text:
# 1 Introduction:Equilibrium vs. nonequilibrium steady state

## 1 Introduction:
Equilibrium vs. nonequilibrium steady state

The fluctuations are inseparable part of the statistical laws. This is well known since Boltzmann. What is apparently less known are the peculiar properties of rare big fluctuations (BF) as different from, and even opposite in a sense to, those of small stationary fluctuations. Particularly, the former may be perfectly regular, on the average, symmetric in time with respect to the fluctuation maximum, and described by simple kinetic equations rather than by a sheer probability of irregular ’noise’. Even though BF are very rare they may be important in many various applications (see, e.g.,  and references therein). Besides, the correct understanding and interpretation of properties and the origin of BF may help (at last!) to settle a strange long–standing persistent controversy over statistical ’irreversibility’ and the notorious ’time arrow’.

In the BF problem one should distinguish at least two qualitatively different classes of the fundamental (Hamiltonian, nondissipative) dynamical systems: those with and without the statistical equilibrium, or equilibrium steady state (ES).

In the former (simpler) case a BF consists of the two symmetric parts: the rise of a fluctuation followed by its return, or relaxation, back to ES (see Fig.1 below). Both parts are described by the same kinetic (e.g., diffusion) equation, the only difference being in the sign of time. This relates the time–symmetric dynamical equations to the time–antisymmetric kinetic (but not statistical!) equations. The principal difference between the both, some times overlooked, is in that the kinetic equations are widely understood as describing the relaxation only, i.e. increase of the entropy in a closed system whereas, in fact, they do so for the rise of BF as well, i.e. for the entropy decrease. All this was qualitatively known already to Boltzmann . The first simple example of a symmetric BF was considered by Schrödinger . Rigorous mathematical theorem for the diffusive (slow) kinetics was proved by Kolmogorov in 1937 in the paper entitled ’Zur Umkehrbarkeit der statistischen Naturgesetze’ (’Concerning reversibility of statistical laws in nature’)  (see also ). Regrettably, the principal Kolmogorov theorem still remains unknown to both the participants of hot debates over ’irreversibility’ (see, e.g., ’Round Table on Irreversibility’ in ) as well as the physicists actually studying such BF .

By now, there exists the well developed ergodic theory of dynamical systems (see, e.g., ). Particularly, it proves that the relaxation (correlation decay, or mixing) proceeds eventually in both directions of time for almost any initial conditions of a chaotic dynamical system. However, the relaxation does not need to be always monotonic which simply means a BF on the way, depending on the initial conditions. To get rid of such an apparently confusing (to many) ’freedom’ one can take a different approach to the problem: to start at arbitrary initial conditions (most likely corresponding to ES), and see the BF dynamics and statistics.

At this point, it is essential to remind that the systems with ES allow for very simple models in both the theoretical analysis as well as numerical experiments which the latter are even more important. In the present paper I will use one of the most simple and popular model specified by the so–called Arnold cat map (see ):

$$\begin{array}{cc}\overline{p}=p+x\hfill & mod1\hfill \\ \overline{x}=x+\overline{p}\hfill & mod1\hfill \end{array}$$
$`(1.1)`$
which is a linear canonical map on a unit torus. It has no parameters, and is chaotic and even ergodic. The rate of the local exponential instability, the Lyapunov exponent $`\lambda =\mathrm{ln}(3/2+\sqrt{5}/2)=0.96`$, implies a fast (ballistic) kinetics with relaxation time $`t_r1/\lambda 1`$.

A minor modification of this map:

$$\begin{array}{cc}\overline{p}=p+x\frac{1}{2}\hfill & modC\hfill \\ \overline{x}=x+\overline{p}\hfill & mod1\hfill \end{array}$$
$`(1.2)`$
where $`C1`$ is a circumference of the phase space torus allows for a slow (diffusive) relaxation with $`t_rC^2/4D_p`$ where $`D_p=1/12`$ is the diffusion rate in $`p`$. A convenient characteristic of BF size is the rms phase space volume (area) $`\mathrm{\Gamma }(t)=\sigma _p\sigma _x`$ for a group of $`N`$ trajectories. In ergodic motion at equilibrium $`\mathrm{\Gamma }=\mathrm{\Gamma }_0=C/12`$. Below I will use the dimensionless measure $`\stackrel{~}{\mathrm{\Gamma }}=\mathrm{\Gamma }/\mathrm{\Gamma }_0\mathrm{\Gamma }`$, and omit tilde.

The entropy $`S`$ can be defined by the relation:

$$S(t)=\mathrm{ln}\mathrm{\Gamma }(t)$$
$`(1.3)`$
with $`S=0`$ at equilibrium. This definition is not identical to the standard one (via the distribution function, or phase space density) but it is fairly close to the latter if $`\mathrm{\Gamma }1`$, i.e. for a BF, just what one needs in the problem under consideration. A great advantage of definition (1.3) is in that the computation of $`S`$ does not require very many trajectories as does the distribution function. In fact, even a single trajectory is sufficient!

A finite number of trajectories used for calculating the phase space volume $`\mathrm{\Gamma }`$ is a sort of the coarse–grained distribution, as required in relation (1.3), but with a free bin size which can be arbitrarily small. The detailed study of BF in this class of ES models will be published elsewhere . Here I briefly present just an example shown in Fig.1.

The data were obtained from running 4 and just 1 (!) trajectories for a sufficiently long time in order to collect fairly many BF which were superimposed in Fig.1 to clean up the regular BF from a ’podlike trash’ of stationary fluctuations. The size of BF chosen was approximately fixed by the condition that current $`\mathrm{\Gamma }(t)\mathrm{\Gamma }_{fl}`$. In spite of inequality the mean values $`\mathrm{\Gamma }(t_i)=0.000033\mathrm{and}0.069`$ are close (in order of magnitude) to the fixed $`\mathrm{\Gamma }_{fl}`$ values in Fig.1. Notice that for a slow diffusive kinetics the quantity $`\mathrm{exp}(2S)\sigma _p^2p^2`$ while $`\sigma _x`$ remains constant.

The probability of BF can be characterized by the average period between them for which a very simple estimate

$$P\mathrm{\hspace{0.17em}3}\mathrm{\Gamma }_{fl}^N\mathrm{\hspace{0.17em}3}\mathrm{exp}(NS_{fl})$$
$`(1.4)`$
is in a good agreement (upon including the empirical factor 3) with data in Fig.1.

In the example presented here the position of all BF in the phase space is fixed to $`x_{fl}=1/2,p_{fl}=C/2`$. If one lifts this restriction the probability of BF increases by a factor of $`1/\mathrm{\Gamma }_{fl}`$, or by decrease of $`N`$ by one ($`NN1`$), due to an arbitrary position of BF in phase space. In the former case, a chain of BF are but the well known Poincaré recurrences. What is less known that the latter are a particular and specific case of BF, and as such the recurrence of a trajectory in chaotic system is determined by the kinetics of the system. Recurrence of several $`(N>1)`$ trajectories can be also interpreted as the recurrence of a single trajectory in $`N`$ uncoupled freedoms.

As is seen in Fig.1 the irregular deviations from a regular BF are rapidly decreasing with the entropy $`SS_{fl}`$. One may get the impression that near BF maximum the motion becomes regular, hence the term ’optimal fluctuational path’ . In fact, the motion remains diffusive down to the dynamical scale which in model (1.2) is $`|\mathrm{\Delta }p|1`$ independent of parameter $`C`$.

Big fluctuations are not only perfectly regular by themselves but also surprisingly stable against any perturbations, both regular and chaotic. Moreover, the perturbations do not need to be small. At first glance, it looks very strange in a chaotic, highly unstable, dynamics. The resolution of this apparent paradox is in that the dynamical instability of motion does affect the BF instant of time $`t_i`$ only. As to the BF shape, it is determined by the kinetics whatever its mechanism, from purely dynamical one, like in model (1.2), to a completely noisy (stochastic, cf. Fig.1 above and Fig.4 in ). As a matter of fact, the fundamental Kolmogorov theorem  is related just to the latter case but remains valid in a much more general situation. Surprising stability of BF is similar to the full (less known) property of robustness of the Anosov (strongly chaotic) systems  whose trajectories get only slightly deformed under a small perturbation (for discussion see ). From a different perspective this stability can be interpreted as a fundamental property of the ’macroscopic’ description of BF. In such a simple few–freedom system like (1.2) the ’macroscopic’ refers to averaged quantities as $`\sigma ,\mathrm{\Gamma },S`$, and the like. Still, a somewhat confusing result is in that the ’macroscopic’ stability comprises not only the relaxation of BF but also its rise as the both parts of BF appear always together. It may lead to another misunderstanding that the probability of fluctuation and relaxation are equal which is certainly wrong. The point is that the ratio of both (unequal!) probabilities is determined by a crossover parameter

$$R_{cro}(S_{fl})=\frac{P}{t_r}\frac{3\mathrm{exp}(NS_{fl})}{C^2}\mathrm{\hspace{0.17em}1}$$
$`(1.5)`$
Here the latter expression refers to model (1.2), and the inequality determines the region of BF where the time of awaiting BF is much longer than that of its immediate relaxation from a nonequilibrium ’macroscopic’ state (for further discussion see Section 6 below).

