Adv. Math. Econ.

16, 138 (2012)

Some applications of Birkhoff-Kingman ergodic theorem

Charles Castaing1 and Marc Lavie2
1 D epartment de Mathematiques, Case courrier 051, Universit e Montpellier II,

34095 Montpellier Cedex 5, France (e-mail: charles.castaing@gmail.com)

2 Laboratoire de Math ematiques appliqu ees, Universit e de Pau et des Pays de

L Adour, BP 1155, 64013, Pau cedex France (e-mail: marc.lavie@univ-pau.fr) Received: June 30, 2011 Revised: September 27, 2011 JEL classication: C01, C02 Mathematics Subject Classication (2010): 28B20 Abstract. We present various convergence results for multivalued ergodic theorems in Bochner-Gelfand-Pettis integration. Key words: Conditional expectation, epiconvergence, ergodic, Bochner-GelfandPettis integration, Birkhoff-Kingman ergodic theorem, Mosco convergence, multivalued convergence, slice convergence

1. Introduction
Classical ergodic theorems for real valued random variables have been recently extended into the context of epiconvergence in [7, 17, 24, 25, 34]. Using Abid result [1] on the a.s. convergence of subadditive superstationary process, Krupa [27] and Schurger [32] treated the Ergodic theorems for subadditive superstationary families of convex compact random sets. Ghoussoub and Steele [6] treated the a.s. norm convergence for subadditive process in an order complete Banach lattice extending the Kingmans theorem for real

S. Kusuoka and T. Maruyama (eds.), Advances in Mathematical Economics Volume 16, DOI: 10.1007/978-4-431-54114-1 1, c Springer Japan 2012

C. Castaing and M. Lavie

valued subadditive process. In this paper we present various applications of the Birkhoff-Kingman ergodic theorem. The paper is organized as follows. In Sects. 34 we state and summarize for references some results on the conditional expectation of closed convex valued integrable multifunctions in separable Banach spaces and in their dual spaces. Main results are given in Sects. 58. For the sake of completeness we provide an epiconvergence result for parametric ergodic theorem in Sect. 5 that is a starting point of this study. In Sect. 6 we treat the Mosco convergence for convex weakly compact valued ergodic theorem in Bochner integration and the weak star Kuratowski convergence for convex weakly star compact valued ergodic theorem in Gelfand integration and also a scalar convergence result for convex weakly compact valued ergodic theorem in Pettis integration. An unusual convergence for superadditive integrable process in Banach lattice is given in Sect. 7 using the integrable selection theorem for the sequential weak upper limit of a sequence of measurable closed convex valued random sets. Some relationships with economic problems are also discussed. In Sect. 8 we present a convergence theorem for convex weakly compact valued superadditive process in Bochner integration via Koml os techniques.

2. Notations and preliminaries

Throughout this paper ( , F , P ) is a complete probability space, (Fn )nN is an increasing sequence of sub- -algebras of F such that F is the -algebra generated by nN Fn , E is a separable Banach space and E is its topological dual. Let B E (resp. B E ) be the closed unit ball of E (resp. E ) and 2E the collection of all subsets of E . Let cc(E) (resp. cwk(E)) (resp. Lwk(E)) (resp. Rwk(E)) be the set of nonempty closed closed convex (resp. convex weakly compact) (resp. closed convex weakly locally compact subsets of E which contain no lines) (resp. ball-weakly compact closed convex) subsets of E , here a closed convex subset in E is ball-weakly compact if its intersection with any closed ball in E is weakly compact. For A cc(E), the distance and the support function associated with A are dened respectively by d(x, A) = inf{ x y : y A}, (x E)

(x , A) = sup{ x , y : y A}, (x E ). We also dene |A| = sup{||x || : x A}. A sequence (Kn )nN in cwk(E) scalarly converges to K cwk(E) if limn (x , Kn ) = (x , K ), x E . Let B be a closed bounded

Some applications of Birkhoff-Kingman ergodic theorem

convex subset of E and let C be the closed convex subset of E . Then the gap [4] D(B, C) between B and C is denoted by D(B, C) = inf{||x y || : x B, y C }. By Hahn Banach theorem we know that D(B, C) = sup { (x , C) (x , B)}.
x B E

Given a sub- -algebra B in , a mapping X : for every open set U in E the set X U := {

2E is B -measurable if

: X() U = }

is a member of B . A function f : E is a B -measurable selection of X if f () X() for all . A Castaing representation of X is a sequence (fn )nN of B -measurable selections of X such that X() = cl {fn (), n N}

where the closure is taken with respect to the topology of associated with the norm in E . It is known that a nonempty closed-valued multifunction X : c(E) is B -measurable iff it admits a Castaing representation. If B is complete, the B -measurability is equivalent to the measurability in the sense of graph, namely the graph of X is a member of B B (E), here B (E) denotes the Borel tribe on E . A cc(E)-valued B -measurable X : cc(E) is 1 (B ) of all B -measurable and integrable selections of integrable if the set SX X is nonempty. We denote by L1 E (B ) the space of E -valued B -measurable and Bochner-integrable functions dened on and L1 cwk(E) (B ) the space of all B -measurable multifunctions X : cwk(E) such that |X| L1 R (B ). We refer to [16] for the theory of Measurable Multifunctions and Convex Analysis, and to [18, 29] for Real Analysis and Probability.

3. Multivalued conditional expectation theorem

Given a sub- -algebra B of F and an integrable F -measurable cc(E)-valued multifunction X : E , Hiai and Umegaki [20] showed the existence of a B -measurable cc(E)-valued integrable multifunction denoted by E B X such that 1 B 1 SE B X (B ) = cl {E f : f SX (F )}
expectation of X relative to B . If X L1 cwk(E) (F ) and the strong dual Eb is

B the closure being taken in L1 E ( , A, P ); E X is the multivalued conditional

C. Castaing and M. Lavie

1 B 1 separable, then E B X L1 cwk(E) (B ) with SE B X (B ) = {E f : f SX (F )}. A unied approach for general conditional expectation of cc(E)-valued integrable multifunctions is given in [33] allowing to recover both the cc(E)valued conditional expectation of cc(E)-valued integrable multifunctions in the sense of [20] and the cwk(E)-valued conditional expectation of cwk(E)valued integrably bounded multifunctions given in [5]. For more information on multivalued conditional expectation and related subjects we refer to [2, 9, 16, 20, 24, 33]. In the context of this paper we summarize a specic version of conditional expectation in a separable Banach space. is separable. Let B be a subProposition 3.1. Assume that the strong dual Eb -algebra of F and an integrable F -measurable cc(E)-valued multifunction X: E . Assume further there is a F -measurable ball-weakly compact cc(E)-valued multifunction K : E such that X() K() for all . Then there is a unique (for the equality a.s.) B -measurable cc(E)valued multifunction Y satisfying the property

( ) v L E (B ),

(v(), Y ())dP () =

(v(), X())dP ().

E B X := Y is the conditional expectation of X. Proof. The proof is an adaptation of the one of Theorem VIII.35 in [16]. Let u0 be an integrable selection of X. For every n N, let Xn () = X() (u0 () + nB E ) As X() K() for all , we get n N . n N .

Xn ()=X()(u0 () + nB E )K()(u0 () + nB E )

As K() is ball-weakly compact, it is immediate that Xn L1 cwk(E) (F ). so that, by virtue of ([5] or ([33], Remarks of Theorem 3), the conditional expectation E B Xn L1 cwk(E) (B ). It follows that ( ) (v(), E B Xn ())P (d) = (v(), Xn ())P (d)

n N, v L E (B ). Now let Y () = cl(nN E B Xn ()) .

Some applications of Birkhoff-Kingman ergodic theorem

Then Y is B -measurable and a.s. convex. Now the required property ( ) follows from ( ) and the monotone convergence theorem. Indeed
n N, v L E (B ), u0 , v (v, Xn ) (v, X)

v, E B u0 (v, E B Xn ) (v, Y ). Now the uniqueness follows exactly as in the proof of Theorem VIII.35 in [16], via the measurable projection theorem ([16], Theorem III.32).

