text:
# 1 Introduction

## 1 Introduction

The inspiration for this paper is the following theorem of Khintchine dating from 1934 (see  for a proof):

Khintchines Theorem. *Let* $`(X,\mathrm{\Sigma },\mu )`$ *be a probability space (that is to say,* $`\mu `$ *is a measure on a* $`\sigma `$*-algebra* $`\mathrm{\Sigma }`$ *of subsets of a set* $`X`$*, with* $`\mu (X)=1`$*), and consider a mapping* $`T:XX`$ *such that* $`T^1(S)\mathrm{\Sigma }`$ *and* $`\mu (T^1(S))\mu (S)`$ *for all* $`S\mathrm{\Sigma }`$*. Then for any* $`A\mathrm{\Sigma }`$ *and* $`\epsilon >0`$*, the set*

$$E=\{k:\mu \left(AT^k(A)\right)>\mu (A)^2\epsilon \}$$

*is relatively dense in* $`=\{1,2,3,\mathrm{}\}`$*.*

We will call $`(X,\mathrm{\Sigma },\mu ,T)`$, as given above, a *measure theoretic dynamical system*. Recall that the relatively denseness of $`E`$ in $``$ means that there exists an $`n`$ such that $`E\{j,j+1,\mathrm{},j+n1\}`$ is non-empty for every $`j`$. Khintchine’s Theorem is an example of a recurrence result. It tells us that for every $`kE`$, the set $`A`$ contains a set $`AT^k(A)`$ of measure larger than $`\mu (A)^2\epsilon `$ which is mapped back into $`A`$ by $`T^k`$.

A question that arises from Khintchine’s Theorem is whether, given $`A,B\mathrm{\Sigma }`$ and $`\epsilon >0`$, the set

$$F=\{k:\mu \left(AT^k(B)\right)>\mu (A)\mu (B)\epsilon \}$$

is relatively dense in $``$. This is clearly not true in general, for example if $`T`$ is the identity and $`A`$, $`B`$ and $`\epsilon `$ are chosen such that $`\mu (A)\mu (B)>\epsilon `$ while $`AB`$ is empty, then $`F`$ is empty. $`T`$ has to “mix” the measure space sufficiently for $`F`$ to be non-empty. In  it is shown for the case where $`\mu (T^1(S))=\mu (S)`$ for all $`S\mathrm{\Sigma }`$, that if for every pair $`A,B\mathrm{\Sigma }`$ of positive measure there exists some $`k`$ such that $`\mu \left(AT^k(B)\right)>0`$, then the dynamical system is ergodic. Ergodicity therefore seems like the natural concept to use when considering the question posed above. This is indeed what we will do.

The notion of ergodicity originally developed as a way to characterize systems in classical statistical mechanics for which the time mean and the phase space mean of any observable are equal. For our purposes it will be most convenient to define ergodicity of a measure theoretic dynamical system $`(X,\mathrm{\Sigma },\mu ,T)`$ as follows (refer to , for example): $`(X,\mathrm{\Sigma },\mu ,T)`$ is called *ergodic* if the fixed points of the linear Hilbert space operator $`U:L^2(\mu )L^2(\mu ):ffT`$ form a one-dimensional subspace of $`L^2(\mu )`$. (It is easy to verify that $`U`$ is well-defined on $`L^2(\mu )`$.)

As we shall see, the ideas we have discussed so far are not really measure theoretic in nature. This is in large part due to the fact that the proof of Khintchine’s Theorem is essentially a Hilbert space proof using the Mean Ergodic Theorem. This proof can for the most part be written purely in Hilbert space terms, hence giving an abstract Hilbert space result. Along with the Hilbert space characterization of ergodicity given above, this means that a fair amount of ergodic theory can be done purely in an abstract Hilbert space setting. This is the approach taken in Section 3, using the Mean Ergodic Theorem as the basic tool.

Having built up some ergodic theory in abstract Hilbert spaces, nothing is to stop us from applying the results to mathematical structures other than measure theoretic dynamical systems. The mathematical structure we will consider is much more general than measure theoretic dynamical systems and can easily be motivated as follows: From a measure theoretic dynamical system $`(X,\mathrm{\Sigma },\mu ,T)`$ we obtain the unital $``$-algebra $`B_{\mathrm{}}(\mathrm{\Sigma })`$ of all bounded complex-valued measurable functions defined on $`X`$, and two linear mappings

$$\phi :B_{\mathrm{}}(\mathrm{\Sigma }):ff𝑑\mu $$

and

$$\tau :B_{\mathrm{}}(\mathrm{\Sigma })B_{\mathrm{}}(\mathrm{\Sigma }):ffT$$
(1)
with the following properties: $`\phi (1)=1`$, $`\phi (f^{}f)0`$, $`\tau (1)=1`$ and $`\phi (\tau (f)^{}\tau (f))\phi (f^{}f)`$ for all $`fB_{\mathrm{}}(\mathrm{\Sigma })`$, where $`f^{}=\overline{f}`$ defines the involution on $`B_{\mathrm{}}(\mathrm{\Sigma })`$, making it a $``$-algebra. We can view this abstractly by replacing $`B_{\mathrm{}}(\mathrm{\Sigma })`$ with any unital $``$-algebra and considering linear mappings $`\phi `$ and $`\tau `$ on it with the properties mentioned above. (A unital $``$-algebra $`𝔄`$ is an algebra with an involution, and a unit element denoted by $`1`$, that is to say $`1A=A=A1`$ for all $`A𝔄`$. We will only work with the case of complex scalars.) The most obvious generalization this brings is that the unital $``$-algebra need not be commutative, for example the bounded linear operators on a Hilbert space. Also note that $`\tau `$ in (1) is a $``$-homomorphism of $`B_{\mathrm{}}(\mathrm{\Sigma })`$, but we will not need this property of $`\tau `$ in the abstract $``$-algebraic setting. We describe the $``$-algebraic setting in more detail in Section 2, and in Section 4 the Hilbert space results are applied to this setting using the GNS-construction.

In Section 5 we obtain the measure theoretic results as a special case, and also briefly discuss another special case, namely von Neumann algebras.

## 2 $``$-dynamical systems and ergodicity

By a *state* on a unital $``$-algebra $`𝔄`$ we mean a linear functional $`\phi `$ on $`𝔄`$ which is positive (i.e. $`\phi (A^{}A)0`$ for all $`A𝔄`$) with $`\phi (1)=1`$. Motivated by our remarks in Section 1, we give the following definition:

Definition 2.1. Let $`\phi `$ be a state on a unital $``$-algebra $`𝔄`$. Consider any linear function $`\tau :𝔄𝔄`$ such that

$$\tau (1)=1$$

and

$$\phi \left(\tau (A)^{}\tau (A)\right)\phi (A^{}A)$$

for all $`A𝔄`$. Then we call $`(𝔄,\phi ,\tau )`$ a $``$*-dynamical system*.

Let $`L(V)`$ denote the algebra of all linear operators $`VV`$ on the vector space $`V`$.

Definition 2.2. Let $`\phi `$ be a state on a unital $``$-algebra $`𝔄`$. A *cyclic representation* of $`(𝔄,\phi )`$ is a triple $`(𝔊,\pi ,\mathrm{\Omega })`$, where $`𝔊`$ is an inner product space, $`\pi :𝔄L(𝔊)`$ is linear with $`\pi (1)=1`$, $`\pi (AB)=\pi (A)\pi (B)`$, $`\mathrm{\Omega }𝔊`$, $`\pi (𝔄)\mathrm{\Omega }=𝔊`$, and $`\pi (A)\mathrm{\Omega },\pi (B)\mathrm{\Omega }=\phi (A^{}B)`$, for all $`A,B𝔄`$.

