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# Eduard Emel'yanov

## INVITATION TO ERGODIC THEORY

Preface The ergodic theory goes back to the end of 19th century and has roots in physics (in particular in astronomy and in gas mechanics). Nowdays it is one of basic techniques in
probability theory, measurable dynamics, and in many other areas of mathematics. The main aim of this course is to give an introduction to basic concepts of ergodic theory such as recurrence, ergodicity, mixing, weak mixing, etc. It requires some knowledge of measure theory and Lebesgue integration. We include a short presentation of these topics in Chapter 1. Although the material of this chapter is standard and may be found in many textbooks (see, for example, 17,4,9,10]) we include few proofs of interesting elementary theorems there. We consider recurrence and ergodic transformations of measure spaces, and study selected classical examples i n Chapter 2. Then, in Chapter 3, we prove the Birkhoff individual ergodic theorem and the von Neumann mean ergodic theorem. In the last chapter, Chapter 4,, we discuss Frobenius - Perron operators, mixing, exactness, and weak mixing. We emphasize the introductionary character of this onesemester graduate course and send the reader for delicate, difficult and interesting topics of ergodic theory to textbooks , l5l , l7l, 

Ergodic Theorems

## 3.1. 3.2. 3.3.

The Birkhoff Ergodic Theorem The von Neumann Mean Ergodic Theorem Applications of Ergodic Theorems

Related Topics

4.1. 4.2.

Flobenius Mixing

Perron operators

Bibliography

Chapter

## Elements of Measure Theory

In this chapter, we outline briefly several essential concepts of the measure theory and the Lebesgue integration. For exhaustive presentation of these topics, we refer to standard
textbooks [1, 4, 9, 10].

1.1

o-Algebras

The theory of o-algebras plays a significant role in the probability theory and in the ergodic theory.

is

## called an algebra i,f

CHAPTER

1. ELEMENTS

OF MEASURE THEORY

It is an easy exercise to show that any algebra is closed under operations -4 n B and,4A B - (A \ B) U (B \ A)

Definition 1.L.2 An algebra D 'is called a o-algebra ,f UAn D yi,elds for any countable fami,ly {An}n g I.
k

As in the previous exercise, it is easy to show that any oalgebra is closed under countable intersections. A bit more difficult (but stil trivial) exercise is to show that an algebra, which is ciosed under countable unions of pairwise dis.joint
sequences of sets, is a o-algebra.

## A simple example of a o-algebra is the collection ali subsets of a nonempty set X.

(X) of

As an example of algebra which is not a o-algebra, one may consider the collection A(T,R) of all intervals (o,,b), (o,bl, lo,b),, lo,b1, (-oo, b) , (o,+oo) in IR and their finite unions.

Exercise 1.1. 1 Show that the fami,Iy of all countable and all co-countable subsets of a non-empty set,is a oalgebra. What would be 'in the case i,f finite subsets ,instead of countable subsets are considered.
Given a non-empty family F of subsets of a non-empty set X, the algebra A(F) generated by F is the intersection of all algebras containing F (at least one such an algebra exists, the algebra P (X)). The definition of the o-algebra A"(F) generated by F is similar.

1.1.

r-ALGEBRAS
1

Exercise

.L.2

## {(-oo, bl}a.o u {{b}}a.o.

- A(F), where

The o-algebra A,(A(T,R)) is called the Borel o-algebra of subsets of lR. More generally, the Borel o-algebra of a topological space (X, r) is the o-algebr a Ao(r) generated by the collection r of all open subsets of X .

It is often a challenging problem to describe the o-algebra A"(F) generated by a family .F in a more constructive way
than just the intersection of all a-algebras containing F.

In the next two subsections we study several important results about o-algebras and recommend the reader to complete all details of the proofs below, or to consult textbooks Iike [1 , 4, 6, I7].

## Definition 1.1.3 A collect'ion K

of subsets of X ,is sa,id to be o zr-system ,f i,t 'is closed underintersect,ion of ang two of its sets, and A e K.

Denote by

r(F)

F gP6)

CHAPTER

1.

## Definition 1.L.4 A Dynkin system i/ 1) X eD;

UAn e D.
k

collect'ion

D g P(X) is called

a,

D

impl'ies

Denote by

EP6)

## (F) the Dynkin

K

system generated by

Theorem 1 If

be a n-system then

A"(K) -D(K).

## Proof: It is obvious that D(K) q A"@) is a Dynkin

system. We show that

A,(K) g D(K)

Note that any Dynkin system, which is a a"-system, is a o-algebra. So, it is enough to show that D(K) is
a n'-system.

Let A

family:

## DA: {B e D(K): AnB e D(K)}.

The collection D,q, is a Dynkin system. Indeed, the condition 1) of the last definition is obvious. Let {Bp}p q Da and Bn) B^ o when k Then {An B*)n eD(K) is a pairwise disjoint family. Hence

I *.

Ute n ail

- An U Bn e D(K)

1.1. r-ALGEBRAS

and then

U Bn e Dn.
k

Then the condition (3) is satisfied. To check the conditio" (2), take B e Da. By

Exercise
We obtain

A)),

(AnB)

u(x\ A):s

Exercise

## (ntnt Be K+Bn AeKcD(K)+aenn)

Let A K. Using K g Dt, we obtain D(K) g Da D(K), and hence D(K) - Da for every -c A e K. Consider the foilowing implications:

AeK+DA:D(K)+ li,f A e K and B e D(K) - DA, then A)B e D(K)I =+ lx q Dn e D@) i,f B e D(K)) + DB : D(K) (VB D(K)) =+ A)B eD(K) (VA,B e D(K)).
The last condition means that intersection, what is required. I

## D(K) is closed under the

8
(optional
)

CHAPTER

1. ELEMENTS

OF MEASURE THEORY

## and the Monotone Class Theorem

Let us consider now two more results of the same nature which are known as the zr-)-Theorem and the Monotone
Class Theorem.

Definition 1.L.5

collect'ion

L C P(X)

'is called

a ,\-system or \-class

o)XeL;

## b)A,Be L, AgB+B\AeL; c){An}ngL, AnIA+AeL.

)(F) the ,\-system generated by F gP(X)
(zr-,\-Theorem) is a r-system then A"(F)

Denote by

Theorern
U

Proof: Obviously To prove )(f) ) Ao(f), it suffices to show that )(f) is a o-algebra. It is enough to show that )(.F) is closed under
countable intersections. (WhA? Show
Consider

.\(.F) g A"(F)

^(.F).

thisl

Then

f).

F.

Hence

Consider now

^rV)-{A.\(r)

:AnBe^(F)

VBe )(-r)}

1.1. r-ALGEBRAS

Then

## )(^(4) ^(r)). fore )2 (F) Definition 1.1.6 tone class i/

is (again as above) a ,\-system containi ng F ^r(F) (Hint: start w'ith x(F) instead of f and remark that
Hence

^r(f) The last equality means that ,\(.F) is ^(F). closed under countable intersections, what is required). n
A fami,lA

Fe

g ,\(4

and there-

## M g P(X) i,s called a mono-

i,)x#a;
i,i,)

M, An I A + A e M; iii) {Br}r I M, Bn I B + B e M.
{An}r g

Denote

F CP6)

by M(F) the

,is an

Theorem

If A

## (Monotone Class Theorem) 'is an algebra then A"(A) : M(A).

Proof: Obviously M(A) S A"(A). To show the converse A"(A) g M(A), it is enough to prove that M(A) is an
algebra.

For each G

g X,

define

## MG:{BgX: B\G, BuG, G\BM(/)}

It is obvious that Ms is a monotone class (just because
M(A)is)

10

CHAPTER

1.

Thus

Ag

Ms.

## M(A) e Mn for all E e A. Therefore C e Mn (VE A,C e M(A)),

which is equivalent to

E e Mc (WhA? Show thi,sl. So, for any C e M(A)), M(/)) q Ms (since A g Ms and Ms is a monotone class). The condition

M(A) e Mc e M(A) (vc M(/)) means that for every B, C e M(A): B\C, BuC, C\B M(A). Together with the fact that X M(A)., this implies that M(A) is an algebra. The proof is complete. n

1.2. MEASURES

11

L.2
,f

Measures

A funct'ion
pr,:

A-

nR

- U{+*}

## be a o-algebra of subsets of X. ,is called, o measure R

o) p(a) - 0; b) p(A))0forallAA;
c) t-r (?

r-) :

## t @n) for any countabte fam,ity {An}n

probabilistic (p(X) - 1), finite (p(X)_. oo), or o-finite (={&}8, q "4 such that X - [J X" and
lr(X,)
space.
Except of counting measures on countable sets, constructing a measure on a o-algebra could be a difficult task. We shall not go deeply in details and only mention key steps of construction of the Lebesgue measure on IR.

oo for each

n).

n':1

## Definition 1.2.2 A tri,ple (X,A, p,) it

called a measure

L.z.L

Lebesgue measure on

IR

First of all, we need a large enough a-algebra (containing the Borel algebra 6(R)) otr which our measure will live.

12

CHAPTER

1.

## ELEMENI:S OF MEASURE THEORY

Secondly, this measure should agree with a certain function on a certain subset of 6(R) (for example, with the length on the collection J g 6(R) of all intervals).