## 2 A new class of dynamical models:
What they are for?

A fairly simple picture of BF in the systems with equilibrium steady state (ES) is well understood by now, though not yet well known. To Boltzmann such a picture was the basis of his fluctuation hypothesis for our Universe. Again, as is well understood by now such a hypothesis is completely incompatible with the present structure of the Universe as it would immediately imply the notorious ’heat death’ (see, e.g., ). For this reason, one may even term such systems the heat death models. Nevertheless, they can be and actually are widely used in the description and study of local statistical processes in thermodynamically closed systems. The latter term means the absence of any heat exchange with the environment. Notice, however, that under conditions of the exponential instability of motion the only dynamically closed system is the whole Universe. Particularly, this excludes the hypothetical ’velocity reversal’ still popular in debates over ’irreversibility’ since Loschmidt (for discussion see, e.g.,  and Section 6 below).

In any event, dynamical models with ES do not tell us the whole story of either the Universe or even a typical macroscopic process therein. The principal solution of this problem, unknown to Boltzmann, is quite clear by now, namely, the ’equilibriumfree’ models are wanted. Various classes of such models are intensively studied today. Moreover, the celebrated cosmic microwave background tells us that our Universe was born already in the state of a heat death which, however, fortunately to us all became unstable due to the well–known Jeans gravitational instability . This resulted in developing of a rich variety of collective processes, or synergetics, the term recently introduced or, better to say, put in use by Haken . The most important peculiarity of such a collective instability is in that the total overall relaxation (to somewhere ?) with ever increasing total entropy is accompanied by an also increasing phase space inhomogeneity of the system, particularly in temperature. In other words, the whole system as well as its local parts become more and more nonequilibrium to the extent of the birth of a secondary dynamics which may be, and is sometime, as perfect as, for example, the celestial mechanics (for general discussion see, e.g., ).

I stress that all these inhomogeneous nonequilibrium structures are not BF like in ES systems but are a result of regular collective instability, so that they are immediately formed under a certain condition. Besides, they are typically dissipative structures in Prigogine’s term  due to exchange of energy and entropy with the infinite environment. The latter is the most important feature of such processes, and at the same time the main difficulty in studying the dynamics of those models both theoretically and in numerical experiments which are so much simpler for the ES systems. Usually, the investigations in this field are based upon statistical laws omitting the underlying dynamics from the beginning.

Recently, however, a new class of dynamical models has been developed by Evans, Hoover, Morriss, Nosé, and others . Some researchers still hope that such brand–new models will help to resolve the ’paradox of irreversibility’. A more serious reason for studying these models is in that they allow for a fairly simple inclusion in a few–freedom model the infinitely dimensional ’thermostat’, or ’heat bath’. This greatly facilitates both numerical experiments as well as the theoretical analysis. Particularly, by using such a model the derivation of Ohm’s law was presented in , thus solving ’one of the outstanding problems of modern physics’  (for this peculiar dynamical model only!). The authors  claim that ”At present, no general statistical mechanical theory can predict which microscopic dynamics will yield such transport laws…” In my opinion, it would be more correct to inquire which of many relevant models could be treated theoretically, and especially in a rigorous way as was actually done in .

The zest of new models is the so–called Gauss thermostat, or heat bath (GHB). In the simplest case the motion equations of a particle in such a bath are :

$$\frac{d𝐩}{dt}=𝐅\zeta 𝐩,\zeta =\frac{𝐅𝐩}{p^2}$$
$`(2.1)`$
where $`𝐅`$ is a given external force, and $`\zeta `$ stands for the ’friction coefficient’. The first peculiarity of such a ’friction’ is in its explicit time reversibility contrary to the ’standard friction’. The price for reversibility is the strict connection between the two forces, the friction and the external force $`𝐅`$. Moreover, and this is most important, the connection is such that $`|𝐩|^2=p_0^2=const`$ is the exact motion invariant:

$$\frac{d}{dt}\frac{|𝐩|^2}{2}=𝐩\frac{d𝐩}{dt}=𝐩𝐅𝐅𝐩$$
$`(2.2)`$
The first of two identical terms represents the mechanical work of the external regular force $`𝐅`$, the spring of the external energy, while the second one describes the sink of energy into GHB. Thus, asymptotically as $`t\mathrm{}`$ the model describes a steady state only. This is the main restriction of such models. The particle itself does only immediately transfer the energy without any change of its own one due to the above constraint $`|𝐩|^2=const`$. In one freedom the latter would lead to a trivial solution $`p=const`$. So, at least two freedoms are required to allow for a variation of vector $`𝐩`$ in spite of constraint. For many interacting particles the constraint $`|𝐩_i|^2=const`$ would be still less, hence reference to the Gauss ’Principle of Least Constraint’  for deriving the reversible friction in Eq.(2.1). In the present paper the simplest case of $`N`$ noniteracting two–freedom particles is considered only as in .

The next important point is a special form of the energy in GHB which is the heat. In true heat bath it would be a chaotic motion of infinitely many particles therein. This is not the case in GHB, and one needs an additional force in Eq.(2.1) which would make the particle motion chaotic maintaining, at the same time, the constraint. Whether such an external to GHB chaos is equivalent to the chaos inside the true heat bath, at least statistically, remains an open question but it seems plausible from the physical viewpoint  (see also Ref.). If so, the model describes the direct conversion of mechanical work into heat $`Q`$, and hence the permanent entropy production. The calculation of the later is not a trivial question (for discussion see ). In my opinion, the simplest way is to use the thermodynamic relation:

$$\frac{dS}{dt}=\frac{1}{T}\frac{dQ}{dt},\frac{dQ}{dt}=𝐩𝐅$$
$`(2.3)`$
where $`T=p_0^2`$ is an effective temperature . Since the input energy is of zero entropy (formal temperature $`T_{in}=\mathrm{}`$) the relation (2.3) determines the entropy production in the whole system (particles + GHB). Notice that in Eq.(2.3), as well as throughout this paper, the entropy $`S`$ is understood as determined in the standard way via a coarse–grained phase–space density (distribution function).

Meanwhile, usual interpretation of GHB models is quite different . Namely, the entropy production (2.3) is expressed via the Lyapunov exponents $`\lambda _i`$ of particle’s motion:

$$\frac{dS}{dt}\frac{dS_{GHB}}{dt}\frac{dS_p}{dt}=\underset{i}{}\lambda _i$$
$`(2.4)`$
where $`S_{GHB}`$ and $`S_p`$ is the entropy of GHB and of the ensemble of particles, respectively. An unpleasant feature of this relation is in that the latter equality holds true for the Gibbs entropy only which is conserved in Hamiltonian system modeled by the GHB. As a result the entropy of the total system (particles + GHB) remains constant (the second equality in Eq.(2.4)) which literally means no entropy production at all! Even though such an interpretation can be formally justified it seems to me physically misleading. In my opinion, the application of Lyapunov exponents would be better restricted to characterization of the phase–space fractal microstructure of particle’s motion (which is really interesting) retaining the universal coarse–grained definition of the entropy (cf. ES models in Section 1).

As was already mentioned above the GHB models describe the nonequilibrium steady states only. Moreover, any collective processes of interacting particles are also excluded, just those responsible for the very existence of regular nonequilibrium processes, particularly, of the field $`𝐅`$ in model (2.1). In a more complicated Nosé - Hoover version of GHB models these severe restrictions can be partly, but not completely, lifted. Whether it would be sufficient for the inclusion of collective processes remains, to my knowledge, an open question.

