Kingman's subadditive ergodic theorem

Let ${\displaystyle T}$ be a measure-preserving transformation on the probability space ${\displaystyle (\Omega ,\Sigma ,\mu )}$, and let ${\displaystyle \{g_{n}\}_{n\in \mathbb {N} }}$ be a sequence of ${\displaystyle L^{1}}$ functions such that ${\displaystyle g_{n+m}(x)\leq g_{n}(x)+g_{m}(T^{n}x)}$ (subadditivity relation). Then

${\displaystyle \lim _{n\to \infty }{\frac {g_{n}(x)}{n}}=:g(x)\geq -\infty }$

for ${\displaystyle \mu }$-a.e. x, where g(x) is T-invariant. If T is ergodic, then g(x) is a constant.

If we take ${\displaystyle g_{n}(x):=\sum _{j=0}^{n-1}f(T^{j}x)}$, then we have additivity and we get Birkhoff's pointwise ergodic theorem.

Kingman's subadditive ergodic theorem can be used to prove statements about Lyapunov exponents. It also has applications to percolations and probability/random variables.[3]

• Theorem proof (Steele)