For this purpose, w extend the length I . J -+ R+ IR+ U {+*} to a function \ . P(R) * R1, and then take the restriction of ) on a certain o-algebra D ) B(R), otr which ,\ acts as a measure. Some of details follows.

## where we denote A"

ren): 11, e r k Asp.r} - inr {: I - {A, )(E) : \(E.A)+)(tr.A") for all E e 2(R)},

)(A)

R \ A.

## The classical Caratheodory theorem says that

algebra containing 6(R) and )(1) l(I) for every Moreover, D is complete w.r.t. (i.e. )(B) 0 =+ B and ,\lr is a measure.

is a o-

I J. e I)

Remark that the Caratheodory theorem holds true if we start with any countabiy additive nonnegative function on an algebra of sets (not necessary with the length of intervals).

Definition 1.2.3 The o-algebra D constructed aboue called a Lebesgue algebra, and the n'Leasure )1"
called o Lebesgue measure.

,is ,is

It

is worth to note that the Caratheodory theorem is rather deep result and that the ideas that had led to the Lebesgue go back to the end of 19th cenmeasure space (R, I(lR),

tury.

^)

1.2. MEASURES

13

Remark that the Lebesgue algebra D(R) is strictly bigger than the Borel algebra 6(lR). It can be shown (for example, by using of Monotone Class Theorem) that the cardinality of the Borel algebra Card(6(R)) is c - 2N. On the other hand, the ternary Cantor set C is Borel measurable, Card(C) : c, and )(C) : 0. Therefore by the completeness of D w.r.t. ), all subsets of C belong to I and thus

Card(D) ) Cu'd(P(C))

:2')

Card(B(R)).

Although Card(I)

proper subalgebra of 2(R). By using the Axiom of Choice, it is rather easy to construct an example of a subset of IR. which is not Lebesgue measurable.

is

## L.2.2 Isomorphisms of measure spaces (optional)

Two measure spaces (X, A,,p) and (X' , A , p') are said to be isomorphic mod 0 if there exist measurable sets Xo e X , XI S X' of full measure (i.e., p,(X \Xr) p'(X'\X6)

0) and a bijection Xo I ,'rsatisfying 1) A A' 1"6, <+ 0-'@) Alxo, z) p(d-'(A)) t''(A)YA e Alro

## We call such a bijection O an isomorphism mod 0 or just

isomorphism.

Example 1 .2.L Let F e [0, 1] be a closed set such that )(F) > 0. Defi,ne a n'Leasure p on Dlp by
p(A)

- I(,4) l^@)

(A e

tlr).

14

CHAPTER

1. ELEMENTS

OF MEASURE THEORY

Defineo,rnapQ:F---+

[0,

1] by

_ )(F n [0, r)) d@) XF) It i,s not ltard to uerify that (f, f le,lt) 'is 'isomorpltic to
(10, 1],

Illo,tl,

))

bg the 'isomorphi,sm Q.

nonatomic complete separable measure space is isomorphic to (1, Ilr, )), where 1 g R is an interval (bounded or unbounded).
More interesting fact is that any

L.2.3
be a

measure space

(X,A, p)

## 'is sa'id to or s'imply

1) (X, A, p) 'is o -fini,te; 2) X - D I I'is a d'isjoi,nt un'ion of a countable set D and an'interual / q R such that (L,Alr, p) : (I ,t, )).
The component (D, Alo,p) is called a canonical atomic LMS. The component (I ,Alr,F) (which is nothing else than the interval -I equipped with the Lebesgue measure .\) is called a canonical nonatomic tMS.

Definition 1 .2.5 A complete measure space (X, A, p) is called a Lebesgue space if it 'is 'isomorph'ic mod 0 to a
canon'ical LMS. Remark that in the ergodic theory, Lebesgue spaces are of main interest among all measure spaces.

1.2. MEASURES

15

## I.2.4 Approximation with

semirings (optionar)

Definition 1.2.6 A
disjoi,nt sets

## nonernpty r-system R g P(X) is called a semiring on X if , for any A, B e R, the;e erist

Et,...,En R

such that A

\ B - lJ Er.
k:l

As an example of semiring, one may consider the collection J(R) of all intervals in IR. The following proposition is almost obvious.

## Proposition L.z.L Let R

where An e

be a sem'iring.

If A - U
n:I

An,

R, then A - i)

k:L

,r, where Cn e R.
by 81

Proof:
n

Define a sequence

only thing that is left to write each B, asairi#":i union of sets belonging to R. We show this by induction. Obviously,
m,p

{8"}"

1l

f,.

The

81 R.

p:

B, - l)
nn

R, for

same property.

## : I) Bi. Hence j:I

Bn+r:An+r\U Aj:An+r
j:I

\U Bj:
j:1

16

CHAPTER

1.

nnpj

for

"

Etk

all p1

by

## nnl' bn+t-nLlr'ri:L k:7

lJ t E/,rn tr'*rn...

/}}

## which is nothing else than a disjoint union of elements of R.

By the induction, all Bn have such representation, which completes the proof. n

Definition 1.2.7 Let (X,A, p) be a measure space. A sem'iring C g A of sets o/ finite measure is sa,id to be a suffi.cient semiring for (X,A,p,) xf for euery A e A:
,r

## {ij:l te): Ae|", , i:7 t

ci. c}
)

Let us mention the following useful approximation property which follows directly from Definition I.2.7 and Proposi-

tion

7.2.7.

(X, A,

p)

## be a nxeasure space wi,th a suffic'ient sem'iring

1.2, MEASURES

17

C. Let A e A, p(A)
erists a fin'ite disjoi,nt un'ion
such tlt at

and let

Ao:

lJ Cp of sets Cn k:I

p,(AAAo) < r.

Among others applications of the concept of the sufficient semiring, w mention the following useful approximation
lemma.

## Lemma L.2.L Let (X,A, p)

be a nleo,sure space w'ith a sufficient sem'iring C. Then, for any A wi,th p(A) oo, there erists a sequence Hn in A such that p(H") oo, H" I H A, p(H \ A) 0, and each Hn 'is a countable di,sjoi,nt union of elements of the sem'iring C.

( (

Proof:
exists

## Since C ts a sufficient semiring, for any

0, there

H(r)- 3t,,Cj C,such thatAq HG)and j:7 p(H(e) \ A) ( e. Write Hn: H(1) ) H(+) n . . . ) H(*)
Since C is a n-system, it is easy to verify that each Hn ts a countable union of elements of C. By the Proposition I.2.L, Hn is a disjoint countable union of elements of C. Furthermore, Hn H, which obviously has the required proper-

ties. n

18

CHAPTER

1.

## ELEMENTS OF MEASURE THEORY

1.3

Lebesgue Integration
an

properties.

## 1.3.1 Measurable functions

Definition 1.3.1 A function f : X ---+ IR zs called measurable i,f f-'(I) e A for euery I /(R).
Note that the collection M(X, IR) of all measurable realvalued functions on X is ciosed under all point-wise algebraic

and lattice operations (like addition, multiplication, taking the positive part, etc.). Moreover, M(X, R) is closed under the point-wise convergence.

## L.3.2 Construction of Lebesgue integral

In defining the integration on (X, A, p), ,t is natural to assume that the integral of lla is equal to p,(A), and that the integral preserves linear operations. This gives us the first step in the constructing of the Lebesgue integral.

## Definition 1.3.2 Let p,(X) < oo and f e M(X,R)

simple funct'ion:
n

be a

f (")

-t i,:l

\tn,qu

(); e R).

19

## Then th,e integral of

I^n

is defi,ned

by

I f @) t'@r) '- !

\p(At).

:_1

L-T

It is also reasonable to have an integration that allows passing to uniform limits of integrands on sets of finite measure. So the second step of our construction is following

## Definition 1 .3.3 Let p(X) bounded, and {g"}" be a sequence of

conuerging to

si,mple funct,ions

uni,formly. Then

## Iim I f @) p,(d,r) :- n---+6 JI g,@) 1t(d,r). J

From now on we ailow the Lebesgue integral to take infinite values. To avoid minor technical difficulties in the next two steps of our construction of the Lebesgue integral, w
consider non-negative functions.

ff

Then

XX
where

tol u@,),-;,*

r.@) p,(d,r)

20

CHAPTER

1.

## ELEMENTS OF MEASURE THEARY

Now we remote the condition p(X) oo, by using an idea similar to that one in the last definition.

## Definition 1.3.5 Let0 <

f e M(X,R). Then
r@) p(d*),p(A).

{x"l
where

p@r):-

sup

{l

*}

I r wl rr@*) ,: I AX
agreement:

na,(*)

f (r)

p,(d,r).

## Definition 1.3.6 Let0 <

r' I tf"l \ ./ [ / J \ /'1t(d,r):- J f

e M(X, lR).

Tlr,en

\ @) p,(d,r)

- [ r@) p(dr),

i,f at least one of integrals 'in the ri,ght-hand si,de i,s fini,te.

## The construction of the Lebesgue integration on (X, A, p)

is complete.

Remark that the last technical agreement, which allows us to deal with integrals which are not necessarily finite, cannot be used for complex-valued functions (or, more generally, for functions with values in IR" for n > 2).