In any event, even the simplest GHB model like (2.1) represents a qualitatively different type of statistical behavior as compared to that in the ES models. The origin of this principal difference is twofold: (i) the external ’inexhaustible’ spring of energy, if only introduced ’by hand’, and (ii) a heat sink of infinite capacity which excludes any equilibrium.

In conclusion of this Section I formulate precisely the model to be considered below, in the main part of the paper. Choosing the model for numerical experiments I follow my favored ’golden rule’: construct the model as simple as possible but not simpler. In the problem under consideration the models studied already are mainly based on a well–known and well–studied ’Lorentz gas’ that is a particle (or many particles) moving through a set of fixed scatterers. A new element is a constant field accelerating particles. Actually, the Lorentz model becomes in this way the famous Galton Board , the very first model of chaotic motion, which had been invented by Galton for another purpose, and which has not been studied in detail until recently . My model is still simpler, and is specified by the two maps: (i) the 2D Arnold cat map (1.1) to chaotize particles, and (ii) 1D–map version of Eq.(2.1):

$$\overline{p_1}=p_1+F\mathrm{\hspace{0.17em}4}Fp_1^2$$
$`(2.5)`$
where $`p_1=pp_0`$, and parameter in Eq.(2.1) $`p_0=1/2`$. For $`|F|<1/4`$ the momentum $`p`$ remains within the unit interval ($`0p<1`$) as in map (1.1). The principal relation (2.3) for the entropy reduces now also to the additional 1D map:

$$\overline{S}=S+(p_1+F)^2p_1^2=S+\mathrm{\hspace{0.17em}2}p_1F+F^2$$
$`(2.6)`$
where the entropy unit is changed by a factor of 2 for simplicity. Since $`S`$ is the entropy produced in GHB the latter map implicitly includes also the motion in the second freedom for each of noninteracting particles due to the Gauss constraint which guarantes the immediate transfer of energy to GHB.

In numerical experiments considered below an arbitrary number $`N`$ of noninteracting particles (trajectories) with random initial conditions were used. In this case, the Gauss constraint remained unchanged, and all trajectories were run simultaneously.

## 3 Nonmonotonic entropy production:
Local fluctuations

Statistical properties of the entropy growth in the model chosen are determined by the two first moments of the $`p_1`$ distribution function. In the limit $`t\mathrm{}`$ and/or $`N\mathrm{}`$ they are (per iteration and per trajectory):

$$p_1=\mathrm{\hspace{0.17em}0},p_1^2=\frac{1}{12}$$
$`(3.1)`$
where averaging is done over both the motion time $`t`$ (now the number of map’s iterations), and $`N`$ noninteracting particles (particle’s trajectories). In combination with Eq.(2.6) the first moment in Eq.(3.1) implies the linear growth of the average entropy (per trajectory):

$$S(t)=tF^2$$
$`(3.2)`$
In this Section the statistics of local fluctuations is considered. A similar problem was studied in  for a more realistic model with many interacting particles. In the present model the local fluctuation is defined as follows. The total motion time $`t_f`$ is subdivided into many segments of equal duration $`t_1`$. On each segment $`i=1,\mathrm{},t_f/t_1`$ the total change of entropy $`S_i`$ for all $`N`$ trajectories is calculated using Eq.(2.6) and represented as a dimensionless random variable

$$S_\sigma =\frac{S_iS_i}{\sigma }=\frac{S_i\tau }{\sigma }$$
$`(3.3)`$
where $`S_i=Nt_1F^2=\tau `$ (see Eq.(3.2)), and the rms fluctuation $`\sigma `$ is given by a simple relation (see Eqs.(2.6) and (3.1)):

$$\sigma ^2=\frac{\tau }{3}$$
$`(3.4)`$
This relation neglects all the correlations which implies the standard Gaussian distribution:

$$G(S_\sigma )=\frac{\mathrm{exp}\left(\frac{S_\sigma ^2}{2}\right)}{\sqrt{2\pi }}$$
$`(3.5)`$
An example of actual distribution function is shown in Fig.2 for a single trajectory with segment length $`t_1=10,\mathrm{\hspace{0.17em}25},\mathrm{\hspace{0.17em}100}`$ iterations, and the number of segments up to $`10^7`$. A cap of the distribution is close to the standard Gauss (3.5) (see also Fig.3) but both tails clearly show a considerable enhancement of fluctuations depending on both $`t_1`$ and $`N`$ (in other examples, see below).

The shape of the tails is also Gaussian but the width is the larger the smaller $`t_1`$ and $`N`$. This is especially clear in a different representation of the data in Fig.3 where the ratio of empirical distribution to standard Gauss is plotted as a function of Gaussian variable $`S_G=S_\sigma ^2/2`$.

Each run with particular values of $`N`$ and $`t_1`$ is represented by the two slightly different lines for both signs of $`S_\sigma `$. Besides fluctuations the difference apparently includes some asymmetry of the distribution with respect to $`S_\sigma =0`$. The origin of this asymmetry is not completely clear as yet. A sharp crossover between the two Gaussian distributions at $`S_G3`$ is nearly independent of the parameters $`N`$ and $`t_1`$ as is the top distribution below crossover. To the contrary, the tail distribution essentially depends on both parameters in a rather complicated way. The origin of the difference between the two Gaussian distributions apparently lies in dynamical correlations. In spite of a fast decay (see Section 1) the correlation in Arnold map (1.1) does affect somehow the big entropy fluctuations except the limiting case $`Nt_1`$ (two lower lines in Fig.3) when correlations vanish because of random and statistically independent initial conditions of many trajectories.

For any fixed parameters $`N`$ and $`t_1`$ the fluctuations are bounded ($`F1`$):

$$|S_\sigma |<\sqrt{3Nt_1}$$
$`(3.6)`$
which follows from Eqs.(2.6), (3.3), and (3.4). This is clearly seen in Fig.3 for minimal $`Nt_1=5`$. If instead only force $`F`$ is fixed, the relative entropy fluctuations

$$\frac{S_i}{S_i}\pm \frac{1}{F}$$
$`(3.7)`$
are also restricted but can be arbitrarily large for small $`F`$ and, moreover, of both signs. This implies a nonmonotonic growth of entropy at the expense of the segments with $`S_i<0`$.

The probability (in the number of trajectory segments) of extremely large fluctuations, Eqs.(3.6) and (3.7), is exponentially small (see Eq.(3.5) and below). However, the probability of the fluctuations with negative entropy change ($`S_i<0`$) (without time reversal!) is generally not small at all, reaching 50% as $`\tau 0`$ (for arbitrary $`N`$ and $`t_1`$). In principle, it is known, at least for the systems with equilibrium steady state (Section 1). Nevertheless, the first, to my knowledge, direct observation of this phenomenon in a nonequilibrium steady state  has so much staggered the authors that they even entitled the paper ’Probability of Second Law violations in shearing steady state’. In fact, this is simply a sort of peculiar fluctuations, big ones not so much with respect of their size but primarily of their probability (cf. discussion in Section 1). However, the important point is that all those negative entropy fluctuations (transforming the heat into work) are randomly scattered among the others of positive entropy, and for making any use of the former a Maxwell’s demon is required who is known by now to be well in a ’peaceful coexistence’ with the Second Law.

Another interesting limit is $`t_1t_f\mathrm{}`$ (a single segment)  while $`\tau 0`$ which is possible if $`F0`$ too. In this case the probability of zero entropy change in the whole motion is also approaches 50%. However, the probability of any negative entropy fluctuation vanishes (see Eq.(3.3)). An interesting question is whether there exists some intermediate region of parameters where the latter probability would remain finite. In other words, are the Poincaré recurrences to negative entropy change $`S_i<0`$ possible in a nonequilibrium steady state as they are in the equilibrium (Section 1)? The answer to this question is given by the statistics of the global fluctuations.

## 4 Nonmonotonic entropy production:
Global fluctuations

The definition of the global fluctuations is similar to, yet essentially different from, that of the local fluctuations in the previous Section. Namely (cf. Eqs.(3.3) and (3.4)), the principal dimensionless random variable $`S_\sigma (t)`$ now explicitly depends on time:

$$S_\sigma (t)=\frac{S(t)S(t)}{\sigma }=\frac{S(t)\tau }{\sigma }$$
$`(4.1)`$
where $`S(t)`$ is calculated from Eq.(2.6), $`S(0)=0`$, $`S(t)=NtF^2\tau `$ (see Eq.(3.2)), and the rms fluctuation $`\sigma `$ is given by the same relation (3.4) with a new time variable $`\tau `$:

$$\sigma ^2=\frac{\tau }{3}$$
$`(4.2)`$
In other words, the global fluctuations are described as a diffusion with the constant rate:

$$D=\frac{\sigma ^2}{\tau }=\frac{1}{3}$$
$`(4.3)`$
Also, one can view the global fluctuations as a continuous time–dependent deviation of the entropy from its average growth unlike the local fluctuations in the ensemble of fixed trajectory segments (Section 3). Now, the primary goal is to find out if the entropy can reach the negative values $`S(t)<0`$ for $`t\mathrm{}`$. As was discussed in the previous Section this is possible at some finite segments of trajectory with the probability rapidly decreasing (but always finite) as the segment length grows.

