All Questions
Tagged with ergodic-theory pr.probability
165 questions
4
votes
0
answers
116
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Convergence in probability results with still open point-wise versions
In ergodic theory and more generally in stochastic processes, often convergence in probability results precede convergence almost-surely results in quite a few years. Classical examples include the ...
- 63.9k
5
votes
1
answer
389
views
Is a random circle rotation weak mixing almost surely?
Consider the random circle rotation $x \to x + Z \text{ mod 1}$ on $([0, 1], \text{Lebesgue})$ where at each rotation, $Z$ is uniformly distributed on $[0, 1]$ and independent of previous rotations.
...
- 148k
2
votes
0
answers
92
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Existence of ergodic subgroup invariant to a product measure
Let $X=\{0, 1\}^{\mathbb{N}}$ and $G$ be the group of permutations, each of which only permutes finitely many coordinates of $X$. Fix a sequence $(\lambda_n)_{n\in \mathbb{N}} \subseteq (0, 1]$ and ...
- 307
2
votes
0
answers
83
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Random time change and ergodicity
I guess it is a standard question in ergodic theory but I failed to find any reference to similar problems and I have no clue on how to tackle it.
Let $(B_{t})_{t\in \mathbb{R}}$ be a standard ...
- 3,065
4
votes
1
answer
446
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Birkhoff ergodic theorem for ergodic Markov processes
This question was previously posted on MSE.
This question might be easy but I am really stuck on it.
Let $M$ be compact metric space and $\mathcal B(M)$ the Borel $\sigma$-algebra of M. Consider the ...
CommunityBot
- 1
3
votes
1
answer
194
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Dynamics of a random stretch map
Notation: Here $S^1$ denotes the circle, which we view as the unit sphere in $\mathbb C$. We equip the circle with its natural length metric.
Let $\{\epsilon_n\}_{n \geq 1}$ be iid uniformly ...
- 23.2k
2
votes
0
answers
118
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the projection distribution induced by integral points on the sphere
Let $A=\{\mathbf{v} \in \mathbb{Z}^{n}: \|\mathbf{v}\|^2= m \}$ and a fixed $\mathbf{y}\in \mathbb{R}^n$, the norm here refers to the Euclidean norm.
Suppose $\mathbf{x}$ is a uniform distribution on ...
- 253
3
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2
answers
224
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Measures with superexponential moments on finitely generated groups
Let $\Gamma$ be an infinite finitely generated group and let $\nu$ be a measure on $\Gamma$ which generates a transient random walk. I was reading this paper, and the authors prove many of their ...
- 2,090
3
votes
2
answers
250
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Existence of a positive measurable set with disjoint preimage under iterated transformation
Let $(X,\mathcal B,\mu)$ be a atomless probability measure space and $T:X\to X$ be a non-singular transformation such that $\mu\left({x\in X: T^n(x)=x}\right)=0$ for every $n\ge 1$. Let $A\in \mathcal ...
- 10.6k
2
votes
2
answers
328
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Existence of the limit of periodic measures
Let $T: X \to X$ be a continuous map over a compact metric space. We say that a measure $\mu$ is $T$-invariant if $T_{\ast} \mu= \mu$. We denote by $M(X, T)$ the space of all $T$-invariant Borel ...
- 1,043
2
votes
0
answers
115
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Mixing for a gas of hard spheres
The gas of hard spheres is a model for a gas in a container, where each particle is a sphere of radius $\epsilon$. The spheres interact with each other and with the container with elastic collisions. ...
- 312
3
votes
1
answer
190
views
Quantitative version of ergodic theorem in Markov chains
Consider an irreducible Markov chain $X_t$ with finite state space $E$, and unique invariant measure $\pi$. Fix a function $V:E\to\mathbb R$ such that $E_\pi[V]=0$. The ergodic theorem tells us that, ...
- 51
11
votes
2
answers
2k
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De Finetti's theorem, the pointwise ergodic theorem, and reverse martingales
De Finetti's theorem says that an exchangeable sequence of random variables $X_i$ is a mixture of i.i.d. random variables. In other words, if $\mu$ is a measure on $\mathbb{R}^\infty$ that is ...
