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A note on the Birkhoff ergodic theorem (CROSBI ID 238238)

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Sandrić, Nikola A note on the Birkhoff ergodic theorem // Results in mathematics, 72 (2017), 1/2; 715-730. doi: 10.1007/s00025-017-0681-9

Podaci o odgovornosti

Sandrić, Nikola

engleski

A note on the Birkhoff ergodic theorem

The classical Birkhoff ergodic theorem states that for an ergodic Markov process the limiting behaviour of the time average of a function (having finite $p$-th moment, $p\ge1$, with respect to the invariant measure) along the trajectories of the process, starting from the invariant measure, is a.s. and in the $p$-th mean constant and equals to the space average of the function with respect to the invariant measure. The crucial assumption here is that the process starts from the invariant measure, which is not always the case. In this paper, under the assumptions that the underlying process is a Markov process on Polish space, that it admits an invariant probability measure and that its marginal distributions converge to the invariant measure in the $L^{; ; ; ; 1}; ; ; ; $-Wasserstein metric, we show that the assertion of the Birkhoff ergodic theorem holds in the $p$- th mean, $p\geq1$, for any bounded Lipschitz function and any initial distribution of the process.

Birkhoff ergodic theorem ; ergodicity ; Markov process ; Wasserstein metric

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Podaci o izdanju

72 (1/2)

2017.

715-730

objavljeno

1422-6383

10.1007/s00025-017-0681-9

Povezanost rada

Matematika

Poveznice
Indeksiranost