In Fig.4 the three examples of global fluctuations are shown in a slightly different representation (cf. Eq.(4.1))

$$S_g(\tau )=\frac{S(\tau )}{\tau }\mathrm{\hspace{0.17em}1}$$
$`(4.4)`$
in order to always keep before one’s eyes the most important border $`S(\tau )=0`$ ($`S_g(\tau )=1`$, a horizontal line in Fig.4).

Eventually, all trajectories converge to the average entropy growth (a horizontal line $`S_g=0`$ in Fig.4). During the initial stage of diffusion the probability of negative entropy is roughly 50%, similar to the local fluctuations (Section 3). However, at $`\tau \stackrel{>}{}1`$ the situation cardinally changes, so that all the trajectories move away from the border $`S=0`$. Moreover, the relative distance to the border with respect to the fluctuation size indefinitely increases.

The fluctuation size is characterized by the two parameters. The first one is the well known rms dispersion $`\sigma `$, Eq.(4.2) (two dashed curves in Fig.4), which estimates the fluctuation distribution width. In the problem under consideration the most important is the second characteristic, $`\sigma _b`$ (two solid curves in Fig.4), which sets the maximal size (the upper bound) of the diffusion fluctuations, and thus insures against the recurrence into the region $`S<0`$ in a sufficiently long time. The ratio of two sizes

$$R_\sigma (\tau )=\frac{\sigma _b}{\sigma }=\sqrt{2\mathrm{ln}\mathrm{ln}(A\tau )}$$
$`(4.5)`$
is given by the famous Khinchin law of iterated logarithm .

I emphasize again that the principal peculiarity and importance of border $`\sigma _b`$ is in that it characterizes a sharp drop of the fluctuation probability down to zero (in the limit $`\tau \mathrm{}`$). In other words, almost any trajectory approaches infinitely many times arbitrarily close to this border from below but the number of crossings the border remains finite. In Fig.4 this corresponds to the eternal confinement of trajectories in the gap between the two solid curves.

Such a surprising behavior of random trajectories is well known to mathematicians but, apparently, not to physicists. In Fig.5 a few examples of the fluctuation distributions are shown for illustration of that unpenetrable border.

In Khinchin’s theorem a factor $`A`$ in Eq.(4.5) is irrelevant and set to $`A=1`$. This is because the theorem can be proved in the formal limit $`\tau \mathrm{}`$ only as most of theorems in the probability theory (as well as in the ergodic theory, by the way). However, in numerical experiments on a finite time, even if arbitrarily large, one needs a correction to the limit expression. Besides, it would be desirable to look at the border over the whole motion down to the dynamical time scale which is determined by the correlation decay. In the model under consideration it is of the order of relaxation time $`t_r1`$ (see Section 1). The additional parameter $`A`$ can be fixed by the condition

$$\sigma _b(\tau _1)=\sigma (\tau _1),\tau _1=NF^2$$
$`(4.6)`$
for minimal $`t=1`$ on the dynamical time scale of the diffusion. Then, Eq.(4.5) implies $`A\tau _1=5.2`$ which is used in Figs.4 and 5. The condition assumed is, of course, somewhat arbitrary but the dependence on $`A`$ remains extremely weak provided $`\tau _11`$.

The histogram in Fig.5 is given in the absolute numbers of trajectory entries into bins in order to graphically demonstrate a negligible number of exceptional crossings of the border. The exact formulation of Khinchin’s theorem admits a finite number of crossings in infinite time. Actually, all those ’exceptions’ are concentrated within a relatively short initial time interval $`\tau 1`$ (for the accepted $`A`$ value, see Fig.4).

The distribution of entropy fluctuations between the borders is characterized by its own big fluctuations due to a large time interval ($`\tau `$) required for crossing the distribution region (see Eq.(4.3)). The spectacular precipice of many orders of magnitude is reminiscent of a diffusion ’shock wave’ cutting away the Gaussian tail. Unbounded Gauss is also shown in Fig.5 by the smooth dashed line.

In variable $`S_{\sigma _b}=S_\sigma /R_\sigma `$ the standard Gauss is no longer a stationary distribution (cf. Eq.(3.5)):

$$\sqrt{2\pi }G(S_{\sigma _b})=R_\sigma (\tau )\mathrm{exp}\left(\frac{S_{\sigma _b}^2}{2}R_\sigma ^2(\tau )\right)$$
$`(4.7)`$
Both the probability density at the border $`|S_{\sigma _b}|=1`$ as well as the integral probability beyond that are slowly decreasing $`1/\mathrm{ln}(A\tau )`$. The ’shock wave’ decays but still continues to ’hold back’ the trajectories.

Thus, unlike unrestricted entropy fluctuations out of the equilibrium steady state (Section 1) the strictly restricted fluctuations in the nonequilibrium steady state get well separated, in a short time, from the region of negative entropy, separated in a large excess which keeps growing in time. In other words, the Poincaré recurrences to any negative entropy quickly and completely disappear leaving the system with ever increasing, even if nonmonotonically, entropy.

As nonequlibrium steady state involves a heat bath of infinite phase space volume (or its nice substitute, the Gauss heat bath), the Poincaré recurrence theorem is not applicable. Yet, the ’anti–recurrence’ theorem is not generally true either. For example, the entropy repeatedly crosses the line $`S=\tau `$ of the average growth in spite of infinite heat bath, yet it does not so for the line $`S=0`$ of the initial entropy.

## 5 Big entropy fluctuations in critical dynamics

The strict restriction of the global entropy fluctuations in a nonequilibrium steady state considered in the previous Section is a result of the ’normal’, Gaussian, diffusion of the entropy with a constant rate (4.3), and with the surprising unpenetrable border (4.5). In turn, this is related to a particular underlying dynamics of the model (1.1) with very strong statistical properties. Notice that the border (4.5) is of a statistical nature as it is much less than the maximal dynamical fluctuation (3.7).

However, it is well known by now that, generally, the homogeneous diffusion can be ’abnormal’ in the sense that the diffusion rate does depend on time:

$$D(t)t^{c_D},1c_D1$$
$`(5.1)`$
where $`c_D`$ is the so–called critical diffusion exponent. The term ’critical’ refers to a particular class of such systems with a very intricate and specific structure of the phase space (see, e.g.,  and references therein). The ’normal’ diffusion corresponds to $`c_D=0`$ while a positive $`c_D>0`$ represents a superfast diffusion with the upper bound $`c_D=+1`$, the maximal diffusion rate possible for a homogeneous diffusion. The latter is, of course, most interesting case for the problem under consideration here. A superslow diffusion for a negative $`c_D<0`$ is also possible with the limit $`c_D=1`$ which means the absence of any diffusion for $`c_D<1`$. An interesting example of a superslow diffusion with $`c_D=1/2`$ was considered in . Besides a particular application to the plasma confinement in magnetic field the example is of a special interest as this slow diffusion is a result of the time–reversible diffusion of particles in a chaotic magnetic field. For other examples and various discussions of abnormal diffusion see .

A number of dynamical models exhibiting the superfast diffusion are known including the limiting case $`c_D=1`$ . Interestingly, a simple simulation of abnormal diffusion is possible by a minor modification of the model under consideration. It concerns the additional 1D map (2.6) only which now becomes:

$$\overline{S}=S+(\mathrm{\hspace{0.17em}2}p_1F+F^2)t_s$$
$`(5.2)`$
Here the new variable $`t_s`$ is defined also by a simple relation:

$$t_s=s^{c_s},s=1\mathrm{\hspace{0.17em}2}|p_1|$$
$`(5.3)`$
where $`s`$ is the distance from any of the two borders $`p_1=\pm 0.5`$ homogeneously distributed within the interval ($`0<s<1`$). The quantity $`t_s>1`$ describes the sticking of a trajectory in the ’critical structure’ concentrated near $`s=0`$. Actually, in the model there is no such a structure, yet the effect of that is simulated by the ’sticking time’ $`t_s`$ which enhances both the fluctuations and the average entropy (5.2). In a sense, such a simulation is similar, in spirit, to that of the Gauss heat bath. All the properties of that sticking are described by a single parameter $`c_s`$, the critical sticking exponent ($`0c_s1`$). Particularly, it is directly related to the diffusion exponent $`c_D`$ (see below).