4. Conditional expectation in a dual space

Let ( , F , P ) be a complete probability space, (Fn )nN an increasing sequence of sub -algebras of F such that F is the -algebra generated by n1 Fn . Let E be a separable Banach space, D1 = (xp )p N is a dense sequence in the closed unit ball of E , E is the topological dual of E , B E (resp. B E ) is the closed unit ball of E (resp. E ). We denote by Es (resp. Ec ) (resp. Eb ) the topological dual E endowed with the topology (E , E) of pointwise convergence, alias w topology (resp. the topology c of compact convergence) (resp. the topology s associated with the dual ), and by E the topological dual E endowed with the topology norm ||.||Eb m m = (E , H ), where H is the linear space of E generated by D , that is the Hausdorff locally convex topology dened by the sequence of semi-norms pk (x ) = max{| x , xp | : p k }, x E , k 1. Recall that the topology m is metrizable by the metric
dE (x1 , x2 ) :=
m

p = p =1

1 | xp , x1 xp , x2 |, x 1 , x2 E . 2p

Further we have
, dE (x , y ) ||x y ||Eb m

x , y E E .

We assume from now that dE is held xed. Further, we have m w m c s . When E is innite dimensional these inclusions are strict. On the other hand, the restrictions of m , w , to any bounded subset of E coincide ), B (E ) and B (E ) associated with E , E and and the Borel tribes B (Es c s c m Em are equal. Noting that E is the countable union of closed balls, we is Suslin, as well as the metrizable topological space deduce that the space Es E is Em . A 2 s -valued multifunction (alias mapping for short) X : Es

C. Castaing and M. Lavie

). Given a F -measurable F -measurable if its graph belongs to F B (Es mapping X : Es and a Borel set G B (Es ), the set

X G = {

: X() G = }

is F -measurable, that is X G F . In view of the completeness hypothesis on the probability space, this is a consequence of the Projection Theorem (see e.g. Theorem III.23 of [16]) and the equality X G = proj {Gr(X) ( G)}.

is a scalarly F -measurable mapping, that is, for Further if u : Es every x E , the scalar function x, u() is F -measurable, then the is F B (E )-measurable, and for function f : (, x ) ||x u()||Eb s , shortly, f is a every xed , f (, .) is lower semicontinuous on Es normal integrand, indeed, we have = sup ej , x u() ||x u()||Eb j N

here D1 = (ej )j 1 is a dense sequence in the closed unit ball of E . As each )-measurable and continuous function (, x ) ej , x u() is F B (Es on Es for each , it follows that f is a normal integrand. Consequently, ). Besides these facts, let us mention that the graph of u belongs to F B (Es (x , y ) = ||x y ||E is lower semicontinuous on E E , the function dEb s s b being the supremum of w -continuous functions. If X is a F -measurable (x , X()) is F -measurable, by usmapping, the distance function dEb (x , .) on E and measurable ing the lower semicontinuity of the function dEb s is a Suslin projection theorem ([16], Theorem III.23) and recalling that Es space. A mapping u : Es is said to be scalarly integrable, if, for every x E , the scalar function x, u() is F -measurable and integrable. We denote by L1 E [E ](F ) the subspace of all F -measurable mappings u such is integrable. The measurability of |u| that the function |u| : ||u()||Eb ) we denote the follows easily from the above considerations. By cwk(Es . A cwk(E )set of all nonempty convex (E , E)-compact subsets of Es s valued mapping X : Es is scalarly F -measurable if the function (x, X()) is F -measurable for every x E . Let us recall that any )-valued mapping is F -measurable. Indeed, scalarly F -measurable cwk(Es let (ek )k N be a sequence in E which separates the points of E , then we have x X() iff, ek , x (ek , X()) for all k N. By L1 cwk(E ) ( , F , P ) (shortly L1 ) (F )) we denote the of all scalarly integrable cwk(E)-valued cwk(Es multifunctions X such that the function |X| : |X()| is integrable, here , by the above consideration, it is easy to see |X()| := supy X() ||y ||Eb
s

Some applications of Birkhoff-Kingman ergodic theorem

that |X| is F -measurable. For the convenience of the reader we recall and summarize the existence and uniqueness of the conditional expectation in L1 cwk(E ) (F ). See ([33], Theorem 3).
s

Theorem 4.1. Given a

exists a unique (for equality a.s.) mapping := E B L1 ) (B ), that is cwk(Es the conditional expectation of with respect to B , which enjoys the following properties: a) (v, )dP = (v, )dP for all v L E (B ). B b) E | |B E a.s. 1 c) S 1 (B ) is sequentially (L1 E [E ](B ), LE (B )) compact (here S (B ) de1 notes the set of all LE [E ](B ) selections of ) and satises the inclusion E B S 1 (F ) S 1 (B ). d) Furthermore one has (v, E B S 1 (F )) = (v, S 1 (B )) for all v L E (B ). e) E B is increasing: a.s. implies E B EB a.s.

L1 cwk(E ) (F ) and a sub- -algebra B of F , there

s

This result involves the existence of conditional expectation for (E , E) closed convex integrable mapping in E , namely Theorem 4.2. Given a F -measurable (E , E) closed convex mapping in E which admits a integrable selection u0 L1 E [E ](F ) and a sub- algebra B of F . For every n N and for every let
n ()

= () (u0 () + nB E ).
n ()]. B -measurable (E , E)

() = (E , E) cl [E B Then () is a.s. convex and is a mapping which satises the properties:

closed convex

a) (v, )dP = (v, )dP for all v L E (B ). b) := E B is the unique for equality a.s. B -measurable (E , E) closed convex mapping with property a). c) E B is increasing: 1 2 a.s. implies E B 1 E B 2 a.s. By denition, := E B is the conditional expectation of . Proof. Follows the same line of the proof of Theorem VIII-35 in [16] and is omitted. Before going further we state and summarize an epiconvergence result [6] which is a starting point of our study.

C. Castaing and M. Lavie

5. An epiconvergence result
The following is a special version of an epiconvergence result in [6]. We summarize and give the details of proof because it has an own interest and leads to the convergence of multivalued Birkhoffs ergodic theorem. Proposition 5.1. Let E be a separable Banach space, T a measurable transformation of preserving P , I the -algebra of invariant sets and R be a F B (E )-measurable normal convex integrand f : Es s such that f + (, 0) = 0 for all and let f the polar of f . Assume that f (, u())dP () < u L ( , I , P ). B
E

The following epiconvergence result holds, for any u L ( , I , P ), one BE has: ( )

k N n y B E

sup lim sup inf [

1 n

n1 j =0

f (T j , y) + k ||u() y ||] a.s. E.

g (, u()) = E I f (, u()) where g (, x) = ((x, 1), E I epif (, .)) and ( )

k N n y B E

(, x)

sup lim inf inf [

1 n

n1 j =0

f (T j , y) + k ||u() y ||] a.s.

g (, u()) = E I f (, u())

Proof. Step 1 Here we use some arguments developed in the proof of Proposition 5.5 in [7]. Let () := epif (, .) .
R and admits an Then is a closed convex integrable mapping in Es integrable selection, namely (0, 0) () Es R

Let be the conditional expectation of whose existence is given by Proposition 4.2. Then the conditional expectation g of the normal integrand f is a I B (E)-measurable normal integrand satisfying f (, v())dP () =
A A

EB

g (, v())dP ()

Some applications of Birkhoff-Kingman ergodic theorem

for all v L E ( , I , P ), and for all A I with f (, v()) := ((v(), 1), epif (, .)) g (, v()) := ((v(), 1), E I epif (, .)) . Hence g (, v()) = E I f (, v()) is positive and integrable for all v L ( , I , P ). Let us set
BE

(, x) := g (, x) and
k

(, x)

BE.