1.3. LEBESGUE

INTEGRATIOAi

21

## In our course) we shall often make of use the collection

Lr(X, A, p) of all Lebesgue integrable real-valued functions on X (i..., functions / such that f f (") p(dr) exists
and finite). It is obvious that Lr(p) Lr(X,, A, p) is a vector space. To simplify notations, we shall often write f ap

I f @) p(d") X

L,(p)

- Lt(p)t

{r
ll

. L,(p) ,
ll

I
-

tftdr,: ,}
R defi,ned by

## 'is normed space

w.r.t.
il

r : Lt(p)

t/t il,

'- I
X

,,t du

The Lebesgue integral has some important properties that we shall often use. We state them without proofs.

## 1.3.3 Properties of the Lebesgue integral

Theorern 4 (Monotone Convergence Theorem) Let {f"}" g M(X,IR) sofzsfy 0 S f" I f a.e. Then

J XX

If

rf dp-lim

NJI

f"dp.

CHAPTER

1. ELEMENTS

OF MEASURE THEORY

We also refer to the monotone convergence theorem as to MCT. Among other things, it allows the integration of pointwise convergent series with non-negative terms:

Then

XX

## /1rt- inf f,) d"u <timinf I f,ou J'n'-nJ

Remark that the inequality in the Fatou lemma may be strict. For example, if (X, A, p) - ((0, 1], t, )) and fr: , . [(0,*1 then liminf f n - 0, but [- f" dp - 1 for all n. The situation will be changed drarrro{ti.ulty if we suppose a sequence to be bounded by a Lebesgue integrable function.

Theorem 6 (Dominated Convergence Theorem) Let {f"}" q M(X,IR), g e Lt(p), and lf"l a s a.e. for alln. If f"(r) -- f (") a.e. then f e Lr(p) and
n_-*

Iim

r*

I lf"- fldp- o.

1.3. LEBESGUE

INTEGRATIO.^{

23

## Theorern 7 (Jensen's Inequality) Let g : IR ---+ IR be

a convex funct'ion, 'i.e.:

## s(ar+(1 -c-)a)<as(r) +(t -*)g(a) for all r,U e R, 0 1a < 1. Then

,({ r,,)
for any f e Lt(p). n

{gff)d,,
(optional)

## L.3.4 Product of measure spaces

Let (Xr, At, p) and (X2,, Az, pz) be measure spaces. For
simplicity, we suppose measures pr , Fz to be finite. Denote by R the following set

R'.- {At x Az: At e Ar, Az e Ar) of all measurable rectangles in X1 x Xz. Note that R
is a z-system. Denote by O the algebra generated by R.
Define the function pr

## t Fz on R by l-4 & Uz(A, * Az) '.- ltL(Ar) ' pz(Az)

and extend it to O. This is possible because each elements of Q is a disjoint union of finitely many elements of R. Now we show that the function h & Fz is countably additive on O. For this purpose it is enough to show that h E Fz ts countably additive on measurable rectangles.

24
such that

CHAPTER

1.

## LetB"-ATxA|,Ai At,AT Azforn- 0, 1,...

co

D0 ,6Define a functian

- l) o".
n:I

fn: At

---+

R by

It
is obvious that
oo

Dr"@):t'r@8)
n:7

## D u' s t'r(B") - t pr(A?)' pr(AD n:l n:l

t I fndt, :
":, i?

Thus Fr I Fz ts countably additive on the algebra O. An application of the Caratheodory theorem gives the measure ,\ on the o-algebra o(Ar* Az) which extends ht 1t2. The measure .\ will be denoted by the same symbol W g pz.

IE-'")

## dt"- t"@?) p'(Ag): FtE t"(Bo)

Definition 1.3.7
and (Xr,, Az,, pz).

The n'Leasure space (X, x X2, o(A1 x Az), h g p,2) ,is called the product of the n'Leasure spaces (Xr, At, p)

1.3. LEBESGUE

INTEGRAT/OAI

25

Theorem 8 (The F\rbini Theorem) Let f (rr, rz) be a real-ualued Lebesgue ,integrable funct'ion on X1 x Xz. Then the second and the thi,rd iterated
'integrals below make sense and enjoy the formula:

I",*r,f

(*',rz)dtttu

## t": I*,(1.,f (*,,rz)dttz) or, ("'rz)dttr)

L,Ur,f

ou'' n
measurable

Theorem 9 (The Toneli Theorem) Let f (*r, rz) be o, real-ualued non-negat,iue funct'ion on X1 x X2. Then the funct'ions

are

At-

I*,,r,f

lr,(lr,f

## (*'' rz)dttz) o"

n

L'U"f
Example 1.3.1

(*''rz)dtt)

o"'

The non-negatiui,ty cond,ition'in tlr,e Tonel,i theorem 'is essent'ial. Indeed, consider the measure space

CHAPTER

1. ELEMEN"S

OF MEASURE THEORY

i,s

oo
oo

## I I r@,y)drdy -o+r: I I tn,y)d,yd,r 11 11

Remark that i,t is ea,sy to modi,fy the the construct'ion to make f (*, il cont'inuous on R?.

1.3.5 The Radon - Nikodym theorem and the Riesz representation theorem

In this subsection we formulate two very useful classical theorems of the theory of the Lebesgue integration. The first theorem deals with a representation of measures through functions and the second one with a representation of positive linear functionals through measures.

## - 0 => "(A) - 0. Theorem 10 (The Radon - Nikodim Theorem)

p(A) Let (X,A, p) be a o-fini,te
n'Leasure space, Iet

u be a p"-

cont'inuous n'Leasure. Then there erists a non-negatiue functi,on f e L,,(lt) such that

,(A):lfdt, (vAeA). n
A

## 1.3. LEBESGUE INTEGRATIOAI

Let X be a locaily compact metric space. For simplicity, one may think that X g lR'. BV Co(X) we denote the
linear space of all continuous functions infinity.

X -* IR vanishing on

Definition 1.3.8 A mappins d: Co(X) * IR zs called a) a linear functional i,f d@ft + 0 fz) : ad(f t) + gdjz) for all a,0 R, ft, fz e Co(X); b) a positive functional i/ f (") > 0 (Vr e x) =+ d(/) > 0 for all f e Co(X).
Theorem 11 (The Riesz Representation Theorem)
For eaery pos'it'iue l'inear funct'ional Q : Cg(X) ---+ IR, there is a unique fini,te measure LLO on the Borel algebra B(X)
such th,at

0(h)

h(")

pro@r)

(Vh e

Co(x)). n

Remark that the measwe p6 in the Riesz representation theorem is obviously finite. Moreover, it is clear that every finite measure LL on B(X), gives a rise to a positive linear func* tional d, on Co(X) by

or@)

28

CHAPTER

1.

Chapter

## Elements of Measurable Dynamics

2.t
Examples of Transformations

An abstract semi-dynamical system with discrete time is apair (X,r), where X is aset and r . X ---+ X is a mapping. We think of X as the set of states of (X, r) and of r as a law which controls the way how the system (X, r) evolves through time. In the case of an invertible r, the pair (X, r) is called an abstract dynamical system. If we consider a one-parameter semigroup (rr)r>o (oneparameter group ("r)r.o) of transformations of X, the pair (X, (rt)t) is called an abstract continuous semidynamical (dynamical) system with the state-set X. In this lecture, we study several elementary examples of transformations of measure spaces. We require them to

measurable (not necessarily invertible) transformations of a measure space (X,D, p). The study of such dynamical (semi-dynamical) systems is the subject of the ergodic
be

CHAPTER

2.

## ELEMENTS OF MEASURABLE DYNAMICS

Remark that, in many cases, the state-set possesses a typological structure. This is a very reach in applications area of theory of dynamical systems, which is called topological dynamics. Topological dynamics has been closely related with ergodic theory. The both theories go back to works of Henri Poincare in the end of 19-th century.

theory.

z.L.L

## Endomorphisms of a measure space

0 implies B e "4), otherwise one may take the completion of o-algebr a A. A measurable mapping r : X ---+ X is called nonsingular If p,(A) - 0 implies p(r-t(A)) - 0. Nonsingular mappings play a key role in the concept of a Perro Frobenius operator, which will be considered later. We do not need this concept in the present lecture.
and p,(A)

Let (X, A,, p) be a measure space. A mapping r : X ---+ X is called measurable if r-1(A) e A for every A A. We usually suppose A to be p-complete (i.e. B g A e A

Definition 2.f.L A
called endomorphis

r: X

--+

X ,is

p(r-'(A))

- p(A)

(vA e A).

## Remark that an endomorphism even in the case when ,(X)

doubling transformation below). The composition of two endomorphisms is obviously an endomorphism. Our main aim in this lecture is to give several classical examples of endomorphisms.

2.1. EXAMPLES OF
"R/NSFORMATIOI{S

31

Let

X:

[0, 1]

## the Lebesgue o-algebra on

S:X+Xby
s(,,r)

X.

We define a transformation

{ l\:'iq,L,y+})

i2:l l,3l

A<1; y <7.

To understand the operation of this transformation better, examine the following figure and take into the consideration the way by which the traditional baker is kneading dough.

