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# Untitled Document

IASSNS-HEP-00/58

hep-th/0008013

A Note on Background Independence in Noncommutative Gauge Theories, Matrix Model, and Tachyon Condensation

Nathan Seiberg

School of Natural Sciences

Institute for Advanced Study

Einstein Drive, Princeton, NJ 08540

Using the construction of D-branes with nonzero $`B`$ field in the matrix model we give a physical interpretation of the known background independence in gauge theories on a noncommutative space. The background independent variables are identified as the degrees of freedom of the underlying matrix model. This clarifies and extends some recent results about the end point of tachyon condensation in D-branes with a $`B`$ field. We also explain the freedom in the description which is parametrized by a two form $`\mathrm{\Phi }`$ from the points of view of the noncommutative geometry on the worldvolume of the branes, and of the first quantized string theory.

1. Introduction

D-branes with nonzero $`B`$ field have recently figured in different contexts in string theory. They were shown to arise in the matrix model , where an infinite collection of D0-branes can make higher Dp-branes \[1,,2,,3\]. This motivated the discovery of noncommutative geometry in string theory \[4,,5\], which was later studied by various authors including \[6,,7\]. More recently, following the work of Sen  the phenomenon of tachyon condensation on D-branes was studied by various people including \[9--16\]. In particular, it became clear that by turning on a $`B`$ field on D-branes, the analysis simplifies considerably \[11,,12,,13,,16\]. The main goal in this line of research is to learn about the ground state of the system after tachyon condensation. Since the open string states are expected to disappear, there should be no dependence on the background $`B`$ field.

In this note we present a unified point of view on these problems which clarifies a number of issues. As in the matrix model, we will be thinking of the Dp-branes as built out of an infinite number of D0-branes. This perspective will make issues of background independence manifest. The matrix model variables are $`N\times N`$ matrices $`X^i`$. Different Dp-branes arise as different classical solutions $`X_{cl}^i=x^i`$ such that

$$[x^i,x^j]=i\theta ^{ij}.$$

The degrees of freedom on the Dp-branes arise by expanding the dynamical variables around the classical solution

$$X^i=x^i+\theta ^{ij}\widehat{A}_j,$$

and considering $`\widehat{A}_j`$ as functions of $`x^i`$. From this point of view it is clear that $`X^i`$ are background independent and they do not depend on $`\theta `$.

The subject of background independence has already appeared in the study of gauge theories on noncommutative space. Most of the discussion on this subject concerns with gauge theories on a torus, and is known in the mathematical literature as Morita equivalence. For the case of noncommutative $`𝐑^p`$ an explicit construction of background independent variables was given in section 3.2 of . We identify them with $`X^i`$ of (1.1). The relation with the matrix model gives a physical interpretation of this mathematical observation.

Motivated by , this point of view also sheds light on the recently studied tachyon condensation phenomenon on Dp-branes. Here it is more convenient to use the IKKT matrix model , which is based on D-1-branes. Their degrees of freedom $`X^i`$ provide a background independent description of the Dp-branes. On the Dp-branes $`[X^i,X^j]0`$, but in the ground state without the Dp-branes $`[X^i,X^j]=0`$. For the generic solution the $`U(N)`$ symmetry ($`N\mathrm{}`$) of the matrix model is spontaneously broken to $`U(1)^N`$. For the special solutions with $`X^i=c^i`$, which are proportional to the unit matrix the underlying $`U(N)`$ symmetry is unbroken. As is standard in the IKKT model, we interpret the eigenvalues of $`X^i`$ as spacetime points and identify the $`U(\mathrm{})`$ symmetry of the theory with the gauge symmetry on the Dp-branes.

We will also address a related topic associated with the freedom in the description of the theory parametrized by a choice of a two form $`\mathrm{\Phi }`$ \[18,,7\]. For every background characterized by $`B`$, the closed string metric $`g`$, and the string coupling constant $`g_s`$ we have a continuum of descriptions labeled by a choice of $`\mathrm{\Phi }`$. The open string metric $`G`$, the noncommutativity $`\theta `$ and the open string coupling $`G_s`$ are determined by

$$\begin{array}{cc}& \frac{1}{G+\mathrm{\Phi }}+\theta =\frac{1}{g+B}\hfill \\ & G_s=g_s\left(\frac{\mathrm{det}(G+\mathrm{\Phi })}{\mathrm{det}(g+B)}\right)^{\frac{1}{2}}\hfill \end{array}$$

(we have set $`2\pi \alpha ^{}=1`$). What is the geometric meaning of $`\mathrm{\Phi }`$? We argue that on a noncommutative space the choice of $`\mathrm{\Phi }`$ enters through the commutator of two derivatives:

$$\begin{array}{cc}& [x^i,x^j]=i\theta ^{ij}\hfill \\ & [_i,x^j]=\delta _i^j\hfill \\ & [_i,_j]=i\mathrm{\Phi }_{ij}\hfill \end{array}.$$

Using these relations and the covariant derivative $`D_i=_ii\widehat{A}_i`$ we immediately get

$$[D_i,D_j]=i(\widehat{F}_{ij}+\mathrm{\Phi }_{ij}),$$

which suggests that if the action is written in terms of $`D_i`$, the dependence on $`\widehat{F}`$ and $`\mathrm{\Phi }`$ should be only through the combination $`\widehat{F}+\mathrm{\Phi }`$. Indeed, it was shown in  that the Dirac-Born-Infeld action depends only on this combination, and it was suggested that this could also be the case in higher orders.

From the string worldsheet point of view the freedom in $`\mathrm{\Phi }`$ was interpreted in  as a choice of regularization which is related to field redefinition in spacetime. Following  we will present a calculation of the S-matrix which makes the assertion about the dependence on $`\widehat{F}+\mathrm{\Phi }`$ manifest.

In the rest of this note we elaborate on these points. In section 2 we review the construction of Dp-branes in the matrix model and the analysis of the small fluctuations around the classical solution. In section 3 we discuss the relation between the underlying $`U(N)`$ symmetry of the matrix model and the noncommutative gauge symmetry on the Dp-branes. In section 4 we use this physical picture to clarify some issues of background independence, and in section 5 we comment on some aspects of tachyon condensation. In section 6 we discuss various issues associated with $`\mathrm{\Phi }`$.

2. Dp-branes in Matrix Model

We consider the matrix model in flat $`𝐑^{11}`$ with transverse metric $`g_{IJ}`$ ($`I,J=1,\mathrm{},9`$). We assume for simplicity that the metric $`g_{IJ}`$ is block diagonal; i.e. it vanishes for $`I=1,\mathrm{},p`$, $`J=p+1,\mathrm{},9`$. The dynamical variables $`X^I`$ are $`N\times N`$ hermitian matrices. The potential of the matrix model

$$g_{IK}g_{JL}\mathrm{Tr}[X^I,X^J][X^K,X^L]$$

determines the time independent equation of motion

$$g_{JL}[X^J,[X^K,X^L]]=0.$$

A simple set of a classical solutions are $`X^I=x^I`$ such that $`[x^I,x^J]`$ are proportional to the unit matrix in the $`N\times N`$ dimensional space (such solutions exist only for infinite $`N`$). Up to translations these can be taken to be $`X^i=x^i`$ for $`i=1,\mathrm{},p`$ ($`p`$ is even) and $`X^{a+p}=0`$ for $`a=1,\mathrm{},9p`$ with

$$[x^i,x^j]=i\theta ^{ij}.$$

The rank of $`\theta `$ is $`p`$ (if it is smaller, it means that effectively $`p`$ is smaller) and we define the $`p\times p`$ matrix

$$B=\theta ^1.$$

We now expand the dynamical variables around the classical solution. Such an expansion was first performed to leading order in , and was later extended to all orders by many authors including \[20--27\]. Here we review the results. We change notation to

$$\begin{array}{cc}& C_i=B_{ij}X^j=B_{ij}x^j+\widehat{A}_ii=1,\mathrm{},p\hfill \\ & \varphi ^a=\frac{1}{2\pi \alpha ^{}}X^{a+p}a=1,\mathrm{},9p,\hfill \end{array}$$

and calculate

$$\begin{array}{cc}& [C_i,C_j]=iB_{ij}+B_{ik}[x^k,\widehat{A}_i]B_{jk}[x^k,\widehat{A}_j]+[\widehat{A}_i,\widehat{A}_j]\hfill \\ & [C_i,\varphi ^a]=B_{ij}[x^j,\varphi ^a]+[\widehat{A}_i,\varphi ^a].\hfill \end{array}$$

Then the potential of the matrix model becomes

$$\begin{array}{cc}& g_{IK}g_{JL}\mathrm{Tr}[X^I,X^J][X^K,X^L]=(2\pi \alpha ^{})^4G^{ik}G^{jl}\mathrm{Tr}\left(\widehat{F}_{ij}B_{ij}\right)\left(\widehat{F}_{kl}B_{kl}\right)\hfill \\ & 2(2\pi \alpha ^{})^4G^{ij}g_{ab}\mathrm{Tr}\left(B_{ik}[x^k,\varphi ^a]+[\widehat{A}_i,\varphi ^a]\right)\left(B_{jl}[x^l,\varphi ^b]+[\widehat{A}_j,\varphi ^b]\right)\hfill \\ & (2\pi \alpha ^{})^4g_{ac}g_{bd}\mathrm{Tr}[\varphi ^a,\varphi ^b][\varphi ^c,\varphi ^d],\hfill \end{array}$$

where $`\mathrm{Tr}`$ is a trace over the $`N`$ dimensional matrices and

$$\begin{array}{cc}& G^{ij}=(2\pi \alpha ^{})^2\theta ^{ik}g_{kl}\theta ^{lj}\hfill \\ & \widehat{F}_{ij}=iB_{ik}[x^k,\widehat{A}_j]+iB_{jk}[x^k,\widehat{A}_i]i[\widehat{A}_i,\widehat{A}_j].\hfill \end{array}$$

If $`x^i`$ generate the entire set of $`N\times N`$ matrices, every $`N\times N`$ matrix $`M`$ can be expressed as a function of $`x^i`$. We thus generate the space of the brane as parametrized by $`x^i`$. Since the $`x^i`$ do not commute, the brane is noncommutative. A convenient ordering of $`x^i`$ in $`M(x^i)`$ is Weyl-ordering1 Weyl-ordering can be defined in terms of a power series in $`x^i`$, with each monomial averaged over the ordering of the factors. Alternatively, it is defined in terms of a Fourier transform with $`e^{ip_ix^i}`$ ordered as a power series in $`p_ix^i`$.. If $`M_1`$ and $`M_2`$ are ordered properly, the ordered product is the star product $`M_1M_2`$ with the noncommutativity parameters $`\theta `$. If $`x^i`$ do not generate the whole set of $`N\times N`$ matrices, every $`N\times N`$ matrix $`M`$ can be expressed as a $`K\times K`$ matrix whose entries are functions of $`x^i`$. For simplicity we will consider the case of finite $`K`$.