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12
votes
3
answers
891
views
Looking for at least one beautiful and not too technical result in asymptotic group theory
We have a student seminar devoted to the problems of asymptotic group theory with some connections to ergodic theory and measure theory in general. Each talk concerns one of the problems of this ...
- 1,446
20
votes
1
answer
2k
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Roadmap to Ergodic Theory
I have recently been interested in going deeper into ergodic theory, beyond an introductory level of knowledge. Background wise, my training has mostly been in stochastic analysis, and I have a ...
- 188k
1
vote
0
answers
211
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Are orbits of a measurable flow always measurable with measure zero?
Let $(X, \mathcal{B})$ be a standard Borel space with a probability measure $\mu$ on $\mathcal{B}$. Let $(T_t)_{t \in \mathbb{R}}$ be a jointly measurable flow (i.e. $(T_t)_{t \in \mathbb{R}}$ is a ...
- 2,031
-1
votes
1
answer
148
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Strong law of large numbers for a sequence of random variables in different probability spaces
Is it known whether the following version of the strong law of large numbers holds?
For each $k\in\mathbb{N}$, let $\Omega_k$ be a finite set and $\mu_k$ be a probability measure on $\Omega_k$. Let $(...
- 3,937
17
votes
2
answers
2k
views
Random walk is to diffusion as self-avoiding random walk is to ...?
One can view a random walk as a discrete process whose continuous
analog is diffusion.
For example, discretizing the heat diffusion equation
(in both time and space) leads to random walks.
Is there a ...
- 2,175
2
votes
1
answer
266
views
Ergodicity of linear dynamical systems and convergence of covariance matrices
Let $z(n+1)=Bz(n)+\xi(n+1)$ be an $N$-dimensional linear dynamical system with $\left(\xi(n)\right)_{n\in\mathbb{N}}$ being i.i.d. with $\xi(n)\sim\mathcal{N}(0,\Sigma_{\xi})$.
Assumptions: a) The ...
- 724
3
votes
1
answer
307
views
"Ergodic theorem" for Markov kernels
Consider a discrete time Markov chain $(X_t)$ on a finite state space $\mathcal{S}$, with transition matrix $P$. Assume that the chain admits a stationary distribution $\pi$, which I will identify ...
- 17k
2
votes
0
answers
313
views
Correlation decay rate
Let $T$ be a continuous transformation of a probability measure space $(X,\mathcal{B}(X),\mu)$ and
$\varphi ,\phi \in L^2(\mu)$ (so-called observable) . The correlation function of $\varphi ,\phi$ (a ...
- 136
1
vote
1
answer
210
views
Shift-ergodic stochastic processes in continuous time
Let $\mathscr{C}:=\{\gamma : \mathbb{R}_+\rightarrow\mathbb{R}^n \mid \gamma \ \text{ continuous}\}$ be the set of all $\mathbb{R}^n$-valued paths over $[0,\infty)$. Endow $\mathscr{C}$ with the $\...
- 708
25
votes
6
answers
6k
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Proof of Krylov-Bogoliubov theorem
Where can I find a proof (in English) of the Krylov-Bogoliubov theorem, which states if $X$ is a compact metric space and $T\colon X \to X$ is continuous, then there is a $T$-invariant Borel ...
- 4,713
4
votes
0
answers
200
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Asymptotic behavior of a dynamical system of density functions
On September 24, 2022, I asked the question below on Mathematics Stack Exchange, linked here:
Link to question on Mathematics Stack Exchange.
I received two up-votes, but no comments or answer. I ...
- 63.9k
0
votes
1
answer
82
views
WLLN for bootstrap means of stationary ergodic processes?
Setup:$\quad$
Suppose that $(X_n)$ is a stationary ergodic process with $E|X_1|<\infty$.
Given $X^{(n)}=(X_1, \dots, X_n)$, select a standard Efron bootstrap subsample $(X_{n,1}^*, \dots, X_{n,m(n)}...
- 23.2k
7
votes
1
answer
253
views
Are all quasi-regular points on Polish spaces generic points?
Let $X$ be a Polish space and $T\colon X\to X$ be a continuous map. We say that a point $x\in X$ is quasi-regular if for every bounded continous function $\varphi\colon X\to\mathbb{R}$ the sequence $...