-+'lrrrniffi-The mapping ,S : X
---+

ol-

is called a

baker transforma-

tion.
Obviously, ,S is measure preserving and invertible. Sometimes, the following 3-dimensional version of the baker transformation:

r(r,A, z) - (S(r,A),
by the figure beiow.

z)

## is useful. Iterations of the baker transformation are described

'l-lEJrr s f tttr
---T---;
r-L!-,r a

,l

32

CHAPTER

2.

## ELEMENTS OF MEASURABLE DYNAMICS

2.t.3

Rotation transformation

For any a e IR, define the rotation by a to be the transformation Ro : [0, 1) -* 10, 1)
given by

R*(*)-(r+*)(mod1).
Clearly, ,R* is invertible and measure preserving. It is also clear that B* is periodic rff a a Here we consider the Lebesgue measure on 10, 1). If a measurable transformation on (X, A) is given, then a measure p is called invariant measure for r lf r is an endomorphism of (X, A, p). Thus the Lebesgue measure ) is an invariant measure for ,Ro.

format'ion of (X, A, p). Show that ris an endomorph'ism iff ,-' is an endomorphism.
We usually identify [0, 1) with the unit circle

by

## t f0, 1) * 0(t) f. "2rti

is clear that the rotation transformation -R, becomes the on l. usual rotation Eo("'"tu) : "2r(t+a)i The following classical theorem is rather useful.

It

Theorern L2 (Kronecker) Letr 10, 1). The sequence @T,@))Po 'is dense in 10,1) iff a R \ a

## 2.1. EXAMPLES OF TRAAiSFORMATIONS

for simplicity Ro by R. AII the points Eo(") : n, Rt(*), ...) R(*)) ...are obviously distinct. By the Bolzano Weierstrass theorem, there exists a convergent sequence in (R(*))Po. Thus for a given j > r > 0, there exist nonnegative integers p

Proof: It is enough to show that the set {RX(r) > 0} ' ", is dense when a is irrational. Fix a R \ Q and denote

- p-q and d: lR'(*)-rl. Then the consecutive terms in the sequenc" (Rt'(r))pn are d-apart of each other. In fact, for I ) 0, lg(t+t),@)-R,(*)l _ lRt,(R,r)-R,(r)l _ lR,*_rl_
Hence

di.

## (R(r))Po in [0, 1). n

Although the statement of the last theorem is pretty simple, it will lead us to several important concepts. The first one is the notion of a minimal map r . X ---+ X on a metric space X. The minimality of T means just the density of the positive orbit {r"*}70 for any r X. The Kronecker theorem states exactly that all irrationai rotations -R* are minimal.

Among others applications of the rotation transformation Er, is the construction of a subset of 10, 1) that is not Lebesgue measurable. Fix an irrational a. Then the full orbit l, : @2")*?-* consists of distinct points. Moreover, for every frr, fr2, the orbits lrr,,lrrare either disjoint or coincide. By using the axiom of choice, take in any family of all orbits, which are equal to the same set l, a point r f. Denote

34

CHAPTER

2.

## the collection of all such points by

lo, 1)

A. Then

- rL, r". [J

By the construction of A,
lo, 1) Assume

- nZ R3(^) ll
0 then

1:)([0,
If)(A) >0then

1))

-I)(A)
N?L

-0.
:oo.
A
is not

1:)flo,

1))

-I)(A)
nZ

## 2.L.4 The doubling map

Our next example in study of transformations that is called the doubling map on 10, 1) is defined by

r(r)-2r(m,od1)
Iterations of

-['*' Izr-r

if o.a"tit if *5"<i.

## 2.1. EXAMPLES OF TRAAISFORMATIONS

35

;\ffiVl/+"W,-,
An easy investigation of the graph of r on the figure above gives us that r is a non-invertible endomorphism of [0, 1). Let D consist of all reals in X : 10, 1) of the form fi, and let Xs - X \ ,. The numbers in Xs have a unique representation in binary form as

[l'

rl 17

## r-\-g )r' L-t

i,:I
We call the sequence sentation of r.

oo

(ou

e {0, 1}).

## r acts on X0 as the left shift

oo

r(r)-IT
i:7
note that the set

@exo)

This representation of r shows among their things the density in [0, 1) of the set of periodic points of r. To see this,

i - i,:I #,

36

CHAPTER

2.

,L-

[0,

i,:L

## Iggqz D by the (rational) number /.-z

Y+
2i'

i,:k*1

Y'2k+t -I "' r ?n ./
I

2k(

n+I)k i,:nk

,nW-r
I

a'i

gives us another dense in [0, 1) set. Obviously, which justify the density of r-periodic points.

rkn -

tr,

Remark that the doubling map can be constructed on the unit circle instead of the interval 10, 1). This construction makes the rotation transformation continuous.

2.2
space

Recurrence
endomorph'ism

Definition 2.2.I An

(X,A, p) is called recurrent i,f for any A e A, almost eaerA poi,nt of A (i.". all po'ints of A\ltr, /r(lf) - 0)

r of a measure

## YAeA=tveA(p(lr) -0) & Yr ,4\ lr h@) > 0 (r"@r e A).

We think of

(1)

n(r) above as a return time to A. Remark that if the measure pl is infinite, then it may easily

happened that an endomorphism is not recurrent. For example, the shift transformation ,(*) r 1 on IR. Later

2.2.

RECURRENCE

37

on in Theorem 13 we shall see that this may not happened when p is finite.

## Exercise 2.2.L Let

r be a recurrent endomorplt,ism of (X, A,, p) and A e A. Show that there erists a null set lf1 such that for any r A\ m tltere'is an,increas'ing
sequence (depending on

wi,th

r*itrA
(Ulntt
(Jse

(VieN).
ULot-*(l[),
and, note that,

## N from (1), consid.er N1 : for eueryr e,4\ Nl c,4\N, r'(")s e a\rur )

the
set

2.2.L

Conservative endomorphisms

The following observation is an immediate consequence of Definition 2.2.1: an endomorphism r of (X,A, p) is recurrent iff

'(^\C
rence.

'-r@)) -0

(VAeA).

(2)

## The following lemma gives a useful characterization of recur-

Lemma 2.2.L An endomorph'ism r on (X,A, p) ,is recurrent iff r is conservative (i,.e. for anA g, p(B) > 0, there erists n ) 0 such that p(B ) r-n(B)) > 0).

CHAPTER

2.

Proof:

Suppose

## r("\C B),-r@)) - f,("t (""!j,"--,",)

: F("tp,'--,",) -o
Since

p@)

0. Thus

r is conservative.
A.
Denote by

Let

oo

B the

set A

## \ n:1' ,-"(A) from formula (2) above. It p,(B) U

-

then there is n
contradicts the definition of B, since no point of B belongs to ,-"(B) C r-n(A) Thus p(B) 0 and hence r is recurrent.

tr

## 2.2.2 Poincare Recurrence

The following result is one of the first theorems in ergodic theory. It is due to Henry Poincare (1899).

## Theorem 13 (Poincare Recurrence) Let(X,A,

a finite measure space. If ph'ism, then ris recurrent.

, :X

---+

pt) be

'i,s

an endomor-

suffices

is con-

2.2. RECURRENCE

39

p(B n r-"(B))

k>m)0,

0 for aII n

Therefore

## - rt(r-^ (r-(r'-^) (s) n B))

oo

F(r-u'-^)(F)nB) _0.
pI
/x \

\n:o

U,-"(u) I /

n:0

oo

OO,

## 2.2.3 Incompressible endomorphisms

Now, we present another characterization of recurrence in the case of o-finite measure. For this purpose, w need the following definition.

and p(C

## 'is called compress---+

i,f

r-I(C) g

incompressible if there is no

\ '-t(C))

cornpressi,ble set

for r.

Theorern L4 Let r

40

CHAPTER

2.

## ELEMENTS OF MEASURABLE DYNAMICS

r to be recurrent and let ,-t (C) g C for some C A. Put B - C \ The sequence "-'(C).
Proof:
Suppose

(r-"(B))Po

## obviously consists of pairwise disjoint sets.

t-/(c

>

C
In particular, ,-"(B) n B - g for all n 2.2.I, p(B) - 0. So r is compressible. Now let

1. By Lemma
Put

## r be incompressible and let A A. C - U ,-r(A) Then ,-t(C) g C. Obviously, k:0

c\'-'(c)-A\Ur-*(A).
k:I

oo

that

oo

o, which means

## 2.3. ERGODIC TRAAISFORMATIONS

4l

2.3

Ergodic Transformations

Ergodicity is one of most important concepts in our course. It was introduced by George Birkhoff and Paul Smith in
T928.

Definition 2.3.1

Let

of a rneasure space (X, A, p). Then ris called ergodi c i,f ,is euery r-'inuariant set A e A (i.e. p(r-'(A)LA) - 0) tri,u'ial i,n the sense that e'itlter p(A) - 0 or p(X \A) - 0.

be a nons'ingular transformat'ion

## We are mostly interested in

ergodic endomorphisms

on

## finite measure spaces. However some interesting results

hold true for arbitrary nonsingular transformations.

f . X - R, f o, = f (p-u..) + f : const (t -u..). Proof: ((-;)' Let r be ergodic, and let / . X -+ IR be a measurable function satisfying f r = f (lt-".".). Assume " that / is not a constant (p-*..). Then, for some a IR, the sets A - {f < a} and B - {f
measurable funct'ion measure. These sets are obviously r-invariant. For example, p-Le'

Theorem 15 Let r be a nons'ingular transformation of a measure space (X,A, p). Tlr,en r is ergodic i,ff, for euerA

,-'(A)

- {r: rtr A} f-

{f or < a}

{f < u}:

A.

r. Hence

const (p-u.. ).