It is easy to see that for every $`K\times K`$ matrix of functions $`M(x^i)`$

$$\begin{array}{cc}& _iM=iB_{ik}[x^k,M]\hfill \\ & D_iM=_iMi[\widehat{A}_i,M]=i[C_i,M],\hfill \end{array}$$

where $`x^i`$ is proportional to the unit matrix in the $`K`$ dimensional space. In (2.1) all the products are matrix products and $``$ products of their elements.

Using this way of representing the matrices, $`\widehat{A}_i`$ and $`\varphi ^a`$ can be regarded as $`K\times K`$ matrices which are functions of $`x^i`$. The potential $`V`$ (2.1) can now be written as

$$\begin{array}{cc}& g_{IK}g_{JL}\mathrm{Tr}[X^I,X^J][X^K,X^L]=\hfill \\ & (2\pi \alpha ^{})^4\frac{d^px}{(2\pi )^{\frac{p}{2}}}\mathrm{Pf}BG^{ik}G^{jl}\mathrm{tr}\left(\widehat{F}_{ij}B_{ij}\right)\left(\widehat{F}_{kl}B_{kl}\right)+\hfill \\ & 2G^{ij}g_{ab}\mathrm{tr}D_i\varphi ^aD_j\varphi ^bg_{ac}g_{bd}\mathrm{tr}[\varphi ^a,\varphi ^b][\varphi ^c,\varphi ^d].\hfill \end{array}$$

Here $`\mathrm{Tr}`$ is a trace over the $`N\times N`$ matrices and $`\mathrm{tr}`$ is a trace over the $`K\times K`$ matrices. The measure of integration is determined as in the relation between a trace over the Hilbert space and the integral over the classical phase space

$$\mathrm{Tr}=\frac{d^px}{(2\pi )^{\frac{p}{2}}}\frac{1}{\mathrm{Pf}\theta }\mathrm{tr}=\frac{d^px}{(2\pi )^{\frac{p}{2}}}\mathrm{Pf}B\mathrm{tr}.$$

It is straightforward to add the kinetic term of $`X^I`$ and the fermions and to write them as an integral over the brane. The whole action becomes then the minimal coupling in noncommutative rank $`K`$ super-Yang-Mills theory.

We would like to make a number of comments:

1. Using (2.1) on the unit operator we deduce that $`\frac{N}{V}=\frac{\mathrm{Pf}BK}{(2\pi )^{\frac{p}{2}}}`$, where $`V`$ is the volume of the brane. Therefore, we can interpret $`B`$ as the background $`B`$ field on the Dp-brane and $`N`$ as the induced D0-brane charge on the Dp-brane. We learn that these Dp-branes necessarily have $`B`$ field on them.

2. Restoring factors of $`\alpha ^{}`$ in (1.1) we get

$$\begin{array}{cc}& \frac{1}{G+2\pi \alpha ^{}\mathrm{\Phi }}+\frac{\theta }{2\pi \alpha ^{}}=\frac{1}{g+2\pi \alpha ^{}B}\hfill \\ & G_s=g_s\left(\frac{\mathrm{det}(G+2\pi \alpha ^{}\mathrm{\Phi })}{\mathrm{det}(g+2\pi \alpha ^{}B)}\right)^{\frac{1}{2}}.\hfill \end{array}$$

A natural choice of $`\mathrm{\Phi }`$, which was identified in  is

$$\begin{array}{cc}& \mathrm{\Phi }=B\hfill \\ & \theta =\frac{1}{B}\hfill \\ & G=(2\pi \alpha ^{})^2B\frac{1}{g}B\hfill \\ & G_s=g_s\mathrm{det}(2\pi \alpha ^{}Bg^1)^{\frac{1}{2}}.\hfill \end{array}$$

These expressions look like the expressions in the zero slope limit, but they are exact for all values of $`\alpha ^{}`$. The form of the metric $`G`$ in (2.1) and the fact that the action is proportional to $`(\widehat{F}B)^2`$ show that the matrix model naturally leads to this choice of $`\mathrm{\Phi }`$. In section 6 we will explain why the matrix model leads to this choice.

3. The matrix model is based on a certain scaling limit of string theory \[28,,29\], which is essentially a zero slope limit, in which the Lagrangian simplifies and is quadratic in the field strength. However, for the manipulations in this section this limit is not essential. We could have repeated the analysis replacing the Lagrangian with the full Lagrangian of $`X`$ in string theory, ending with a more complicated answer in terms of the same dynamical fields on the Dp-brane.

4. We can repeat the calculation for the IKKT model which is based on D-1-branes . Then the entire Lagrangian is given by (2.1) (plus fermion terms), and there is no need to include a kinetic term. Unlike the BFSS model, here we are not aware of a zero slope limit which justifies the use of the minimal Lagrangian. However, as in the case of D0-branes, the inclusion of higher order terms do not affect our main conclusion.

3. The Gauge Symmetry

The $`U(N)`$ gauge symmetry of the matrix model acts on the dynamical variables as $`\delta X^I=i[\lambda ,X^I]`$. If we do not want it to act on the background $`x^i`$, it must act as a noncommutative gauge transformation of rank $`K`$ on the D-brane \[3--27\]:

$$\begin{array}{cc}& \delta \widehat{A}_i=iB_{ik}[\lambda ,x^k]+i[\lambda ,\widehat{A}_i]=_i\lambda +i[\lambda ,\widehat{A}_i]\hfill \\ & \delta \varphi ^a=i[\lambda ,\varphi ^a],\hfill \end{array}$$

where again the products are matrix products and $``$ products of the elements. We conclude that the noncommutative gauge symmetry on the Dp-brane is the underlying $`U(N)`$ symmetry of the matrix model.

For sufficiently small $`\theta ^{ij}\widehat{A}_j`$ all the eigenvalues of the matrix $`_iX^j(x)`$ are positive and we can take $`X^i`$ as coordinates on the brane \[22,,30\]. The advantage of doing that is that $`X^i`$ are background independent and can be used to describe the coordinates on branes for all values of $`\theta `$. This explains the origin of the ordinary gauge fields on the branes \[22,,30\] by noting that

$$\left[\frac{1}{2}B_{ij}X^j+A_i(X)\right]_lX^i=\frac{1}{2}B_{lj}x^j+\frac{1}{2}_l(x^j\widehat{A}_j(x)).$$

Here $`A_i(X)`$ are ordinary commutative gauge fields with ordinary gauge symmetry which are related to the noncommutative gauge fields through

$$\widehat{A}_i=A_i+\frac{1}{2}\theta ^{ab}(2A_b_aA_i+A_a_iA_b)+𝒪(\theta ^2)$$

and the $`x`$’s are treated as commuting coordinates. (The order $`\theta ^2`$ corrections to (3.1) were verified by Govindan Rajesh .) From (3.1) we readily get

$$\left[B_{ij}+F_{ij}(X)\right]_kX^i_lX^j=B_{kl}.$$

This can be interpreted as the statement that the coordinates $`x^i`$ are defined in terms of $`X^i`$ as the coordinates in which the commutative field strength on the brane is constant.

This discussion makes it clear that while the noncommutative description is always valid, the commutative description with the coordinates $`X^i`$ cannot be used when $`_iX^j(x)`$ is not positive definite. This is the case when the fluctuations in $`X`$ around the classical solution $`x`$ are large or when $`\widehat{F}`$ is sufficiently large. This shows that the change of variables from $`\widehat{A}`$ and $`A`$ has only a finite radius of convergence. More precisely, we see from (3.1) that when $`_iX^j(x)`$ has a zero eigenvalue, $`F`$ must diverge. Similarly, when $`B+F`$ has a zero eigenvalue $`_iX^j(x)`$ must diverge. A first sign of such a pole has already appeared in , where it was found that the expression for $`F`$ as a function of $`\widehat{F}`$ has a pole for constant $`\widehat{F}`$ when $`\widehat{F}1/\theta `$ has a zero eigenvalue, and that $`\widehat{F}`$ diverges when $`F+B`$ has a zero eigenvalue. Here we see the same fact for any $`F`$ which is not necessarily constant.

4. Background Independence

Section 3.2 of  presents an explicit version of Morita equivalence for the special case of noncommutative $`𝐑^p`$ and discusses it as background independence. In background independence we mean the following. We hold the closed string metric $`g`$ and the closed string coupling $`g_s`$ fixed and vary the background $`B`$ on the D-branes. This has the effect of changing the noncommutativity $`\theta `$, as well as the open string metric $`G`$ and the open string coupling $`G_s`$.

This background independence should not be confused with the choice of $`\mathrm{\Phi }`$ in (1.1). The later keeps the background fixed and changes the language used to describe it.

