Question about probability spaces $(X,\mathcal B,\mu)$ with a measurable map $T\colon X\to X$ preserving the measure, that is $\mu(T^{—1}A)=\mu(A)$ for all $A$ measurable.

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1answer
19 views

Are $L_\infty$ functions measurable/integrable?

Lemma 2.6 of "Ergodic Theory with a view towards Number Theory" (Einsiedler-Ward) involves: $$ \int f d\mu $$ where $f \in L^{\infty}$. Actually it is a calligraphic $L$ and I'd love if you would ...
3
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1answer
30 views

What is known about the space of measure-preserving transformations?

I started reading about measure-preserving transformations, the ergodic theorems and mixing, but I was also wondering what is known about the space of measure-preserving transformations. The books ...
-1
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1answer
37 views

ergodicity in $\mathbb{Z}^d$

Fix $d \geq 1$ and let $E(\mathbb{Z}^d)$ denote the set of all edges of the graph $\mathbb{Z}^d$. Let us consider a measure preserving system $(\mathbb{R}^{E(\mathbb{Z}^d)}, ...
0
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2answers
21 views

measure preserving system

Let $T$ be a measure-preserving transformation on a probability space $(\Omega, \mathcal{F}, P)$ and let $A \in \mathcal{F}$ such that $P(A) > 0$. (i) Show that there exists $n \geq 1 $such that ...
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1answer
21 views

Measure preserving ergodic map commutes with complementation?

This is probably trivial (in which case I apologize), but it's late and I would really like a quick proof/counterexample for this (for a different problem that I'm doing): if $(X,\mathcal{M},\mu,T)$ ...
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1answer
17 views

Initial point and initial distribution of the Markov chains

I am reading about Markov chains on a general state space and the ergodicity theory. Some of the ergodic theorems are presented when we consider n-step transition probability conditional on initial ...
0
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1answer
30 views

Why is the shift map ergodic?

Given a finite set $S$, in the space of strings $\Sigma=S^{(\omega)}$ equipped with the Bernoulli measure $\mu$, I want to know why the shift map $\sigma:\Sigma\rightarrow \Sigma $, define as ...
0
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1answer
19 views

Simple eigenvalue of Koopman operator

Let $T : X \to X$ be a measure-preserving transformation and $U_T : L^2(X, \mu) \to L^2(X, \mu)$ , $(U_T f) (x) = f(Tx).$ What does it mean a $\bf{simple}$ eigenvalue of $U_T$? $\lambda \in ...
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0answers
11 views

If $1$ is a simple eigenvalue of $T$, then $T$ is an ergodic measure-preserving transformation

Let $T : X \to X$ be a measure-preserving transformaton and $U_T : L^2 (X, \mu) \to (X, \mu)$, $$(U_T f) (x) = f(Tx).$$ I have to show that if $1$ is a simple eigenvalue of $U_T$, then $T$ is ...
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0answers
16 views

the prerequisites for “an outline of ergodic theory” by Kallikow and Mccutcheon

I want to study an ergodic theory book, and the book "an outline of ergodic theory" seems to be smooth and introductory. But in its preface nothing has been mentioned about prerequisites. All I know ...
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0answers
18 views

Generic point for circle doubling map?

Let $X=\{0,1\}^{\mathbb{N}}$ withe product topology and consider the sigma algebra $\beta$ generated by the open sets. Let $T:X\rightarrow{}X$ be the circle doubling map viewed as the shift ...
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1answer
20 views

Different ergodic probability measures are mutually singular

Can someone, please, give me a hint on how to demonstrate that different ergodic probability measures are mutually singular? Thank you!
0
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1answer
52 views

Ergodicity of stochastic process

If one can show that the process converges to a stationary process in probability, does it mean that the process is ergodic?
1
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1answer
25 views

Example for a non-ergodic stationary process

Let $(X_n)_{n \in \mathbb{N}}$ be a (strictly) stationary process and let $T$ denote the left-shift on $\mathbb{R}^\mathbb{N}$, i.e. $T((x_n)_{n \in \mathbb{N}}) = (x_{n + 1})_{n \in \mathbb{N}}$. ...
0
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0answers
15 views

Theorem of Daniell-Stone (uniqueness when assuming compactness)

Theorem of Daniell-Stone. Let $L$ be a $\sigma$-continuous abstract integral on a Stone lattice V of real-valued functions on $\Omega$ and let $\mathcal{A}(V)$ denote the set of all $V$-open ...
0
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1answer
32 views

Strengthening Poincaré Recurrence

Let $(X, B, \mu, T)$ be a measure preserving system. For any set $B$ of positive measure, $E = (n \in \Bbb N |\; \mu(B \; \cap \;T^{-n}B) > 0)$ is syndetic. This exercise comes from Einseidler ...
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0answers
62 views

Ergodicity of stochastic recursive process

Does anyone know how one can show ergodicity for a recursive stochastic process determined by the following equation: \begin{equation} X_n = f(\varepsilon_{n-1},Y_{n-1})X_{n-1}, ...
0
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1answer
21 views

Criterium in ergodic theory.

