Saturday, 12 November 2011

pr.probability - Is the average first return time of a partitioned ergodic transformation just the number of elements in the partition?

For some reason my thinking is very fuzzy today, so I apologize for the following rather silly question below...



Let T be an ergodic transformation of (X,Omega,mathbbP) and let X be partitioned into n<infty disjoint sets Rj of positive measure. For xinRk define tau(x):=infell>0:TellxinRk. The Kac lemma (see, e.g. http://arxiv.org/abs/math/0505625) gives that intRktau(x)dmathbbP(x)=1.
Now intXtau(x)dmathbbP(x)=sumkintRktau(x)dmathbbP(x)=n, or equivalently mathbbEtau=n.



Can anyone provide a sanity check on the above assertion that the expected return time is just the size of the partition? I've never seen this explicitly stated as a corollary of the Kac lemma, which seems odd.

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