Let us first review and extend the discussion in  for the special case of $`\theta `$ of rank $`p`$. We use the coordinates $`x^i`$ satisfying $`[x^i,x^j]=i\theta ^{ij}`$ to form the objects

$$\begin{array}{cc}& C_i=\theta _{ij}^1x^i+\widehat{A}_i\hfill \\ & X^i=\theta ^{ij}C_j=x^i+\theta ^{ij}\widehat{A}_j,\hfill \end{array}$$

which satisfy

$$\begin{array}{cc}& i[C_i,C_j]=\widehat{F}_{ij}\theta _{ij}^1\hfill \\ & i[X^i,X^j]=\theta ^{ik}\widehat{F}_{kl}\theta ^{lj}\theta ^{ij}.\hfill \end{array}$$

The main point is that the expression for $`\widehat{F}`$ does not involve explicit derivatives with respect to $`x`$.

We define

$$_i^{}=_i+i\theta _{ij}^1x^j,$$

and write the covariant derivative as

$$D_i=_i^{}iC_i(x).$$

Using

$$[_i^{},x^j]=0$$

we find that for every function of $`x`$, $`M(x)`$

$$[D_i,M(x)]=i[C_i(x),M(x)].$$

Therefore, using (4.1) and (4.1), the entire Lagrangian can be expressed in terms of $`C(x)`$ and perhaps other fields $`M(x)`$, without explicit derivatives with respect to $`x`$.

The minimal $`\widehat{F}^2`$ Lagrangian can be replaced by $`(\widehat{F}\theta ^1)^2`$, which differs from it by a constant and a total derivative. More generally, in string theory the Dirac-Born-Infeld action was shown in  to depend only on the combination $`\widehat{F}+\mathrm{\Phi }`$, which becomes with the natural choice (2.1) $`\widehat{F}\theta ^1`$.

The most general Lagrangian in which $`\widehat{F}`$ and $`\theta `$ appear only in the combination $`\widehat{F}\theta ^1`$ can be written in terms of $`C`$ and perhaps other fields $`M(x)`$ without explicit $`\theta `$ dependence

$$\frac{1}{G_s}d^px\sqrt{G}\mathrm{tr}(G,C(x),M(x)).$$

$`\theta `$ enters only in the commutation relations of $`x^i`$.

Now we must make sure that as we vary the background we hold $`g`$ and $`g_s`$ fixed rather than $`G`$ and $`G_s`$. In other words, when the Lagrangian is expressed in terms of $`g`$, $`g_s`$ and $`\theta `$, all the $`\theta `$ dependence is in the choice of the commutation relations of $`x^i`$. This is not the case when the Lagrangian is expressed, as in (4.1), in terms of the metric $`G`$. But because of the simple form of (2.1) this can easily be fixed by expressing the Lagrangian in terms of the variables $`X^i`$ and the metric $`g_{ij}`$. For example, the quartic terms can be written as $`G^{ii^{}}G^{jj^{}}[C_i,C_j][C_i^{},C_j^{}]g_{ii^{}}g_{jj^{}}[X^i,X^j][X^i^{},X^j^{}]`$. We end up with a Lagrangian of the form

$$\frac{1}{G_s}d^px\sqrt{G}\mathrm{tr}(g_{ij},X^i(x),M(x))\frac{1}{g_s}d^px\frac{1}{\mathrm{Pf}\theta }\mathrm{tr}(g_{ij},X^i(x),M(x)).$$

Note that the measure in the last expression does not have a factor of $`\sqrt{g}`$; instead it has a factor of $`\frac{1}{\mathrm{Pf}\theta }`$ which transforms the same way under linear transformations of the $`x`$’s. We also note that the metric $`g`$ is used to contract the indices of the fields $`X`$, while the metric $`G`$ and the noncommutativity $`\theta `$ transform with the coordinates $`x`$.

From (4.1) it is clear that changes in $`\theta `$ can be compensated by changes in $`x`$ without changes in $`X`$, the metric $`g`$ and the closed string coupling $`g_s`$. This proves background independence.

The construction of the D-branes in the matrix model gives a simple physical interpretation of this result. The matrix model does not enjoy full background independence. As a formulation of the theory in the lightcone frame, it is invariant only under a few changes of the background. But since D-branes are solutions of the stationary equation of motion of the model (2.1), the latter is invariant under changes of the background, which affect only their details. An example of such a change is a change of the $`B`$ field on the D-brane, holding the metric $`g`$ fixed. Therefore, it is not surprising that the matrix model leads to a formulation of D-branes which is invariant under changes of $`\theta `$ for fixed $`g`$.

It is now obvious why the theory should be expressed in terms of $`X^i`$. These are the original dynamical variables of the matrix model which are manifestly background independent. Different values of $`\theta `$ correspond to different classical solutions for the same degrees of freedom with the same Lagrangian. The matrix model also makes it clear that the indices of the coordinates on the branes $`x^i`$ are the same as in the open string metric $`G_{ij}`$ and in the noncommutativity $`\theta ^{ij}`$, and that they are distinct from the indices of the spacetime coordinates $`X^i`$ which are the same as those in the metric $`g_{ij}`$. Finally, we note that the measure in (4.1) is the same as in (2.1), or in any generalization of it including higher order terms which are higher than quartic in $`X`$.

5. Tachyon Condensation

The work of Sen  and his followers on tachyon condensation in open string theory (space filling D-branes) was simplified and extended by turning on a nonzero $`B`$ field \[11,,12,,13,,16\]. It was convincingly argued that the tachyon rolls to the closed string vacuum and the solitons in this vacuum were identified with D-branes.

Our discussion based on the matrix model cannot be directly applied in this case for several reasons. First, this problem is not supersymmetric, and correspondingly, the theory on the space filling D-branes has tachyons $`T`$, which are not present in the matrix model. Second, to fully use the simplification due to the $`B`$ field one should turn on $`B`$ of maximal rank including along the time direction (now $`p`$ includes the time direction). In this case we cannot use the zero slope limit which simplifies the effective Lagrangian and makes it quadratic in the field strength.

However, several lessons can still be drawn as above. (A connection between the matrix model and this problem was anticipated in \[12,,32\].) The effective Lagrangian on a single D-brane is of the general form (we set $`2\pi \alpha ^{}=1`$ and use Euclidean signature)

$$\frac{1}{G_s}d^px\left[V(T)\sqrt{\mathrm{det}(G_{ij}+\widehat{F}_{ij}+\mathrm{\Phi }_{ij})}+\sqrt{G}f(T)G^{ij}D_iTD_jT+\mathrm{}\right].$$

We use the convenient choice $`\mathrm{\Phi }=B`$ (2.1), and write it in terms of our variables $`C_i=B_{ij}x^j+\widehat{A}_i`$ and $`X^i=\theta ^{ij}C_j`$

$$\begin{array}{cc}& \frac{1}{G_s}d^px\left[V(T)\sqrt{\mathrm{det}(G_{ij}+i[C_i,C_j])}\sqrt{G}f(T)G^{ij}[C_i,T][C_j,T]+\mathrm{}\right]=\hfill \\ & \frac{\mathrm{det}B}{G_s}d^px\left[V(T)\sqrt{\mathrm{det}(g^{ij}+i[X^i,X^j])}\frac{1}{\sqrt{g}}f(T)g_{ij}[X^i,T][X^j,T]+\mathrm{}\right]=\hfill \\ & \frac{(2\pi )^{\frac{p}{2}}}{g_s}\mathrm{Tr}\left[V(T)\sqrt{\mathrm{det}(\delta _i^j+ig_{ik}[X^k,X^j])}f(T)g_{ij}[X^i,T][X^j,T]+\mathrm{}\right].\hfill \end{array}$$

In the last expression we represented $`X^i`$ and $`T`$ as $`N\times N`$ matrices in the $`N\mathrm{}`$ limit. We see that, as expected, when the action is expressed in terms of the closed strings metric $`g`$, the string coupling $`g_s`$, and the dynamical variables $`X^i`$, rather than in terms of $`G`$ and $`G_s`$, there is no dependence on $`\theta `$ or $`B`$ (this is not the case when the action is expressed in terms of $`C_i`$). This is a general result which persists even in the higher order terms, as it follows simply from the general properties of $`X^i=x^i+\theta ^{ij}\widehat{A}_i`$ in noncommutative gauge theories, or from our underlying matrix model interpretation.

Assuming that $`V(T)`$ has a unique minimum $`T_c`$, at the vacuum $`T=T_c`$ is proportional to the unit matrix. The vacuum is commutative and is characterized by $`X^i=X_c^i`$ satisfying

$$[X_c^i,X_c^j]=0.$$

Depending on the eigenvalues of $`X_c^i`$ the full $`U(N)`$ symmetry is broken to $`U(N_1)\times U(N_2)\mathrm{}`$. In one extreme case it is $`U(1)^N`$, and in the other, when all $`X_c^i`$ are proportional to the unit matrix, $`U(N)`$ is unbroken.

In a recent paper  it was suggested that the classical solution in the ground state has $`X_c^i=0`$. We add to this the other solutions satisfying (5.1). These include other $`U(N)`$ invariant solutions, where $`X_c^i`$ are all proportional to the unit matrix and other solutions which break the $`U(N)`$ symmetry. Motivated by our discussion in the previous sections, we also add the interpretation of the $`U(N)`$ symmetry as the symmetry of an underlying matrix model. Correspondingly, we interpret the eigenvalues of the classical solutions $`X_c^i`$ as $`N`$ spacetime points. Section 3 makes it clear that the $`U(N)`$ symmetry is not bigger than the rank $`K`$ noncommutative gauge symmetry on the D-branes. In fact, these two symmetries are the same symmetry. Finally, the discussion in section 4 of background independence makes the fact that the answers are independent of $`\theta `$ manifest.

6. Comments on $`\mathrm{\Phi }`$

As we mentioned in the introduction, we interpret $`\mathrm{\Phi }`$ as appearing in the defining commutation relations (1.1)

$$\begin{array}{cc}& [x^i,x^j]=i\theta ^{ij}\hfill \\ & [_i,x^j]=\delta _i^j\hfill \\ & [_i,_j]=i\mathrm{\Phi }_{ij}.\hfill \end{array}$$

We assume, for simplicity, that $`\theta `$ is of maximal rank and define, as in (4.1)

$$_i^{}=_i+i\theta _{ij}^1x^j,$$

which satisfy

$$\begin{array}{cc}& [_i^{},x^j]=0\hfill \\ & [_i^{},_j^{}]=i(\mathrm{\Phi }_{ij}+\theta _{ij}^1).\hfill \end{array}$$

The covariant derivatives

$$D_i=_ii\widehat{A}_i=_i^{}iC_i(x)$$

satisfy

$$[D_i,D_j]=i(\widehat{F}_{ij}+\mathrm{\Phi }_{ij}).$$

Three special cases are of particular importance.

