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

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

$f^{\ast }=\underset{N\ge 1}{sup}\frac{1}{N}\sum _{i=0}^{N-1}f\circ T^i.$

Then the maximal ergodic theorem states that

${\int }_{f^{\ast }>\lambda }fd\mu \ge \lambda \cdot \mu \{f^{\ast }>\lambda \}$

for any λ ∈ R.

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

References[edit]

• Keane, Michael; Petersen, Karl (2006), "Easy and nearly simultaneous proofs of the Ergodic Theorem and Maximal Ergodic Theorem", Dynamics & Stochastics, Institute of Mathematical Statistics Lecture Notes - Monograph Series, vol. 48, pp. 248–251, arXiv:math/0004070, doi:10.1214/074921706000000266, ISBN 0-940600-64-1.