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Maximal ergodic theorem

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Title: Maximal ergodic theorem  
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Subject: Theorems in dynamical systems, Ergodic theory, Stochastic processes, Continuous-time stochastic process, Markov additive process
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Maximal ergodic theorem

The maximal ergodic theorem is a theorem in ergodic theory, a discipline within mathematics.

Suppose that (X, \mathcal{B}, \mu) is a probability space, that T : X \to X is a (possibly noninvertible) measure-preserving transformation, and that f \in L^1(\mu). Define f^* by

f^* = \sup_{N\geq 1} \frac1N \sum_{i=0}^{N-1} f \circ T^i.

Then the maximal ergodic theorem states that

\int_{f^* > \lambda} f \,d\mu \ge \lambda \cdot \mu\{ f^* > \lambda\}

for any λ ∈ R.

This theorem is used to prove the point-wise ergodic theorem.


  • Keane, Michael; Petersen, Karl (2006), "Easy and nearly simultaneous proofs of the Ergodic Theorem and Maximal Ergodic Theorem", Institute of Mathematical Statistics Lecture Notes - Monograph Series, Institute of Mathematical Statistics Lecture Notes - Monograph Series 48: 248–251,  .
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