(, x) = inf [ (, y) + k ||x y ||] (, x)

y B E k

BE .

Then
k N

sup

(, x) =

(, x)

(, x)

BE .

Let u L ( , I , P ). Let p N. Since E is separable Banach space, BE applying measurable selection theorem ([16], Theorem III-22) yields a (I , B (E))-measurable mapping vk,p,u : B E such that 0 (, vk,p,u ()) + k ||u() vk,p,u ()||
k

(, u()) +

1 p

From the classical Birkhoff ergodic theorem (see e.g. [34]) we provide a negligible set Nk,p,u such that for / Nk,p,u 1 n n lim
n1 j =0

f (T j , vk,p,u ()) = E I [f (, vk,p,u ())] = (, vk,p,u ()) a.s.

Whence we provide a negligible set Nk,p,u such that 1 lim sup inf [ n n y B E lim sup[
n n1 j =0

f (T j , y) + k ||u() y ||E ]

1 n

n1 j =0

f (T j , vk,p,u ()) + k ||u() vk,p,u ()||E ]

k

(, vk,p,u ()) + k ||u() vk,p,u ()||E 1 / Nk,p,u . + p

(, u())

10

C. Castaing and M. Lavie

Taking the supremum on k N in this inequality yields a negligible set Nu := k N,pNNk,p,u such that for / Nu sup lim sup inf [ sup
k

k N n y B E

1 n

n1 j =0

f (T j , y) + k ||u() y ||E ] (, u()) = g (, u()). B E , we set

k N

(, u()) =

Step 2 For k N, n N and for (, x)

(, x) := f (, x)
k

(, x) = inf [f (, y) + k ||x y ||E ].

y B E

n (, x)

1 n

n1 j =0

f (T j , x) =
n (, y)

1 n

n1

(T j , x).
j =0

k n (, x)

= inf [
y B E

+ k ||x y ||E ].

Then the following hold (5 . 1 . 1 ) | (5 . 1 . 2 ) (5 . 1 . 3 )

k

(, x) 0 sup
k

(, y)| k ||x y ||E (, x) (, x)

(, x, y) BE . BE .

BE BE .

(, x)

(, x) (, x)

k N

(, x) =

There is a negligible set N which does not depend on x B E such that (5 . 1 . 4 ) E I (, x) = supk N E I k (, x) if 0 if (, x) N B E \ N BE

where E I k and E I denote the conditional expectation relative to I of k and respectively. Further we have (5 . 1 . 5 )
k n (, x)

1 n

n1 k j =0

(T j , x)

(, x)

BE .

Some applications of Birkhoff-Kingman ergodic theorem

11

By virtue of classical Birkhoff ergodic theorem (see e.g. Lemma 5 in [34]) it follows that (5 . 1 . 6 ) 1 n n lim
n1 k j =0

(T j , u()) = E I [

(, u())]

a.s.

(5.1.5) -(5.1.6) yield a negligible set Nk,u such that lim inf inf [
n y B E

1 n

n1

(T j , y) + k ||u() y ||E ]
j =0

lim inf[
n

1 n

n1 k j =0

(T j , u())] / Nk,u .

=E [

(, u())]

Using (5.1.4) and the preceding convergences, we produce a negligible set Nu = k N Nk,u N such that sup lim inf inf [ E
I

k N n y B E

1 n

n1

(T j , y) + k ||u() y ||E ]
j =0

(, u()) = g (, u())

/ Nu .

For more on epiconvergence results in ergodicity one may consult [6, 7, 17, 24, 34].

6. Birkhoff ergodic theorem for Bochner-Gelfand-Pettis integrable multifunctions

We need to recall some classical results on the slice convergence. For more information on the slice topology one may consult [3, 4].
be a dense seLemma 6.1. Assume that E is strongly separable. Let D1 quence in the closed unit ball B E of E . Then for all bounded closed convex subsets B and C in X, the following holds:

D(B, C) : = sup { (x , C) (x , B)}

x B E
x D1

= sup { (x , C) (x , B)}.

12

C. Castaing and M. Lavie

Proof. Equality D(B, C) = sup { (x , C) (x , B)}

x B E

follows from Hahn-Banach theorem, while the second equality

x B E

sup { (x , C) (x , B)} = sup { (x , C) (x , B)}

x D1

follows from the strong separability of E , noting that the function x (x , C) (x , B) is strongly continuous on E .
be a dense sequence in the Lemma 6.2. Assume that E is separable. Let D1 closed unit ball B E of E with respect to the Mackey topology. Then for all convex weakly compact subsets B and C in E , the following holds:

D(B, C) : = sup { (x , C) (x , B)}

x B E
x D1

= sup { (x , C) (x , B)}. Proof. Equality D(B, C) = sup { (x , C) (x , B)}

x B E

follows from Hahn-Banach theorem, while equality

x B E

sup { (x , C) (x , B)} = sup { (x , C) (x , B)}

x D1

follows, noting that the function x (x , C) (x , B) is continuous on E with respect to the Mackey topology. We begin to treat the Mosco convergence for multivalued ergodic theorem in Bochner integration.
are separable. Let T Theorem 6.1. Assume that E and its strong dual Eb be a measurable transformation of preserving P , I the -algebra of invariant sets and X : cwk(E) a F -measurable and integrably bounded mapping, i.e. X L1 cwk(E) ( , F , P ), then the following hold:

( )

lim (x ,

1 n

n1 j =0

X(T j )) = (x , E I X())

Some applications of Birkhoff-Kingman ergodic theorem

13

for all x B E and almost surely ( ) lim d(x, 1 n

n1 j =0

, and

X(T j )) = d(x, E I X()) , consequently

for all x E and almost surely ( ) lim D(B, 1 n

n1 j =0

X(T j )) = D(B, E I X())

for all closed bounded convex subsets B of E and almost surely . Here E I X is the conditional expectation of X in the sense of Hiai-Umegaki.
= (e ) Proof. Let D1 k k N be a dense sequence in the closed unit ball B E with respect to the the norm dual topology. Note that the mapping |X|

|X|() = sup | (x , X())|

x B E

is F -measurable and integrable (see e.g. [16]). Next, applying the classical , X) yields almost surely Birkhoff ergodic theorem to |X| and each (ek (6 . 1 . 1 ) 1 n n lim
n1 j =0

|X|(T j ) = E I |X|().

lim (ek ,

1 n

n1 j =0

X(T j )) = lim =

1 n n

n1 j =0

(ek , X(T j ))

(6 . 1 . 2 ) Claim (1): lim inf D(B,

n

(ek , E I X()).

1 n

n1 j =0

X(T j )) D(B, E I X())

for all closed bounded convex subsets B E and almost surely . Indeed, for each k N, there is a negligible set Nk such that (6.1.2) holds. Then N := k Nk is negligible and for \ N we have

14

C. Castaing and M. Lavie

n1

lim inf D(B,

n

1 n

X(T j ))
j =0

= lim inf sup [ (x ,

n x B E

1 n 1 n 1 n

n1 j =0 n1 j =0 n1 j =0

X(T j )) (x , B)| X(T j )) (x , B)] X(T j )) (x , B)]

sup lim inf[ (x ,

x D1

= sup [ lim sup (x ,

x D1

= sup [ (x , E X()) (x , B)] = D(B, E I X()).

x D1

Claim (2): E I X() s -li Recall that 1 n

n1

X(T j )
j =0

a.s.

1 I 1 SE I X = cl {E f : f SX }

here the closure is taken in the sense of the norm in L1 E (see also Theorem 3 1 . Applying Birkhoff ergodic theorem for Banach valued in [33]). Let f SX functions (see [26], Theorem 2.1, p.167) yields 1 n n lim Whence for a.s. Sn () :=
1 n n1 j =0 1 n n1 j j =0 f (T )

f (T j ) = E I f ()

a.s.

, E I f () is the strong limit of In other words 1 n

n1

n1 j j =0 X(T ).

E I f () s -li

X(T j )
j =0

a.s.