A cyclic representation as in Definition 2.2 exists by the GNS-construction (refer to  for example, where the construction is performed for C\*-algebras, but it also works for unital $``$-algebras). We will not need the property $`\pi (AB)=\pi (A)\pi (B)`$ in this paper however. The term “cyclic” refers to the fact that $`\pi (𝔄)\mathrm{\Omega }=𝔊`$. Note that

$$\iota :𝔄𝔊:A\pi (A)\mathrm{\Omega }$$
(2)
is a linear surjection such that $`\iota (1)=\mathrm{\Omega }`$, and that

$$U_0:𝔊𝔊:\iota (A)\iota (\tau (A))$$
(3)
is a well-defined linear operator with $`U_01`$ for $`\tau `$ as in Definition 2.1, since $`\iota (\tau (A))^2=\phi (\tau (A)^{}\tau (A))\phi (A^{}A)=\iota (A)^2`$. We define a seminorm $`_\phi `$ on $`𝔄`$ by

$$A_\phi =\sqrt{\phi \left(A^{}A\right)}=\iota (A)$$

for all $`A𝔄`$. We now want to define the concept of ergodicity for a $``$-dynamical system.

Definition 2.3. A $``$-dynamical system $`(𝔄,\phi ,\tau )`$ is called *ergodic* if it has the following property: For any sequence $`(A_n)`$ in $`𝔄`$ such that $`\tau (A_n)A_n_\phi 0`$ and such that for any $`\epsilon >0`$ there exists an $`N`$ for which $`A_mA_n_\phi \epsilon `$ if $`m>N`$ and $`n>N`$, it follows that $`A_n\alpha _\phi 0`$ for some $`\alpha `$.

In Section 4 we will give a simple example of an ergodic $``$-dynamical system whose $``$-algebra is non-commutative. Recall that for any vectors $`x`$ and $`y`$ in a Hilbert space $``$, we denote by $`xy`$ the bounded linear operator $``$ defined by $`(xy)z=xy,z`$. The motivation for Definition 2.3 is the following proposition:

Proposition 2.4. *Consider a* $``$*-dynamical system* $`(𝔄,\phi ,\tau )`$ *and let* $`U_0`$ *be given by (3) in terms of any cyclic representation of* $`(𝔄,\phi )`$*. Let* $`U:`$ *be the bounded linear extension of* $`U_0`$ *to the completion* $``$ *of* $`𝔊`$*, and let* $`P`$ *be the projection of* $``$ *onto the subspace of fixed points of* $`U`$*. Then* $`(𝔄,\phi ,\tau )`$ *is ergodic if and only if* $`P=\mathrm{\Omega }\mathrm{\Omega }`$*, that is to say, if and only if the fixed points of* $`U`$ *form a one-dimensional subspace of* $``$*.*

*Proof.* Since $`\mathrm{\Omega }^2=\phi (1^{}1)=1`$, we know that $`\mathrm{\Omega }\mathrm{\Omega }`$ is the projection of $``$ onto the one-dimensional subspace $`\mathrm{\Omega }`$. Also note that $`U\mathrm{\Omega }=\mathrm{\Omega }`$, since $`\mathrm{\Omega }=\iota (1)`$, hence $`\mathrm{\Omega }P`$.

Suppose $`(𝔄,\phi ,\tau )`$ is ergodic and let $`x`$ be a fixed point of $`U`$. Consider any sequence $`(x_n)`$ in $`𝔊`$ such that $`x_nx`$, say $`x_n=\iota (A_n)`$. Then $`\tau (A_n)A_n_\phi =Ux_nx_n0`$, since $`U`$ is continuous, while for any $`\epsilon >0`$ there exists some $`N`$ for which $`A_mA_n_\phi =x_mx_n<\epsilon `$ if $`m>N`$ and $`n>N`$. Since $`(𝔄,\phi ,\tau )`$ is ergodic, it follows that $`x_n\iota (\alpha )=A_n\alpha _\phi 0`$ for some $`\alpha `$, but then $`x=\iota (\alpha )=\alpha \mathrm{\Omega }`$. Therefore $`P=\mathrm{\Omega }`$ which means that $`P=\mathrm{\Omega }\mathrm{\Omega }`$.

Conversely, suppose $`P=\mathrm{\Omega }\mathrm{\Omega }`$ and consider any sequence $`(A_n)`$ in $`𝔄`$ such that $`\tau (A_n)A_n_\phi 0`$ and such that for any $`\epsilon >0`$ there exists some $`N`$ for which $`A_mA_n_\phi <\epsilon `$ if $`m>N`$ and $`n>N`$. Then $`x_n=\iota (A_n)`$ is a Cauchy sequence and hence convergent in $``$, since $`x_mx_n=A_mA_n_\phi `$. Say $`x_nx`$, then $`Ux_nUx`$ since $`U`$ is continuous. Since $`Ux_nx_n=\tau (A_n)A_n_\phi 0`$, it follows that $`Ux_nx`$, hence $`Ux=x`$. This means that $`xP`$ which implies that $`x=\alpha \mathrm{\Omega }`$ for some $`\alpha `$. Therefore $`A_n\alpha _\phi =x_n\alpha \mathrm{\Omega }0`$, and so we conclude that $`(𝔄,\phi ,\tau )`$ is ergodic.$`\mathrm{}`$

Proposition 2.4 tells us that Definition 2.3 includes the measure theoretic definition as a special case. This can be seen as follows: From a measure theoretic dynamical system $`(X,\mathrm{\Sigma },\mu ,T)`$ we obtain the $``$-dynamical system $`(B_{\mathrm{}}(\mathrm{\Sigma }),\phi ,\tau )`$, where $`\phi (f)=f𝑑\mu `$ and $`\tau (f)=fT`$ for all $`fB_{\mathrm{}}(\mathrm{\Sigma })`$. A cyclic representation of $`(B_{\mathrm{}}(\mathrm{\Sigma }),\phi ,\tau )`$ is $`(𝔊,\pi ,\mathrm{\Omega })`$ with $`𝔊=\{[g]:gB_{\mathrm{}}(\mathrm{\Sigma })\}`$, $`\pi (f)[g]=[fg]`$ for all $`f,gB_{\mathrm{}}(\mathrm{\Sigma })`$, and $`\mathrm{\Omega }=[1]`$, where $`[g]`$ denotes the equivalence class of all measurable complex-valued functions on the measure space that are almost everywhere equal to $`g`$. The completion of $`𝔊`$ is $`L^2(\mu )`$, and $`U`$ in Proposition 2.4 is now given by

$$Uf=fT$$

for all $`fL^2(\mu )`$, where here we have dropped the $`[]`$ notation, as is standard for $`L^2`$-spaces ($`f`$ and $`fT`$ now denote equivalence classes of functions). Proposition 2.4 tells us that $`(B_{\mathrm{}}(\mathrm{\Sigma }),\phi ,\tau )`$ is ergodic if and only if the fixed points of $`U`$ form a one dimensional subspace of $`L^2(\mu )`$, in other words if and only if $`(X,\mathrm{\Sigma },\mu ,T)`$ is ergodic, as was mentioned in Section 1.