42 ((

CHAPTER

2.

## ELEMENTS OF MEASURABLE DYNAMICS

z )) Assume that r is not ergodic. Take a nontrivial set A e A that is r-invariant. Then the indicator function Ila of A is not a constant (p-a.e.). However, Ila o r :n,-rpa1q-Lt'

[o.

## Obvious examples of ergodic endomorphisms appear measure space is trivial.

if the

Exercise 2.3.L Show that the i,dentity transformat,ion on a canon'ical Lebesgue space X 'is ergod'ic i,ff X ,is &
s'ingleton.

less trivial but stiil rather simple situation arises case of baker endomorphisms.

in the

Exercise 2.3.2 Show that the 3-d'imens'ional baker endomorph'ism 'is not ergodic. Show that 2-d'imens'ional baker endomorpltism ,is ergod'ic.
Sometimes the question on ergodicity of a given transformation is fairly simple. Here we mention only that the irrational rotation and the doubling map are both ergodic. However, in certain important cases) the question on ergodicity may be very deep and difficult.

## 2.3.L Recurrence and ergodicity

The shift transformation r(n) - n * 1 on Z is ergodic but not recurrent. Let us study conditions under which a transformation is recurrent and ergodic.

43

## Theorem 16 Let r be an endomorph'ism of a o-finite

measure space (X, A,

p).

## Then the follow'ing cond'it'ions

are equ'iualent: (1) 'is recurrent and ergodic; (2) " euery A e A, p(A) > 0, For

(3)

loo\

en'ists

n)

such that

,-"(A)nBla;
erists n

(4)

such that

## pt-"(A) nB) >0.

Proof: (t) + (Z). Let 1t(A) >
Since
0 and denote

B -- U ,-" (A)n:1

oo

is recurrent,

p l r-'(A)

/oo\

\n:r/

0.

Moreover

ergodicity

Suppose p(A)

r-"(A)

(2) =+ (3)

## x - x (r'-u.e ), or r, (\n:r/fl3 "-"(A)) - p(x \ B) :

) B - a for aII n

44

CHAPTER

2.

by (2),

oo

n:7

,-"(l)
p-Le'

## (p- a.e.) and then

oo

B
(3)

n:I

U ("-"(A) n B) _ s.

(4)

t'?-"(A)

B)oo

Let p(A)

0 for all n
(3).

## A \ u?-"(A) n B) Then p(C) n:l ,-"(C) ) B - a for all n ) 0, which contradicts

C-

(4) =+ (1). The recurrence of r follows, by Lemma 2.2.I, if we take B Ain (a). Assume that r is not mean ergodic. Then there exists a r-invariant (lr-u...) set A such that p,(A) 0, p,(X \ A) > 0. By (+) applied to B X \ A, there exists

n)0suchthat
0

r is ergodic. n

## 2.3.2 Spectral properties of endomorphisms

of a probability space (X, A, p). The endomorphism r induces a linear contraction S on Lr(p),, which is called the Koopman operator corresponding to

Let

r be an endomorphism

rby
S

f (")

t'-Le'

f (r("))

(f

e Lr(p))-

## A number ,\ C is called an eigenvalue of r if ) is an eigenvalue of S (i.e. there exists 0 + f Lr(p), which

is calied an

to

)). Obviousiy, ) :

## eigenfunction or eigenvector corresponding

1 is always an eigenvalue of

r.

## Lemma 2.3.L If ), i,s an e'igenualue of r th,en lll

1.

Proof:

: I gdp by the linear approximation, I g "rdp for any e for all S e Lz(p). Consequently, we obtain that f Lr(p)
satisfying
S

Remark that [a

r:

A.

Hence,

l,rf
which

## f - f o r : ),f Qra.e.): ar,:

Iv?ordLt: Ivo,r'dt,d,t

impliesl)l

,^rrrl'

- r^ r I
^

vr'd,r,,

-tn
'is e'igenualue, then the

set

E())
'is

-{f

e Lz(p)

,f o,-^f

(p-u")}

## a uector subspace of Lz(p).

Exercise 2.3.4 Let f1, fz b" ei,genfunct'ions corresponding to e'igenualues )4 + ),2. Show that f1 and f2 a,re
OfthOgOnAl. (nmt, (Jse the property
that

sor

d,pr,

se

rr|t).)

46

CHAPTER

2.

## ELEMENTS OF MEASURABLE DYNAMICS

coristant (p-a.e.); (2) T 'is ergodic i,ff, for each e'igenualue ),, the subspace jt-u.".)} ,r l-d,imens,ional. Es - {f Lz(p) , f o, -

l/l :

r : \f

^f

## }t-".e.) for some ),

l)l -

The ergodicity of r impiies that l/l - constant (p-u.. ) Moreover, f + 0 (p-a.e.) since / is an eigenfunction, therefore we may choose an eigenfunction u such that is ergodic and fi o r - \ft jt-u." ) From part (1), /r l0 (p,-a.e.). Let f2be another eigenvector corresponding to ,\. Then the function g : fzlf, e Lz(p).
Since

l/l "r-lf"rl

-l)/l -l/l

lrl -1(p-ae)

#,

90T-

then

(rf.

g -

fzor fto,

p-d.e.

fz

constant

that dim(81)

fr: C'f,
-

## fr (lr-u...) by the ergodicity of r

(p-u...). This
shows

-- 9,,

1.

Suppose that dim(E1) 1 for every eigenvalue Consider the eigenvalue 1. Thus the only functions satisfying are constant. By Theorem 15, is f (r(")) f (r) }t-u

).

ergodic.

".)

By the previous lemma, we may assume that eigenfunctions of an ergodic r have absolute value 1.

## 2.3. ERGODIC TRANSFORMATIONS

47

Theorern LT Let r
o/S1

an ergodic endomorphism of a Lebesgue probability space (X, A,, p). Then the set oo?) of eigenualues of r is a countable multi,pli,cat'iue subgroup
be

-{lC,l)l -1}

Proof: If )r, ,\z or(r) then fi o r : \th, fz o , - \zfz for some nonzero h, fz Lr(p). We may assume that l/tl - lfrl:1 (p-a.e.). Then (fr- fr) " r - (/t " r) . (ft o r) - .\r . ),2. (ft. f) 0t-".".). Thus f, . f, Lz(p) is an eigenfunction corresponding to
,trr ' )2.

Also,

ft
and

r-

p-d.e.

ho,

,\r ft

e Lz(p). This shows that oo?) is a multiplicative semigroup. Notice that the eigenfunctions corresponding to different eigenval-

t.

## I h'fzdp- L,', f) o rd,p, JX (f, "r) '( f2 o r)d"F : I erfr)(XffilaF :

)rlz I f,' f, dp Jx
f

Jx

hLfz

48

CHAPTER

2.

## ELEMENTS OF MEASURABLE DYNAMICS

Chapter

Ergodic Theorems
3.1
The Birkhoff Ergodic Theorem

The aim of this section is to prove celebrated Birkhoff's individual (: point-wise) ergodic theorem (it will be also referred to as the BlBtheorem) which was obtained by George David Birkhoff in 1931. Nowadays it has enormous amount of applications in different areas of mathematics (probability theory, dynamical systems, analysis, geometry, etc.). We formulate also two famous generahzattons of the BlE-theorem. For more advanced individual ergodic theorems we refer to Krengel 15] To avoid unnecessary compiications, we consider an endomorphism r : O ---) O of a o-finite measure space (Q, A,/r) We shall use the following notations:

: D Tuf,
n-7
i,:0
i,:0
49

## n-l : An(T)f - ATf - *s"g)f -l_r- Tnf, A,f -n,/,

50

CHAPTER

3.

ERGODIC THEOREMS

Mf

, Azf - supf,, Anf , . . ., Anf), M*f where is any real-valued measurable function on O.
,

M"f

f-

## max( &f max( Arf

Szf , . . ., Snf),

3.1.1 Birkhoff's individual ergodic theorem Theorem 18 (Birkhoff's ergodic theorem) Let r be an endomorph'ism of (Q,A, p,) and f e Lt Lt(Q,A, p). u-4",e' Then Arf t L1 fo, a" r -,inuariant t

(i.". Tf

## : f o r'-Y"' f) satisfyi,ns ff I fdp- I fdp

for

euery r-'inuariant

'^l A,
Ae

p(A) <

oo.

The proof of the theorem, which will be given below, is based on the following maximal ergodic theorem, that is due to Shizuo Kakutani and Kosaku Yosida (1939) for T generated by endomorphisms, and that is due to Eberhard Hopf (1954) for arbitrary positive contraction 7 in L1.

Yosida

Hopf)

Let T

## f > o} : {M,f > o}, n N.

En

The proof of the Kakutani - Yosida - Hopf theorem which is given below is due to Adriano Garsia (1965).

