 (Operator theory :: General theory of linear operators :: Ergodic theory) | | | 37A30 (Dynamical systems and ergodic theory :: Ergodic theory :: Ergodic theorems, spectral theory, Markov operators) |
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Pending Errata and Addenda
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