Finally we remark that we use Definition 2.3 as the definition of ergodicity, since it is formulated purely in terms of the objects $`𝔄`$, $`\phi `$ and $`\tau `$ appearing in the $``$-dynamical system $`(𝔄,\phi ,\tau )`$, unlike Proposition 2.4 which involves a cyclic representation of these objects. However, as a characterization of ergodicity, Proposition 2.4 is generally easier to use. Of course, one might wonder if Definition 2.3 could not be simplified by using a single element rather than a sequence. With $`U`$ as in Proposition 2.4, and $`x=\iota (A)`$ for some $`A𝔄`$, we have $`Ux=x`$ if and only if $`Uxx=0`$, which is equivalent to $`\tau (A)A_\phi =0`$. For ergodicity we need this to imply that $`x=\alpha \mathrm{\Omega }`$ for some $`\alpha `$, which is equivalent to $`A\alpha _\phi =x\alpha \mathrm{\Omega }=0`$. However, we cannot define ergodicity as “$`\tau (A)A_\phi =0`$ implies that $`A\alpha _\phi =0`$ for some $`\alpha `$”, since Proposition 2.4 would no longer hold: There would be examples of ergodic $``$-dynamical systems for which the fixed points of $`U`$ do not form a one-dimensional subspace of $``$. (In the Appendix we give such an example.) Our theory would then fall apart, since much of our later work is based on the fact that for ergodic systems the fixed point space of $`U`$ is one-dimensional. For example, the characterization of ergodicity in terms of the equality of means of the sort mentioned in Section 1 (but extended to $``$-dynamical systems), implies this one-dimensionality. Also, this one-dimensionality is used in our proof of the variation of Khintchine’s Theorem mentioned in Section 1. (See Sections 3 and 4 for details.) The use of a sequence rather than a single element is therefore necessary in Definition 2.3.

## 3 Some ergodic theory in Hilbert spaces

Our main tool in this section is the

Mean Ergodic Theorem. *Consider a linear operator* $`U:`$ *with* $`U1`$ *on a Hilbert space* $``$ *. Let* $`P`$ *be the projection of* $``$ *onto the subspace of fixed points of* $`U`$*. For any* $`x`$ *we then have*

$$\frac{1}{n}\underset{k=0}{\overset{n1}{}}U^kxPx$$

*as* $`n\mathrm{}`$*.*

Refer to  for a proof. We now state and prove a generalized Hilbert space version of Khintchine’s Theorem:

Theorem 3.1. *Let* $``$*,* $`U`$ *and* $`P`$ *be as in the Mean Ergodic Theorem above. Consider any* $`x,y`$ *and* $`\epsilon >0`$*. Then the set*

$$E=\{k:\left|x,U^ky\right|>\left|x,Py\right|\epsilon \}$$

*is relatively dense in* $``$*.*

*Proof.* The proof is essentially the same as that of Khintchine’s Theorem. By the Mean Ergodic Theorem there exists an $`n`$ such that

$$\frac{1}{n}\underset{k=0}{\overset{n1}{}}U^kyPy<\frac{\epsilon }{x+1}\text{.}$$

Since $`UPy=Py`$ and $`U1`$, it follows for any $`j`$ that

$$\frac{1}{n}\underset{k=j}{\overset{j+n1}{}}U^kyPy\frac{1}{n}\underset{k=0}{\overset{n1}{}}U^kyPy<\frac{\epsilon }{x+1}$$

and therefore

$$\left|x,\frac{1}{n}\underset{k=j}{\overset{j+n1}{}}U^kyPy\right|x\frac{1}{n}\underset{k=j}{\overset{j+n1}{}}U^kyPy<\epsilon \text{.}$$

Hence

$$\left|x,Py\right|\epsilon <\left|\frac{1}{n}\underset{k=j}{\overset{j+n1}{}}x,U^ky\right|\frac{1}{n}\underset{k=j}{\overset{j+n1}{}}\left|x,U^ky\right|$$

and so $`\left|x,U^ky\right|>\left|x,Py\right|\epsilon `$ for some $`k\{j,j+1,\mathrm{},j+n1\}`$, in other words $`E`$ is relatively dense in $``$.$`\mathrm{}`$

Khintchine’s Theorem corresponds to the case where $`y=x`$. The following two propositions are the Hilbert space building blocks for two characterizations of ergodicity to be considered in the next section.

Proposition 3.2. *Let* $``$*,* $`U`$ *and* $`P`$ *be as in the Mean Ergodic Theorem above. Consider an* $`\mathrm{\Omega }`$ *and let* $`𝔗`$ *be any total set in* $``$*. Then the following hold:*

*(i) If* $`P=\mathrm{\Omega }\mathrm{\Omega }`$*, then*

$$\frac{1}{n}\underset{k=0}{\overset{n1}{}}U^ky\mathrm{\Omega }\mathrm{\Omega },y0$$
(4)
*as* $`n\mathrm{}`$*, for every* $`y`$*.*

*(ii) If (4) holds for every* $`y𝔗`$*, then* $`P=\mathrm{\Omega }\mathrm{\Omega }`$*.*

*Proof.* By the Mean Ergodic Theorem we know that

$$\frac{1}{n}\underset{k=0}{\overset{n1}{}}U^kyPy0$$
(5)
for every $`y`$ as $`n\mathrm{}`$, but for $`P=\mathrm{\Omega }\mathrm{\Omega }`$ we have $`Py=\mathrm{\Omega }\mathrm{\Omega },y`$ and this proves (i).

To prove (ii), consider any $`y𝔗`$. From (4) and (5) it then follows that $`Py=\mathrm{\Omega }\mathrm{\Omega },y=(\mathrm{\Omega }\mathrm{\Omega })y`$. Since by definition the linear span of $`𝔗`$ is dense in $``$, and since $`P`$ and $`\mathrm{\Omega }\mathrm{\Omega }`$ are bounded (and hence continuous) linear operators on $``$, we conclude that $`P=\mathrm{\Omega }\mathrm{\Omega }`$.$`\mathrm{}`$

Proposition 3.3. *Let* $``$*,* $`U`$ *and* $`P`$ *be as in the Mean Ergodic Theorem above. Consider an* $`\mathrm{\Omega }`$ *and let* $`𝔖`$ *and* $`𝔗`$ *be total sets in* $``$*. Then the following hold:*

*(i) If* $`P=\mathrm{\Omega }\mathrm{\Omega }`$*, then*

$$\frac{1}{n}\underset{k=0}{\overset{n1}{}}x,U^kyx,\mathrm{\Omega }\mathrm{\Omega },y$$
(6)
*as* $`n\mathrm{}`$*, for all* $`x,y`$*.*

*(ii) If (6) holds for all* $`x𝔖`$ *and* $`y𝔗`$*, then* $`P=\mathrm{\Omega }\mathrm{\Omega }`$*.*

*Proof.* Statement (i) follows immediately from Proposition 3.2(i) by simply taking the inner product of $`x`$ with the expression inside the norm in (4).

To prove (ii), consider any $`x𝔖`$ and $`y𝔗`$. From the Mean Ergodic Theorem it follows that

$$\frac{1}{n}\underset{k=0}{\overset{n1}{}}x,U^kyx,Py$$

as $`n\mathrm{}`$. Combining this with (6) we see that $`x,Py=x,\mathrm{\Omega }\mathrm{\Omega },y=x,(\mathrm{\Omega }\mathrm{\Omega })y`$. Since the linear span of $`𝔖`$ is dense in $``$, this implies that $`Py=(\mathrm{\Omega }\mathrm{\Omega })y`$. Hence $`P=\mathrm{\Omega }\mathrm{\Omega }`$ as in the proof of Proposition 3.2(ii).$`\mathrm{}`$

The reason for using total sets will become clear in Sections 4 and 5.

