Ergodic theory


Ergodic theory is a branch of mathematics that studies statistical properties of deterministic dynamical systems; it is the study of ergodicity. In this context, "statistical properties" refers to properties which are expressed through the behavior of time averages of various functions along trajectories of dynamical systems. The notion of deterministic dynamical systems assumes that the equations determining the dynamics do not contain any random perturbations, noise, etc. Thus, the statistics with which we are concerned are properties of the dynamics.
Ergodic theory, like probability theory, is based on general notions of measure theory. Its initial development was motivated by problems of statistical physics.
A central concern of ergodic theory is the behavior of a dynamical system when it is allowed to run for a long time. The first result in this direction is the Poincaré recurrence theorem, which claims that almost all points in any subset of the phase space eventually revisit the set. Systems for which the Poincaré recurrence theorem holds are conservative systems; thus all ergodic systems are conservative.
More precise information is provided by various ergodic theorems which assert that, under certain conditions, the time average of a function along the trajectories exists almost everywhere and is related to the space average. Two of the most important theorems are those of Birkhoff and von Neumann which assert the existence of a time average along each trajectory. For the special class of ergodic systems, this time average is the same for almost all initial points: statistically speaking, the system that evolves for a long time "forgets" its initial state. Stronger properties, such as mixing and equidistribution, have also been extensively studied.
The problem of metric classification of systems is another important part of the abstract ergodic theory. An outstanding role in ergodic theory and its applications to stochastic processes is played by the various notions of entropy for dynamical systems.
The concepts of ergodicity and the ergodic hypothesis are central to applications of ergodic theory. The underlying idea is that for certain systems the time average of their properties is equal to the average over the entire space. Applications of ergodic theory to other parts of mathematics usually involve establishing ergodicity properties for systems of special kind. In geometry, methods of ergodic theory have been used to study the geodesic flow on Riemannian manifolds, starting with the results of Eberhard Hopf for Riemann surfaces of negative curvature. Markov chains form a common context for applications in probability theory. Ergodic theory has fruitful connections with harmonic analysis, Lie theory, and number theory.

Ergodic transformations

Ergodic theory is often concerned with ergodic transformations. The intuition behind such transformations, which act on a given set, is that they do a thorough job "stirring" the elements of that set. E.g. if the set is a quantity of hot oatmeal in a bowl, and if a spoonful of syrup is dropped into the bowl, then iterations of the inverse of an ergodic transformation of the oatmeal will not allow the syrup to remain in a local subregion of the oatmeal, but will distribute the syrup evenly throughout. At the same time, these iterations will not compress or dilate any portion of the oatmeal: they preserve the measure that is density.
The formal definition is as follows:
Let be a measure-preserving transformation on a measure space, with. Then is ergodic if for every in with , either or.
The operator Δ here is the symmetric difference of sets, equivalent to the exclusive-or operation with respect to set membership. The condition that the symmetric difference be measure zero is called being essentially invariant.

Examples

  • An irrational rotation of the circle R/'Z', T: x → x + θ, where θ is irrational, is ergodic. This transformation has even stronger properties of unique ergodicity, minimality, and equidistribution. By contrast, if θ = p/''q is rational then T'' is periodic, with period q, and thus cannot be ergodic: for any interval I of length a, 0 < a < 1/q, its orbit under T,..., Tq−1 is a T-invariant mod 0 set that is a union of q intervals of length a, hence it has measure qa strictly between 0 and 1.
  • Let G be a compact abelian group, μ the normalized Haar measure, and T a group automorphism of G. Let G* be the Pontryagin dual group, consisting of the continuous characters of G, and T* be the corresponding adjoint automorphism of G*. The automorphism T is ergodic if and only if the equality n = χ is possible only when n = 0 or χ is the trivial character of G. In particular, if G is the n-dimensional torus and the automorphism T is represented by a unimodular matrix A then T is ergodic if and only if no eigenvalue of A is a root of unity.
  • A Bernoulli shift is ergodic. More generally, ergodicity of the shift transformation associated with a sequence of i.i.d. random variables and some more general stationary processes follows from Kolmogorov's zero–one law.
  • Ergodicity of a continuous dynamical system means that its trajectories "spread around" the phase space. A system with a compact phase space which has a non-constant first integral cannot be ergodic. This applies, in particular, to Hamiltonian systems with a first integral I functionally independent from the Hamilton function H and a compact level set X = of constant energy. Liouville's theorem implies the existence of a finite invariant measure on X, but the dynamics of the system is constrained to the level sets of I on X, hence the system possesses invariant sets of positive but less than full measure. A property of continuous dynamical systems that is the opposite of ergodicity is complete integrability.