- 1,074
1
vote
1
answer
257
views
Using gradient descent in probability case
Suppose we have i.i.d. samples $x_i\sim N(0,\Sigma)$ and $y_i\sim x_i^T\omega^*+\xi_i,\xi_i\sim N(0,1)$ where $\omega^*$ is the fixed point of:
$$\omega_{i+1} = \omega_i − \eta\nabla_\omega f(\omega_i,...
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3
votes
0
answers
92
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What dynamical properties should we expect from systems satisfying statistical ones?
Some results on probability theory can be generalized to more abstract ones in ergodic theory, for example:
the strong law of large numbers can be seen as a particular case of Birkhoff's ergodic ...
2
votes
1
answer
179
views
Union of admissible words are subshift of finite type
Assume that $Q=(q_{ij})$ is a $k\times k$ with $q_{ij}\in \{0, 1\}.$ The two side subshift of finite type associated to the matrix $Q$ is a left shift map $T:\Sigma_{Q}\rightarrow \Sigma_{Q}$, where
...
- 6,652
2
votes
0
answers
101
views
A characterization of Shannon entropy in finite sets?
I am trying to solve a complicated probability problem related to Shannon Entropy.
Let $(E,p)$ be a finite set with a probability measure $p$ on $E$. $E^n$ is given the probability measure $p^n(x_1, .....
- 63.9k
4
votes
1
answer
363
views
Maximal ergodic inequality
A map $f: X \to X$ preserves an ergodic probability $\mu$, i.e., $\mu \circ f^{-1}=\mu$ and for any $\phi: X \to \mathbb{R}$ with $\int \phi d\mu=0$,
$$\frac{1}{n} \sum_{i \le n} \phi \circ f^i \to 0 \...
- 14.2k
5
votes
1
answer
163
views
Recurrence of ergodic processes
Let $(X_1,X_2,\ldots)$ be a stationary ergodic process with each $X_n$ a real random variable taking values in $[-1,+1]$. Suppose that $\mathbb{E}[X_n]=0$. Let $S_n = \sum_{k=1}^n X_k$. Is the process ...
- 23.2k
2
votes
0
answers
123
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Probability of a finite cylinder set in a free group
Let $\mathbb{F}_n$ be the free group (each elemen is in its reduced form) generated by the set $\Sigma_n = \{a_1, a_2, \cdots, a_n, a_1^{-1}, a_2^{-1}, \cdots, a_n^{-1}\}$ and let $e$ denote the ...
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10
votes
2
answers
559
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Can Birkhoff's ergodic theorem for integrable functions easily be deduced from Birkhoff's ergodic theorem for bounded functions?
It seems to me that a considerably simpler proof [see below] of Birkhoff's ergodic theorem can be obtained for bounded observables than for more general $L^1$ observables. Therefore, I feel like it ...
- 14.2k
9
votes
1
answer
950
views
Sort-of converse of Kolmogorov zero-one theorem
Let $(\Omega, \mathscr F, \mathbb P)$ be a probability space. The Kolmogorov zero-one theorem states that
Suppose we have independent random variables $X_1, X_2, ...$. Then $\forall \ A \in \bigcap_n ...
- 63.9k
8
votes
3
answers
404
views
All two-point correlations equal to $0$, three-point correlation not $0$?
Let $a_1,a_2,a_3,\dotsc \in \{-1,1\}$ be a sequence. Suppose that, for all $j>0$ and all
$\epsilon, \epsilon'\in \{-1,1\}$, the proportion of $n\geq 1$ such that $(a_n,a_{n+j}) = (\epsilon,\epsilon'...
- 14.2k
2
votes
1
answer
180
views
Random sequence with positive Lyapunov exponent?
Consider the following self-adjoint matrix
$A_X = \begin{pmatrix} 0 & -i \\ i & X \end{pmatrix},$ where $i$ is the imaginary unit and $X$ is a uniformly distributed random variable on some ...
- 657
1
vote
1
answer
137
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Ergodic theorem on limit of periodic transformations?