## 4 Ergodic results for $``$-dynamical systems

In this section we carry the results of Section 3 over to $``$-dynamical systems using cyclic representations. Firstly we give a $``$-dynamical generalization of Khintchine’s Theorem which follows from Theorem 3.1:

Theorem 4.1. *Let* $`(𝔄,\phi ,\tau )`$ *be a* $``$*-dynamical system, and consider any* $`A𝔄`$ *and* $`\epsilon >0`$*. Then the set*

$$E=\{k:\left|\phi \left(A^{}\tau ^k(A)\right)\right|>\left|\phi (A)\right|^2\epsilon \}$$

*is relatively dense in* $``$*.*

*Proof.* Let $`U`$ and $`P`$ be defined as in Proposition 2.4 in terms of any cyclic representation of $`(𝔄,\phi )`$. Set $`x=\iota (A)`$. From (3) it is clear that $`\mathrm{\Omega }=\iota (1)`$ is a fixed point of $`U`$, so $`\mathrm{\Omega },x=P\mathrm{\Omega },x=\mathrm{\Omega },Px`$. It follows that $`\left|\phi (A)\right|=\left|\phi (1^{}A)\right|=\left|\mathrm{\Omega },x\right|\mathrm{\Omega }Px=Px`$. We also have $`\phi (A^{}\tau ^k(A))=x,U^kx`$. Hence by Theorem 3.1, with $`y=x`$, the set $`E`$ is relatively dense in $``$.$`\mathrm{}`$

A C\*-algebraic version of Theorem 4.1 was previously obtained in . Next we use Theorem 3.1 to prove a variant of Theorem 4.1:

Theorem 4.2. *Let* $`(𝔄,\phi ,\tau )`$ *be an ergodic* $``$*-dynamical system, and consider any* $`A,B𝔄`$ *and* $`\epsilon >0`$*. Then the set*

$$E=\{k:\left|\phi \left(A\tau ^k(B)\right)\right|>\left|\phi (A)\phi (B)\right|\epsilon \}$$

*is relatively dense in* $``$*.*

*Proof.* Let $`U`$ and $`P`$ be defined as in Proposition 2.4 in terms of any cyclic representation of $`(𝔄,\phi )`$. Set $`x=\iota (A^{})`$ and $`y=\iota (B)`$. By Proposition 2.4 we have $`Px=\alpha \mathrm{\Omega }`$ and $`Py=\beta \mathrm{\Omega }`$ where $`\overline{\alpha }=x,\mathrm{\Omega }=\phi (A^{}1)=\phi (A)`$ and $`\beta =\phi (B)`$. Therefore $`\left|x,Py\right|=\left|Px,Py\right|=\left|\overline{\alpha }\beta \right|\mathrm{\Omega }^2=\left|\phi (A)\phi (B)\right|`$. Furthermore, $`\phi (A\tau ^k(B))=x,U^ky`$. Hence $`E`$ is relatively dense in $``$ by Theorem 3.1.$`\mathrm{}`$

We are now going to prove two characterizations of ergodicity using Propositions 3.2 and 3.3 respectively. But first we need to consider a notion of totality of a set in a unital $``$-algebra. (Remember that an abstract unital $``$-algebra has no norm.)

Definition 4.3. Let $`\phi `$ be a state on a unital $``$-algebra $`𝔄`$. A subset $`𝔗`$ of $`𝔄`$ is called $`\phi `$*-dense* in $`𝔄`$ if it is dense in the seminormed space $`(𝔄,_\phi )`$. A subset $`𝔗`$ of $`𝔄`$ is called $`\phi `$*-total* in $`𝔄`$ if the linear span of $`𝔗`$ is $`\phi `$-dense in $`𝔄`$.

Trivially, a unital $``$-algebra is $`\phi `$-total in itself for any state $`\phi `$.

Lemma 4.4. *Let* $`\phi `$ *be a state on a unital* $``$*-algebra* $`𝔄`$*, and consider any subset* $`𝔗`$ *of* $`𝔄`$*. Let* $`\iota `$ *be given by (2) in terms of any cyclic representation of* $`(𝔄,\phi )`$*, and let* $``$ *be the completion of* $`𝔊`$*. Then* $`𝔗`$ *is* $`\phi `$*-total in* $`𝔄`$ *if and only if* $`\iota (𝔗)`$ *is total in* $``$*.*

*Proof.* Suppose $`𝔗`$ is $`\phi `$-total in $`𝔄`$, that is to say the linear span $`𝔅`$ of $`𝔗`$ is $`\phi `$-dense in $`𝔄`$. Then $`\iota (𝔅)`$ is dense in $`𝔊=\iota (𝔄)`$, since for any $`A𝔄`$ there exists a sequence $`(A_n)`$ in $`𝔅`$ such that $`\iota (A_n)\iota (A)=A_nA_\phi 0`$. But by definition $`𝔊`$ is dense in $``$, hence $`\iota (𝔅)`$ is dense in $``$. Since $`\iota `$ is linear, this means that $`\iota (𝔗)`$ is total in $``$.

Conversely, suppose $`\iota (𝔗)`$ is total in $``$, then $`\iota (𝔅)`$ is dense in $``$. It follows that $`𝔅`$ is $`\phi `$-dense in $`𝔄`$, since for any $`A𝔄`$ there exists a sequence $`(A_n)`$ in $`𝔅`$ such that $`A_nA_\phi =\iota (A_n)\iota (A)0`$. In other words, $`𝔗`$ is $`\phi `$-total in $`𝔄`$.$`\mathrm{}`$

Proposition 4.5. *Let* $`(𝔄,\phi ,\tau )`$ *be a* $``$*-dynamical system, and consider any* $`\phi `$*-total set* $`𝔗`$ *in* $`𝔄`$*. Then the following hold:*

*(i) If* $`(𝔄,\phi ,\tau )`$ *is ergodic, then*

$$\frac{1}{n}\underset{k=0}{\overset{n1}{}}\tau ^k(A)\phi (A)_\phi 0$$
(7)
*as* $`n\mathrm{}`$*, for every* $`A𝔄`$*.*

*(ii) If (7) holds for every* $`A𝔗`$*, then* $`(𝔄,\phi ,\tau )`$ *is ergodic.*

*Proof.* Let $`U`$ and $`P`$ be defined as in Proposition 2.4 in terms of any cyclic representation of $`(𝔄,\phi )`$. Suppose $`(𝔄,\phi ,\tau )`$ is ergodic. For any $`A𝔄`$ we then have

$$\frac{1}{n}\underset{k=0}{\overset{n1}{}}\tau ^k(A)\phi (A)_\phi =\frac{1}{n}\underset{k=0}{\overset{n1}{}}U^k\iota (A)\iota \left(\phi (A)\right)0$$
(8)
as $`n\mathrm{}`$, by Proposition 3.2(i) and Proposition 2.4, since $`\iota \left(\phi (A)\right)=\iota (1)\phi (A)=\mathrm{\Omega }\phi (1^{}A)=\mathrm{\Omega }\mathrm{\Omega },\iota (A)`$. This proves (i).

Now suppose (7), and therefore (8), hold for every $`A𝔗`$. Since $`\iota (𝔗)`$ is total in $``$ according to Lemma 4.4, it follows from Proposition 3.2(ii) and the identity $`\iota \left(\phi (A)\right)=\mathrm{\Omega }\mathrm{\Omega },\iota (A)`$, that $`P=\mathrm{\Omega }\mathrm{\Omega }`$. So $`(𝔄,\phi ,\tau )`$ is ergodic by Proposition 2.4, confirming (ii).$`\mathrm{}`$

In the spirit of the original motivation behind the concept of ergodicity, this proposition characterizes ergodic $``$-dynamical systems as those for which the *time mean* of each element $`A`$ of the $``$-algebra converges in the seminorm $`_\phi `$ to the “phase space” mean $`\phi (A)`$. A better name for the latter would be the *system mean* in this case, since there is no phase space involved. For a measure theoretic dynamical system $`(X,\mathrm{\Sigma },\tau ,\mu )`$, the state $`\phi `$ is given by $`\phi (f)=f𝑑\mu `$ which is indeed the phase space mean of $`fB_{\mathrm{}}(\mathrm{\Sigma })`$, where $`X`$ is the phase space. We will come back to this in Section 5.

For any subset $`𝔖`$ of a $``$-algebra, we write $`𝔖^{}=\{A^{}:A𝔖\}`$.