    Ergodic theorems

Let T: X → X be a measure-preserving transformation on a measure space and suppose f is a μ-integrable function, i.e. f ∈ L1. Then we define the following averages:
In general the time average and space average may be different. But if the transformation is ergodic, and the measure is invariant, then the time average is equal to the space average almost everywhere. This is the celebrated ergodic theorem, in an abstract form due to George David Birkhoff. The equidistribution theorem is a special case of the ergodic theorem, dealing specifically with the distribution of probabilities on the unit interval.
More precisely, the pointwise or strong ergodic theorem states that the limit in the definition of the time average of exists for almost every x and that the limit function is integrable:
Furthermore, is T-invariant, that is to say
holds almost everywhere, and if μ is finite, then the normalization is the same:
In particular, if T is ergodic, then must be a constant, and so one has that
almost everywhere. Joining the first to the last claim and assuming that μ is finite and nonzero, one has that
for almost all x, i.e., for all x except for a set of measure zero.
For an ergodic transformation, the time average equals the space average almost surely.
As an example, assume that the measure space models the particles of a gas as above, and let denote the velocity of the particle at position x. Then the pointwise ergodic theorems says that the average velocity of all particles at some given time is equal to the average velocity of one particle over time.
A generalization of Birkhoff's theorem is Kingman's subadditive ergodic theorem.

Probabilistic formulation: Birkhoff–Khinchin theorem

Birkhoff–Khinchin theorem. Let ƒ be measurable, E < ∞, and T be a measure-preserving map. Then with probability 1:
where is the conditional expectation given the σ-algebra of invariant sets of T.
Corollary : In particular, if T is also ergodic, then is the trivial σ-algebra, and thus with probability 1:

Mean ergodic theorem

Von Neumann's mean ergodic theorem, holds in Hilbert spaces.
Let U be a unitary operator on a Hilbert space H; more generally, an isometric linear operator. Let P be the orthogonal projection onto = ker.
Then, for any x in H, we have:
where the limit is with respect to the norm on H. In other words, the sequence of averages
converges to P in the strong operator topology.
Indeed, it is not difficult to see that in this case any admits an orthogonal decomposition into parts from and respectively. The former part is invariant in all the partial sums as grows, while for the latter part, from the telescoping series one would have:
This theorem specializes to the case in which the Hilbert space H consists of L2 functions on a measure space and U is an operator of the form
where T is a measure-preserving endomorphism of X, thought of in applications as representing a time-step of a discrete dynamical system. The ergodic theorem then asserts that the average behavior of a function ƒ over sufficiently large time-scales is approximated by the orthogonal component of ƒ which is time-invariant.
In another form of the mean ergodic theorem, let Ut be a strongly continuous one-parameter group of unitary operators on H. Then the operator
converges in the strong operator topology as T → ∞. In fact, this result also extends to the case of strongly continuous one-parameter semigroup of contractive operators on a reflexive space.
Remark: Some intuition for the mean ergodic theorem can be developed by considering the case where complex numbers of unit length are regarded as unitary transformations on the complex plane. If we pick a single complex number of unit length, it is intuitive that its powers will fill up the circle. Since the circle is symmetric around 0, it makes sense that the averages of the powers of U will converge to 0. Also, 0 is the only fixed point of U, and so the projection onto the space of fixed points must be the zero operator.