1 1 I Now if g SE I X , there is a sequence (fn ) in SX such that E fn g a.s. so that

1 g() s -li n

n1

X(T j )
j =0

a.s.

Some applications of Birkhoff-Kingman ergodic theorem

15

Using this inclusion and taking a Castaing representation of E I X we can assert that1 E I X() s -li Claim (3): (6 . 1 . 3 )
n

1 n

n1

X(T j )
j =0

a.s.

lim (x ,

1 n

n1 j =0

X(T j )) = (x , E I X())
n1 j =0

a.s. x B E .

(6 . 1 . 4 )

lim d(x,

1 n

X(T j )) = d(x, E I X()) \ N0

a.s

x E.

There is a negligible set N0 such that for each 1 nN n sup

n1

|X|(T j ) <
j =0

and there is a negligible set Nk such that for each

n

\ Nk

lim (ek ,

1 n

n1 j =0

X(T j )) = (ek , E I X()) \M

and also there is a negligible set M such that for each E I X() s -li 1 n
n1

X(T j ).
j =0 and x B . \ N , e D1 E n1

Then N = k 0 Nk M is negligible. Let We have the estimate 1 | (x , n

n1 j =0 j

1 X(T )) (x , E X())|||x e || sup n nN

I

|X|(T j )
j =0

+| (e ,

1 n

n1 j =0

X(T j )) (e , E I X())| +||x e ||E I |X|().

1 This argument is classical, see the proof of Theorem 4.6 in [8].

16

C. Castaing and M. Lavie

Then from the preceding estimate, it is immediate to see that for and x B E we have lim (x , 1 n
n1 j =0

\N

X(T j )) = (x , E I X()) \ N we have 1 n

n1

which proves (6.1.3). Let

E I X() s -li so that lim sup d(x,

n

X(T j )
j =0

1 n

n1 j =0

X(T j )) d(x, E I X())

x E.

Further for (, x) (6 . 1 . 5 )

\ N E we have
1 lim infn d(x, n n1 j =0

X(T j ))
n1

= lim inf sup [ x , x (x ,

n
x B E

1 n

X(T j ))]
j =0

sup lim [ ek , x (ek , k N n

1 n

n1

X(T j ))]
j =0

= sup[ ek , x (ek , E I X())] k N

= d(x, E I X()).

Note that (6.1.5) follows also from Claim (1) by taking B = {x }. Hence for (, x) \ N E we have lim d(x, 1 n
n1 j =0

X(T j )) = d(x, E I X())

which proves (6.1.4). Formally using (6.1.4) we get (6 . 1 . 6 ) lim sup D(B,
n

1 n

n1 j =0

X(T j )) D(B, E I X())

a.s.

Some applications of Birkhoff-Kingman ergodic theorem

17

for all closed bounded convex set B E because we have lim sup D(B,
n

1 n

n1

X(T j )) = lim sup inf d(x,

j =0 n x B

1 n 1 n

n1

X(T j ))
j =0 n1

inf lim sup d(x,

x B n

X(T j ))
j =0

= inf d(x, E X()) = D(B, E I X()).

x B

So combining (6.1.6) with Claim (1) we get 1 lim D(B, n n

n1 j =0

X(T j )) = D(B, E I X())

a.s.

for all closed bounded convex set B of E .

Remark. Since X L1 cwk(E) ( , F , P ), and the strong dual Eb is separable, B 1 1 B 1 (F )}. Using by [33], E X Lcwk(E) (I ) with SE I X (I ) = {E f : f SX this special property of the E I X, it is easy to prove in inclusion

w-ls

1 n

n1 j =0

X(T j ) E I X() a.s. \ N , there is xp x weakly for some k N

Let x w-lsSn () with xp Snp () (p 1). As

p p

, x = lim ek , xp lim (ek , Snp ()) = (ek , E I X()) ek

we get x E I X() because E I X() is convex weakly compact (see [16], Proposition III.35). From this inclusion and Claim (2) we have Mosco - lim 1 n n
n1 j =0

X(T j ) = E I X()

a.s.

It is worth to address the question of validity of Theorem 6.1 when the strong dual is no longer separable. For this purpose we will provide a variant of Theorem 6.1 by using some compactness assumptions. Nevertheless this need a careful look. A convex weakly compact valued measurable mapping X : cwk(E) is weak compactly integrably bounded if there ( , F , P ) and a convex weakly compact set K in E such that exist L1 R+ X() ()K for all . It is obvious that weak compactly integrably bounded implies integrably bounded.

18

C. Castaing and M. Lavie

Theorem 6.2. Assume that E is separable, T is a measurable transformation of preserving P , I is the -algebra of invariant sets and X : cwk(E) is a F -measurable and weak compactly integrably bounded mapping, then the following hold: lim (x , 1 n
n1 j =0

X(T j )) = (x , E I X()) , and

for all x B E and almost surely lim d(x, 1 n

n1 j =0

X(T j )) = d(x, E I X()) , and consequently

for all x E and almost surely lim D(B, 1 n

n1 j =0

X(T j )) = D(B, E I X())

for all convex weakly compact subsets B of E and almost surely . Here E I X is the conditional expectation of X in the sense of Hiai-Umegaki. Proof. By assumption there exist L1 ( , F , P ) and a convex weakly R+ compact set K in E such that X() ()K for all . W.l.o.g we may assume that K is equilibrated. It is not difcult to see that E I X() E I ()K for all . Hence E I X() is convex weakly compact. Let = (e ) D1 k k N a dense sequence in the closed unit ball B E with respect to the Mackey topology. Next, applying the classical Birkhoff ergodic theorem , X) yields to and each (ek (6 . 2 . 1 ) 1 lim n n
n1 j =0

(T j ) = E I ()

a.s.

lim (ek ,

1 n

n1 j =0

X(T j ))= lim

1 n n

n1 j =0

(ek , X(T j ))

(6 . 2 . 2 )

= (ek , E I X())

a.s.

Some applications of Birkhoff-Kingman ergodic theorem

19

Consequently by (6.2.1)

1 n

n1 j j =0 (T )

is pointwise bounded a.s., say

() := sup It follows that Sn () := Claim (1): lim inf D(B,

n

1 n nN

n1

(T j ) <
j =0

a.s.

1 n

n1

X(T j ) [
j =0

1 n

n1

(T j )]K ()K
j =0

a.s.

1 n

n1 j =0

X(T j )) D(B, E I X())

for all convex weakly compact subset B E and almost surely . Indeed, for each k N, there is a negligible set Nk such that (6.2.2) holds. Then N := k Nk is negligible and for \ N we have 1 lim inf D(B, n n = lim inf sup [ (x ,
n x B E n1

X(T j ))
j =0

1 n 1 n 1 n

n1 j =0 n1 j =0 n1 j =0

X(T j )) (x , B)| X(T j )) (x , B)] X(T j )) (x , B)]

sup lim inf[ (x ,

x D1

= sup [ lim sup (x ,

x D1

= sup [ (x , E X()) (x , B)] = D(B, E I X()).

x D1

Claim (2): E I X() s -li Recall that 1 n

n1

X(T j )
j =0

a.s.

1 I 1 SE I X = cl {E f : f SX }

20

C. Castaing and M. Lavie

here the closure is taken in the sense of the norm in L1 E (see also Theorem 3 in [33]). Firstly we check that
1 1 SE IX S 1 s -li n
n1 j =0

X(T j )

1 . Applying Birkhoff ergodic theorem for Banach valued functions Let f SX (see [26], Theorem 2.1, p.167) yields

1 n n lim Whence for a.s. Sn () :=

1 n

n1 j =0

f (T j ) = E I f ()

a.s.
1 n n1 j j =0 f (T )

, E I f () is the strong limit of In other words 1 n

n1

n1 j j =0 X(T ).

E I f () s -li

X(T j )
j =0

a.s.