The statistical properties of abnormal diffusion in this model are determined by the two first moments of $`t_s`$ distribution which are directly evaluated from the above relations as follows. For the first moment it is

$$t_s=_0^1t_s(s)𝑑s=\frac{1}{1c_s},c_s<\mathrm{\hspace{0.17em}1}$$
$`(5.4a)`$
and

$$t_s\mathrm{ln}\frac{1}{s_1}\mathrm{ln}t,c_s=\mathrm{\hspace{0.17em}1}$$
$`(5.4b)`$
In the latter case the integral diverges, and is determined by the minimal $`ss_11/t`$ reached over time $`t`$ which is the total motion time in map’s iterations. This should be distinguished from the ’physical time’ in a true model of the critical structure

$$\stackrel{~}{t}tt_s\{\begin{array}{cc}\frac{t}{1c_s},\hfill & c_s<\mathrm{\hspace{0.17em}1}\hfill \\ t\mathrm{ln}t,\hfill & c_s=\mathrm{\hspace{0.17em}1}\hfill \end{array}$$
$`(5.5)`$
In a similar way the second moment is given by three relations:

$$t_s^2=\frac{1}{1\mathrm{\hspace{0.17em}2}c_s},c_s<\frac{1}{2}$$
$`(5.6a)`$
for the normal diffusion,

$$t_s^2\mathrm{ln}\frac{1}{s_1}\mathrm{ln}t,c_s=\frac{1}{2}$$
$`(5.6b)`$
in the critical case, and

$$t_s^2\frac{s_1^{12c_s}}{2c_s\mathrm{\hspace{0.17em}1}}\frac{t^{2c_s1}}{2c_s\mathrm{\hspace{0.17em}1}},\frac{1}{2}<c_s\mathrm{\hspace{0.17em}1}$$
$`(5.6c)`$
for the superfast diffusion.

The average entropy production is found from Eq.(5.2):

$$S_i=NF^2tt_s=NF^2\stackrel{~}{t}\tau $$
$`(5.7)`$
with redefined time variable $`\tau `$ (cf. Eq.(3.3)). In this Section the simplest case of a single trajectory ($`N=1`$) will be considered only.

Evaluating the superfast diffusion requires a slightly different averaging $`(2p_1t_s)^2`$ (see Eq.(5.2)). Yet it is easily verified that asymptotically, as $`\tau \mathrm{}`$, the difference with respect to Eq.(5.6c) vanishes, and one arrives at the following estimate for the critical rms dispersion $`\sigma _{cr}`$:

$$\frac{\sigma _{cr}^2(\tau )}{B^2}=\stackrel{~}{t}D(\stackrel{~}{t})=F^2t_s^2t=\frac{(1c_s)^{2c_s}}{2c_s\mathrm{\hspace{0.17em}1}}\frac{\tau ^{2c_s}}{F^{4c_s2}}$$
$`(5.8a)`$
if $`1/2<c_s<1`$ (5.6c), and

$$\frac{\sigma _{cr}(\tau )}{B}=\frac{\tau }{F\mathrm{ln}(\tau /F^2)}$$
$`(5.8b)`$
in the most interesting limiting case $`c_s=1`$. Here empirical factor $`B1`$ accounts for all the approximations in the above relations.

The limit $`c_s1`$ in Eq.(5.8a) crucially differs from the limiting relation (5.8b). The origin of this discrepancy is Eq.(5.4a). A more accurate evaluation for $`c_s1`$ reads:

$$t_s=_{s_1}^1t_s(s)𝑑s=\frac{1s_1^{1c_s}}{1c_s}=\frac{1\mathrm{exp}[(1c_s)\mathrm{ln}s_1]}{1c_s}$$
$`(5.9)`$
where $`s_11/t`$ is the minimal $`s`$ over $`t`$ map’s iterations (cf. Eq.(5.4b)). Hence, the relation (5.4a) is valid under condition $`ϵ\mathrm{ln}t>1`$ only ($`ϵ=1c_s`$) while in the opposite limit $`t_s\mathrm{ln}t`$ as for $`c_s=1`$, Eq.(5.4b). The crossover between the two scalings is at

$$t_{cro}\mathrm{e}^{1/ϵ},\tau _{cro}\frac{\mathrm{e}^{1/ϵ}}{ϵ}F^2$$
$`(5.10)`$
The deviation from Eq.(5.8a) is essential for a sufficiently small $`ϵ`$ only.

The ratio of fluctuations to the average entropy production is given by the reduced entropy (see Eq.(4.4))

$$S_g=\pm \frac{\sigma _{cr}}{\tau }\pm \frac{B}{F\mathrm{ln}(\tau /F^2)}$$
$`(5.11)`$
where the latter expression is estimate (5.8b) for the rms fluctuations. They are slowly decreasing with time, and at $`\tau \stackrel{>}{}\tau _0=F^2\mathrm{exp}(1/F)`$ the rms line crosses the border $`S_g=1`$ of zero entropy. Afterwards, the entropy remains mainly positive. To be more correct, the probability for a trajectory to enter into the region of negative entropy is systematically decreasing with time, rather slow though. This is to be compared with the $`F`$–independent crossover $`\tau _0=1/3`$ and a rapid drop of the probability to return back to $`S<0`$ in case of the normal diffusion (Section 4).

However, there exists another mechanism of big fluctuations, specific for the critical dynamics. Namely, a separated individual fluctuation can be produced as a result of a single extremely big sticking time $`t_s`$ over the total motion up to the moment the fluctuation springs up in a single map’s iteration. I remind that in the present model each sticking corresponds to just one map’s iteration. The increments of dynamical variables in such a jump are obtained from Eq.(5.2):

$$\mathrm{\Delta }S=\pm Ft_s,\mathrm{\Delta }\tau =F^2t_s$$
$`(5.12)`$
where $`t_s1(2p_11)`$ is assumed (a big fluctuation). Then, the reduced fluctuation

$$S_g\frac{S}{\tau }=\pm \frac{Ft_s}{\tau +F^2t_s}\pm \frac{1/F}{1+\frac{\tau }{\mathrm{\Delta }\tau }}$$
$`(5.13)`$
The maximal single sticking time over the motion time $`t`$ is, on the average

$$t_st\mathrm{ln}t=\frac{\tau }{F^2}$$
$`(5.14)`$
Hence, a single fluctuation (5.13) has the upper bound

$$|S_g|\stackrel{<}{}\text{ }\frac{A}{F}$$
$`(5.15)`$
Here an empirical factor $`A1`$ is introduced similar to Eq.(5.8b).

The border (5.15) considerably exceeds the rms diffusion fluctuation (5.11) and, what is even more important, the former never crosses the line of zero entropy $`S_g=1`$. Thus, the critical fluctuations repeatedly bring the system into the region of negative entropy. This is because the upper bound (5.15) does not depend on time $`\tau `$ provided $`\mathrm{\Delta }\tau \stackrel{>}{}\tau `$ in Eq.(5.13). However, in a chain of successive fluctuations the values of $`\tau `$ in Eqs.(5.13) and (5.14) are not generally equal. While in the former relation it is always the total motion time as assumed above, in Eq.(5.14) it should be the preceeding period of fluctuations: $`\tau _nP_n<\tau _n`$ where $`n`$ is the serial number of fluctuations. Hence, the approach to the upper bound (5.15) is only possible under condition $`P_nP_{n1}`$ which implies $`P_n\tau _n`$. Thus, the fluctuations become more and more rare with a period growing exponentially in time. In other words, the fluctuations are stationary in $`\mathrm{ln}\tau `$ with a quite big mean period $`\mathrm{ln}P5`$ (see Fig.6).

In Fig.6 an example of a few big critical fluctuations in the limiting case $`c_s=1`$ is presented for five single fairly long trajectories with different initial conditions, and the motion time up to $`\tau 5\times 10^9`$ and $`t=10^{10}`$ iterations. To achieve such a long time the force was decreased down to $`F=0.1`$ (see Eq.(5.14)).