Given a topological space $X$ with a probability measure $\mu$ and a continuous transformation $T:X \rightarrow X$ which preserve measure. If a set $A$ with $1>\mu(A)>0$ is such that the ...
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1answer
32 views

Approximating Borel Measure with Atomic Measures

I see some posts that are related to this one, e.g. Borel Measures: Atoms (Summary) I have a sort of particular question: I have one professor saying the following is true, while another says it's ...
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1answer
35 views

Connection between Ergodic Theory and Markov Chains

Could someone suggest a good reference where the connection between Ergodic Theory and (ergodic) Markov Chains is nicely explained ?
3
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1answer
64 views

Does the Central Limit Theorem Imply the strong Law of Large Numbers?

Assume that $(X_{k})_{k\geq 0}$ is a stationary (or weakly stationary) process defined on the same probability space $(\Omega,\mathcal{F},\mathbb{P})$. Can we assert from the convergence in ...
0
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0answers
43 views

Ergodic Theorem for Markov Chain with one closed communicating class and several transient states

It is known, that if a markov chain with a finite state space has only one closed aperiodic communicating class and several transient states, then there is a unique stationary distribution for this ...
3
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0answers
28 views

Writing a Hilbert C*-submodule of $L^2(X)$ as an integral sum over Hilbert subundles

In Ergodic Theory, some (though not all) presentations of compact extensions use Hilbert bundles. Given $(X,\mathcal{B},\mu,T)$ and a sub $\sigma$-algebra $\mathcal{G}\subseteq\mathcal{A}$ one has an ...
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1answer
20 views

Showing the ergodicity of a rotation on the unit sphere

Consider the rotation $R_\alpha(z) = \alpha z, R_\alpha : S^1 \to S^1$. Show that $R_\alpha$is ergodic with respect to Haar measure on $S^1$ $\iff$ $\alpha$ is not a root of unity. I don't know how ...
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1answer
53 views

Ergodicity vs Weak Mixing

I have been trying to prove the following: Let $(\Omega,\mathcal{F})$ be a measurable space endowed with probability measure $\mathbb{P}$. Suppose $\tau : \Omega \to \Omega$ is a measure preserving ...
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1answer
23 views

Birkhoff Ergodic theorem for two measures

Suppose $(X,\mathcal{B}, \mu, T)$ and $(X,\mathcal{B}, \nu, T)$ are both ergodic ppt. I'm a bit confused how the B Ergodic Theroem works since the LHS of the equation doesn't involve $\mu$ or $\nu$, ...
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1answer
25 views

Wandering set definition

I've seen two apparently different definitions and am wondering which is correct. A set $W$ is wandering if $\{T^{-k}W; k\in \mathbb{N}_0\}$ (resp. $\{T^{k}W; k\in \mathbb{N}_0\}$) are pairwise ...
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0answers
30 views

Law of large numbers extension

I have a process $\{X_t\}_{t\ge0}$ which is not iid. All the $X_t$ have finite first moment and via simulation I have a strong feeling that $$ \lim_{m\rightarrow\infty}\frac{1}{m}\sum_{t=0}^{m-1}X_t = ...
0
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0answers
175 views

What's the probability distribution of a deterministic signal or how to marginalize dynamical systems? (functional integrals in probability theory)

In many signal processing calculations, the (prior) probability distribution of the theoretical signal (not the signal + noise) is required. In random signal theory, this distribution is typically a ...
0
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1answer
23 views

Using Furstenberg's skew-product for $\alpha n^2$ equidistributed.

I am having trouble proving that if $\alpha_1,\alpha_2$ are irrational, then the sequence $(\alpha_1n,\alpha_2n^2)$ is equidistributed in $\mathbb{T}^2$. It is straightforward to use Furstenberg's ...
2
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1answer
25 views

Approximation of integrals smooth functions via sampling with non-Liouville number.

Suppose $\alpha$ irrational is not a Liouville number. i.e. we cannot find an a sequence of rational approximations $p_n/q_n$ with $|\frac{p_n}{q_n}-\alpha|<\frac{1}{q_n^n}$. I am trying an ...
2
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2answers
26 views

Consequences of Arnoux, Ornstein, Weiss Theorem.

The theorem states that any invertible, aperiodic, measure-preserving system on a Borel probability space is isomorphic to a cutting and stacking transformation. My question is, why is this useful? ...
2
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1answer
25 views

Rotation of the torus $T^2$ by irrational numbers linearly dependent over $\mathbb Z$

It is known that the rotation $x \to x + \alpha$ of $S^1 = \mathbb R / \mathbb Z$ with irrational $\alpha$ is ergodic and, in particular, $\alpha n$, $n = 1, 2,\dots$, are dense in $S^1$. In two ...
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2answers
102 views

Initial conditions that converge to an unstable equilibrium

Consider the discrete-time dynamical system \begin{align} x_{k+1}=T(x_k), \end{align} where $k\in\mathbb{N}$, $x_k\in\mathbb{R}^n$, $x_0$ is the initial condition, and $T:\mathbb{R}^n\to\mathbb{R}^n$ ...
2
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0answers
27 views

Spectrum of $T^2$

Is it possible that $T^2$ has a discrete spectrum when $T$ is an invertible measure-preserving transformation whose spectrum is continuous or mixed ?
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1answer
21 views

can two Markov kernels be close in total variation and differ in their ergodicity properties?