1. $`\theta =0`$. This is the commutative theory. Here we cannot define $`^{}`$, but on the other hand, we can define $`\stackrel{~}{}_i=_i\frac{i}{2}\mathrm{\Phi }_{ij}x^j`$ such that

$$\begin{array}{cc}& [\stackrel{~}{}_i,x^j]=\delta _i^j\hfill \\ & [\stackrel{~}{}_i,\stackrel{~}{}_j]=0.\hfill \end{array}$$

Physically, this is the familiar case of electrons in background magnetic field $`\mathrm{\Phi }`$, and $`\stackrel{~}{}`$ is the ordinary derivative.

2. $`\mathrm{\Phi }=0`$. This is the ordinary noncommutative theory whose derivatives commute.

3. $`\mathrm{\Phi }=\theta ^1`$. In this case the derivatives $`^{}`$ commute both with the coordinates $`x`$ and with themselves. The phase space generated by $`x^i`$ and $`_i`$ is degenerate and we can set $`_i^{}`$ to zero. In other words, the algebra is the same as with $`x^i=i\theta ^{ij}_j`$. If we consider a quantum system based on this phase space, the wave functions are not functions of all the $`x^{}`$s but only of half of them. Physically, this choice arises in the problem of electrons constrained to be in the first Landau level, where the wave functions depend only on half of the coordinates.

Now it is clear why in the matrix model we automatically found the third choice $`\mathrm{\Phi }=\theta ^1`$. In that problem we started with D0-branes and created the worldvolume of the Dp-branes. Derivatives on that worldvolume appeared, as in (2.1), as commutators with the coordinates. Therefore, the coordinates and the derivatives are not independent and a linear combination of them $`^{}`$ must be set to zero.

We would like to end this section about $`\mathrm{\Phi }`$ by commenting about the way it arises in the first quantized description of string theory. It was suggested in  that the freedom in $`\mathrm{\Phi }`$ is associated with a choice of regularization in the worldsheet path integral. This point was made more explicit in . Setting $`2\pi \alpha ^{}=1`$ the propagator of the worldsheet fields $`X`$ along the boundary is given by \[34,,35\]

$$<X^i(\tau )X^j(0)>=\frac{1}{2\pi }G_0^{ij}\mathrm{log}\tau ^2+\frac{i}{2}\theta _0^{ij}ϵ(\tau ),$$

where

$$\begin{array}{cc}& \frac{1}{G_0}=\left(\frac{1}{g+B}\right)_S\hfill \\ & \theta _0=\left(\frac{1}{g+B}\right)_A.\hfill \end{array}$$

It was important in the discussion in  that the second term in the propagator affects correlation functions of vertex operators at separated points $`<\mathrm{}>_{g,B}`$ only in a prefactor

$$<\mathrm{}>_{g,B}=e^{\frac{i}{2}_{n>m}k_i^n\theta _0^{ij}k_j^mϵ(\tau _n\tau _m)}<\mathrm{}>_{G_0,0},$$

where $`k^n`$ are the spacetime momenta of the operators. This observation led to the conclusion that if the action is written in terms of $`G_0`$, $`\theta _0`$ and $`G_s`$, the noncommutativity $`\theta _0`$ enters only in the star product.

Let us examine what happens as we vary $`\mathrm{\Phi }`$, $`G`$ and $`\theta `$ while holding $`g`$ and $`B`$ fixed. The symmetric and antisymmetric parts of

$$\frac{1}{G+\mathrm{\Phi }}+\theta =\frac{1}{g+B}$$

are

$$\begin{array}{cc}& \left(\frac{1}{G+\mathrm{\Phi }}\right)_S=\frac{1}{G_0}\hfill \\ & \left(\frac{1}{G+\mathrm{\Phi }}\right)_A=\theta +\theta _0,\hfill \end{array}$$

and therefore

$$<\mathrm{}>_{G,\mathrm{\Phi }}=e^{\frac{i}{2}_{n>m}k_i^n(\theta _0\theta )_0^{ij}k_j^mϵ(\tau _n\tau _m)}<\mathrm{}>_{G_0,0}$$

and

$$<\mathrm{}>_{g,B}=e^{\frac{i}{2}_{n>m}k_i^n\theta ^{ij}k_j^mϵ(\tau _n\tau _m)}<\mathrm{}>_{G,\mathrm{\Phi }}.$$

We now add Chan-Paton factors to the external legs. Each order of these factors is associated with an order of the $`\tau _n`$’s. To find the S-matrix for a specific order of the Chan-Paton factors we integrate over the $`\tau _n`$’s in a given order. We find a product of the standard phase of noncommutative theories $`\mathrm{exp}(\frac{i}{2}_{n>m}k_i^n\theta ^{ij}k_j^m)`$ with the parameter $`\theta `$, and another factor which depends only on $`G`$ and $`\mathrm{\Phi }`$. The latter factor is the same as in a commutative theory ($`\theta =0`$) with closed string metric $`G`$ and $`B`$ field given by $`\mathrm{\Phi }`$. We stress that the S-matrix is universal and does not depend on a choice of regularization. This fact is usually proven by going to a convenient region in momentum space where the contribution from the boundary of the integration region vanishes.

We now look for an effective action which reproduces this S-matrix. Here we face the known ambiguity associated with field redefinition. Ignoring the phase factor $`\mathrm{exp}(\frac{i}{2}_{n>m}k_i^n\theta ^{ij}k_j^m)`$, we can use the ordinary action which depends only on the metric $`G`$ and the combination $`F+\mathrm{\Phi }`$. (Here is where we make a choice because there are also other actions which lead to the same S-matrix.) The phase is then added by making the theory noncommutative and turning $`F`$ into $`\widehat{F}`$. We end up with an action which depends on $`\mathrm{\Phi }`$ only through the combination $`\widehat{F}+\mathrm{\Phi }`$ and on $`\theta `$ only through the star product. Finally, the expression for the open string coupling (1.1) is determined by evaluating the action for $`\widehat{F}=0`$. This completes the proof of the conjectured form of the action .

Acknowledgements

We thank T. Banks, R. Gopakumar, J. Harvey, S. Minwalla, G. Rajesh, A. Strominger, and E. Witten for discussions. This work was supported in part by grant #DE-FG02-90ER40542.

References

relax T. Banks, W. Fischler, S.H. Shenker and L. Susskind, “M Theory As A Matrix Model: A Conjecture,” Phys. Rev. D55 (1997) 5112, hep-th/9610043. relax O. J. Ganor, S. Ramgoolam and W. I. Taylor, “Branes, fluxes and duality in M(atrix)-theory,” Nucl. Phys. B492 (1997) 191 \[hep-th/9611202\]. relax T. Banks, N. Seiberg and S. Shenker, “Branes from matrices,” Nucl. Phys. B490 (1997) 91 \[hep-th/9612157\]. relax A. Connes, M. Douglas and A. Schwarz, “Noncommutative Geometry and Matrix Theory: Compactification on Tori,” JHEP 02 (1998) 003, hep-th/9711162. relax M. R. Douglas and C. Hull, “D-branes and the noncommutative torus,” JHEP 9802 (1998) 008 \[hep-th/9711165\]. relax V. Schomerus, “D-branes and deformation quantization,” JHEP 9906, 030 (1999) \[hep-th/9903205\]. relax N. Seiberg and E. Witten, “String theory and noncommutative geometry,” JHEP 9909 (1999) 032 \[hep-th/9908142\]. relax A. Sen, “Descent Relations Among Bosonic D-branes,” Int.J.Mod.Phys. A14 (1999) 4061-4078, hep-th/9902105; “Universality of the tachyon potential,” JHEP 9912 (1999) 027 \[hep-th/9911116\]. relax A. Sen and B. Zwiebach, “Tachyon condensation in string field theory,” JHEP 0003 (2000) 002, \[hep-th/9912249\]. relax N. Moeller and W. Taylor, “Level truncation and the tachyon in open bosonic string field theory,” hep-th/0002237 . relax K. Dasgupta, S. Mukhi and G. Rajesh, “Noncommutative tachyons,” JHEP 0006 (2000) 022, \[hep-th/0005006\]. relax J. A. Harvey, P. Kraus, F. Larsen and E. J. Martinec, “D-branes and strings as non-commutative solitons,” hep-th/0005031. relax E. Witten, “Noncommutative Tachyons and String Field Theory”, \[hep-th/006071\]. relax L. Rastelli and B. Zwiebach, “Tachyon potentials, star products and universality,” hep-th/0006240. relax C. Sochichiu, “Noncommutative Tachyonic Solitons. Interaction with Gauge Field,” hep-th/0007217. relax R. Gopakumar, S. Minwalla and A. Strominger, “Symmetry Restoration and Tachyon Condensation in Open String Theory,” hep-th/0007226. relax N. Ishibashi, H. Kawai, Y. Kitazawa and A. Tsuchiya, “A Large-N Reduced Model as Superstring,” Nucl. Phys. B498 (1997) 467, hep-th/9612115. relax B. Pioline and A. Schwarz, “Morita equivalence and T-duality (or B versus Theta),” JHEP 9908 (1999) 021, \[hep-th/9908019\]. relax O. Andreev and H. Dorn, “On open string sigma-model and noncommutative gauge fields,” Phys. Lett. B476 (2000) 402 \[hep-th/9912070\]. relax M. Li, “Strings from IIB Matrices,” hep-th/9612222, Nucl. Phys. B499 (1997) 149. relax H. Aoki, N. Ishibashi, S. Iso, H. Kawai, Y. Kitazawa and T. Tada, “Noncommutative Yang-Mills in IIB matrix model,” Nucl. Phys. B565 (2000) 176 \[hep-th/9908141\]. relax N. Ishibashi, “A relation between commutative and noncommutative descriptions of D-branes,” hep-th/9909176. relax N. Ishibashi, S. Iso, H. Kawai and Y. Kitazawa, “Wilson Loops in Noncommutative Yang-Mills,” hep-th/9910004. relax I. Bars and D. Minic, “Noncommutative geometry on a discrete periodic lattice and gauge theory,” hep-th/9910091. relax J. Ambjorn , Y. Makeenko, J. Nishimura and R.Szabo, “Finite $`N`$ matrix models of noncommutative gauge theory, ” hep-th/9911041, JHEP 11 029 (1999); “Nonperturbative dynamics of noncommutative gauge theory,” hep-th/0002158; J. Ambjorn, K. N. Anagnostopoulos, W. Bietenholz, T. Hotta and J. Nishimura, “Large N dynamics of dimensionally reduced 4D SU(N) super Yang-Mills theory,” JHEP 0007 (2000) 013 \[hep-th/0003208\]; J. Ambjorn, Y. M. Makeenko, J. Nishimura and R. J. Szabo, “Lattice gauge fields and discrete noncommutative Yang-Mills theory,” JHEP 0005 (2000) 023 \[hep-th/0004147\]. relax L. Alvarez-Gaume and S. R. Wadia, “Gauge theory on a quantum phase space,” hep-th/0006219. relax A. H. Fatollahi, “Gauge symmetry as symmetry of matrix coordinates,” hep-th/0007023. relax A. Sen, “D0-branes on $`𝐓^n`$ and Matrix Theory,” Adv. Theor. Math. Phys. 2 (1998) 51, hep-th/9709220. relax N. Seiberg, “Why is the Matrix Model Correct?” Phys. Rev. Lett. 79 (1997) 3577, hep-th/9710009. relax L. Cornalba, “D-brane physics and noncommutative Yang-Mills theory,” hep-th/9909081. relax G. Rajesh, unpublished. relax R. Gopakumar, S. Minwalla and A. Strominger, “Noncommutative solitons,” JHEP 0005 (2000) 020 \[hep-th/0003160\]. relax A. A. Tseytlin, “On non-abelian generalisation of the Born-Infeld action in string theory,” Nucl. Phys. B501 (1997) 41 \[hep-th/9701125\]. relax E.S. Fradkin, A.A. Tseytlin, “Nonlinear Electrodynamics from Quantized Strings”, Phys.Lett.B163 (1985) 123. relax C.G. Callan, C. Lovelace, C.R. Nappi, S.A. Yost, “Open Strings in Background gauge Fields”, Nucl.Phys. B288 (1985) 525.


