A note on the Birkhoff ergodic theorem

DOI10.1007/S00025-017-0681-9MaRDI QIDQ2407013zbMATH OpenOpenAlexFDO

Authors Nikola Sandrić

Publication date 4 October 2017

Published in Results in Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1704.03681

zbMATH Keywords

ergodicityWasserstein metricMarkov processBirkhoff ergodic theorem

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Continuous-time Markov processes on general state spaces (60J25)

Abstract: 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, $pge1$, 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, $pgeq1$, for any bounded Lipschitz function and any initial distribution of the process.

Recommendations

• A note on the ergodic theorem
• A Note on the Ergodic Theorem
• A theorem of Besicovitch and a generalization of the Birkhoff ergodic theorem
• Publication:4724860
• On a theorem of Besicovitch and a problem in ergodic theory
• A generalization of Birkhoff's pointwise ergodic theorem
• A note on the mean ergodic theorem
• Remarks on Ergodic Theorems

Cites work

• scientific article; zbMATH DE number 3875591 (Why is no real title available?)
• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• scientific article; zbMATH DE number 2133327 (Why is no real title available?)
• scientific article; zbMATH DE number 3272022 (Why is no real title available?)
• Approximations by Lipschitz functions generated by extensions.
• Asymptotic coupling and a general form of Harris' theorem with applications to stochastic delay equations
• Conservativeness and extensions of Feller semigroups
• Foundations of Modern Probability
• Markov Chains and Stochastic Stability
• Markov Processes With Lipschitz Semigroups
• Measure theory. Vol. I and II
• On the classification of Markov chains via occupation measures
• On the functional central limit theorem and the law of the iterated logarithm for Markov processes
• Optimal Transport
• Stability of Markovian processes II: continuous-time processes and sampled chains
• Strong Feller continuity of Feller processes and semigroups
• Subgeometric rates of convergence of Markov processes in the Wasserstein metric
• Topological conditions enabling use of Harris methods in discrete and continuous time

Cited in

(8)

• Hydrodynamic stability in the presence of a stochastic forcing: a case study in convection
• Stability of overshoots of Markov additive processes
• Ergodic averaging with and without invariant measures
• Variable selection in sparse GLARMA models
• On subgeometric ergodicity of regime-switching diffusion processes
• A note on the ergodic theorem
• On sub-geometric ergodicity of diffusion processes
• Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes

This page was built for publication: A note on the Birkhoff ergodic theorem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2407013)