Paper 3, Section II, 26K

Probability and Measure
Part II, 2020

Let (X,A,m,T)(X, \mathcal{A}, m, T) be a probability measure preserving system.

(a) State what it means for (X,A,m,T)(X, \mathcal{A}, m, T) to be ergodic.

(b) State Kolmogorov's 0-1 law for a sequence of independent random variables. What does it imply for the canonical model associated with an i.i.d. random process?

(c) Consider the special case when X=[0,1],AX=[0,1], \mathcal{A} is the σ\sigma-algebra of Borel subsets, and TT is the map defined as

Tx={2x, if x[0,12]22x, if x[12,1]T x=\left\{\begin{array}{l} 2 x, \quad \text { if } x \in\left[0, \frac{1}{2}\right] \\ 2-2 x, \quad \text { if } x \in\left[\frac{1}{2}, 1\right] \end{array}\right.

(i) Check that the Lebesgue measure mm on [0,1][0,1] is indeed an invariant probability measure for TT.

(ii) Let X0:=1(0,12)X_{0}:=1_{\left(0, \frac{1}{2}\right)} and Xn:=X0TnX_{n}:=X_{0} \circ T^{n} for n1n \geqslant 1. Show that (Xn)n0\left(X_{n}\right)_{n \geqslant 0} forms a sequence of i.i.d. random variables on (X,A,m)(X, \mathcal{A}, m), and that the σ\sigma-algebra σ(X0,X1,)\sigma\left(X_{0}, X_{1}, \ldots\right) is all of A\mathcal{A}. [Hint: check first that for any integer n0,Tn(0,12)n \geqslant 0, T^{-n}\left(0, \frac{1}{2}\right) is a disjoint union of 2n2^{n} intervals of length 1/2n+11 / 2^{n+1}.]

(iii) Is (X,A,m,T)(X, \mathcal{A}, m, T) ergodic? Justify your answer.