Finite ergodic components for upper probabilities

Abstract

Under the notion of ergodicity of upper probability in the sense of Feng and Zhao (2021) that any invariant set either has capacity $0$ or its complement has capacity 0, we introduce the definition of finite ergodic components (FEC). We prove an invariant upper probability has FEC if and only if it is in the regime that any invariant set has either capacity $0$ or capacity $1$, proposed by Cerreia-Vioglio, Maccheroni, and Marinacci (2016). Furthermore, this is also equivalent to that the eigenvalue $1$ of the Koopman operator is of finite multiplicity, while in the ergodic upper probability regime, as in the classical ergodic probability case, the eigenvalue $1$ of the Koopman operator is simple. Additionally, we obtain the equivalence of the law of large numbers with multiple values, the asymptotic independence and the FEC. Furthermore, we apply these to obtain the corresponding results for non-invariant probabilities.