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# Creep motion in a granular pile exhibiting steady surface flow

\[

## Abstract

We investigate experimentally granular piles exhibiting steady surface flow. Below the surface flow, it has been believed exisitence of a ‘frozen’ bulk region, but our results show absence of such a frozen bulk. We report here that even the particles in deep layers in the bulk exhibit very slow flow and that such motion can be detected at an arbitrary depth. The mean velocity of the creep motion decays exponentially with depth, and the characteristic decay length is approximately equal to the particle-size and independent of the flow rate. It is expected that the creep motion we have seeen is observable in all sheared granular systems.

\]

Granular materials exhibit behavior not seen in ordinary fluids or solids. Considerable efforts have been made for understanding them, but further studies of various phenomena in granular materials are still required . One of the typical behaviors of granular materials is avalanche behavior of a sand pile . In contrast to ordinary fluids, granular materials can form piles with a sloped surface. When the angle of the surface exceeds some critical value, the pile cannot sustain the steep surface and an avalanche occurs. Without careful observation, flow of particles in an avalanche appears to be limited to a surface layer, with a ‘frozen’ bulk region below. Many studies have been made under such an assumption without convincing experimental evidence . Indeed, it is difficult to detect the frozen bulk clearly because an avalanche is a transient behavior. If such a frozen region actually exists and is well separated from the flow layer, it should be possible to observe and definitively identify it even in the case of steady surface flow. With the purpose of making such an observation, we experimentally investigated particle movements in piles exhibiting steady surface flow.

Here we report unexpected experimental findings in such piles: Even the particles in deep layers are not frozen but exhibit very slow flow (creep), and such motion can be detected at arbitrary depth (Fig.1). The mean velocity of the creep motion decays exponentially with depth, and that the characteristic decay length is approximately equal to the particle-size and independent of the flow rate. This velocity profile differs from that for the surface flow, and it is in this sense that the flow of particles is separated into two regions. We believe that creep motion of the type we have seen should be observable in all sheared granular systems.

Our experiments were performed in a quasi-two dimensional system, as described by Fig.2. Alumina beads of diameter $`a`$ were continuously fed into the gap (A) existing between two vertical, parallel plates separated by width $`W`$. In this gap, the particles formed a triangularly shaped pile with rapid flow on the surface slope, pouring out of the system from the right side (B). The existence of the short wall on the right side eliminates the slipping of particles on the bottom of the cell. Its presence thus assures that the motion of particles we observe is strictly due to the flow on the slope of the pile. In order to maintain a steady surface flow on the pile, particles were continuously fed onto the pile from the left side using a “double hopper”, in which the lower hopper was continuously filled with particles by the upper one. The mouth of the lower hopper was placed in such a manner that it always contacted the top of the pile. This configuration allowed us not only to minimize the effect of the impact on the pile exerted by newly added particles but also to control the feeding rate by changing the height of the mouth of the lower hopper. With this configuration, the feeding rate was essentially controlled by the flow on the pile, and it could thus be closely matched to the outflux from the system. In this way a steady-state system could be established. The flow rate $`Q`$ for each experimental run was determined by measuring the weight of the particles that poured from the right side of the gap per unit time. With this system, the important control parameters are the particle diameter $`a`$, the flow rate $`Q`$, and the width of the gap $`W`$. In the present study, we report the results obtained for three different diameters, $`a=1.1\pm 0.1,2.1\pm 0.1,`$ and $`3.1\pm 0.1`$mm, and the gap width, $`W=10a`$. We confirmed that qualitatively the same results are obtained for $`W/a=540`$.

As is seen in Figs.1, the surface of the pile is flat in the steady flow state, and its angle $`\varphi `$ with respect to the horizontal direction is close to that after the flow stops when the supply of particles is cut off, i.e., the angle of repose. In this state, the mean velocity is approximately parallel to the surface, and its functional dependence on the depth $`h`$ (measured perpendicularly to the surface see Fig.2) is the same everywhere, except in the vicinity of left and right boundaries. Figure 3 displays the velocity profiles as functions of the depth $`h`$ on a semi-log scale, while the inset displays the same data on a normal scale. From the graph in the inset, the mean velocity $`v(h)`$ appears to decay as the distance from the surface increases, and it appears to vanish at some finite depth. Although in previous studies it has been assumed that these deep layers are ‘frozen’, we found that the mean velocity is finite at all depths. We call the slow motion of particles in such deep region as the creep motion.

As is clearly shown in Fig.3, for deep layers (large $`h`$) exhibiting creep motion, the velocity profile assumes the form of simple exponential decay:

$$v(h)=v_0\mathrm{exp}\left(h/h_c\right),$$
(1)
where $`h_c`$ is the characteristic length. While $`v_0`$ increases with the flow rate $`Q`$, $`h_c`$ is approximately equal to the particle diameter $`a`$ for all values of $`Q`$. The value of $`h_c`$ suggests that the creep motion is driven by events occuring on a particle-size scale.

Each velocity profile in Fig.3 is seen to bend at some depth. At such a depth, there approximately exists a boundary at which the particle motion changes from rapid surface flow to slow creep motion. As shown schematically in Fig.4, this boundary which is parallel to the surface, lies just above the upper edge of the right side wall. The value $`h_0`$ corresponds to the thickness of the surface flow, which increases with the flow rate $`Q`$. The particles below the boundary are jammed tightly due to the fixed wall existing below the surface downstream, while the upper surface flow is free from such obstruction. The mean velocity $`v`$ was found to have a longer characteristic length for the rapid surface flow above the boundary than for the creep motion; i.e, the creep motion decays more rapidly as a function of $`h`$ than the surface flow.

In the region of the creep motion, particles are jammed tightly. For such particles to move, the existence of voids is essential. In fact, local rearrangements of particles are often observed around such voids. In the creep region, we also observed plastic global deformation of the network formed by inter-particle connections. Voids are created occasionally by such deformation, while this deformation is maintained by shear stress resulting from the surface flow.

These observations, together with the realization that the characteristic length of the decay is on the order of the particle size, lead to the simple idea that the exponential decay of the velocity profile can be understood in terms of an analysis based on the void creation process. Let us now pursue this point. For the region displaying creep motion we consider virtual layers parallel to the surface with particle size thickness. Since the particles in these layers are severely obstructed, the mean velocity $`v_n`$ of the $`n`$-th layer (The index $`n`$ increases from the surface.) should be proportional to the production rate $`P_n`$ of voids: $`v_nP_n`$. A void in a given layer is generated by the escape of a particle or particles to neighboring layers, while this escape is driven by the relative motion between the neighboring layers. Thus, we hypothesize that $`P_n`$ approximately satisfies $`P_n(v_{n1}v_n)`$. This leads to $`v_n=\alpha (v_{n1}v_n)`$, with some constant $`\alpha `$ ($`>0`$). This ends us to expect that $`v_n`$ is an exponentially decaying function of depth. We remark that these probabilistic considerations leave the unknown parameter $`\alpha `$. Dynamical considerations, on the other hand, should allow us to determine a value for such a parameter, and this should provide an understanding of the physics of the granular materials behind this simple result.