Proposition 4.6. *Let* $`(𝔄,\phi ,\tau )`$ *be a* $``$*-dynamical system, and consider any* $`\phi `$*-total sets $`𝔖`$ and* $`𝔗`$ *in* $`𝔄`$*. Then the following hold:*

*(i) If* $`(𝔄,\phi ,\tau )`$ *is ergodic, then*

$$\frac{1}{n}\underset{k=0}{\overset{n1}{}}\phi \left(A\tau ^k(B)\right)\phi (A)\phi (B)$$
(9)
*as* $`n\mathrm{}`$*, for all* $`A,B𝔄`$*.*

*(ii) If (9) holds for all* $`A𝔖^{}`$ *and* $`B𝔗`$*, then* $`(𝔄,\phi ,\tau )`$ *is ergodic.*

*Proof.* Let $`U`$ and $`P`$ be defined as in Proposition 2.4 in terms of any cyclic representation of $`(𝔄,\phi )`$. Suppose $`(𝔄,\phi ,\tau )`$ is ergodic. Then $`P=\mathrm{\Omega }\mathrm{\Omega }`$ by Proposition 2.4, and so by Proposition 3.3(i) it follows that

$$\frac{1}{n}\underset{k=0}{\overset{n1}{}}\phi \left(A\tau ^k(B)\right)=\frac{1}{n}\underset{k=0}{\overset{n1}{}}\iota (A^{}),U^k\iota (B)\phi (A)\phi (B)$$
(10)
as $`n\mathrm{}`$, since $`\iota (A^{}),\mathrm{\Omega }=\phi (A)`$ and $`\mathrm{\Omega },\iota (B)=\phi (B)`$, as in the proof of Theorem 4.2. This proves (i). (Alternatively, (i) can be derived from Proposition 4.5(i) using the Cauchy-Schwarz inequality $`\left|\phi (AC)\right|A^{}_\phi C_\phi `$ with $`C=\frac{1}{n}_{k=0}^{n1}\tau ^k(B)\phi (B)`$. This is essentially how Proposition 3.3(i) was derived from Proposition 3.2(i).)

Now suppose (9), and therefore (10), hold for all $`A𝔖^{}`$ and $`B𝔗`$. Since $`\iota (𝔖)`$ and $`\iota (𝔗)`$ are total in $``$ according to Lemma 4.4, it follows from Proposition 3.3(ii) and the identities $`\iota (A^{}),\mathrm{\Omega }=\phi (A)`$ and $`\mathrm{\Omega },\iota (B)=\phi (B)`$, that $`P=\mathrm{\Omega }\mathrm{\Omega }`$. So $`(𝔄,\phi ,\tau )`$ is ergodic by Proposition 2.4, confirming (ii).$`\mathrm{}`$

This characterizes ergodicity in terms of *mixing*. We now give a simple example of an ergodic $``$-dynamical system whose $``$-algebra is non-commutative:

Example 4.7. Let $`𝔄`$ be the unital $``$-algebra of $`2\times 2`$-matrices with entries in $``$, the involution being the conjugate transpose. Let $`\phi `$ be the normalized trace on $`𝔄`$, that is to say $`\phi =\frac{1}{2}`$Tr. Define $`\tau :𝔄𝔄`$ by

$$\tau \left(\begin{array}{cc}a_{11}\hfill & a_{12}\hfill \\ a_{21}\hfill & a_{22}\hfill \end{array}\right)=\left(\begin{array}{cc}a_{22}& c_1a_{12}\\ c_2a_{21}& a_{11}\end{array}\right)$$

for some fixed $`c_1,c_2`$ with $`\left|c_1\right|1`$, $`\left|c_2\right|1`$, $`c_11`$ and $`c_21`$. The conditions $`\left|c_1\right|1`$ and $`\left|c_2\right|1`$ are necessary and sufficient for $`(𝔄,\phi ,\tau )`$ to be a $``$-dynamical system. Note that for any $`c`$ with $`\left|c\right|1`$, it follows from the Mean Ergodic Theorem that

$$\frac{1}{n}\underset{k=0}{\overset{n1}{}}c^k$$

converges to $`0`$ if $`c1`$, and to $`1`$ otherwise. Using this fact and Proposition 4.6(ii) with $`𝔖=𝔗=𝔄`$ (and some calculations), it can be verified that the conditions $`c_11`$ and $`c_21`$ are necessary and sufficient for $`(𝔄,\phi ,\tau )`$ to be ergodic, assuming that $`\left|c_1\right|1`$ and $`\left|c_2\right|1`$.

## 5 Measure theory and von Neumann algebras

As was mentioned in Section 2, from a measure theoretic dynamical system $`(X,\mathrm{\Sigma },\mu ,T)`$ we obtain the $``$-dynamical system $`(B_{\mathrm{}}(\mathrm{\Sigma }),\phi ,\tau )`$, where $`\phi (f)=f𝑑\mu `$ and $`\tau (f)=fT`$. This allows us to apply the results of Section 4 to measure theoretic dynamical systems. For example, if $`(X,\mathrm{\Sigma },\mu ,T)`$ is ergodic, then we know from Section 2 that $`(B_{\mathrm{}}(\mathrm{\Sigma }),\phi ,\tau )`$ is ergodic. Hence for this $``$-dynamical system Theorem 4.2 tells us that for any $`A,B\mathrm{\Sigma }`$ and $`\epsilon >0`$, the set

$$\{k:\left|\phi \left(\chi _A\tau ^k(\chi _B)\right)\right|>\left|\phi (\chi _A)\phi (\chi _B)\right|\epsilon \}$$

is relatively dense in $``$, but this set is exactly the set $`F`$ from Section 1. (Here $`\chi `$ denotes characteristic functions.) So we have answered our original question:

Corollary 5.1. *Let* $`(X,\mathrm{\Sigma },\mu ,T)`$ *be an ergodic measure theoretic dynamical system. Then for any* $`A,B\mathrm{\Sigma }`$ *and* $`\epsilon >0`$*, the set*

$$F=\{k:\mu \left(AT^k(B)\right)>\mu (A)\mu (B)\epsilon \}$$

*is relatively dense in* $``$*.*

This result says that for every $`kF`$, the set $`A`$ contains a set $`AT^k(B)`$ of measure larger than $`\mu (A)\mu (B)\epsilon `$, which is mapped into $`B`$ by $`T^k`$. Using a similar argument, Khintchine’s Theorem follows from Theorem 4.1.

Likewise, Propositions 4.5 and 4.6 can be applied to the measure theoretic case. For example, Proposition 4.5(i) tells us that if $`(X,\mathrm{\Sigma },\mu ,T)`$ is ergodic, then

$$\left|\frac{1}{n}\underset{k=0}{\overset{n1}{}}fT^k\phi (f)\right|^2𝑑\mu 0$$
(11)
as $`n\mathrm{}`$, for every $`fB_{\mathrm{}}(\mathrm{\Sigma })`$. Note that this result is not pointwise and is therefore not quite as strong as the usual measure theoretic statement of equality of the time mean and the phase space mean. This is of course where Birkhoff’s Pointwise Ergodic Theorem comes into play (see for example ).

What about the converse? Well, in order to effectively apply Propositions 4.5(ii) and 4.6(ii) to the measure theoretic case, we need to know what the measure theoretic significance of a $`\phi `$-total set in $`B_{\mathrm{}}(\mathrm{\Sigma })`$ is. The basic fact we will use is the following simple proposition which follows from Lebesgue’s Dominated Convergence Theorem:

Proposition 5.2. *Let* $`(X,\mathrm{\Sigma },\mu )`$ *be a probability space and set* $`\phi (f)=f𝑑\mu `$ *for all* $`fB_{\mathrm{}}(\mathrm{\Sigma })`$*. Then the set* $`𝔗=\{\chi _S:S\mathrm{\Sigma }\}`$ *is* $`\phi `$*-total in* $`B_{\mathrm{}}(\mathrm{\Sigma })`$*.*

From this we see that if (11) holds for all measurable characteristic functions $`f`$, then $`(B_{\mathrm{}}(\mathrm{\Sigma }),\phi ,\tau )`$ is ergodic by Proposition 4.5(ii), hence $`(X,\mathrm{\Sigma },\mu ,T)`$ is ergodic as mentioned in Section 2.