This is a question inspired by a recent MCMC paper and linked to an earlier question of Sam Livingstone that did not get any answer. Given two Markov kernels $\mathfrak{K}$ and $\mathfrak{H}$ such ...
2
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1answer
31 views

Ergodicity of the natural measure implies uniqueness of the invariant density?

Consider a dynamical system $x_{t+1} = F(x_t)$ defined in $\Omega$ and its natural measure to be $\mu$. The Perron-Frobenius operator $F$ maps the density $f$ in time according to $f_{t+1} = F(f_t)$. ...
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0answers
22 views

Why does ergodicity not neccesarily imply ergodic for the mean?

I'm trying to answer a question where I have an ergodic and covariance stationary process $\{x_t\}$, and without imposing further moment conditions need to prove $\frac{1}{n} \sum\limits_{t=1}^n x_t^2 ...
1
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1answer
50 views

Ultrafilter and upper natural densities

It is straightforward to show that there is an ultrafilter $\mathcal{U}_0$ on the positive integers such that every element $A\in \mathcal{U}_0$ satisfies $$d^\ast(A):=\limsup_{n\to +\infty} ...
5
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2answers
86 views

An intuitive explanation of how the mathematical definition of ergodicity implies the layman's interpretation 'all microstates are equally likely'.

I'm self-studying Statistical Mechanics; in it I got Fundamental Postulate of Statistical Mechanics and that took me to ergodic hypothesis. In the most layman's language, it says: In an isolated ...
2
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0answers
31 views

Moving Average of an Ergodic Markov processes.

Let $ \{X(t); t\geq 0\} $ be an ergodic Markov process, and let G be a positive integrable function with $\int_0^\infty G(x)dx=1$. Does $$F(t)\doteq G*X(t) = \int_0^t G(t-s)X(s)ds $$ converge in ...
3
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0answers
107 views

Zeta functions for flows on hyperbolic surfaces

The Riemann zeta function is defined by $$ \zeta(s)=\sum_{n=1}^\infty \frac1{n^s} $$ and can be written in the form $$ \zeta(s)=\prod_p\frac1{1-p^{-s}}, $$ where the product is over all prime numbers ...
4
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0answers
24 views

Question about a type of continuous state Markov-process.

EDIT: Solved! It turns out that if the function is continuous and various regularity conditions hold then the statement is true. This has been established in the 'stochastic approximation' literature, ...
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1answer
33 views

multiples of subset of $\mathbb{N}$

Suppose that $ A_1\cup \dotsm A_n=\mathbb{N}$ is a partition of $\mathbb{N}$ into disjoint subsets. Is it true that there is an integer $1 \leq k \leq n$ such that the set $A_k\cap 2A_k$ is infinite?
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30 views

Bernoulli-Shift is a stationary process

Let be $(\Omega, \mathcal{F}, \mathbb{P})=([0,1), \mathcal{B}([0,1)), \lambda)$. We define $Y_n : \Omega \rightarrow \Omega$ by $Y_n := 2Y_{n-1} \mod 1$. Many sources claim that this is a stationary ...
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0answers
28 views

Invariant $\sigma-$ field of double infinite stationary process

We know any stationary process ${(X_n)}_{n \in \mathbb{Z}}$ can be represented as $X_n(\omega)=X(\phi^n\omega)$. where we take the shift $\phi$ on the canonical space of the process and $X$ maps a ...
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0answers
22 views

Non-integrability and splitting of separatrices

It is well-known that the (first-order) Melnikov method is the standard technique to detect non-integrability of a perturbed system of ordinary differential equations or maps. Namely, the unperturbed ...
2
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0answers
22 views

Deterministic time changed ergodic process

This is more of a "ask-for-idea" than "ask-for-answer" question: Suppose $\{X_t\}$ is an ergodic process with a known stationary\limiting distribution $\pi$. Let $f(t)$ be a deterministic and ...
2
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0answers
57 views

Convergence of empirical average of Markov chain from transient class

I am trying to get an intuition of how to understand the limit of the empirical average $$\frac1n\sum_{i=1}^nX_i\tag{$\ast$}$$ of some Markov chain $(X_n)_n$ with transition matrix $P$ (let's assume ...
2
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0answers
17 views

Is there a mixing condition to get the decay property I want?

Let $(X,\mu)$ be a probability measure space and $T:X\to X$ an ergodic invertible measure preserving transformation. Consider a measurable set $A\subset X$ with $0<\mu(A)<1$ For each $N$ define ...