Unlike a similar Fig.4 for the normal diffusion, only a few big fluctuations with $`F|S_g|>0.3`$ are presented in Fig.6. For a full picture of critical fluctuations the required output becomes formidably long. The distribution of all fluctuations, independent of time, is shown below in Fig.7.

Each fluctuation in Fig.6 is presented by a pair of $`FS_g`$ values connected by the straight line: one at map’s iteration just before the fluctuation (circles), and the other one (stars) at the next iteration when the fluctuation springs up (see above). Both are plotted at the same, latter, $`\tau `$ to follow the pairs. This somewhat shifts the circles to the right.

The most important, if only preliminary, result of numerical experiments is confirmation of the fluctuation upper bound (5.15) independent of time. As expected, the circles represent considerably smaller $`F|S_g|`$ values roughly following the diffusive scaling (5.11).

The border (5.15) qualitatively reminds the strict upper bound for the normal diffusion (Section 4), including a logarithmic ratio with respect to the rms size (4.5), as compared to the ratio

$$R_{cr}(\tau )\mathrm{ln}(\tau /F^2)$$
$`(5.16)`$
in the critical diffusion. An interesting question if the new, critical, border is also as strict as the old one in the normal diffusion remains, to my knowledge, open, at least for the physical model under consideration where the superdiffusion is caused by a strong long–term correlation of successive entropy changes due to the sticking of trajectory.

However, for a much simpler problem of statistically independent changes various generalizations of Khinchin’s theorem to the abnormal diffusion were proved by many mathematicians (see, e.g., ). In the present model it is just the case for the description in map’s time $`t`$ with statistically independent iterations. The most general and complete result has been recently obtained by Borovkov . In the present notations it can be approximately represented in a very simple form for the ratio (5.16):

$$R_{cr}=\frac{\sigma _b}{\sigma }(\mathrm{ln}t)^{c_s}\mathrm{ln}(\tau /F^2)$$
$`(5.17)`$
in the whole interval ($`1/2<c_s1`$) of the superdiffusion where the physical time $`\tau `$ is determined by Eq.(5.7). Then, for most important reduced fluctuation (5.13) one arrives at the two relations

$$|S_g|\stackrel{<}{}\text{ }\frac{\sigma _b}{\tau }\frac{\tau ^{c_s1}}{F^{2c_s1}}\left(\mathrm{ln}\frac{\tau }{F^2}\right)^{c_s}$$
$`(5.18a)`$
for $`c_s<1`$, and

$$|S_g|\stackrel{<}{}\text{ }\frac{\sigma _b}{\tau }\frac{1}{F}$$
$`(5.18b)`$
in the limiting case $`c_s=1`$. The latter confirms estimate (5.15) above which, in turn, is in a good agreement with the empirical data in Fig.6. In any event, a simple physical estimate (5.15) seems to provide an efficient description of the fluctuation upper bound.

In Fig.7 an example of all (at each map’s iteration) fluctuations is shown for the data from the same runs as in Fig.6. Besides very large overall distribution

fluctuations a sharp drop by about four orders of magnitude is clearly seen near the expected upper bound (5.15). It looks similar to the drop in Fig.5 for the normal diffusion.

Thus, the critical diffusion results in infinitely many recurrences far into the region of negative entropy $`S<0`$ (for $`F1`$), the sojourn time over there being comparable to the total motion time. Of course, the former is less than 50% on an average, so that asymptotically in time the entropy keeps always growing. In this respect, the global critical fluctuations are similar to the local ones in the normal diffusion (Section 3).

Notice, however, that the upper bound $`\sigma _b/\tau 1/F`$ (5.18b) is permanent in the strict limit $`c_s=1`$ only. For any deviation from this limit $`ϵ=1c_s>0`$ this bound lasts a finite time determined by the crossover (5.10) ($`\tau \stackrel{<}{}\text{ }F^2\mathrm{exp}(1/ϵ)/ϵ`$) to decreasing $`\sigma _b/\tau 0`$ (5.18a). Another interesting representation of such an intermediate behavior is the crossover in the sticking exponent:

$$ϵ\stackrel{<}{}\text{ }\frac{1}{\mathrm{ln}(\tau /F^2)}F|S_g|$$
$`(5.19)`$
which is actually shown in Fig.6 by the upper dashed line. For the longest $`\tau =5\times 10^9`$ the latter crossover $`ϵ_{cro}0.037`$.

## 6 Discussion and conclusion

In the present paper the results of extensive numerical experiments on big entropy fluctuations in a nonequilibrium steady state of classical dynamical systems are presented, and their peculiarities are analysed and discussed. For comparison, some similar results for the equilibrium steady state are briefly described in the Introduction (the latter will be published in detail elsewhere ).

All numerical experiments have been carried out on the basis of a very simple model - the Arnold cat map (1.1) on a unit torus - with only three minor, but important, modifications which allowed for comprising all the problems under consideration above. The modifications are:

(1) Expansion of the torus in $`p`$ direction (1.2) which allows for more impressive diffusive fluctuations out of the equilibrium steady state (Fig.1 in Section 1).

(2) Addition of a 1D map (2.5) with the constant driving force $`F`$, and with ingenious time–reversible friction force which represents the so–called Gauss heat bath, and which allows for modeling a physical thermostat of infinitely many freedoms . This modification is the principal one in the present studies of fluctuations in a nonequilibrium steady state (Sections 3 - 5).

(3) Addition of a new parameter $`t_s`$ (5.3) in map (5.2) which allows for the study of very unusual fluctuations of an ’abnormal’, critical, dynamical diffusion (Section 5).

Big fluctuations in an equilibrium steady state (ES) are briefly considered in Section 1. The simplest one of this class, which I call the Boltzmann fluctuation, is shown in Fig.1. It is obviously symmetric with respect to time reversal, so that at least in this case there is no physical reason at all for the conception of the notorious ’time arrow’. Nevertheless, a related conception, say, thermodynamic arrow, pointing in the direction of the average increase of entropy, makes sense in spite of the time symmetry. The point is that the relaxation time of the fluctuation is determined by model’s parameter $`C`$ only, and does not depend on the fluctuation itself. On the contrary, the expectation time for a given fluctuation, or the mean period between successive fluctuations, rapidly grows with the fluctuation size and with the number of trajectories (or freedoms).

Besides the simplest Boltzmann fluctuation, various others are also possible, typically with a much less probability. One of those - the two correlated Boltzmann fluctuations, which I call the Schulman fluctuation - was recently described in  using the same Arnold cat map. However, such a model has nothing to do with cosmology as was speculated in . At least, the Universe we live in as well as most macroscopic phenomena therein require the qualitatively different models, ones without equilibrium steady state. Such structures do appear (with probability 1) as a result of certain regular collective processes which lead to very complicated nonequilibrium and inhomogeneous states with ever increasing entropy. This is in contrast with a constant, on an average, entropy in ES systems.

A nonequilibrium steady state, the main subject of the present studies, is but a little, characteristic though, piece of the chaotic collective processes. In the model (2.5) the driving force $`F`$ represents a result of some preceding collective processes, the spring of free energy, while the Gauss friction does so for an infinite environment around, the sink of the energy, converting the work into heat, on the average. An interesting peculiarity of such systems is in that the big fluctuations may do, and do indeed under certain conditions, the opposite, converting back some heat into the work.

Two types of fluctuations were studied:

(i) the local ones on a set of trajectory segments of length $`t_1`$ iterations and of entropy change $`S_i`$ (Section 3), and

(ii) ones of the global entropy $`S(t)`$ along a trajectory with respect to the initial entropy set to zero: $`S(0)=0`$ (Sections 4 and 5).

The former were found to have a stationary unrestricted distribution close to the standard Gauss with some enhancement of unknown mechanism for large fluctuations. The study of the latter effect will be continued. The distribution is symmetric with respect to the average entropy, growing in proportion to time in agreement with previous studies on a more complicated (and more realistic) model . Even though the distribution is asymmetric with respect to zero entropy change, the probability of negative $`S_i<0`$ is generally not small provided $`F^2Nt_1\stackrel{<}{}\text{ }1`$. This phenomenon, apparently a new one in the nonequilibrium steady state, was first observed in  but has been interpreted there as a violation of the Second Law. It seems to be the reflection of a common, but wrong in my opinion, understanding the Second Law as a monotonic growth of the entropy, thus neglecting all the fluctuations including the large ones. Meanwhile, the nonmonotonic rise of entropy is clearly seen, for instance, in Fig.4, and discussed in detail in Sections 3 and 4.