Finally, with reference to Proposition 4.6(ii), we note that $`𝔗^{}=𝔗`$ for $`𝔗`$ as in Proposition 5.2.

Next we briefly look at von Neumann algebras, as they are well-known examples of unital $``$-algebras. Consider a von Neumann algebra $`𝔐`$ and suppose $`(𝔐,\phi ,\tau )`$ is a $``$-dynamical system. For example, $`\tau `$ might be a $``$-homomorphism leaving $`\phi `$ invariant, that is to say, $`\phi (\tau (A))=\phi (A)`$ for all $`A𝔐`$. Then the results of Section 4 can be applied directly to $`(𝔐,\phi ,\tau )`$. As a more explicit (and ergodic) example, we note that $`𝔄`$ in Example 4.7 is a von Neumann algebra on the Hilbert space $`^2`$. We can also mention that $`\tau `$ in Example 4.7 is not a homomorphism.

We now describe one suitable choice for the $`\phi `$-total sets appearing in Propositions 4.5 and 4.6. Let $`𝔓`$ be the projections of $`𝔐`$. It is known that $`𝔐`$ is the norm closure of the linear span of $`𝔓`$, as is mentioned for example on p. 326 of . Since any state $`\phi `$ on $`𝔐`$ is continuous by virtue of being positive, it follows that $`𝔓`$ is $`\phi `$-total in $`𝔐`$. Note also, regarding Proposition 4.6(ii), that $`𝔓^{}=𝔓`$. This is all very similar to the measure theoretic case in Proposition 5.2, since the measurable characteristic functions on $`X`$ are exactly the projections of $`B_{\mathrm{}}(\mathrm{\Sigma })`$. This similarity should not be too surprising, since the theory of von Neumann algebras is often described as “non-commutative measure theory” because of the close analogy with measure theory.

## Appendix

This Appendix is devoted to the construction of a $``$-dynamical system $`(𝔄,\phi ,\tau )`$ with the property that if $`\tau (A)A_\phi =0`$, then $`A\alpha _\phi =0`$ for some $`\alpha `$, but for which the fixed points of the operator $`U`$ defined in Proposition 2.4 in terms of some cyclic representation, form a vector subspace of $``$ with dimension greater than one. This will prove the necessity of a sequence, rather than a single element, in Definition 2.3, in order for Proposition 2.4 to hold.

First some general considerations. Consider a dense vector subspace $`𝔊`$ of a Hilbert space $``$, and let $`𝔏()`$ be the bounded linear operators $``$. Set

$$𝔄:=\{A|_𝔊:A𝔏()\text{}A𝔊𝔊\text{ and }A^{}𝔊𝔊\}$$

where $`A|_𝔊`$ denotes the restriction of $`A`$ to $`𝔊`$. For any $`A𝔄`$, denote by $`\overline{A}`$ the (unique) bounded linear extension of $`A`$ to $``$. Now define

$$A^{}:=\overline{A}^{}|_𝔊$$

for all $`A𝔄`$, then it is easily verified that $`𝔄`$ becomes a unital $``$-algebra. (For example, for $`A,B𝔄`$ it is clear that $`AB`$ is a bounded linear operator $`𝔊𝔊`$ which therefore has the extension $`\overline{A}.\overline{B}𝔏()`$ for which $`\overline{A}.\overline{B}𝔊𝔊`$ and $`(\overline{A}.\overline{B})^{}𝔊=\overline{B}^{}\overline{A}^{}𝔊𝔊`$ by the definition of $`𝔄`$. Hence $`AB𝔄`$, and $`\left(AB\right)^{}=(\overline{A}.\overline{B})^{}|_𝔊=\left(\overline{B}^{}\overline{A}^{}\right)|_𝔊=\overline{B}^{}\left(\overline{A}^{}|_𝔊\right)=\overline{B}^{}A^{}=B^{}A^{}`$. Similarly for the other defining properties of a unital $``$-algebra.) Note that for $`A𝔄`$ and $`x,y𝔊`$ we have

$$x,Ay=x,\overline{A}y=\overline{A}^{}x,y=A^{}x,y\text{.}$$

For a given norm one $`\mathrm{\Omega }𝔊`$ we define a state $`\phi `$ on $`𝔄`$ by

$$\phi (A)=\mathrm{\Omega },A\mathrm{\Omega }\text{.}$$

Next we construct a cyclic representation of $`(𝔄,\phi )`$. Let

$$\pi :𝔄L(𝔊):AA$$

then clearly $`\pi `$ is linear with $`\pi (1)=1`$ and $`\pi (AB)=\pi (A)\pi (B)`$. Note that for any $`x,y𝔊`$ we have $`(xy)^{}=yx`$, hence $`(xy)𝔊𝔊`$ and $`(xy)^{}𝔊𝔊`$, so $`(xy)|_𝔊𝔄`$. Now, $`\pi \left((x\mathrm{\Omega })|_𝔊\right)\mathrm{\Omega }=x\mathrm{\Omega },\mathrm{\Omega }=x`$, hence $`\pi (𝔄)\mathrm{\Omega }=𝔊`$. Furthermore, $`\pi (A)\mathrm{\Omega },\pi (B)\mathrm{\Omega }=A\mathrm{\Omega },B\mathrm{\Omega }=\mathrm{\Omega },A^{}B\mathrm{\Omega }=\phi (A^{}B)`$. Thus $`(𝔊,\pi ,\mathrm{\Omega })`$ is a cyclic representation of $`(𝔄,\phi )`$.

Suppose we have a unitary operator $`U:`$ such that $`U𝔊=𝔊`$ and $`U\mathrm{\Omega }=\mathrm{\Omega }`$. Then $`U^{}𝔊=U^1𝔊=𝔊`$, so $`V:=U|_𝔊𝔄`$, and $`V^{}=U^{}|_𝔊`$. It follows that $`VAV^{}𝔄`$ for all $`A𝔄`$, hence we can define a linear function $`\tau :𝔄𝔄`$ by

$$\tau (A)=VAV^{}\text{.}$$

Clearly $`V^{}V=1=VV^{}`$, so $`\tau (1)=1`$ and $`\phi \left(\tau (A)^{}\tau (A)\right)=\phi \left(VA^{}AV^{}\right)=U^{}\mathrm{\Omega },A^{}AU^{}\mathrm{\Omega }=\phi (A^{}A)`$, since $`U^{}\mathrm{\Omega }=U^1\mathrm{\Omega }=\mathrm{\Omega }`$. Therefore $`(𝔄,\phi ,\tau )`$ is a $``$-dynamical system. Note that $`U|_𝔊`$ satisfies (3), namely $`U\pi (A)\mathrm{\Omega }=UA\mathrm{\Omega }=UAU^{}\mathrm{\Omega }=\tau (A)\mathrm{\Omega }=\pi \left(\tau (A)\right)\mathrm{\Omega }`$, hence $`U`$ is the operator which appears in Proposition 2.4.

Assume $`\{x𝔊:Ux=x\}=\mathrm{\Omega }`$. If $`\tau (A)A_\phi =0`$, it then follows for $`x=\iota (A)`$, with $`\iota `$ given by (2), that $`Uxx=\iota \left(\tau (A)A\right)=\tau (A)A_\phi =0`$, so $`x=\alpha \mathrm{\Omega }`$ for some $`\alpha `$. Therefore $`A\alpha _\phi =\iota (A\alpha )=x\alpha \mathrm{\Omega }=0`$.

In other words, assuming that the fixed points of $`U`$ in $`𝔊`$ form the one-dimensional subspace $`\mathrm{\Omega }`$, it follows that $`\tau (A)A_\phi =0`$ implies that $`A\alpha _\phi =0`$ for some $`\alpha `$.