## 3.1. THE BIRKHOFF ERGODIC

THEOREM

51

Proof:

Yk: r,...,fr (M:f)* 2 Snf and hence f +r((M:f)*) > f +Tskf : sr,+tf
.

Therefore obtain

> Snf -f (Mf,/)*) for all k - 1,... ,ntI, because it is obvious for k - 1. Passing to suprema? we

f > mf f -r(rwfl)*)
En

rou. I
En

@rf

r _ r(w:ry))dr,-

:
:

En

(Qwf

## il* - 7(( Mf f)*)) ap - I 'rw:f)*)dp En

c)

I cl
f)

@:

f)*d'1t'

>

. lw:fl*d'pt- | ,uu:f)*)dp> o.
Remark that the last inequality is true, because

llrll < 1 I

T > 0 and

## We need also the following lemma.

Lemma 3.1.1 (The maximal ergodic inequality) Let r be an endomorph'ism of (Q, A, p), then ll/llr 2 a. p(M"f > a) ) a- p,(M"f > a)

## for all real-ualued f e Lt, a ) 0, and n e N.

52

CHAPTER

3.

ERGODIC THEOREMS

This lemma was already known in 1930-th and belongs to mathematical folklore related to the low of large numbers.

Proof:

## J U-a)dP>o {M"f >a}

For any c,,, {tW"f Anf (r) ) a. This implies Sn(f

## ll/ll'> I fdpla I 7d,p-a'F(M,f>0).tr {M"f >o} {M"f 2a}

3.L.2 Proof of Birkhoff's individual ergodic theorem
By linearity of T, we may suppose

/ > 0. Because of
o

An+tf
the functions

- (n+

1)

-t f +

#(Anf)
f' :
lim inf

r,

A,f

ft : f"

f"

l.r-a.e.

{f" - +*}
oo
oo

satisfies

(vr>o).

(1)

THEOREM

53

## By Lemma 3.1.1 we get ll/llr > .yp,(M"f >

Since {M"f obtain

t)
-

(Vn e N,7

>

0).

ItU"
Hence

- +*)
n-+@

< p,(M*f
p-a.e.

(Vry

j) :

## Iim p,(M,f > 7) <

{'ll/ll,

>

o).

f"<x

that for some a B - {ft < CI} n {B < f"). By the r invariance of B, the function f ' : (f - 0) .ila has the property: P-le' o (Vk o)' (f' lls-,\r
Suppose

"'\'

>

Hence

lr'ou> I r'd,p- | B
()

r'dl,>o
,>o}

r{*,t>o}

?)

r{*,f

l ror>p.t@).
:
(a

## A symmetric argument with f "

f I f dp I a. p,(B). J

- f) .fie gives

CHAPTER

3.

ERGODIC THEOREMS

a<

## A"f converges p-a.e. if f hence if f is arbitrary real or complex function of

We have shown that

B.

Lr(Q,A, p).

To prove the last assertion of the theorem? we may assume that A - O, lr(O) ( oo, and / > 0. For any e ) 0, take

M, such that

## ll/ - (/ n M,)ll' - ll(/ - M,)* ll' s

Then

4,.

a,r JI r,

M,)*dl.t <

uu - Mu)+dlt |
C'

JU-M,)*dp'ae. o
Thus the sequence (A"f)" is uniformly integrable and hence it converges in ll . ll1-norrrr as it converges p-a.e. to f In other words,

I f orJnn
(-)

ll

t,p

A,fll, - Lp llA,fll,

- ll/ll, : I f dp n
c)

## 3.1.3 Relatives of the BIE theorem

The BIE theorem has many well known useful generalizations (see, for example, t5]) Here we mention only two of
them.

## 3.1. THE BIRKHOFF ERGODIC THEOREM

Probably the first one is the Hopf - Dunford - Schwartz theorem which goes back to Hopf (1954) for 7,7(llo) : [o, and to Dunford - Schwarz (1956) for an arbitrary T. Instead of (always positive, contractive w.r.t. L1 - norm, and satisfying ?(llsl) - Ilcr) operator T in Lr : Lr(Q,A, p) generated by an endomorphism, we consider now an arbi* trary positive contraction in L1 which is also a contraction w.r.t. ,L--norm. Such operators are referred to as

LrL*-contractions.

## Theorern 2O (E. Hopf, N. Dunford, J.T. Schwarz)

Let (Q, A, p) be a probab'ili,st'ic space and let T be a pos'iti,ue L1-L*-contract'ion on L1. Then the auerages An(f) f conuerge p,-a.e. for all f e Lt. n
Remark that the assumption on

7 to be an LyL--contraction

is not very restrictive, although contraction for all p,7 < p ( oo.

it forces 7 to be an Le-

Another classical generalization of the BlE-theorem is due to Rafael Chacon and Donald Ornstein (1960). It deals with pl-a.e.-convergence of the ratio S"(T)f lS"g)g for an arbitrary positive contraction 7 rn Ly Recall that we denote by n-I S"g)/ the sum D fn
i--0

56

CHAPTER

3.

ERGODIC THEOREMS

## Theorern 2L (Chacon - Ornstein) Let T

oo

contraction 'in L1. Then for any f Lt, g LI , the ratio S"g)f lS"g)S conaerges p"-a.e. on the set

bea

## it r"d(") > o} n:0

IIs;.

to a fini,te li,mit. n Note that the BIE theorem becomes an immediate consequence of the Chacon

3.2

## von Neumannts Mean Ergodic Theorem

The mean ergodic theorem of von Neumann deals with norm convergence of averages instead of a.e.-convergence. Although the Birkhoff's paper 12] appeared a bit earlier than von Neumann's paper lB] (both papers are published in 1931-32), the von Neumann's theorem was proved first and was known to Birkhoff. Nowadays the von Neumann mean ergodic theorem is known as a rather general resuit about norm convergence of averages of operators in Banach spaces. In this lecture, we shall prove this theorem for the case of contractions in a Hilbert space, ffi John von Neumann did. Then we mention only some classical generalizations of this theorem and refer the reader to {5] for more information on this.

## 3.2.I Mean ergodic theorem of von Neumann

First of all, we remind that Ly(Q,A,, p) is a Hilbert space. Instead of dealing with this concrete space, we consider ar-

3.2.

## VOAI I\IEUMAAI I'S MEAN ERGODIC THEOREM

5t

bitrary Hilbert

spaces.

Theorern 22 (von Neumannts mean ergodic theorem) Let T be a contract'ion 'in a Hi,lbert spo,ce "11, and P the project'ion onto the fired space Fix(?) e'11 : Tg : g}, then A"g)f conuerges ,in norm to {S Pf for all f e '11.
Lr(Q, A, p), /r(O) - 1, and T is generated by an endomorphism of (Q, A,p), the l\ME-theorem follows directly from the BIEtheorem by using the Lebesgue dominated convergence theorem and the density of L*(Q, A,/r) in Lr(Q,A, p). Our aim now is to prove the general version of the NMEtheorem. Its proof is much simpler than the proof of the BlE-theorem. In order to give this proof (which follows to [5, p.a]), *. shall use the following lemmas.

Remark

Proof:

## The inverse implication

is also clear. n

f -rf + ll/ll' - (f ,rf) + fll'- (r.f ,f) + llr. f - fll' : llr. fll' + ll/ll' - 2(r. f, f) : llT. fll' - ll/ll' ( o =+ T. f - f
ll
.

T.f-f+f-Tf

58

CHAPTER

3.

ERGODIC THEOREMS

be a family of contractions in a Hi,lbert space 71, then the orthogonal complement of the e Tt:Tf Yf e U}'is equal fired spa,ceFix(U) to the closure o/ span{ h Th : h e H,T e U}.

- {f

-f

## Proof: Denote by F - Fix(U), lf :

span{h

Th : h e'11,T eU}

(T.f

Since

to Lemma 3.2.L

Then

## Proof of the NME-theorem:

llA"g)(h
n-tllh

- rh)ll -

by the approximation

llA"(r)f
for all

## e cl(,nrt). It is obvious that

llA"Q)g

for all 9 Fix(T) By Lemma3.2.2 applied toU {7}, we Fix(T) O cl(..nf). Hence llA"Q)u obtain Jl Pull 0 for all u e 7{, what is required. n

- ell -

59

## 3.2.2 Relatives of the NME-theorem

We consider now the following rather general version of the von Neumann mean ergodic theorem, which is due to W. Eberlein (1949), but the main assertions emerged already with the works of F. Riesz (1938), K. Yosida (1938), and S.

Kakutani (1938).

## Theorern 23 (Mean ergodic theorem)

T be a l'inear bounded operatorin a Banach space X supposeT to be cesd,ro bounded (i,.e. rg llA"g)ll < *). For ana r X sati,sfyi,rg hylln-If"rll - 0 and ana a e X , the follow'ing assertions are equ'iualent:
Let
.

(t) A Fix(?) and A e co {r,Tr,T'*,. . .h (ti) y - lim A"(T)r; n (iii,) y is a weak cluster po'int of (A"Q)")T:r. n

Corollary 3.2.I If T 'is a power bounded linear operator (i.".sup llT"ll < *) 'in a refl,eriue Banach space (for ern)0 ample, all spaces Lo are refl,eriue when 1 < p < oo) then T i,s mean ergodic (i,.e. the auerages A"(T)n conaerge in norm for all r X). n Corollary 3.2.2 AnA LrL*-contraction on Ly ouer
probabilisti,c sp&ce is mean ergodic. n
a

## A slight generalizalion of this corollary is the following

one.