Suppose $(X,\mu)$ is a probability space, and $T_n, n \in \mathbb N$, is a sequence of periodic measure preserving transformations. For $x \in X$ and $f : X \to \mathbb R$, let $\mathrm{avg}_{f,n}(x)$...
- 23.2k
7
votes
1
answer
274
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Uniqueness of stationary measures for $(G,\mu)$ boundaries
Let $G$ be a countable group acting minimally by homeomorphisms on a compact Hausdorff space $X$ and $\mu$ be a probability measure on $G$ whose support generates $G$ as a semigroup.
Let $\nu$ is a $\...
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51
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0
answers
2k
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Alternating colors on a line: infinitely often or converge?
Suppose we have intervals of alternating color on $\mathbb{R}$ (say, red / blue / red / blue / …). All intervals have independent length, with all red intervals distributed as $\mathbb{P}_{R}$, all ...
- 19.6k
3
votes
0
answers
153
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Metropolis-Hastings sampling as a group action
Suppose that you have a topological space $\Omega \subset \mathbb R^n$ accompanied a measure $\mu$ and you're running an iterative sampling algorithm like Metropolis-Hastings. To sample you choose a ...
- 63.9k
1
vote
0
answers
193
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Theoretical invariant distribution of discrete dynamical systems, including the Riemann Zeta map
Update on 3/10/2021: I added Example 5 in the Appendix. This generic example encompasses the Riemann Zeta dynamical system. A simple version of this post, targeted to engineers, machine learning ...
- 3,098
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0
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95
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When the Jacobian of unstable measure converges
Let $T:X \to X$ be a hyperbolic map on the compact metric space $X$. Hyperbolicity means that $T$ has local stable and unstable sets with uniform exponential bounds, which satisfy a local product ...
- 1,043
2
votes
1
answer
126
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Values appearing with density in an ergodic system
Values appearing with density in an ergodic system
Let $(X,\mu)$ be a probability space with invertible, measure preserving, totally-ergodic map $T:X \to X$. ($(X,\mu,T)$ is a $\mathbb{Z}$ dynamical ...
- 14.2k
0
votes
1
answer
109
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Sets of invariant measures of Markov operators
A family of Markov operators $P_i \colon C \to C, i \in I$ is given. Let $V_i$ be the set of the $P_i$-invariant measures. Is there any result in the literature about a necessary and sufficient ...
CommunityBot
- 1
5
votes
2
answers
611
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Sequences similar to $\{n\alpha\}$ that are both equidistributed and truly random-like
See update at the bottom.
Here the brackets represent the fractional part, and $\alpha \in [0, 1]$ is a positive irrational number. It is well known that the sequences $\{n\alpha\}$, $\{n^2\alpha\}$ ...
- 14k
1
vote
1
answer
183
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finiteness of moments of the stationary distribution of a Markov chain
I have a Markov chain $\{X_k\}_{k\geq 0}$ on $\mathbb{R}$. The corresponding probability density functions satisfy
$$
f_{k+1}(t) = \int_{-\infty}^\infty \Psi(t,\tau)f_k(\tau)\,d\tau,\qquad k=0,1,2,\...
- 128k
0
votes
2
answers
222
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Induced probability measure on a finite orbit under a group action
Suppose we have a discrete group $G$ acting on a compact set $X \subseteq \mathbb{R}^d$
via measure-preserving homeomorphisms, and suppose we have a point
$x$ whose orbit $Gx$ is finite (say $|Gx| = n$...
- 17k
1
vote
0
answers
66
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When are all average trajectories of $w_{k+1}=Aw_k+b$ bounded?
Below is an open-problem in my field, and I'm wondering if someone has insights I'm missing. (cross-posted on math.se)
Suppose observation $x$ is drawn from some distribution $\mathcal{D}$, $w_0\in \...
- 2,242
2
votes
1
answer
159
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Can we show that this transition semigroup preserves a certain Wasserstein space?
Let $E$ be a separable $\mathbb R$-Banach space, $v:E\to[1,\infty)$ be continuous, $$\rho(x,y):=\inf_{\substack{\gamma\:\in\:C^1([0,\:1],\:E)\\ \gamma(0)\:=\:x\\ \gamma(1)\:=\:y}}\int_0^1v\left(\gamma(...
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