Furstenberg-Kesten theorem
Consider a probability measure, and a measure preserving dynamical system
. Consider , a measurable transformation, where GL(d,R) is the space of invertible
square matrices
of size .Consider the multiplicative cocycle defined by the transformation .
If is integrable, where , then:
exists almost everywhere, and is integrable and
If is integrable, then:
exists almost everywhere, and is integrable and
Furthermore, both and are invariant for the tranformation , that is, and , for almost everywhere.
This theorem is a direct consequence of Kingman’s subadditive ergodic theorem, by observing that both
and
are subadditive sequences.
The results in this theorem are strongly improved by Oseledet’s multiplicative ergodic theorem, or Oseledet’s decomposition.