1 1 I Now if g SE I X . There is a sequence (fn ) in SX such that E fn g a.s. so that n1 1 X(T j ) a.s. g() s -li n j =0

Using this inclusion and taking a Castaing representation of E I X we can assert that n1 1 X(T j ) a.s. E I X() s -li n
j =0

Now we are going to prove Claim (3): (6 . 2 . 3 )

n

lim (x ,

1 n

n1 j =0

X(T j )) = (x , E I X())

a.s. x B E .

(6 . 2 . 4 )

1 lim d(x, n n

n1 j =0

X(T j )) = d(x, E I X())

a.s

x E.

Some applications of Birkhoff-Kingman ergodic theorem

21

There is a negligible set N0 such that for each () := sup 1 nN n

n1

\ N0

(T j ) <
j =0

and there is a negligible set Nk such that for each lim (ek , 1 n
n1 j =0

\ Nk

X(T j )) = (ek , E I X()) \M

and also there is a negligible set M such that for each 1 E X() s -li n
I
n1

X(T j ).
j =0

Then N = k 0 Nk M is negligible. Let D such that Pick ej 1

\ N , x B E and > 0

max{ (x ej , E I ()K), (ej x , E I ()K)} <

and

max{ (x ej , ()K), (ej x , ()K)} < .

Let us write | (x , Sn ()) (x , E I X())| , Sn ())| = | (x , Sn ()) (ej

+| (ej , Sn ()) (ej , E I X())| +| (ej , E I X()) (x , E I X())|.

As Sn () ()K and E I X() E I ()K for all n N and for all \ N , we have the estimates
| (x , Sn ()) (ej , Sn ())| , ()K), (ej x , ()K)} < max{ (x ej

and
| (ej , E I X()) (x , E I X())| max{ (x ej , E I ()K), (ej x , E I ()K)} < .

22

C. Castaing and M. Lavie

Finally we get
, Sn ()) (ej , E I X())]+2. [ (x , Sn ()) (x , E I X())] < [ (ej , S ()) (e , E I X())] 0, from the preceding estimate, it As [ (ej n j is immediate to see that for \ N and x B E we have

1 lim (x , n n

n1 j =0

X(T j )) = (x , E I X()) \ N we have 1 n

n1

which proves (6.2.3). Let

E I X()) s -li so that 1 lim sup d(x, n n Further for (, x) (6 . 2 . 5 )

n1 j =0

X(T j )
j =0

X(T j )) d(x, E I X())

x E.

\ N E we have
1 lim infn d(x, n n1 j =0

X(T j ))
n1

= lim inf sup [ x , x (x ,

n
x B E

1 n

X(T j ))]
j =0

sup lim [ ek , x (ek , k N n

1 n

n1

X(T j ))]
j =0

= sup[ ek , x (ek , E I X())] k N

= d(x, E I X()). Note that (6.2.5) follows also from Claim (1) by taking B = {x }. Hence for (, x) \ N E we have lim d(x, 1 n
n1 j =0

X(T j )) = d(x, E I X())

Some applications of Birkhoff-Kingman ergodic theorem

23

which proves (6.2.4). Formally using (6.2.4) we get (6 . 2 . 6 ) lim sup D(B,
n

1 n

n1 j =0

X(T j )) D(B, E I X())

a.s.

for all closed bounded convex set B E because we have lim sup D(B,
n

1 n

n1

X(T j )) = lim sup inf d(x,

j =0 n x B

1 n

n1

X(T j ))
j =0 n1

1 inf lim sup d(x, x B n n

I
x B

X(T j ))
j =0

= inf d(x, E X()) = D(B, E I X()). So combining (6.2.6) with Claim (1) we get lim D(B, 1 n
n1 j =0

X(T j )) = D(B, E I X())

a.s.

for all convex weakly compact set B of E . For more information on the conditional expectation of multifunctions, we refer to [2, 9, 20, 33]. In particular, recent existence results for conditional expectation in Gelfand and Pettis integration as well as the multivalued Dunford-Pettis representation theorem are available [2, 9]. These results involve several new convergence problems, for instance, the Mosco convergence of sub-super martingales, pramarts in Bochner, Pettis or Gelfand integration, see [2, 9, 10, 12]. The following variant deals with Gelfand integration, here E is no longer ) is Gelfand-integrable, if strongly separable. A mapping : cwk(Es the mapping (e, (.)) is integrable, for all e E . The Aumann-Gelfand integral of , denoted by AGGdP = {Gf dP : f S }

where S is the set of all Gelfand-integrable selections of and G- f dP is the Gelfand integral of f S . We need to recall the following result on the existence of conditional expectation of convex weak star compact valued Gelfand-integrable mapping ([9], Theorem 6.1).
)Theorem 6.3. Let B be a sub- -algebra of F and let X be a cwk(Es B valued Gelfand-integrable mapping such that E |X| [0, +[. Then there

24

C. Castaing and M. Lavie

)-valued Gelfand-integrable mapping, exists a unique B -measurable, cwk(Es B denoted by Ge-E X which enjoys the following property: For every h L (B ), one has

( )

AG-

hGe-E B XdP = AG-

hXdP.

Ge-E B X is called the Gelfand conditional expectation of X. We need the following denition. Denition 6.1. The Banach space E is weakly compact generated (WCG) if there exists a weakly compact subset of E whose linear span is dense in E . Theorem 6.4. Let E be a separable WCG Banach space, T a measurable transformation of preserving P , I the -algebra of invariant sets and X : cwk(E ) a F -measurable and Gelfand-integrable mapping such that I E |X| [0, +[. Then the following hold: w -Kuratowski - lim 1 n n
n1 j =0

X(T j ) = E I X()

a.s.

where E I X := Ge-E I X (for short) denotes the Gelfand conditional expectation of X. Proof. Let D1 = (ek )k N be a dense sequence in B E . Note that the mapping |X | |X|() = sup | (x, X())|
x B E

is F -measurabie (see e.g. [16] or [2]). Next, applying the classical real valued Birkhoff ergodic theorem to |X| and each (ek , X) yields (6 . 4 . 1 ) 1 n n lim lim (ek , 1 n
n1 j =0

|X|(T j ) = E I |X|()
n1 j =0

a.s.

n1 j =0

X(T j )) = lim

1 n n

(ek , X(T j ))

(6 . 4 . 2 )

= (ek , E I X())
n1

a.s. \ N0

Consequently there is a negligible set N0 such that for each (6 . 4 . 3 ) 1 n nN sup |X|(T j ) <
j =0

Some applications of Birkhoff-Kingman ergodic theorem

25

and there is a negligible set Nk such that for each (6 . 4 . 4 ) Claim w -Kuratowski - lim 1 n n
n1 j =0 n

\ Nk

lim (ek ,

1 n

n1 j =0

X(T j )) = (ek , E I X()).

X(T j ) = E I X()

a.s.

Set N = k 0 Nk . Then N is negligible. Let We have the estimate | (x, 1 n

n1 j =0

\ N , e D1 and x B E . 1 nN n
n1

X(T j )) (x, E I X())| ||x e|| sup +| (e, 1 n

n1 j =0

|X|(T j )
j =0

X(T j )) (e, E I X())| +||x e||E I |X|().

Then from (6.4.3) and (6.4.4) and the preceding estimate, it is immediate to see that for \ N and x B E we have (6 . 4 . 5 )
n

lim (x,

1 n

n1 j =0

X(T j )) = (x, E I X()).

Now since E is WCG, from (6.4.3)-(6.4.4)-(6.4.5) and ([19], Theorem 4.1) we deduce that w -Kuratowski - lim 1 n n
n1 j =0

X(T j ) = E I X()

a.s.

Now we treat the multivalued ergodic theorem in Pettis integration. A mapping : cwk(E) is Pettis-integrable, if the mapping (e , (.)) is integrable for all e E and if any scalarly integrable selection of is Pettis-integrable. The Aumann-Pettis integral of is dened by APdP = {P f dP : f S Pe }

where S Pe is the set of all Pettis-integrable selections of and P - f dP is the Pettis integral of f S P e . We need to recall the following result on the existence of conditional expectation of convex weak star compact valued Pettis-integrable mapping ([2], Theorem 4.4).