It remains to construct an example of a $`U`$ with all the properties mentioned above, whose fixed point space in $``$ has dimension greater than one. The following example was constructed by L. Zsidó:

Let $``$ be a separable Hilbert space with an orthonormal basis of the form

$$\{\mathrm{\Omega },y\}\{u_k:k\}$$

(that is to say, this is a total orthonormal set in $``$) and define the linear operator $`U:`$ by

$`U\mathrm{\Omega }`$ $`=\mathrm{\Omega },`$
$`Uy`$ $`=y,`$
$`Uu_k`$ $`=u_{k+1},k\text{.}`$
Since $`U`$ is a surjective isometry, it is unitary. Let $`𝔊`$ be the linear span of

$$\{\mathrm{\Omega }\}\{y+u_k:k\}\text{.}$$

Then $`U𝔊=𝔊`$. Furthermore, $`𝔊`$ is dense in $``$. Indeed,

$$y\frac{1}{n}\underset{k=1}{\overset{n}{}}(y+u_k)=\frac{1}{n}\underset{k=1}{\overset{n}{}}u_k=\frac{1}{\sqrt{n}}0$$

implies that $`y\overline{𝔊}`$, the closure of $`𝔊`$, hence also

$$u_k=(y+u_k)y\overline{𝔊}$$

for $`k`$.

Next we show that

$$\{x𝔊:Ux=x\}=\mathrm{\Omega }.$$

If $`\alpha \mathrm{\Omega }+\underset{k=n}{\overset{n}{}}\beta _k(y+u_k)𝔊`$ is left fixed by $`U`$, then

$$\alpha \mathrm{\Omega }+\underset{k=n}{\overset{n}{}}\beta _ky+\underset{k=n}{\overset{n}{}}\beta _ku_{k+1}=\alpha \mathrm{\Omega }+\underset{k=n}{\overset{n}{}}\beta _ky+\underset{k=n}{\overset{n}{}}\beta _ku_k$$

and it follows that $`\beta _n=0`$, and that $`\beta _{k+1}=\beta _k`$ for $`k=n,\mathrm{},n1`$. Thus

$$\alpha \mathrm{\Omega }+\underset{k=n}{\overset{n}{}}\beta _k(y+u_k)=\alpha \mathrm{\Omega }.$$

On the other hand,

$$\{x:Ux=x\}$$

clearly contains the two-dimensional vector space spanned by $`\mathrm{\Omega }`$ and $`y`$.

*Acknowledgements.* We would like to thank the National Research Foundation and the Mellon Foundation Mentoring Programme for financial support. We are also grateful to László Zsidó for providing us with the example used in the Appendix.


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# Scaling of solar wind ϵ and the AU, AL and AE indices as seen by WIND.

## 1 Introduction

Recently, there has been considerable interest in viewing the coupled solar wind-magnetosphere as a complex system where multi-scale coupling is a fundamental aspect of the dynamics (see \[??\] and references therein). Examples of the observational motivation for this approach are i) bursty transport events in the magnetotail \[?\] and ii) evidence that the statistics of these events are self-similar (as seen in auroral images \[?\]). Geomagnetic indices are of particular interest in this context as they provide a global measure of magnetospheric output and are evenly sampled over a long time interval. There is a wealth of literature on the magnetosphere as an input-output system (see for example, \[?????\]). Recent work has focussed on comparing some aspects of the scaling properties of input parameters such as $`ϵ`$ \[?\] and the AE index \[?\] to establish whether, to the lowest order, they are directly related \[??\]. Although these studies are directed at understanding the coupled solar wind-magnetosphere in the context of Self-Organized Criticality (SOC), a comprehensive comparison of the scaling properties of the indices, and some proxy for the driver ($`ϵ`$) also has relevance for the predictability of this magnetospheric “output” from the input. Importantly, both “burstiness” (or intermittency) and self-similarity can arise from several processes including SOC and turbulence. Indeed, SOC models exhibit threshold instabilities, bursty flow events and statistical features consistent with the “scale-free” dynamics such as power law power spectra. It has been proposed by ? that magnetospheric dynamics are indeed in the critical state or near it. Alternatively, ? used the Castaing distribution – the empirical model derived in ? and based on a turbulent energy cascade – to obtain a two parameter functional form for the Probability Density Functions (PDF) of the AE fluctuations on various temporal scales. Turbulent descriptions of magnetospheric measures also model observed statistical intermittency, i.e., the presence of large deviations from the average value on different scales \[??\]. An increased probability of finding such large deviations is manifested in the departure of the PDF from Gaussian toward a leptokurtic distribution \[?\].

In this paper we will quantify both the intermittency and the self-similarity of the AU, AL, AE and $`ϵ`$ time series using the technique of finite size scaling. This has the advantage of being model independent, and is also directly related to both turbulence models such as that of Castaing \[?\] and a Fokker-Planck description of the time series. The method was used in ? where the mono-scaling of the solar wind magnetic energy density fluctuations was reported. We will find that fluctuations in all four quantities are strongly suggestive of turbulent processes and by quantifying this we can compare their properties directly.

The AL, AU and AE indices data set investigated here comprises over $`0.5`$ million, $`1`$ minute averaged samples from January 1978 to January 1979 inclusive. The $`ϵ`$ parameter defined in SI units as:

$$ϵ=v\frac{B^2}{\mu _0}l_0^2\mathrm{sin}^4(\mathrm{\Theta }/2),$$
(1)
where $`l_07R_E`$ and $`\mathrm{\Theta }=\mathrm{arctan}(|B_y|/B_z)`$ is an estimate of the fraction of the solar wind Poynting flux through the dayside magnetosphere and was calculated from the WIND spacecraft key parameter database \[??\]. It comprises over $`1`$ million, $`46`$ second averaged samples from January 1995 to December 1998 inclusive. The data set includes intervals of both slow and fast speed streams. The time series of indices and that of the $`ϵ`$ parameter were obtained in different time intervals and here we assume that the samples are long enough to be statistically accurate.

## 2 Scaling of the indices and $`ϵ`$

The statistical properties of complex systems can exhibit a degree of universality reflecting the lack of a characteristic scale in their dynamics. A connection between the statistical approach and the dynamical one is given by a Fokker-Planck (F-P) equation \[?\] which describes the dynamics of the PDF and, in the most general form, can be written as:

$$\frac{P(x,t)}{t}=(P(x,t)\gamma (x))+^2D(x)P(x,t),$$
(2)
where $`P(x,t)`$ is a PDF of some quantity $`x`$ that varies with time $`t`$, $`\gamma `$ is the friction coefficient and $`D(x)`$ is a diffusion coefficient which in this case can vary with $`x`$. For certain choices of $`D(x)`$, a class of self-similar solutions of (2) satisfies a finite size scaling (in the usage of ?, pg. 85, henceforth “scaling”) relation given by:

$$P(x,t)=t^sP_s(xt^s).$$
(3)
This scaling is a direct consequence of the fact that the F-P equation is invariant under the transformation $`xxt^s`$ and $`PPt^s`$. If, for given experimental data, a set of PDFs can be constructed, on different temporal scales $`\tau `$, that satisfy relation (3) then a diffusion coefficient and corresponding F-P equation can be found to represent the data. A simple example is the Brownian random walk with $`s=1/2`$, $`D(x)=`$constant and Gaussian PDFs on all scales. Alternatively one can treat the identification of the scaling exponent $`s`$ and, as we will see, the non-Gaussian nature of the rescaled PDFs ($`P_s`$) as a method for quantifying the intermittent character of the time series. Practically, obtaining the rescaled PDFs involves finding a rescaling index $`s`$ directly from the integrated time series of the quantity $`X`$ \[??\].

