A Note on the Birkhoff Ergodic Theorem

2017/04/12 by Nikola Sandrić, Sandrić, Nikola · 2 citations
Economics, Econometrics and Finance · Mathematics · #60J05 #60J25 #FOS: Mathematics #Markov Chains and Monte Carlo Methods #Point processes and geometric inequalities #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1704.03681

openalex publication_date 2017/04/12 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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, p≥1, 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 L¹-Wasserstein metric, we show that the assertion of the Birkhoff ergodic theorem holds in the p-th mean, p≥1, for any bounded Lipschitz function and any initial distribution of the process.

Citations

• Foundations of Modern Probability

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