26

C. Castaing and M. Lavie

is separable. Let B be a sub- -algebra of F Theorem 6.5. Assume that Eb and let X be a cwk(E)-valued Pettis-integrable mapping such that E B |X| [0, +[. Then there exists a unique B -measurable, cwk(E)-valued Pettisintegrable multifunction, denoted by P e-E B X, which enjoys the following property: For every h L (B ), one has

P e-

hP e-E B XdP = P e-

hXdP

where P e- hP e-E B XdP and P e- hXdP denote the cwk(E)-valued Aumann-Pettis integral of hP e-E B X and hX respectively.
are separable, T is Theorem 6.6. Assume that E and its strong dual Eb a measurable transformation of preserving P , I is the -algebra of invariant sets and X : cwk(E) is a F -measurable and Pettis-integrable mapping such that E I |X| [0, +[. Then the following hold:

lim (x ,

1 n

n1 j =0

X(T j )) = (x , E I X())

for all x B E and almost surely , where E I X := P e-E I X (for short) denotes the Pettis conditional expectation of X.
= (e ) Proof. Let D1 k k N a dense sequence in B E with respect to the norm dual topology. Note that the mapping |X|

|X|() = sup | (x , X())|

x B E

is F -measurabile (see e.g. [16]). Next, applying the classical Birkhoff ergodic , X) (see e.g. [34]) yields almost surely theorem to |X| and each (ek (6 . 6 . 1 ) 1 n n lim
n1 j =0

|X|(T j ) = E I |X|()

a.s.

lim

(ek ,

1 n

n1 j =0

1 X(T )) = lim n n
j

n1 j =0

(ek , X(T j ))

(6 . 6 . 2 )

, E I X()). = (ek

Some applications of Birkhoff-Kingman ergodic theorem

27

Consequently there is a negligible set N0 such that for each (6 . 6 . 3 ) R() := sup 1 nN n
n1

\ N0

|X|(T j ) <
j =0

and there is a negligible set Nk such that for each (6 . 6 . 4 )

lim (ek ,

\ Nk

1 n

n1 j =0

X(T j )) = (ek , E I X())

Set N = k 0 Nk . Then N is negligible. Let . By (6.6.3) we have e D1 |Sn ()| R() < for each | (x, , 1 n \ N . We have the estimate
n1 j =0

\ N , x B E and

X(T j )) (x , E I X())| ||x e ||R() +| (e , 1 n

n1 j =0

X(T j )) (e , E I X())| +||x e ||E I |X|().

Then from (6.6.3) and (6.6.4) and the preceding estimate, it is immediate to see that for \ N and x B E we have lim (x , 1 n
n1 j =0

X(T j )) = (x , E I X()).

7. An unsual convergence for superadditive integrable process in Banach lattice

We must recall some facts from ergodic theory and provide the denition of 1 superadditive process in L1 R ( , F , P ). A sequence (Sm )mN in LR ( , F , P ) is a superadditive process provided that, for all m, n N, we have Sm+n () Sm () + Sn (T m ) for all .

28

C. Castaing and M. Lavie

Theorem (J.F.C. Kingmann) [18]. For any superadditive sequence (Sn )nN n of integrable random variable, ( S n )nN converges a.s. as n to := supnN E nSn . Here is integrable if and only if supnN 1 n and if is integrable, then ( S n )nN converges to also in L .
I

E(Sn ) n

< ,

denotes In the following let E denotes a separable Banach lattice and E+ the positive cone in the dual E . For background on properties of Banach lattices, we may consult Schafer [31], Peressini [30]. The following denition is formally similar to the case of real valued integrable superadditive process.

Denition 7.1. Let E be a separable Banach lattice, let T a measurable transformation of preserving P . A sequence (Sm )mN in L1 E ( , F , P ) is a superadditive process provided that for all m, n N, and for all , we have Sm+n () Sm () + Sn (T m ) for all .
, for all The above superadditive condition means that for all f E+ m, n N, for all , we have

f , Sm+n () f , Sm () + Sn (T m ) .
, ( f , S ) In otherwords, for each f E+ m mN is a superadditive process 1 in LR ( , F , P ). The following is an unusual convergence of superadditive vector valued process with localization of the limit. Surprisingly this result can be considered as a by product of some results in Mathematical Economics dealing with the existence of integrable selection of the sequential weak upper limit of a sequence of measurable multifunctions. See Theorem 4.9 in [12]. At this point, let us mention some important variants. Krupa [27] and Schurger [32] treated the Ergodic theorems for subadditive superstationary families of convex compact random sets using Abid result [1] on the convergence of subadditive superstationary process while Ghoussoub and Steele [6] treated the a.s. norm convergence for subadditive process in an order complete Banach lattice extending the Kingmans theorem for real valued subadditive process. is the positive Theorem 7.1. Assume that E is separable Banach lattice, E+ cone in the dual E , T is a measurable transformation of preserving P , I is the -algebra of invariant sets and (Sn )nN is a superadditive process in L1 E ( , F , P ) satisfying: Si (i) There is a sequence (rn )nN in L0 R ( , F , P ) with rn co{| i | : i n} such that lim sup rn L1 R ( , F , P ).

Some applications of Birkhoff-Kingman ergodic theorem

,Sn (ii) For each f E , ( f n )nN is uniformly integrable. (iii) There is a convex ball weakly compact valued multifunction such that Sn () () n N . n

29

Then there exists Z L1 E ( , F , P ) verifying:

E Sn dP n f , Z dP = limn A f , S n dP = A supnN f , n for all A F and for all f E+ . () (b) Z () m1 cl co{ Snn : n m} almost surely.

(a)

. It is clear that each ( f , S ) Proof. Let f E+ n nN is a real valued integrable superadditive process. By condition (ii) and Kingmann ergodic theo1 n rem, f , S n converges a.s. and also in L to the integrable function

E I f , Sn E I Sn = sup f , n n nN nN sup which entails

n

lim f ,
A

Sn dP = lim n n sup f ,

f ,
A

Sn dP n A F .

(7.1)

(7 . 1 . 1 )

A nN

E I Sn dP n

Now using (i)(ii)(iii) and repeating the arguments of the proof of Theorem 4.9 in [12] we provide a sequence (Zn )nN whose members are convex 1 n combinations of ( S n ) and Z LE ( , F , P ) such that (7 . 1 . 2 ) weak - lim Zn () = Z ()
n

a.s.

Using (7.1.2) we get (b) Z ()

m1

cl co{

Sn () : n m} n

a.s.

By (ii) we note that the sequence ( f , Zn )nN is uniformly integrable, for each f E , which entails (7 . 1 . 3 )
A

f , Z dP = lim

n A

f , Zn dP

30

C. Castaing and M. Lavie

. Coming back to (7.1.1)- (7.1.2)-(7.1.3) for all A F . Now let f E+ we get

f , Z dP = lim Sn dP = lim n n

n A

f , Zn dP = lim f ,
n A

Zn dP

= lim f ,
n A

f ,
A

Sn dP = n

A nN

sup f ,

E I Sn dP . n

thus proving (a). Here is a corollary of Theorem 7.1. Corollary 7.1. Assume that E is reexive separable Banach lattice, T is a measurable transformation of preserving P , I is the -algebra of invariant sets and (Sn )nN is a superadditive process in L1 E ( , F , P ) satisfying:
Sn |) (i) supnN E(|n < . (ii) For each f E , ( f ,Sn n

)nN is uniformly integrable.

