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Birkhoff ergodic theorem for ergodic finite-measure systems

Statement

Assume the Axiom of Choice. Let T preserve an ergodic measure μ with 0<μ(X)<∞. For every real- or complex-valued f∈L1(μ),

Anf⟶1μ(X)∫Xf dμ

both μ-almost everywhere and in L1(μ).

Facts & Assumptions

Given: AC, the ergodic finite positive measure system, and f in the Statement.

[F1]

Birkhoff supplies an invariant a.e. limit (Birkhoff pointwise ergodic theorem).

[F2]

Under AC, the finite-measure identification gives ∫Xf∗=∫Xf (Finite-measure identification of the Birkhoff limit, The Axiom of Choice).

[F3]

In an ergodic probability system every finite-valued a.e.-invariant real or complex measurable function is constant a.e. (Equivalent invariant-set and invariant-function criteria for ergodicity).

[F4]

On a finite measure space the averages converge in L1 to their Birkhoff limit (Ergodic averages converge in Lp on finite-measure spaces).

Proof

technique · direct
1.1F1

Normalize the measure to μ^=μ/μ(X). This does not change measurable sets, null sets, invariance, or ergodicity, and T preserves μ^. By [F1], Anf→f∗ a.e. and f∗∘T=f∗ a.e.

2.1F2F3step 1.1

Applying [F3] to the normalized probability system makes f∗=c a.e. for some scalar c. The event identity of [F2] at E=X gives cμ(X)=∫Xf∗ dμ=∫Xf dμ, so c=μ(X)−1∫Xf dμ. This is where the AC-dependent Radon–Nikodym identification is used.

3.1F4step 2.1∎

The case p=1 of [F4] gives ∥Anf−f∗∥1→0. Combining with step 2.1 proves both modes of convergence. For complex f, [F3] and the integral identity apply to its two components, producing the same complex constant formula.

Depends on

Used by

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Sources