We have reported only the results for alumina spheres. Qualitatively, the same results were obtained for particles with different shapes and roughness: long seeds and irregularly shaped sand particles. This suggests that our results do not depend sensitively on shapes nor roughness of particles. The case of particles interacting through an attractive force and the case of heterogeneous particles are left as future problems. We would like to briefly note the effect of creep motion on the surface flow. Comparing the surface flow in presently investigated system with that on a truly frozen bulk (which can be modeled by a mono-layer of particles fixed on an inclined board), it is observed that flow in the former case is slower than that in the latter. This implies that flow on a creeping bulk experiences greater resistance than that on a frozen bulk. This is reasonable, because the surface flow itself is the source of the shear stress inducing the creep motion, and through this mechanism, energy is dissipated to the bulk below. We believe that the slow creep behavior reported in this letter is common to all sheared granular systems, regardless of the source of the driving force, and that our results elucidate one of the fundamental properties of sheared granular systems. While we studied steady states of granular piles, it is also interesting to consider the significance of our results with regard to unsteady phenomena, such as earthquakes  and the strengthening of granular piles  exhibiting stick-slip phenomena under shear. For example, the creep motion described by Eq. (1) might have some close relation with the logarithmic time dependences seen in these systems.

In summary, we have experimentally studied granular piles exhibiting steady surface flow. We found that there exist rapid surface flow and slow creep motion below this flow. The boundary between these two types of motion, across which the velocity profile changes continuously, is possible to be defined. We do not find a ‘frozen’ layer at any depth. Rather, we found that the velocity of the creep motion decays exponentially according to Eq. (1) and that the characteristic length of this decay is on the order of the particle size and independent of the flow rate. We believe that the behavior found here and the velocity profile we have observed are specific to granular materials. We described a simple picture in terms of which to understand this velocity profile. While most of our experiments were performed with spherical particles, we found that similar creep motion exists also for systems consisting of non-spherical particles. This suggests that the behavior we have studied here is quite common (and perhaps universal) in granular systems.

The authors thank T. Sasaki of Ibaraki Univ. for his helpful advice and for allowing us to freely use his experimental equipment. They also acknowledge S. Watanabe for his encouragement. One of the authors (TSK) also acknowledges JSPS. The analysis of captured images was performed using NIH Image.


text:
# Models for the size distribution of businesses in a price driven market

## 1 Introduction

In simple terms, the life of a business can be thought of as three phases, creation, growth and death. There are numerous motivations for the creation of a new business, but the main principle is that it must attract enough customers to be profitable. The actual number of customers of a business is of course strongly time dependent, as the British retail giant M&S discovered marks\_and\_spencer , and some very popular businesses can become unpopular in a matter of months. Finally, there is little doubt that the fate of every business, sooner or later, is to close, normally for lack of popularity or bankruptcy. The history of each business is of course particular, its creation, successes and failures all having their own reasons. However, all businesses are part of the larger industry of selling to customers and they are in competition with one another to survive. This interdependence between businesses is likely to induce group behaviour. This group dynamics applies for shops or companies, where lack of popularity or bankruptcy are common fates. A good example of the former is Smith and Corona, once the largest typewriter maker in the US, which was supplanted by the electronic revolution and had to close this year after a 114 year history smith\_corona , while the latter is best illustrated by the fate of Boo.com boo\_com , an internet clothing retail company that spent $135 million of its investors money before having to close down. In this work, we investigate the size distribution of businesses in a model of fragmentation and aggregation.

We define a very simple model where customers try to find a business that fits their expectations as well as possible, gathering information at random. The businesses themselves are constrained by the fact that most customers are expecting a particular price, and businesses that do not offer this price are likely to go bankrupt. No attempt is made to mimic any real situation, we have simplified the model as much as possible in an attempt to capture the salient features of the process. For instance, a customer either goes to one business or none, and all businesses are completely identical, that is, the only difference between businesses is the price they offer. Both these assumptions are highly unrealistic and we discuss in Sec. 6 to what extent the results of our model compare with empirical data. The ultimate purpose of our model is to address the dynamics of the cooperative behaviour of selling organisations interacting through the customers that they try to attract. As such, we expect our model to point towards universal features of organisations that are competing to attract customers, like shops or companies. To avoid any confusion, we will stick to the generic terms business to denote the selling organisation and customer for a buying agent, postponing our comparison with real life to Sec. 6. This will allow us to discuss the assumptions of our model in the light of a comparison between its results and empirical data.

The model is defined in detail in Sec. 2, previous models are recalled in Sec. 3, numerical simulations are presented in Sec. 4 and they are analysed in a mean-field framework in Sec. 5. Our results are compared with empirical data in Sec. 6 and summarised in the last section.

## 2 The model

The model is made up of customers and businesses, where a business corresponds to a cluster of customers. A customer can only go to one business or none. Both customers and businesses are given prices. The price associated with a customer is an estimate of the amount of money he can spend. Initially, these prices are chosen from a probability distribution $`D(p)`$. We denote the average price over all customers by $`\overline{p}`$. The price of a business is the price paid by all its customers, that is, all customers of a business are associated to the same price, which is the price of the business. This price is fixed by the first customer which, because of this special role, can be seen as the owner of the business. At the beginning of the simulation, there are only clusters of one customer. Hereafter, we consider that the number of customers, $`N_0`$, is fixed.

At each time step, a customer $`i`$ is chosen at random. If $`i`$ belongs to a business, this business goes bankrupt with probability $`\alpha _i=|p_i\overline{p}|`$, or nothing happens with probability $`1\alpha _i`$. Remember that $`p_i`$ is also the price of the business. This assumes that a business that is badly adapted to the commonly agreed price cannot survive. The bankruptcy originates from the desertion of customers from high prices or from financial slump for too low prices. In economics, this refers to the theory of perfect competition, which implies that the market price is equal to the marginal cost, preventing a firm from just choosing a price. When a business goes bankrupt, all its customers are given new expected prices in a range $`r`$ around their previous common price $`p`$. If the chosen customer $`i`$ is a cluster of size one, he is a free customer who wants to make up his mind upon which business he prefers. Another customer $`j`$ is chosen at random and with a probability $`|p_ip_j|`$, $`i`$ decides to go to the same business as $`j`$, otherwise, he remains a free customer. This process suggests that customers with similar expectations are more likely to go to the same business. Then, $`i`$ is forced to comply with the price proposed by the business and his expected price is changed to $`p_j`$. We have not excluded the possibility that $`j`$ could be a cluster of size one. Hence, if $`i`$ is a cluster of size one, he is a free customer, while if $`j`$ is a cluster of size one, he is the first customer or the owner of a new business.

In this model, both businesses and customers are constrained. Businesses have to comply with the market agreed price, otherwise they go bankrupt, while customers can only choose between existing businesses. We would say that customers are price takers. These two processes can be compared to a democratic and a dictatorship constraints respectively, as defined in previous models of herding dhulst00 . It was shown in dhulst00  that democratic aggregations lead to a convergence towards one common value for $`p`$, which will be identified as the market price here. Dictatorship aggregations lead to a spontaneous segregation in the population, but as shown in dhulst-apfa2 , a mixed version of both aggregation processes tends to favor the democratic convergence.

As can be appreciated, the model is very simple and is based on the assumption that the market is essentially price driven. We assume that customers are only going to one particular business, all businesses being identical. No spatial structure is introduced, customers do not have any notion of a business being closer than another. Finally, customers only consider going to another business if their business is going bankrupt. All these assumptions are likely to have a different impact on different applications of our model, and they are best discussed in Sec. 6, where we compare the predictions of our model to different empirical data. Finally, let us also mention that we only consider the model in its relation with customers considering different prices, but that it could be reformulated in many different situations. We could speak of investors instead of customers and consider that the $`p_i`$’s are interest rates instead of prices, for instance.

## 3 Previous models

The size distribution of businesses is not a new field of research and it has already attracted a considerable amount of work in economics, and more recently in physics. We delay to Sec. 6 the presentation of some empirical studies, to be able to compare with results of the model, while we consider here previous models for the growth of businesses.

Pareto pareto , Gibrat gibrat  and Zipf zipf  among others, have shown that power-laws are found in many different areas of sciences, such as size distribution of taxinomic genera, word frequency in modern languages or business size distribution, for examples. As these and many other subjects are only remotely related to each other, it is obvious that the similarities can only arise from the underlying dynamics, which should be independent of the details of the particular system considered. Champernowne was one of the first to consider a stochastic model for the growth of businesses champerone , and he already noticed that there are so many factors influencing a business, that any model should either be unrealistically simplified or hopelessly complicated. He went for the first option and proposed a model where businesses belong to a given income range, and can move from one income range to another, the total wealth being conserved. Simon proposed a similar model, that he introduced in the context of word frequency simon , and extended to reproduce income distributions. Later, Simon and Bonini made a review of the subject, emphasizing the need for further research into the processes that generate such distributions simon2 .

A major breakthrough in this direction was then made by Mandelbrot mandelbrot-levy , with his seminal works on Lévy distributions. His original work was concerned with price variations, but it has been extended since then. The main result is that the distribution of a sum of random variables does not necessarily converge towards a Gaussian distribution, but it can also converge towards a Lévy distribution. These distributions are particularly suitable to describe large deviations, having power-law tails, with an exponent that varies between 1 and 3. It is interesting to note that in a very complete review of the growth of firms steindl , Steindl suggested that the failure to converge towards a Gaussian distribution can be attributed to boundary or other considerations, while the author was not convinced that the alternative explanation put forward by Mandelbrot would be helpful in economics. This illustrates the complete change of perception that we have at the present time.

More recently, physicists have been considering models of company size distributions, based on the internal structure of a company stanley-model , or on the exchange of capital between competing firms sid2 ; takayasu98 . One of the foci of these models has been the results for firm growth from Ref. amaral97 .