Let $`X(t)`$ represent the time series of the studied signal, in our case AU, AL, AE or the $`ϵ`$ parameter. A set of time series $`\delta X(t,\tau )=X(t+\tau )X(t)`$ is obtained for each value of non-overlapping time lag $`\tau `$. The PDF $`P(\delta X,\tau )`$ is then obtained for each time series $`\delta X(t,\tau )`$. Figure 2 shows these PDFs for the $`\delta AU`$. A generic scaling approach is applied to these PDFs. Ideally, we use the peaks of the PDFs to obtain the scaling exponent $`s`$, as the peaks are the most populated parts of the distributions. In certain cases, however, the peaks may not be the optimal statistical measure for obtaining the scaling index. For example, the $`B_z`$ component in (1) as well as the AU and AL indices are measured with an absolute accuracy of about $`0.1`$ nT. Such discreteness in the time series and, in the case of the $`ϵ`$ fluctuations, the large dynamical range introduce large errors in the estimation of the peak values $`P(0,\tau )`$ and may not give a correct scaling. Since, if the PDFs rescale, we can obtain the scaling exponent from any point on the curve in principle, we also determine the scaling properties of the standard deviation $`\sigma (\tau )`$ of each curve $`P(\delta X,\tau )`$ versus $`\delta X(t,\tau )`$.

Figure 4 shows $`P(0,\tau )`$ plotted versus $`\tau `$ on log-log axes for $`\delta X=\delta ϵ`$, $`\delta AE`$, $`\delta AU`$ and $`\delta AL`$. Straight lines on such a plot suggest that the rescaling (3) holds at least for the peaks of the distributions. On figure 4, lines were fitted with $`R^2`$ goodness of fit for the range of $`\tau `$ between $`4`$ and $`136`$ minutes, omitting points corresponding to the first two temporal scales as in these cases the sharp peaks of the PDFs can not be well resolved. The lines suggest self-similarity persists up to intervals of $`\tau =97136`$ minutes. The slopes of these lines yield the exponents $`s`$ and these are summarized in Table 1 along with the values obtained from analogous plots of $`\sigma (\tau )`$ versus $`\tau `$ which show the same scale break. We note that, for the $`ϵ`$ parameter, the scaling index $`s`$ obtained from the $`P(0,\tau )`$ is different from the Hurst exponent measured from the $`\sigma (\tau )`$. This difference could be a result of the previously discussed difficulties with the $`ϵ`$ data. However, it does appear to be a feature of some real time series (see ? for example). Indeed, such a difference between index $`s`$ and $`H_\sigma `$ is predicted in the case of fractional Lévy motion \[?\].

We see that, for the $`ϵ`$ as well as the AL and AU indices, there is a range of $`\tau `$ up to $`4.5`$ hours for which $`P(0,\tau )`$ plotted versus $`\tau `$ is well described by a power law $`\tau ^s`$ with indices $`s=0.42\pm 0.03`$ for the $`ϵ`$ and $`s=0.45\pm 0.02`$ and $`s=0.47\pm 0.03`$ for the AL and AU indices, respectively. Thus the break in scaling at $`45`$ hours in the AL and AU indices may have its origin in the solar wind, although the physical reason for the break at this timescale in epsilon is unclear. The break in the AE index, however, appears to occur at a smaller temporal scale of $`2`$ hours, consistent with the scaling break timescale found in the same index by other analysis methods \[??\]. This was interpreted by \[?\] as due to the characteristic substorm duration. ? also reported a scaling break at the same $`2`$ hour timescale for AL, in contrast to the $`45`$ hour timescale found here. Indeed, one might have expected a substorm timescale to cause the same scaling break in both the AE and AL indices, because their substorm signatures are so similar in profile (e.g., Figure 2 of ?). The resolution may lie in the difference between analysis of differenced and undifferenced data \[?\].

Within this scaling range we now attempt to collapse each corresponding unscaled PDF onto a single master curve using the scaling (3). If the initial assumption of the self-similar solutions is correct, a single parameter rescaling, given by equation (3) for a mono-fractal process, would give a perfect collapse of PDFs on all scales. Practically, an approximate collapse of PDFs is an indicator of a dominant mono-fractal trend in the time series, i.e., this method may not be sensitive enough to detect multi-fractality that could be present only during short time intervals. Figures 6 and 8 show the result of the one parameter rescaling applied to the unscaled PDF of the $`\delta ϵ`$ and the $`\delta AU`$ index fluctuations, respectively, for the temporal scales up to $`4.5`$ hours. We see that the rescaling procedure (3) using the value of the exponent $`s`$ of the peaks $`P(0,\tau )`$ shown in Fig 4, gives good collapse of each curve onto a single common functional form for the entire range of the data. These rescaled PDFs are leptokurtic rather than a Gaussian and are thus strongly suggestive of an underlying turbulent process.

The successful rescaling of the PDFs now allows us to perform a direct comparison of the PDFs for all four quantities. Figure 10 shows these normalized PDFs $`P_s(\delta X,\tau )`$ for $`\delta X=\delta ϵ`$, $`\delta AE`$ and $`\tau 1`$ hour overlaid on a single plot. The $`\delta X`$ variable has been normalized to the rescaled standard deviation $`\sigma _s(\tau 1hr)`$ of $`P_s`$ in each case to facilitate this comparison. We then find that AE and $`ϵ`$ fluctuations have indistinguishable $`P_s`$. The PDFs of $`\delta AU`$ and $`\delta AL`$ are asymmetric such that $`\delta AL`$ fits $`\delta AU`$ PDF closely (see insert in the figure 10); when overlaid on the PDFs of the $`\delta ϵ`$ and $`\delta AE`$ these are also indistinguishable within errors. This provides strong evidence that the dominant contributions to the AE indices come from the eastward and westward electrojets of the approximately symmetric DP2 current system that is driven directly by the solar wind \[?\]. The mono-scaling of the investigated PDFs, together with the finite value of the samples’ variance, indicates that a Fokker-Planck approach can be used to study the dynamics of the unscaled PDFs within their temporal scaling range.

## 3 Summary

In this paper we have applied the generic and model independent scaling method to study the scaling of fluctuations in the $`ϵ`$ parameter and the global magnetospheric indices AU, AL and AE. The similar values of the scaling exponent and the leptokurtic nature of the single PDF that, to within errors, describes fluctuations on time scales up to $`\tau _{max}`$ in all four quantities provide an important quantitative constraint for models of the coupled solar wind-magnetosphere system. One possibility is that, up to $`\tau _{max}4`$ hours, fluctuations in AU and AL are directly reflecting those seen in the turbulent solar wind. The data also suggest that AE index departs from this scaling on shorter time scale of $`\tau _{max}2`$ hours. Importantly, identifying a close correspondence in the fluctuation PDF of $`ϵ`$, AE, AU and AL may simply indicate that fluctuations in the indices are strongly coupled to dayside processes and are thus weak indicators of the fluctuations in nightside energy output. The leptokurtic nature of the PDFs is strongly suggestive of turbulent processes, and in the case of AU and AL, these may then be either just that of the turbulent solar wind (and here $`ϵ`$) or may be locally generated turbulence which has an indistinguishable signature in its fluctuation PDF. In this case our results quantify the nature of this turbulence. We note, however, that certain classes of complex systems \[?\] are in principle capable of “passing through” input fluctuations into their output without being directly driven in the present sense \[Chang, private communication, 2002\]. Finally, the rescaling also indicates that a Fokker-Planck approach can be used to study the evolution of the fluctuation PDF. This raises a possibility of a new approach to understanding magnetospheric dynamics.

## 4 Acknowledgment

SCC and BH acknowledge support from the PPARC and GR from the Leverhulme Trust. We thank J. Greenhough and participants of the CEMD 2002 meeting for useful discussions, and R. P. Lepping and K. Ogilvie for provision of data from the NASA WIND spacecraft and the World Data Center C2, Kyoto for geomagnetic indices. We thank anonymous referees for their comments.