The behavior of the global entropy is completely different as the data in the same Fig.4 demonstrate (Section 4). Even though the entropy evolution remains nonmonotonic it quickly crosses the line of the initial zero entropy and does not return back into the region of negative entropy $`S<0`$. This is insured by the famous Khinchin theorem about the strict upper bound for the diffusion process. At least for physicists, such a limitation of statistical nature for a random motion is surprising and apparently less known. That unidirectional evolution is the most important distinction of the nonequilibrium steady states from the equilibrium ones.

This farther justifies the conception of the thermodynamic arrow pointing to a larger, on the everage, entropy. Yet, again it has nothing to do with the properties of time. Of course, upon formal time reversal the entropy will systematically decrease, also in the model under consideration because the Gauss heat bath is time reversible. Within the steady state approximarion, or rather restriction, this would be an infinitely large fluctuation which never came to the end. However, such a fluctuation would never occur either, as a result of the natural time evolution of the system, opposite to the case of equilibrium fluctuations. The ultimate origin of that crucial difference is in that the former process, even asymptotically in time, is a tiny little part of the full underlying dynamics of an infinite system. Particularly, the initial state $`S(0)=0`$ is not a result of the preceding fluctuation, as is the case in ES, but has been eventually caused, for instance, by instability of the initial ES at a very remote time in the past. If one would imagine the time reversal at that instant nothing were changed as the thermodynamic arrow does not depend on the direction of time provided, of course, the time reversible fundamental dynamics. That is just this universal overall dynamics which unifies the time for all the interacting objects like particles and fields throughout the Universe. Particularly, it is incompatible with the two opposite time arrows - an old Boltzmann’s hypothesis  \- which still has some adherents .

Coming back to a particular phenomenon of nonequilibrium steady states it is worth to mention that the regularities of the fluctuations in those, both local and global, can be applied, at least qualitatively, to a small part of a big fluctuation in a statistical equilibrium (Fig.1) on both sides of the maximum. This interesting question will be considered in detail elsewhere .

Finally, some preliminary numerical experiments on the global entropy fluctuations and the theoretical analysis were carred out in a special case of the critical dynamics which turned out to be the most interesting one for the problem in question (Section 5). The point is that the critical dynamics leads to an ’abnormal’ superdiffusion with the rate $`D\tau ^{2c_s1}`$ and rms fluctuation size $`\sigma _{cr}\tau ^{c_s}`$ where $`c_s`$ is a new parameter of the third model ($`1/2<c_s1`$). This implies the reduced entropy $`|S_g|\tau ^{c_s1}`$ decreasing very slowly for $`c_s1`$ as compared to the normal diffusion $`|S_g|1/\sqrt{\tau }`$. In the limiting case $`c_s=1`$ the entropy $`|S_g|1/\mathrm{ln}\tau `$ is still decreasing. However, besides diffusive fluctuations there is a set of infinitely many separated fluctuations whose size does not decrease with time at all (Fig.6). In other words, these preliminary numerical experiments suggest that in the limiting case of the critical dynamics the Poincaré recurrences to the initial state $`S=0`$ and beyond keep to repeatedly occur without limit. These are preliminary results to be confirmed and farther studied in detail.

In the present studies the fluctuations in classical mechanics are presented only. Generally, the quantum fluctuations would be rather different. However, according to the Correspondence Principle, the dynamics and statistics of a quantum system in quasiclassics are close to the classical ones on the appropriate time scales of which the longest one corresponds just to the diffusive kinetics providing transition to the classical limit (for details see ). Interestingly, the computer classical dynamics that is the simulation of a classical dynamical system on digital computer is of a qualitatively similar character. This is because any quantity in computer representation is discrete (’overquantized’). As a result the correspondence between the classical continuous dynamics and its computer representation in numerical experiments is restricted to certain finite time scales like in the quantum mechanics (see two first references ).

Discreteness of computer phase space leads to another peculiar phenomenon: generally, the computer dynamics is irreversible due to the rounding–off operation unless the special algorithm is used in numerical experiments. Nevertheless, this does not affect the statistical properties of chaotic computer dynamics. Particularly, the statistical laws in computer representation remain time–reversible in spite of (nondissipative) irreversibility of the underlying dynamics. This simple example demonstrates that, contrary to a common belief, the statistical reversibility is a more general property than the dynamical one.

In the very conclusion I would like to make a brief remark on a very difficult, complicated and vague problem - the so–called (physical) causality principle that is the time–ordering of the cause and effect. Discussion of this important problem in detail will be published elsewhere . Here I mention, as an example, a simple Boltzmann’s fluctuation shown in Fig.1. I adhere to the idea of statistical nature of causality. Indeed, the cause is, by definition, an ’absolutely’ independent event which is only possible in the chaotic dynamics. Moreover, in any purely dynamical description the conception of cause loses its usual physical meaning. For example, the initial conditions do precisely determine the whole infinite trajectory ($`\mathrm{}<t<\mathrm{}`$) that is both the future as well as the past of such a ’cause’. In case of a single Boltzmann’s fluctuation an appropriate cause would be the minimal entropy (at $`t=t_i`$ in Fig.1). This was exactly the procedure used in numerical experiments for the location of a fluctuation of an approximately given size. The principal difference from the exact dynamical initial conditions is in that the former cause is an approximate (e.g., average) fluctuation’s size which is quite sufficient for the complete statistical description of the fluctuation, yet does leave behind enough freedom for independence from other events like preceding fluctuations. However, this cause does determine not only the future relaxation of the fluctuation (in agreement with the causality principle) but also the past rise of the same fluctuation which is a violation of causality, or acausality (spontaneous rise of a fluctuation), or anti–causality which the latter is perhaps the most appropriate term. Upon the time reversal, the causality/anticausality exchange which allows for a conception of the causality arrow but, again, without any reference to the time of physics. In such a philosophy the directions of both arrows, thermodynamic and causal one, do coincide independent of the direction of time. An important point of this philosophy is in that the concept ’arrow’ is related to the interpretation of a physical phenomenon rather than to the phenomenon itself. Particularly, a question ’how to fix or maintain the arrow’  is up to the researcher alone. In a more complicated Schulman’s double fluctuation the mechanism of causality becomes more interesting , and will be discussed, from a different point of view, in .

Acknowledgments. I am grateful to Wm. Hoover for attracting my attention to a new class of highly efficient dynamical models with the Gauss heat bath, and for stimulating discussions and suggestions. I very much appreciate the initial collaboration with O.V. Zhirov which, hopefully, will continue before long. I am indebted to A.A. Borovkov for elucidation of Khinchin’s theorem and of its recent generalizations to the ’abnormal’ superdiffusion.


format: text

text:
# From computation to black holes and space-time foam

## Abstract

We show that quantum mechanics and general relativity limit the speed $`\stackrel{~}{\nu }`$ of a *simple* computer (such as a black hole) and its memory space $`I`$ to $`\stackrel{~}{\nu }^2I^1\begin{array}{c}<\\ \end{array}t_P^2`$, where $`t_P`$ is the Planck time. We also show that the life-time of a *simple* clock and its precision are similarly limited. These bounds and the holographic bound originate from the same physics that governs the quantum fluctuations of space-time. We further show that these physical bounds are realized for black holes, yielding the correct Hawking black hole lifetime, and that space-time undergoes much larger quantum fluctuations than conventional wisdom claims — almost within range of detection with modern gravitational-wave interferometers.