I

Then there exists Z L1 E ( , F , P ) verifying:

E Sn dP n f , Z dP = limn A f , S n dP = A supnN f , n for all A F and for all f E+ . () : n m} almost surely. (b) Z () m1 cl co{ Snn

(a)

Proof. We give an alternative proof. By (i) one has sup e , Sn dP < n

nN

, for all E . Then by Kingmann ergodic theorem, for each f E+ 1 n f , S n converges a.s. and also in L to the integrable function

E I f , Sn E I Sn = sup f , n n nN nN sup which entails

n

lim f ,

Sn Sn E I Sn f , sup f , dP = lim dP = dP n n n A n A A nN

A F

1 n Since by (i) the sequence ( S n )nN is bounded in LE ( , F , P ) and E is reexive, there is a sequence (Zn )nN whose members are convex combina1 n tions of ( S n ) and Z LE ( , F , P ) such that

(7 . 2 . 1 )

lim Zn () = Z ()

a.s.

Some applications of Birkhoff-Kingman ergodic theorem

31

(see e.g. [11], Proposition 6.7), that is (Zn )nN norm converges a.s. to Z . Now we can nish the proof as in Theorem 7.1. Remarks. Theorem 7.1 can be considered as a by product of a convergence result related to the Fatou lemma in Mathematical Economics. See ([12], Theorem 4.9). That is a surprise establishing the link between convergence in superadditive process in Probability and Fatou Lemma in Mathematical Economics. Theorem 7.1 is an extension of Kingman ergodic theorem to vector valued integrable superadditive sequences. In both Theorem 7.1 and its coroln lary, it is easily seen that the sequence ( S n )nN is Mazur-tight in the sense of [12]. The use of Mazur trick is decisive here.

8. Convex weakly compact valued superadditive process in L1 cwk(E) ( , F , P )

In this section we will develop some Koml os techniques in the convergence of convex weakly compact valued superadditive process via the Kingman ergodic theorem for superadditive process in L1 R ( , F , P ). We need to provide the denition of superadditive process in L1 cwk(E) ( , F , P ). Denition 8.1. A sequence (Sm )mN in L1 cwk(E) ( , F , P ) is a superadditive process provided that for all m, n N, for all , we have Sm () + Sn (T m ) Sm+n (). Further, the superadditivity given in this denition is equivalent to (x , Sm ()) + (x , Sn (T m )) (x , Sm+n ()) x E .

so that coming back to the denition of real valued integrable superadditive process, we see that, for each x E , the sequence ( (x , Sm ))mN is a superadditive integrable process in L1 R ( , F , P ). When equality is assumed to hold in the denition 8.1, (Sm )mN is called additive. Compare with [28]. In the remainder of this paper, E is a separable Hilbert space. The following lemma is a useful and has its own interest. Lemma 8.1. Let E be a separable Hilbert space. Let (Xn )nN be a bounded sequence in L1 cwk(E) ( , F , P ). Then there is a subsequence (X (n) )nN of (Xn )nN and X in L1 cwk(E) ( , F , P ) such that lim (x, 1 n
n i =1

X (i) ()) = (x, X ())

a.s. x B E .

32

C. Castaing and M. Lavie

lim d(x,

1 n

X (i) ()) = d(x, X ())

i =1

a.s.

x E.

Proof. Step 1 Let (ek )k N be a dense sequence in B E . For each xed k N and n N, pick an integrable selection uk,n of Xn such that ek , uk,n () = (ek , Xn ()) .

As the sequence (|Xn |)nN is bounded in L1 R ( , F , P ) and the sequence ( , F , P ) for each k N, by applying Koml os (uk,n )nN is bounded in L1 E 2 theorem in Hilbert space [23] and a diagonal procedure we nd an applica1 tion : N N, L1 R ( , F , P ), uk, LE ( , F , P ) satisfying (8 . 1 . 1 ) and for each k N (8 . 1 . 2 ) 1 n n lim
n

1 n n lim

|X (i) |() = ()
i =1

a.s.

uk, (i) () = uk, ()

i =1

a.s.

with respect to the norm of E . Step 2 Let us set Yn () := 1 n

n

X (i) ()
i =1

so that by (8.1.1) supnN |Yn | < almost surely; and X () = s -li Yn () so that for every k N uk, () X () Then for every k N we have
n

a.s

lim (ek , Yn ()) = lim

1 n n

ek , uk, (i)
i =1

= ek , uk, () (ek , X ()

a.s.

2 A more general version of Koml os theorem for B convex reexive Banach space is available in [21].

Some applications of Birkhoff-Kingman ergodic theorem

33

and so that

(ek , X ()) lim (ek , Yn ())

n

a.s. a.s.

(ek , X ()) = lim (ek , Yn ())

n

Using a density argument as in the previous results in section 6 we deduce that (8 . 1 . 2 ) (x, X ()) = lim (x, Yn ())
n

a.s.

x E.

Finally X is measurable and satises the inequality |X |dP Step 3 Now we claim that
n

lim inf |Yn |dP sup

n n

|Xn |dP < .

lim d(x, Yn ()) = d(x, X ())

a.s.

x B E .

From (8.1.2) deduce that (8 . 1 . 3 )

n

lim infn d(x, Yn ()) = lim inf sup [ y, x (y, Yn ())]

y B E n , Yn ())] sup lim[ ek , x (ek k

= sup[ ek , x (ek , X ())]

k

= d(x, X ()). for all x E and almost surely (8 . 1 . 4 )

n

. By denition of X we have

lim sup d(x, Yn ()) d(x, X ()) . So the claim follows from (8.1.3)-(8.1.4).

for all x E and all

Now we provide our convergence theorem for convex weakly compact valued superadditive process in Hilbert spaces. Theorem 8.1. Assume that E is separable Hilbert space, T is a measurable transformation of preserving P , I is the -algebra of invariant sets and (Sn )nN is a superadditive process in L1 cwk(E) ( , F , P ) satisfying

34

C. Castaing and M. Lavie

n (i) ( S n )nN is uniformly integrable. n (ii) There is L Lwk(E) such that S n () L, n N,

Then there are a subsequence (Z (n) )nN of ( , F , P ) satisfying the following properties: 1 lim (x, n n
n i =1 n

n (S n )nN

and Z L1 cwk(E)

Z (i) ()) = (x, Z ())

a.s.

x B E .

1 lim d(x, n n Consequently

Z (i) ()) = d(x, Z ())

i =1

a.s. x E.

(x, Z )dP = lim

n A

(x,

Sn )dP = n

(x, E I Sn ) dP n A nN sup

for each x B E and each A F with the localization property Z () co w-ls Sn () n a.s.

Proof. Let x B E . Then by our assumption and by virtue of Kingman ergodic theorem, the uniformly integrable real valued superadditive sequence 1 n (( (x, S n ))nN converges a.s. and in L to the integrable function x := sup which entails (8 . 2 . 1 )
n A

E I (x, Sn ) (x, E I Sn ) = sup n n nN nN (x, E I Sn ) dP n A nN sup

lim

(x,

Sn )dP = n

1 n for each A F . Since ( S n )nN is bounded in Lcwk(E) ( , F , P ), by

n Lemma 8.1 we nd a subsequence (Z (n) )nN of ( S n )nN and Z 1 Lcwk(E) ( , F , P ) satisfying

(8 . 2 . 2 )

lim (x,

1 n

n i =1 n

Z (i) ()) = (x, Z ()) a.s.

x B E .

(8 . 2 . 3 )

lim d(x,

1 n

Z (i) ()) = d(x, Z ())

i =1

a.s. x E.

Some applications of Birkhoff-Kingman ergodic theorem

35

From (8.2.1)-(8.2.2) and Lebesgue-Vitali theorem, it follows that lim (x, Sn () )dP () = lim n n =
A

n A

(x,
A

1 n

Z (i) ())dP ()
i =1

(8 . 2 . 4 )

(x, Z ())dP ()

for every x E and for every A F . Now we claim that (8 . 2 . 5 ) Z () co w-ls Sn () n a.s.

() is included in L Lwk(E), the Lwk(E)-valued mapping As Snn () co w-ls Snn is measurable, see e.g. ([12], Theorem 5.4). Assume that (8.2.5) does not hold. Using Lemma III. 34 in [16] provides x E and a F measurable set A with P (A) > 0 such that

(x, Z ()) > (x, co w-ls

Sn () ) n
Sn n

for all A. For each n N pick a maximal integrable selection zn of associated with x , i.e. x, zn () = (x, Sn () ) n .