The model proposed here is very similar to the models of Champernowne champerone  or Simon simon . To solve it, a mean-field model is introduced, replacing the microscopic price dynamics by two macroscopic parameters of aggregation and fragmentation. Allowing one of these parameters to depend on a business size, we are able to determine the size distribution of the clusters of customers. The particular case of business distributions is interesting as it requires a particular tuning to obtain the required power-law distribution. The introduction of the macroscopic model also opens the way for further research into different size distributions and, as is shown in Ref. nato2001 , more general distributions can be generated. This work illustrates the interaction between microscopic and macroscopic models. The microscopic price dynamics is first introduced, motivating the macroscopic model, which can be made more general and motivates further research for the corresponding microscopic models.

## 4 Numerical results

We have performed numerical simulations of the model for a population of $`10^4`$ customers and an initially uniform distribution $`D(p)`$. In Fig. 1, we report the prices $`p_i`$ of the businesses as a function of their number of customers for one simulation of $`10^6`$ time steps with a range $`r`$ equal to 0.1. The very large maximum around $`p0.5`$ shows that only businesses that are offering a price close to the average price over all customers can grow. We call the average price $`\overline{p}`$ the market price. Going away from this maximum, businesses with an exponentially decreasing size can form, with a steeper decrease as $`r`$ gets smaller. Fig. 1 is not difficult to understand if we consider the following equation for the size $`s`$ of a business proposing a price $`p`$ at time $`t`$,

$`E_t(s(p,t+1)s(p,t))`$ $`=`$ $`{\displaystyle \frac{sn_1(1|pp_j(1)|_1)}{N_0}}`$ (1)
$``$ $`{\displaystyle \frac{s(s1)}{N_0}}|p\overline{p}|,`$
using $`E_t(x)`$ for the expectation of $`x`$ at time $`t`$. $`p_j(s)`$ is defined as the price proposed by the $`j`$th business of size $`s`$ and $`n_1`$ is the number of clusters of size 1 per customer. $`|pp_j(1)|_1`$ is the average value of $`|pp_j(1)|`$ over all clusters of size 1. The first term on the right hand side of Eq. (1) describes the growth of a business of size $`s`$ proposing a price $`p`$, while the second term takes into account the probability of bankruptcy of this business. If we assume that the system is infinite and in its stationary state, $`n_1`$, $`\overline{p}`$ and $`|pp_j(1)|_1`$ are all time independent, and we can solve for $`s(p,t)`$ in the limit $`t\mathrm{}`$ to obtain

$$s(p)=1+n_1\frac{1|pp_j(1)|_1}{|p\overline{p}|}.$$
(2)
$`s(p)`$ corresponds to the average size that a business proposing a price $`p`$ reaches. Of course, $`s(p)1`$ and diverges for $`p=\overline{p}`$, as can be seen in Fig. 1, where most businesses are proposing a price close to $`\overline{p}`$.

The value of the market price $`\overline{p}`$ is approximately equal to the first moment of the initial distribution $`D(p)`$. Superimposing the results of Fig. 1 for several simulations gives a distribution with a broad maximum extending from $`0.5r/2`$ to $`0.5+r/2`$, for an initially uniform distribution, with exponentially decreasing tails out of this range. The existence of a commonly agreed market price is the relevant result, while the exact value of this price is meaningless. Variants of the model can be devised to make the market price converge towards different values by changing the way a customer picks his business. For instance, $`p_i`$ could be considered as the maximum amount of money available to customer $`i`$. For this variant and others, the same analysis can be carried out by changing the expression $`1|pp_j(1)|_1`$ according to the details of the variant. The main conclusion remains unchanged, namely that $`s(p)`$ diverges at $`\overline{p}`$, so that most businesses are offering the same price. Also, one could choose to fix a parameter instead of taking $`\overline{p}`$ as reference value, without changing the results. This, however, would be much more artificial.

In Fig. 2, we present the size distribution $`n(s)`$ of businesses of size $`s`$ for the same values of the parameters. A power-law $`n(s)s^\tau `$ with an exponent $`\tau =2.20\pm 0.05`$ can be seen for large $`s`$. This compares with the empirical findings of Nagel et al nagel00  for the US establishment and firm sizes, as estimated from annual sales in the retail sector. In this study, the authors found that the size distributions are power-laws of exponent $`\tau =2`$. But as already explained, we postpone to Sec. 6 a detailed comparison of the model with empirical data.

## 5 Analytical results

To investigate this model analytically, it is convenient to consider a mean-field version. At each time step, a customer $`i`$ is chosen at random. If he belongs to a cluster of size $`s>1`$, the business he is going to goes bankrupt with a probability $`a`$. That is, his cluster of $`s`$ customers is transformed into $`s`$ independent clusters of one customer with a probability $`a`$. If $`i`$ is a cluster of size one, another customer $`j`$ is chosen at random and $`i`$ becomes a customer of the same business as $`j`$ with a probability $`b`$. The microscopic dynamics generated by the prices is replaced by two macroscopic parameters $`a`$ and $`b`$. As in the present model all businesses are alike apart from their number of customers, we assume that these parameters $`a`$ and $`b`$ can be functions of the size of a business only. Moreover, the parameter $`b`$ expresses the time scale for the information transmission between different customers. For simplicity, we assume that customers are gathering information at random, which means that they are more likely to gather information about businesses with a large number of customers than small businesses. Hence, we assume that $`b`$ is a constant and fix its value to 1. The validity of this assumption is discussed somewhere else nato2001 . It implies that the difference in time scales between bankruptcies and customer choices is controled by $`a(s)`$. The relation between the microscopic prices and the macroscopic function $`a(s)`$ is

$$a(s)=\frac{1}{n_s}\underset{j=1}{\overset{n_s}{}}|p_j(s)\overline{p}|$$
(3)
where the summation is running over all clusters of size $`s`$, and $`p_j(s)`$ is the price proposed by the $`j`$th business of size $`s`$, as previously defined.

The master equations for the evolution of the number $`n_s`$ of businesses of size $`s`$ per customer at time $`t`$ for $`s>1`$ can be written as

$$\frac{n_s}{t}=a(s)sn_s\left(1+\frac{n_1}{a(s)}\right)+n_1(s1)n_{s1}.$$
(4)
Note that one time step in this continuous description is chosen to correspond to one attempted update per agent in the numerical simulation. The first term on the right hand side represents the disappearance of businesses of size $`s`$, either because they go bankrupt, or because they increase their size to $`s+1`$. The second term describes the appearance of new businesses of size $`s`$ due to businesses of size $`s1`$ attracting a new customer. For $`s=1`$, the relation is

$$\frac{n_1}{t}=\underset{s=2}{\overset{\mathrm{}}{}}a(s)s^2n_sn_1\left(\underset{s=1}{\overset{\mathrm{}}{}}sn_s+n_1\right).$$
(5)
The first term on the right hand side corresponds to the appearance of $`s`$ new independent customers because of the bankruptcy of a business of size $`s`$, which happens with a probability $`a(s)`$. The second term describes the disappearance of independent customers because they choose to go to a particular business. Note that $`n_1`$ appears twice in this second term because of the two possible natures of clusters of size one.

As customers are chosen at random, larger businesses are more often selected than smaller ones. Hence, if the bankruptcy probability of a selected business is equal to $`a(s)`$, its effective probability of going bankrupt is equal to $`a_{eff}=sa(s)`$. In the following, we consider that $`a(s)=\alpha n_1s^\beta `$, where $`\alpha `$ and $`\beta `$ are free parameters. The multiplicative factor $`n_1`$ is introduced for convenience. The value of $`\beta `$ determines whether bankruptcies are more likely to affect the small or large businesses. For $`\beta <1`$, the bigger the business, the larger the effective probability of going bankrupt, and conversely for $`\beta >1`$. $`\beta =1`$ gives an effective bankruptcy probability $`a_{eff}`$ independent of the businesses size. For actual situations, we expect $`\beta `$ to be greater or equal to one, as bigger businesses are usually firmly established. We call the parameter $`\alpha `$ the rate of bankruptcy because it is a measure of the difference in time scales between bankruptcies and customers’ choices. Note that as $`\alpha `$ is multiplied by $`s^\beta `$, it does not necessarily have to be small to have a small probability of going bankrupt.

Even if it seems rather arbitrary to take $`a(s)`$ as a power-law, this choice is, at least, not unreasonable. First, it has $`a(s)`$ independent of $`s`$ as special case, which is particularly suitable as empirical data on company bankruptcy show little dependence on size amaral97 . Second, as will be shown, it can reproduce the results of the proposed microscopic model. Third, as noted in early work by Pareto pareto , Gibrat gibrat  and Zipf zipf  amongst many others, power-laws are ubiquitous in nature, which means that taking $`a(s)`$ as a power-law is a reasonable starting point. However, one should notice that this is not the only possibility and that other possibilities are investigated elsewhere nato2001 .

The stationary solution of Eq. (4) is given by

$$(\alpha s^\beta +1)sn_s=(s1)n_{s1}$$
(6)
which has the formal solution

$$n_s=\frac{n_1}{s}\underset{r=2}{\overset{s}{}}\frac{1}{1+\alpha r^\beta }.$$
(7)
A similar expression was found for the average number of sites with a given number of links in growing random networks sid\_and\_paul . For large $`s`$, this expression has the asymptotic behaviour

$$n_s\{\begin{array}{cc}s^{1\alpha }\hfill & \beta =1,\hfill \\ s^1\mathrm{exp}\left[\alpha \left(\frac{s^{1\beta }2^{1\beta }}{1\beta }\right)\right]\hfill & \frac{1}{2}<\beta <1,\hfill \\ s^{\frac{\alpha ^2}{2}1}\mathrm{exp}\left[2\alpha \sqrt{s}\right]\hfill & \beta =\frac{1}{2},\hfill \\ s^1\mathrm{exp}\left[\alpha \frac{s^{1\beta }}{1\beta }+\frac{\alpha ^2}{2}\frac{s^{12\beta }}{12\beta }\right]\hfill & \frac{1}{3}<\beta <\frac{1}{2},\hfill \end{array}$$
(8)
and so on. As in sid\_and\_paul , whenever $`\beta `$ decreases below $`1/m`$, with $`m`$ a positive integer, an additional term in the exponential becomes relevant. For values of $`\beta `$ greater than 1, the model does not have any stationary state because the fragmentation rate cannot compensate the aggregation process. This corresponds in any finite system to a monopolistic market, where one business attracts all customers.

