A note on the Birkhoff ergodic theorem

DOI10.1007/S00025-017-0681-9zbMATH Open1386.60246arXiv1704.03681OpenAlexW2605404540MaRDI QIDQ2407013FDOQ2407013

Authors: Nikola Sandrić 

Publication date: 4 October 2017

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

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.

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

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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)

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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
• On sub-geometric ergodicity of diffusion processes
• A note on the ergodic theorem
• Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes

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