ergodic theorem

E582382

The ergodic theorem is a fundamental result in dynamical systems and probability theory that links long-term time averages of a system’s evolution to ensemble or space averages, underpinning the statistical behavior of many physical and stochastic processes.

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Predicate Object
instanceOf mathematical theorem
result in ergodic theory
appliesTo Markov chains with unique stationary distribution
ergodic transformations
measure-preserving dynamical systems
stationary ergodic processes
field dynamical systems
ergodic theory
probability theory
statistical mechanics
generalizationOf law of large numbers
hasConsequence almost sure convergence of time averages
existence of typical trajectories
law of large numbers for dynamical systems
hasForm Birkhoff ergodic theorem
linked to: ergodic theorem

ergodic theorem for Markov chains
ergodic theorem for flows
ergodic theorem for group actions
ergodic theorem for stationary processes
mean ergodic theorem
linked to: ergodic theorem

multiparameter ergodic theorem
pointwise ergodic theorem
linked to: ergodic theorem

subadditive ergodic theorem
von Neumann mean ergodic theorem
linked to: ergodic theorem
historicalDevelopment formulated in modern form in the 20th century
implies equivalence of time and ensemble averages under ergodicity
notableContributor George David Birkhoff
John von Neumann
relatedTo Kolmogorov–Sinai entropy
Poincaré recurrence theorem
mixing
strong mixing
weak mixing
relatesConcept ensemble average
ergodic measure
invariant measure
long-term statistical behavior
measure-preserving transformation
space average
stationary stochastic process
time average
states for an ergodic measure-preserving transformation, time averages converge almost surely to space averages
usedIn Markov chain Monte Carlo
Monte Carlo methods
linked to: Monte Carlo method

chaos theory
information theory
probabilistic number theory
random dynamical systems
signal processing
statistical mechanics
thermodynamics

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Referenced by (16)

Full triples — surface form annotated when it differs from this entity's canonical label.

law of large numbers relatesTo ergodic theorem
Garrett Birkhoff notableConcept Birkhoff’s ergodic theorem
linked to: ergodic theorem
Kakutani’s random ergodic theorem generalizes Birkhoff’s pointwise ergodic theorem
linked to: ergodic theorem
Kakutani’s random ergodic theorem generalizes von Neumann’s mean ergodic theorem
linked to: ergodic theorem
Lectures on Ergodic Theory subject Birkhoff ergodic theorem
linked to: ergodic theorem
Lectures on Ergodic Theory subject von Neumann mean ergodic theorem
linked to: ergodic theorem
Khinchin–Lévy constant relatedConcept Birkhoff ergodic theorem
linked to: ergodic theorem
ergodic theorem hasForm Birkhoff ergodic theorem
linked to: ergodic theorem
ergodic theorem hasForm von Neumann mean ergodic theorem
linked to: ergodic theorem
ergodic theorem hasForm pointwise ergodic theorem
linked to: ergodic theorem
ergodic theorem hasForm mean ergodic theorem
linked to: ergodic theorem
Kac's lemma relatedTo Birkhoff ergodic theorem
linked to: ergodic theorem
George David Birkhoff notableWork Birkhoff ergodic theorem
linked to: ergodic theorem
George David Birkhoff notableWork Birkhoff’s pointwise ergodic theorem
linked to: ergodic theorem
Oseledets theorem relatedTo Birkhoff ergodic theorem
linked to: ergodic theorem
theory of uniform distribution modulo 1 basedOn Birkhoff ergodic theorem
linked to: ergodic theorem