Strong Law of Large Numbers for Iterates of Some Random-Valued Functions

Abstract

AbstractAssume $$ (\Omega , {\mathscr {A}}, P) $$ ( Ω , A , P ) is a probability space, X is a compact metric space with the $$ \sigma $$ σ -algebra $$ {\mathscr {B}} $$ B of all its Borel subsets and $$ f: X \times \Omega \rightarrow X $$ f : X × Ω → X is $$ {\mathscr {B}} \otimes {\mathscr {A}} $$ B ⊗ A -measurable and contractive in mean. We consider the sequence of iterates of f defined on $$ X \times \Omega ^{{\mathbb {N}}}$$ X × Ω N by $$f^0(x, \omega ) = x$$ f 0 ( x , ω ) = x and $$ f^n(x, \omega ) = f\big (f^{n-1}(x, \omega ), \omega _n\big )$$ f n ( x , ω ) = f ( f n - 1 ( x , ω ) , ω n ) for $$n \in {\mathbb {N}}$$ n ∈ N , and its weak limit $$\pi $$ π . We show that if $$\psi :X \rightarrow {\mathbb {R}}$$ ψ : X → R is continuous, then for every $$ x \in X $$ x ∈ X the sequence $$\left( \frac{1}{n}\sum _{k=1}^n \psi \big (f^k(x,\cdot )\big )\right) _{n \in {\mathbb {N}}}$$ 1 n ∑ k = 1 n ψ ( f k ( x , · ) ) n ∈ N converges almost surely to $$\int _X\psi d\pi $$ ∫ X ψ d π . In fact, we are focusing on the case where the metric space is complete and separable.