60

CHAPTER

3.

ERGODIC THEOREMS

Corollary 3.2.3 AnA linear bounded operator on L1 such that the set {A"g)r}n2t is almost order bounded (i.r.
Vs

Bh

## {u e Lr: ll"ll < 1}) is mean ergod'ic. n

The following very useful criterion of mean ergodicity is due to Robert Sine lI2)

Theorern 24 Let T be a Cesd,ro bounded operator sati,sfyi,ng hmn-rTny - 0 for all r X. Then T ,is n'Lean n ergod'ic i,ff Fix(T) separafes Fix(T.). u
Roughly speaking, the Sine theorem says that 7 is mean ergodic ltr T has at least so many invariant vectors as 7*
has.

Theorems

## 3.3.1 A criterion of ergodicity of endomorphisms

We prove now the following useful characterization of ergod-

icity.

Theorern 25 Let r

be an endomorphi,sm of a probabi,li,ty

p).

Then

A,B A,
n---+n

ris

ergod'ic i,ff

for all

hm

1
Tl,

n-7

## 3.3. APPLICATIOAIS OF ERGODIC

THEOREMS

61

Proof: Suppose that r is ergodic and \et A, B e -4. Then Ila Lt(ti and, by the Birkhoff theorem,
I ,-7

Jg ;Dno(,r(")) k:0
Hence

p(A) (r,-u.

Since

t n-7

)

for all n
gives

l*:o
,

## 'nBl < r 0'-a

I

e)

J*;:
k

r31

t'('-*(A)

r3:l B):J*;: f
lo-r,A)nBdt'd,p" d,trt

iim I ;:; 1 ; il,-n6y.ns dtt: /IJ1g *-k:0 Aork).ns tfo n k:0 .l .4fr,-n67'nn - ^Lt* *D(raork)'116

n<n-I^an_7

J X
B

Taking

## For the converse) assume

A to be r-invariant.

L, obtain

p(A).p(A):

Jgg

I ,-I

62
1 n-7

CHAPTER

3.

ERGODIC THEOREMS

n___+@

Thus p(A)
Hence

r is ergodic. n

## p(A)2, which means p(A)

1 or

p(A)

0.

Remark that this theorem can also be proven by using the von Neumann ergodic theorem.

## 3.3.2 LJniform convergence of Cesiro averages

Let r : O
---+ O

be a continuoustransformation

of.

a compact

metric

space f).

## Theorern 26 For any cont'inuous functi,on

following condit'ions are equiualent:

e C({l) the
a,re

*fk:0 f orn,(n>

n-I

1) e C(O)

spa,ce

d)

## Proof: a) + b), By Theorem 23, it is enough to show

that the sequence (A'"f)"
possesses a weakly convergent sub-

sequence. But accordingly to the Arzela - Ascoli theorem (A;f )" has even uniformly convergent subsequences.

## b) -+ o), It is obvious, since every uniformly convergent

sequence of continuous functions on a compact metric space

is equi-continuous. c) Implications b) d) are trivial because the uniform convergence is stronger than the weak one and the weak convergence implies the point-wise convergence. d) c): Let converge point-wise to a function /s. Remark that it is enough to prove that for any positive linear functional m: C(O) IR, m(fo A'"f) 0. Accord-

A[f

'

J51

ingly to the Riesz representation theorem (see Theorem 11), there exists a measure p on the Borel algebra B@) satisfying

m(g):

lgdtr
CI

(vge c(o)).

The sequenc (A;f ),, is obviously bounded. By the Lebesgue " dominated convergence theorem, AT,f) dp 0.

## Hence lim m(fs

rr---+oo

AT,f)

0, what is required.

;* d(f, -

## c) =+ b), It follows from Theorem 23. Z

3.3.3 Uniquely
ergodic stochastic operators in C(C))

Let O be a compact metric space. A positive operator S in the Banach space C(0) is called a stochastic operator if SII : I[, where I[ - IIe (cf. Definition 4.1.1). For example, the operator Sf - f o, in Theorem 26 is a stochastic operator. By the Riesz representation theorem , the dual of C(O) , M - C(O)*, is the space of signed measures on

64

CHAPTER

3.

ERGODIC THEOREMS

(f ,S.p|

(Sf

,p)

## (V/ e C(o) ,F M).

Exercise 3.3.L Show that, for any stochast,ic operator S i,n C (Q, there erists at least one invariant probability measure p M (that is S* p, : tt). (nln ' rake aBanach lirnit tr
and a po'i:nt a.'e
Hence p,

f).

S*

C(A)

by

p(f)

L((S"f (u))n.).

M:

## C.(C)). Show that

lr:

lt,

lt

0, p(lt)

1.)

Definition 3.3.L A stochast'ic operator S i,nC(O) ,is called uniquely ergo dic i,f S has only one ,inuariant probabi,li,ty n'Leasure.

Theorern 27 AnA uniquely ergod'ic stochast,ic operator S 'in C(O) 'is mean ergod'ic.

## M S*u+)S*u-u + S*u+)ut, we obtain that S*u+ : ut > 0. Thus (ll, r*) )

Since the norm on

Proof: Let0lu

e M, S*u

15

## Theorern 28 A meo,n ergod'ic stochast'ic operator

un'iquely ergodi,c i,ff A*f

## to a constant for each

D - * lc:0 Sk f
e
C @)
.

n-l

'is

conaerges un'iformly

## 3.3. APPLICATIOAIS OF ERGODIC

THEOREMS

65

Proof: Denote the norm limit of Aflf for f C(O) bV f Suppose that f - const for all / C(O). Take
,S*-invariant probabilities u1 afid u2, then

(f ,rr)

- (f ,li- (Af ).r') - (J5g Al,f ,r') : (f ,rr) - (f ,rr) : (f ,rr) (V/ e C(O)).
:
Uz.

Hence u\

Assume now that f (rr) f @r) Take the Dirac measures 5,, and 6,r. The sequences (Af).d,, and (AE).6,2 converge in c,,r*- topology on M C* (O) to ,S*-invariant probabilities (1 and (2, which are different because of

: ??--'oo ,(Af,)*d,,) : lim (,af f ,6,r) : lim (f (f ,6,,) - f(r) I f@r) - (f ,6,,): ff,Cr). tr
(/, (r)
n--+oo

66

CHAP'I:ER

3.

ERGODIC THEOREMS

Chapter 4
Related Topics
4.L
4.1.1
FYobenius

Perron Operators

## Stochastic operators on C(f))

First of all we remind the following concept that appeared already in subsection 3.3.3.
Let F(O) be a uector space of compleraalued funct'ions on a, set O. A I'inear operator T : F(O) -+ lr(O) 'is called o stochastic operatoruf

Definition 4.L.L

i,s

## and preserues tlte funct'ion [o.

We are interested mostly in stochastic operators in the case when O possesses a structure of compact metric space and F(O) - C(0), the space of all continuous complex-valued functions on O.
67

CHAPTER

4. RELATED TOPICS

In the simplest non-trivial case O - {rt,u)2t ...,an} is discrete and finite. Then any linear operator T on C(O) -.C" can be uniquely identified with an n x n matrix (ti)i-T',:j=i This matrix is called stochastic if it represents a stochastic
operator on C'.

Exercise 4.L.L Show that a matri, (t,)ijT'l=? is stochasti,c i,ff all 'its entries t,ii are nonnegat'iue reals sati,sfyi,ng
the property
n

Itur:1 ?
J-L

## for any'i: I,2,...,fr.

Exercise 4.I.2 Show tltat the product of anA two stochastic matrices is a stochast'ic matrir. Is i,t true for arbitrary
stochast'ic operat ors ?

Exercise 4.L.3 Show that the set of all stochastic operators on F(Q), whereA + 0, is o, non-ernptA conr)er subset of the space r(F(O)) of all linear operators on F(A).

4.1. FROBENIUS

PERROAI OPERATORS

69

## 4.L.2 Markov operators in L{p)

Definition 4.1.2 Any positi,ue I'inear operatorT in L{p) such that llT. f llr - ll/llt is called a Markov operator.
Exercise 4.t.4 Sltow that the set of all Markou operators on L1(p,) 'is non-empty, conlefr, and closed ,in the
operator norn'L of L(L1(p))).

## Exercise 4.L.5 Show that the dual to a Markou operator

'is a stochastic operator.

A matri" (tu)i\?j=? is called Markov matrix if it represents a Markov operator on the finite discrete measure space

1)

measure on n

## 7ln for all k:0,1,... ,fr - I,

{0,

1,...,fr-

Exercise 4.L.6 Show that a matri, (t,.)ijT'l=T ,is Markou iff all its entries t,ii are non-negat'iue reals sati,sfging the
property
n

Irnr-1
for any j :1,2,...,fr.

fr

CHAPTER

4. RELATED TOPICS

4.L.3
Let

Frobenius

Perron operators

transformation of a measure space (X, A, p). We do not impose any restriction on r and on X apart from the common assumption that p is o-finite. Letfe Lt (t). Consider the following function on A

r be a measurable nonsingular

,f(A)

-I
:

fdp

(AeA).