Then it is obvious that the sequence (zn )nN is relatively sequentially compact in L1 E ( , F , P ), see e.g. ([13], Theorem 6.2.5 or Theorem 6.4.13). So we may assume that (zn )nN (L1 E , LE ) converges to a function z 1 LE ( , F , P ) with the localization property ([13], Proposition 6.5.3) z () co w-ls zn () co w-ls As zn z weakly in L1 E ( , F , P ) we get
n A

Sn () n

a.s.

lim

x, zn dP =
A

x, z dP .

By combining with (8.2.4) it follows that x, z () dP () = (x, Z ())dP ().

36

C. Castaing and M. Lavie

() As z () co w-ls Snn a.s. on A, by integrating on A we deduce that

(x, co w-ls
A

Sn () )dP () n

(x, Z ())dP ()

that contradicts the inequality (x, co w-ls

A

Sn () )dP () < n

(x, Z ())dP ().

Remarks. 1) Lemma 8.1 and Theorem 8.2 hold true when E is separable B convex reexive Banach space. If (Sn )n is additive, Theorem 8.2 needs a special treatment. Compare this variant with [28] and Theorems 6.16.6. For shortness we omit the details. 2) In most results presented here we need to deal with convex weakly-weakly star compact valued random sets (alias measurable multifunctions), apart from the case of epiconvergence theorem for normal integrands in Proposition 5.1 involving the support function of an epigraph multifunction and the support function of the conditional expectation of this epigraph. It seems difcult to obtain the above convergence results in the case when the random sets are unbounded. 3) It would be interesting to obtain the analogues of the aforementioned results for subadditive and superstationary convex weakly-weakly star compact valued process satisfying some tightness conditions (see e.g. [12, 14]).

References
1. Abid, M.: Un th eoreme ergodique pour les processus sous-additifs et surstationnaires. C.R. Acad. Sci. Paris, Serie A 287, 149152 (1978) 2. Akhiat, F., Castaing, C., Ezzaki, F.: Some various convergence results for multivalued martingales. In: Kusuoka, S., Maruyama, T. (eds.) Adv. Math. Econ. 13, 133 (2010) 3. Beer, G.: Support and distance functionals for convex sets. Numer. Funct. Anal. Optim. 10(12), 1536 (1989) 4. Beer, G.: The slice topology: a viable alternative to Mosco convergence in nonreexive spaces. Nonlinear Anal. 19(3), 271290 (1992) 5. Castaing, C.: Compacit e et inf-equicontinuity dans certains espaces de Ko the-Orlicz. S eminaire dAnalyse Convexe, Montpellier, Expos e No 6 (1979)

Some applications of Birkhoff-Kingman ergodic theorem

37

6. Castaing, C.: Some various convergence results for normal integrands. Adv. Math. Econ. 15, 126 (2011) 7. Castaing, C., Ezzaki, F.: Variational inequalities for integrand martingales and additive random sequences. S eminaire dAnalyse Convexe, Montpellier, Expos e No 1 (1992) and Acta Mathematica Vietnamica 18(1), 137171 (1993) 8. Castaing, C., Ezzaki, F., Hess, C.: Convergence for conditional expectation for unbounded closed convex random sets. Studia Mathematica 124(2), 133148 (1997) 9. Castaing, C., Ezzaki, F., Lavie, M., Saadoune, M.: Weak star convergence of martingales in a dual space. In: Proceedings of the 9-th Edition of the International Conference on Function Spaces, Krakow, Poland; Banach Center Publications, Vol 92. Institute of Mathematics, Polish Academy of Sciences, Warsawa (2011) 10. Castaing, C., Ezzaki, F., Tahri, K.: Convergences of multivalued pramarts. Journal of Nonlinear and Convex Analysis 11(2), 243266 (2010) 11. Castaing, C., Guessous, M.: Convergences in L1 X (). Adv. Math. Econ. 1, 1737 (1999) 12. Castaing, C., Hess, Ch., Saadoune, M.: Tightness conditions and integrability of the sequential weak upper limit of a sequence of multifunctions. Adv. Math. Econ. 11, 1144 (2008) 13. Castaing, C., Raynaud de Fitte, P., Valadier, M.: Young Measures on Topological Spaces. With Applications in Control Theory and Probability Theory. Kluwer Academic Publishers, Dordrecht (2004) 14. Castaing, C., Saadoune, M.: Dunford-Pettis types theorem and convergences in set-valued integration. Journal of Nonlinear and Convex Analysis 1(1), 3771 (2000) 15. Castaing, C., Saadoune, M.: Convergences in a dual space with applications to Fatou lemma. In: Kusuoka, S., Maruyama, T. (eds.) Adv. Math. Econ. 12, pp. 2369 (2009) 16. Castaing, C., Valadier, M.: Convex Analysis and Measurable Multifunctions, Lecture Notes in Math., Vol. 580. Springer-Verlag, Berlin and New York (1977) 17. Choirat, C., Hess, C., Seri, R.: A functional version of the Birkhoff ergodic theorem for a normal integrand: a variational approach. The Annals of Probability 31, 6392 (2003) 18. Dudley, R. M.: Real Analysis And Probability, Chapman-Hall, Mathematics Series. Wadsworth, Inc. (1989) 19. Fitzpatrick, S., Lewis, A.S.: Weak-star convergence of convex sets. Journal of Convex Analysis 13(3 + 4), 711719 (2006) 20. Hiai, F., Umegaki, H.: Integrals, conditional expectations and martingales of multivalued functions. J. Multi. Anal. 7, 149182 (1977)

38

C. Castaing and M. Lavie

21. Garling, D. J. H.: Subsequence principles for vector-valued random variables. Math. Proc. Cambridge Philos. Soc. 86, 301311 (1979) 22. Ghoussoub, N., Steele, M.: Vector valued subadditive process and applications in probability. Ann. Probability 8(1), 8395 (1990) 23. Guessous, M.: An elementary proof of Komlos-Revesz theorem in Hilbert space. Journal of Convex Analysis 4, 321332 (1997) 24. Jalby, V.: Semi-continuit e, convergence et approximation des applications vectorielles. Loi des grands nombres, Universit e Montpellier II, Laboratoire dAnalyse Convexe, 34095 Montpellier Cedex 05, France, Janvier (1992) 25. Korf, L. A., Wets, R. J. B.: Random l.s.c functions: an ergodic theorem. Mathematics of Operations Research 26(2), 421445 (2001) 26. Krengel, U.: Ergodic Theorems. De Gruyter Studies in Mathematics 6, Berlin, New York (1985) 27. Krupa, G.: Ergodic theorems for subadditive superstationary families of random sets with values in Banach spaces. Studia Mathematica 131(3), (1998) 28. Mourier, E.: El ements al eatoires dans un espace de Banach. Ann. Ins. H. Poincare, Sect. B 13, 161244 (1953) 29. Neveu, N.: Martingales Etemps discret, Masson et Cie, Editeur (1972) 30. Peressini, A. L.: Ordered Topological Vector Spaces, Harpers Series in Modern Mathematics. Harper and Row Publ., New-York (1967) 31. Schaefer, H.H.: Banach Lattices and Positive Operators, Die Grundlehren der Mathematischen Wissenschaften in Einzeldarstellungen, 215. Springer-Verlag, Berlin 32. Schurger, K.: Ergodic theorems for subadditive superstationary families of convex random sets. Z. Wahrsch. verw. Gebiete 62, 125135 (1983) 33. Valadier, M.: On conditional expectation of random sets. Annali Math. Pura Appl. 126, 8191 (1980) 34. Valadier, M.: Conditional expectation and ergodic theorem for a positive integrand. J. Nonlinear Convex Anal. 1, 233244 (2002)