The numerical results of the microscopic model suggest that $`\beta =1`$ and that $`\alpha `$ is close to but bigger than 1. This can be justified by combining Eqs. (2), which implies that $`s|p\overline{p}|^1`$ and (3) with $`a(s)=\alpha n_1s^\beta `$. This gives $`\alpha s^\beta s^1`$, or $`\beta =1`$, a result that we verified numerically. For $`\beta =1`$, the size distribution is equal to

$$n_s=\frac{(s1)!(\alpha +1)!}{(\alpha +s)!}n_1.$$
(9)
The continuous line presented in Fig. 2 corresponds to this equation for $`\alpha =1.20`$. This value of $`\alpha `$ has been determined numerically using a power-law fit for large $`s`$, the value of $`n_1`$ and the value of the number of businesses. From these three different measurements, we obtained that $`\alpha =1.20\pm 0.05`$. The relation between $`n_1`$, the number of businesses and $`\alpha `$ is given below.

To determine the value of $`\alpha `$ in the microscopic model, we first calculate $`n_1`$ from the stationary solution of Eq. (5), which gives

$$n_1=\frac{\alpha 1}{\alpha +1}$$
(10)
for $`\beta =1`$. This implies that $`\alpha `$ should be greater than or equal to one to have a sensible solution. In effect, in any real situation, we expect $`a_{eff}=sa(s)`$ to be small because the process of choosing a business is much faster than the bankruptcy rate. Setting $`a_{eff}=ϵ`$, where $`ϵ`$ is a small parameter, and expanding to the first order in $`ϵ`$, it is easy to show that $`\alpha =1+2ϵ`$ and that $`ϵ1/N_0`$. Otherwise stated, $`\alpha `$ is greater than but close to 1, converging to 1 as the size of the system diverges.

In both models, for a customer to decide to join a business, another customer of this business has first to be selected. If we consider that a link is created between these two customers, the connectivity $`c`$ of this network, defined as the average number of links per customer, is related to the number $`M_0`$ of businesses per customer according to

$$c=2\left(1\frac{M_0}{M_1}\right)$$
(11)
because a business of size $`s`$ has $`s1`$ links, or $`2(s1)`$ links for $`s`$ customers. In Eq. (11), $`M_k`$ denotes the moment of order $`k`$ of the distribution $`n_s`$. Of course, $`M_0`$ is the number of businesses per customer and $`M_1=1`$, for normalization. The detailed structure of the network is very simple, as businesses are not connected with each other, and the $`2(s1)`$ links per $`s`$ customers of a business of size $`s`$ are connected at random, with at least one link starting from each customer. Using Eq. (6) for $`\beta =1`$, the number of businesses per customer can be calculated and we find $`M_0=(\alpha 1)/\alpha `$. As $`n_ss^{1\alpha }`$, all moments of order $`k1+\alpha `$ are diverging and because $`\alpha `$ is close to one for the microscopic model, only $`M_0`$ stays finite.

Finally, the variations of the market price generated by the microscopic model can be investigated using our results for the size distribution. The large changes in the market price originate from bankruptcies, when a consequent number of customers are given new expected prices in a given range $`r`$ around their old price. When a business of size $`s`$ goes bankrupt, which happens with a probability $`sa(s)n_s`$, the average change in the market price is of the order of $`r\sqrt{s}/4`$. So, if a return $`R`$ is defined to be the change in the market price in one time step, the probability $`P(R)`$ of having a return of size $`R`$ scales like $`P(R)1/R`$ for large $`R`$. We checked that this result agrees with our numerical simulations.

## 6 Comparison with empirical data

Throughout this work, we have been using the term business to refer to an organisation that sells a product or a commodity. After having analysed the models, we can now consider their range of applicability. There has been a lot of work investigating empirically the size distribution of different selling organisations. One of the first problems was to choose a relevant quantity to describe the size of a selling organisation, but as is explained in amaral97  for instance, using sales, number of employees or market capitalisation gives essentially the same result. This allows us to discuss results borrowed from different sources of empirical data. In 1897, Pareto pareto  proposed a power-law distribution for the wealth of individuals. More than 100 years later, this result is still a topical question, and we will concentrate on recent empirical data. Nagel et al nagel00  reported results for U.S. establishment size and firm size in the retail sector, using annual sales as a proxy for the size. They reported that both size distributions display a maximum for a typical annual size of approximately $`\$400,000`$. Around this typical size, both distributions are lognormal. However, for larger annual sales, a power-law like

$$n(s)s^2$$
(12)
was proposed, where $`n(s)`$ refers to the number of sales of size $`s`$. This power-law is in agreement with our microscopic model, and our macroscopic model for $`\alpha =1`$ and $`\beta =1`$. As mentioned in the work of Nagel et al nagel00 , an establishment is a single physical location at which business is conducted. A firm or company may consist of one establishment or more. Hence, our models should be in better agreement with firm distribution than establishment distribution because we do not introduce a spatial structure. However, there is no empirical evidence of any difference between both distributions, suggesting that the size distribution can only be weakly dependent on space. The models of ref. nagel00  are richer and more ambitious than ours, because they eventually would like to construct a model where the acceptance of money, the emergence of competitive price and the emergence of market structure all arise from the system dynamics nagel00 . Having taken a simpler approach, we are able to find analytical solutions to our models. Another interesting feature of our microscopic model is that it generates a time scale separation between bankruptcy and customer choice, a property that was introduced by hand in nagel00 .

As in our models most businesses are proposing a similar price, the number of customers in one business is also a measure of the income of that business. As such, we can consider the company income distributions to see if our models do agree with the dynamics of companies. Okuyama et al takayasu99  considered the income distribution of companies in Japan. They proposed a Zipf plot of the incomes, ranking companies according to their income, and obtained a power-law of exponent of -1 for the income ranking plot, which is equivalent to a power-law of exponent -2 for the income distribution. This result for the aggregate data of different sectors companies is also obtained for most sectors taken separately.

Aoyama et al takayasu00  investigated the debt of bankrupt companies in Japan, from 1997 to the end of March 2000. Their data are not conclusive but they suggest that a power-law of exponent -2 for the size distribution of debts is reasonable.

The results of ref. nagel00 ; takayasu99 ; takayasu00  suggest there is a universality in the size distribution of selling entities, with a power-law distribution of exponent close to -2 in the limit of large entities. This is in agreement with our models where such a power-law is found when companies are competing in a price driven market. However, there has been work on the size distribution of companies in different countries takayasu98 ; ramsden00 , that concluded that these distributions are not universal. Most of these distributions can be well approximated by a power-law of exponent close to -2, in Spain, Norway or Germany for instance. However, careful analysis suggests clear differences from one country to the other. Some countries do display a particularly different distribution, such as South Africa. It is difficult to clearly identify the origin of these distinctive features, but they suggest that our microscopic model is only able to generate the universal feature of the problem, which is exactly what we were aiming for. If one wants to generate a whole set of different distributions, it seems almost certain that a richer model is needed. We address this problem in a later work nato2001 .

A particular point of interest of our models is that they isolate $`\beta =1`$ as a special value. As we mentioned earlier, the effective bankruptcy rate $`a_{eff}`$ scales like $`a_{eff}s^{1\beta }`$. So, our models predict that the bankruptcy rate is independent on the business or company size. This has indeed been observed in amaral97 .

We should mention that in this study, we have primarily investigated the mean-field model with respect to its relation to the microscopic model. This particular choice leads us to assume that $`a(s)`$ is a power-law. However, taking $`a(s)=(\mathrm{ln}s)^\beta /s`$, we obtain that $`n_s`$ is a lognormal distribution for $`\beta =1`$ nato2001 . This result is encouraging as most studies conclude that the size distribution of companies is a lognormal distribution for typical company sizes amaral97 , and a power-law for larger sizesnagel00 ; takayasu00 . Hence, the microscopic model we introduce offers a potential mechanism to generate a size distribution with a power-law in agreement with the results of Ref. nagel00 , but the mean-field model has a wider range of validity, depending on the particular functional form of $`a(s)`$. This functional form could even be country dependent, as variations from one country to the other have been empirically identified takayasu98 ; ramsden00 .

## 7 Conclusions

To summarise, we have presented a microscopic model and an associated mean-field model to investigate the size distribution of selling organisations, that we choose to call businesses for simplicity. The microscopic model is based on customers trying to find the business that best matches their price expectation, while businesses have to comply with the market price to avoid bankruptcy. We showed numerically and analytically that such a dynamic allows only businesses selling at the market price to grow, cheaper businesses suffering financial slump while more expensive businesses cannot attract customers. The size distribution $`n_s`$ of the businesses, the size of a business being defined to be its number $`s`$ of customers, is a power-law $`n_ss^\tau `$ with an exponent $`\tau `$ close to 2. In the mean-field version of our model, the need to comply with the market price is replaced by a probability $`a(s)`$ that a business of size $`s`$ goes bankrupt. Taking $`a(s)=\alpha s^\beta n_1`$, the asymptotic behaviour of $`n_s`$ is determined for every values of $`\beta `$. We showed that the microscopic model corresponds to $`\beta `$ equal to 1 and $`\alpha `$ close to but bigger than 1, going towards 1 as the number of customers goes to infinity. For $`\beta =1`$, the exponent of the size distribution is equal to $`\tau =1+\alpha `$. The moments of the size distribution are determined, as well as the connectivity of the network of customers and the market price variations. The results for the microscopic model are in agreement with numerous empirical data, and we cited recent results about the size of companies annual sales in the U.S. nagel00  and about the size of debts of bankrupt companies in Japan takayasu00 . We also stressed that we have focussed our attention on an analytical form for $`a(s)`$ inspired by the microscopic model, while other forms for $`a(s)`$ can lead to a lognormal distribution for the size of the companies, an empirical result put forward by several authors amaral97 .