,_r(A)

Clearly, uy rs a signed measure on A. Moreover, uy is frnite and pr-continuous. By the Radon - Nikodim theorem (Theorem 10), there exists a unique p.f Lt(p) such that

## ,r(A) Definition 4.L.3

I
r

pf

dLL

(VA e A).

Let

on a o -fini,te n'Leasure space (X , A, p) . Then the unique operator P . Lr(p) -- Lt(p) defi,ned by the equat,ion

be a nons,ingular transformat,ion

A
'is

Irrdt,- tfdp JJ
,-r(A)

(vAeA)
correspond-

## called theErobenius 'ing to r.

- Perron operator

## Exercise 4.I.7 Show that P

Sltow that for euery two nons'ingular transformations 11, 12 the followi,ng Pr2or1 Prz o Pn holds. -

P, is a Markou operator.

4.1.

FROBENIUS

- PERROAI OPERATORS

7I

- Perron operators Pr, and P,, such that *(P"r+ P,r) is not a Frobenius - Perron
Gi,ue an eranxple oJ two Froben'ius

operator.

Although Definition 4.7.3 is highly nonconstructive because of the Radon - Nikodim theorem, in some cases explicit formulas for Py are available.
For example, lf

X:

10,

1]

P,f(,)

: * r,t or: * I
o
[0, 1]

r-1([o,r])

f dt,.

function

is a

## piece-wise diffeomorphism. Let us consider the simplest case

that is a diffeomorphism.

P,f

(*):

## * j *, dr,- *,' l'' , o, b ,-i(o)

- f (,-'(,))*V-'(,)l

The formula makes sense if we restrict P on a subspace of L,,(lt) like ClO, 1] for elements f of which the expression

f (r-t(r))

is well defined.

Remark also that certain multi-dimensional analogues of this formula can be found.

## 72 Exercise 4.L.8 Let X

and ,(r)

CHAPTER

4. RELATED TOPICS
L,f

## - exp(r). Show that P,f (r) cont'inuous f e Lr (R).

Exercise 4.I.9 Letr tic map) - 4r(I
be tlr.e

fiR wi,th

(t"r) for a

"(")

P"f (r)
(Hin

(rF) + r(*F)
4\tr- r

'

Show that

'-'co,"l)

: [o, tF1,
e.)

l-F,

r]

## - Perron operator P, correspond,ing to the followi,ng

transformat'ions: a) r : IR+ -* IR1, ,@) - 12; b) : [0, 1] 11, r(r) - sinrnt " IR - 10, c) r: -+ R, r(r) - r mod(1).

Many other interesting information on explicit representations of Frobenius - Perron operators can be found in Lasota - Mackey book .

4.L.4 Koopmanoperators
Let r be a nonsingular transformation on (X, A, p).

4.1.

FROBENIUS _ PERROI{

OPERATORS
---+

73

defined by

L*(p)

U,f (*)

for

## euery f e L*(p) 'is called the correspondi,ng to r.

- f (r(*)) (p-u. )

Koopman operator

Notice that the usingof p,-a.e.-option in this definition causes minor problems and can be easily avoided if we define LI, on indicator functions by

Urn,q,

ll . ll*-norm.

Froben'ius

for all f

## (P"f , s) (f e Lt(p), g e L*(p).

- ,U,g)

(1)

Proof:

Both operators Pr, (J, are linear contractions. So it is enough to prove the equation (1) for indicator functions. Let g - IIA and / e Lt(p). Then

(P,f ,ra)

XA

lfr,n.

(rra) dt,

- I ,,, dp -

- I

## f dp: f .il,-,(a)dtt,: f . \$aor)dt, I I x x "-1(A)

74

:lr
X

CHAPTER

4. RELATED TOPICS
.

U,(ni dp - (f ,U,na)

4.2 Mixing
Throughout this section, r is supposed to be an endon'Lorph'ism of a probab'ili,ty space X : (X, A, p).
Accordingly to Theorem 25, Lhe ergodicity of r is equivalent to the condition: , n-| l^.p(r-r(A)n p(A)p(B) (VA, B e A). (1) _li* rL u n-+oo k:0

=)

B):

## 4.2.L Mixing endomorphisms

The conditio" (1) is obviously weaker than the following con-

dition:
rL---+6

## Ii- p(r-k(A) n B) - p(A)p(B) (VA,B e A).

(2) 'is called mixing.

(z)

## Definition 4.2.L An endomorph,ismr satisfy,ing

di,ti,on

the con-

is worth to remark that the concept of mixing generalizes asymptotically, in a certain sense, the basic concept of the probability theory, the independence of events

It

tt(A)B) -

p(A)p(B)

4.2. MIXING

75

The mixing of
quence

means

## that, for aII A, B

of reals converges to p(A)p@) in the usual sense. The ergodicity of T means that, for all A, B e A, the sequence (p(r-r(A)nB))Po ts Cesd,ro conuergent Lo p(A) p(B). Another type of convergence of real sequences, the strong Cesd,ro conuergence) motivates the following class of endomorphisms.

(tt(r-r(A) )B))Po

A, the se-

## Definition 4.2.2 An endomorph'ism ris mixing z/

rim
rr---+oo

called

weakly

lt ,,

k:0

lr?-r(A) n B) - t@)rru;)l

-o

(3)

for all A, B e A.
It can be shown that there are weakly mixing endomorphisms
which are not mixing and ergodic endomorphisms which are not weakly mixing. Thus we have the following proper implications for endomorphisms of a probability space:

ergodic

=+

recurrent.

## 4.2.3 Exact endomorphisms

Another important class of endomorphisms that is considered in this section is given by the following definition.

76

CHAPTER

4. RELATED TOPICS

,(A)eAforallAeA
n---+6

Definition 4.2.3 An
Iim p,(rr (l))

(VA e A, p(A) >

such that

-1

0)

(4)

## It is obvious that an invertible endomorphism of a non-trivial

probability space cannot be exact.

4.2.4 Ergodicity, mixing and exactness in terms of correspondent FYobenius Recall that an element
denoted bv

Perron operators

## of Lr(p) is called a density if

is

D(p)

D(p).
be the Froben'ius

Theorem 30 Let P,

corresponding to an endomorphism r. Then (1) PiU) conaerges 'in ll . ll yTlorrrl tu n y for all e D iff 'is eract; (2) Piff) weakly conuerges to ny for all e D iff ,is m'iring;

- Perron operator

Pi(fl conuerges,in ll .llt -norn'L tofiy for all k:0 e D iffr'is ergod'ic. f
(3) lim * D ??-+oo '"
We shall prove only that the strong convergence of Pi ff ) to I[; implies exactness of and that the weak convergence of Piff) to II; implies mixing. For other, more

n-I

Proof:

4.2.

MIXING

77

book l7l.

- Mackey
0.

Let ll Pif

IIx

## e D.Assume p(A) >

a, by en : llPi f o -

## - (p(A))-t.lla and define the sequence

llr. Then
d,pt>

t?"(A))

,"(A)

tnyd"1t"- tPifa-(pifa-rrx)l JJ
,"(A)

,"(A)

t J

,"(A)

,"(A)

t J

I
exactness of

r.

1 which means

J* p?"(A)) -

## Now assume the weak convergence of Pi 0 + e f{ 0t). Let A, B e ,4, then

f to / ll r .llx , where
II

1t(r-r(l)n 7?-+oo
lim
,, rim

B)

iim - "-* t
n'---+oo

np d,trt

r-!@)

I - *'* to Piil" dp -

## - (llnsllr,lra) - p(B)(rr, ra) : p(A) . p(B).

Thus the condition (2) is satisfied and
hen ce

r is mixing. tr

78

CHAPTER

4. RELATED TOPICS

Bibliography
 K.B. Athreya, S.N. Lahiri, Measure theory and probabi,li,ty theory, Springer,
656 560.
2006.

 G.D. Birkhoff, Proof of the ergodi,ctheorem Proc. Nat. Acad. Sci. USA, 17 (1931),  I.P. Cornfeld, S.V. Fomin, Ya.G. Sinai, Ergodi,c theory, Springer-Verlag,  A.N. Kolmogorov, S.V. Fomin, Introductory real analysis. Prentice-Hall, 1970.  U. Krengel, Ergodic Theorems, Walter de Gruyter,
edi,t'ion, Springer, 2007.
1985. 1982.

## Reu,ised Engli,sh edi.ti,on,

 L.B. Koralov, Ya.G. Sinai, Theory of probability and random processes. Second  A. Lasota, M.C. Mackey, Chaos, fractals, and noi,se. Stochastic aspects of dynami,cs.
S econd

## ed'i,tion, Springer-Verlag, 1994.

 J. von Neumann, Proof of the quasi,-ergodic hypothesis Proc. Nat. Acad. Sci. USA, 18 (1932), 31-38.  H.L. Royden, Real analysis, Macmillan,
L988.

 W. Rudin, Real and compler analysis. Thi,rd edi,tion, McGraw-HilI, 1987.  C.E. Silva, Inui,tation to ergodi,c theory, American Mathematical Society, 2008.  R. Sine, ,4 mean ergodic theorem, Proc. Amer. Math. Soc. 24 (1970), 438-439.

79