PACS numbers: 04.70.Dy; 89.80.+h; 04.62.+v; 03.67.Lx

The past few decades have witnessed amazing growth in the ability and speed with which computers can process information. Quantum computation only adds to the prospect that this exponential growth in information processing power will continue. But it is natural to ask whether this growth can go on indefinitely or whether there are physical laws that impose limitations to it.  In this Letter we show that indeed the laws of quantum mechanics and gravitation put considerable bounds on computation. In particular, the number $`\stackrel{~}{\nu }`$ of operations per unit time, and the number $`I`$ of bits of information in the memory space of a simple computer (“simple” in the sense to be made precise below), are both limited by the input power such that their product is bounded by a universal constant given by $`\stackrel{~}{\nu }^2I^1\begin{array}{c}<\\ \end{array}t_P^2`$, where $`t_P=(\mathrm{}G/c^5)^{1/2}`$ is the Planck time formed by the speed of light $`c`$, the quantum scale $`\mathrm{}`$, and the gravitational constant $`G`$. Along the way, we also show that the total running time $`T`$ over which a simple clock can remain accurate, and the smallest time interval $`t`$ that the clock is capable of resolving, are bounded by $`T\begin{array}{c}<\\ \end{array}t(t/t_P)^2`$ . Interestingly, these bounds are saturated for black holes. So black holes, in some sense, may be regarded as the ultimate simple computers and ultimate simple clocks (though it may be extremely difficult or even impossible to realize this technological feat). As a demonstration of the unity of physics, we show that the physics that sets the limits to computation is precisely the physics that governs the quantum fluctuations of space-time  which, as pointed out recently, can plausibly be detected with gravitational-wave interferometers such as LIGO/VIRGO and LISA through future refinements. Furthermore, the same physics underlies the holographic principle. Thus the physics behind simple clocks, simple computers, black holes, space-time foam, and the holographic principle is inter-related. It is this inter-relationship that we would like to emphasize in this Letter.

The ingredients we use to derive the physical limits to computation are the general principles of quantum mechanics and general relativity which should suffice for the physics in the low-energy regime of quantum gravity in which we are interested. (Thus, in what follows, it is understood that all the time intervals we are dealing with are much greater than the Planck time, and all the distances much larger than the Planck length ($`ct_P`$).) Following Wigner , one can use quantum mechanics to set fundamental limits on the mass $`m`$ of any system that serves as a time-registering device. Briefly, the argument goes as follows: If the clock has a linear spread of $`\delta R`$, then its momentum uncertainty is $`\mathrm{}(\delta R)^1`$. After a time $`\tau `$, its position spread grows to $`\delta R(\tau )=\delta R+\mathrm{}\tau m^1(\delta R)^1`$ with the minimum at $`\delta R=(\mathrm{}\tau /m)^{1/2}`$. At the end of the total running time $`T`$, the linear spread can grow to

$$\delta R\begin{array}{c}>\\ \end{array}\left(\frac{\mathrm{}T}{m}\right)^{1/2}.$$
(1)
But for the clock to give time to within accuracy $`t`$, it must have a small enough spread in position, so small that the time at which a light quantum strikes it (in order to read the time) can be determined within the required accuracy $`t`$, thus $`\delta R\begin{array}{c}<\\ \end{array}ct`$. In other words, we require the wave packet of the center-of-mass of the clock be confined, throughout the running time $`T`$, to a region of the size $`ct`$. It follows that, for a given $`T`$ and $`t`$, the lower bound on $`m`$ reads

$$m\begin{array}{c}>\\ \end{array}\frac{\mathrm{}}{c^2t}\left(\frac{T}{t}\right).$$
(2)
This limit is more restrictive than that given by Heisenberg’s energy-time uncertainty relation because it requires repeated measurement of time not to introduce significant inaccuracies over the total running time $`T`$; this requirement imposes a more severe limit on the clock mass than a simple simultaneous measurement of both the time $`t`$ and the energy $`mc^2`$.

Next, as shown by the present author and van Dam, one can supplement the quantum mechanical relation Eq. (2) with a fundamental limit from general relativity. In essence one finds that the minimum time interval that a clock can be used to measure is the light travel time across its Schwarzschild radius. The argument is quite simple. Let the clock be a simple light-clock consisting of two parallel mirrors (each of mass $`m/2`$) between which bounces a beam of light. On the one hand, for the clock to be able to resolve time interval as small as $`t`$, the mirrors must be separated by a distance $`d`$ with $`d/c\begin{array}{c}<\\ \end{array}t`$. On the other hand, $`d`$ is necessarily larger than the Schwarzschild radius $`Gm/c^2`$of the mirrors so that the time registered by the clock can be read off at all. From these two requirements, it follows that the upper bound on $`m`$ is given by

$$t\begin{array}{c}>\\ \end{array}\frac{Gm}{c^3}.$$
(3)
As clocks, black holes saturate this bound (more on this later).

One can now use Eq.(2) to obtain a bound on the speed of computation of any information processor.  The mean input power given by $`P=mc^2/T`$ and the fastest possible processing frequency given by $`\nu =t^1`$ are bounded (via Eq.(2)) as

$$\nu ^2=\frac{1}{t^2}\begin{array}{c}<\\ \end{array}\frac{mc^2}{\mathrm{}T}=\frac{P}{\mathrm{}}.$$
(4)
Thus power limits speed of computation.

Next, by substituting Eq. (2) into Eq. (3) we can relate T to t as

$$T\begin{array}{c}<\\ \end{array}t\left(\frac{t}{t_P}\right)^2.$$
(5)
Thus the better precision a clock attains, i.e., the smaller t is, the shorter it can keep accurate time, i.e., the smaller T is. With the Planck time being only about $`10^{43}`$sec, this bound on $`T`$ is of no practical consequence (yet). For example, a femtosecond ($`10^{15}`$ sec) precision yields the bound $`T\begin{array}{c}<\\ \end{array}10^{34}`$ years.

Now it is time for us to make precise what we mean by the qualification “simple” characterizing the simple clock and the simple computer. Alert readers may have already questioned the validity of Eq. (3), and accordingly also of the above T-t relation (Eq. (5)). For example, consider a large clock consisting of N identical small clocks to keep time one after another. For large enough N, the T-t relation and Eq. (3) are violated for the large clock. But note that this argument is not valid if we consider only those clocks for which no such separation of components is involved. They are what we call *simple* clocks. The same qualification will be understood to apply to *simple* computers. The origin of this qualification can be traced to the bound given by Eq. (3). Why should we be interested in simple clocks and simple computers? For the simple reason that Nature makes use of them. (This point will be made clear below when we derive the holographic principle and when we discuss the case of black holes.)

Let us use the T-t relation in Eq. (5) to put a limit on the memory space of a computer. The point is that $`T/t`$, the maximum number of steps of information processing, is, aside from factors like $`ln2`$, the amount of information $`I`$ that can be registered by the computer. With the aid of Eq. (4), the T-t relation yields

$$I\frac{T}{t}\begin{array}{c}<\\ \end{array}\frac{1}{(\nu t_P)^2}\frac{\mathrm{}}{Pt_P^2}.$$
(6)
While it is not too surprising that the input power $`P`$ limits the speed of computation $`\nu `$ (as given by Eq. (4)), it is less expected that power also limits memory space of a computer in the way given by Eq. (6). We note that Eq. (2) and Eq. (3) can also be used to give $`I\nu \begin{array}{c}<\\ \end{array}mc^2/\mathrm{}`$ and $`\nu \begin{array}{c}<\\ \end{array}\mathrm{}/(t_P^2mc^2)`$ respectively.

More interestingly, Eq.(6) shows that the product of $`I`$ and $`\nu ^2`$ is bounded by a universal constant. Now $`\nu =t^1`$ should be identified as the clock rate of a computer, i.e., the number of operations per bit per unit time. It is related to the number $`\stackrel{~}{\nu }`$ of operations per unit time by $`\stackrel{~}{\nu }=I\nu `$. Then it follows from Eq. (6) that

$$\frac{\stackrel{~}{\nu }^2}{I}=I\nu ^2\begin{array}{c}<\\ \end{array}\frac{1}{t_P^2}\frac{c^5}{\mathrm{}G}10^{86}/sec^2,$$
(7)
independent of the mass, size, and details of the simple computer. For the numerical value in Eq. (7), we have used the speed of light in vacuum for $`c`$ in $`t_P`$. This expression (valid for simple computers) links together our concepts of information, gravity, and quantum uncertainty. We will see below that nature seems to respect this bound which, in particular, is realized for black holes. The restriction to simple computers is the price we have to pay for the universality of this bound. For comparison, current laptops perform about $`10^{10}`$ operations per sec on $`10^{10}`$ bits, yielding $`\stackrel{~}{\nu }^2I^110^{10}/sec^2`$.

As intriguing as the physical limits to computation are, it is perhaps even more amazing that the physics behind them is also what governs the quantum fluctuations of space-time. To see this, let us consider measuring the distance $`Rct_P`$ between two points. We can put a clock at one of the points and a mirror at the other point. By sending a light signal from the clock to the mirror in a timing experiment we can determine the distance. But the quantum uncertainty in the positions of the clock and the mirror introduces an inaccuracy $`\delta R`$ in the distance measurement. The same argument used above to derive the T-t relation now yields a similar bound for $`\delta R`$:

$$\delta R\left(\frac{\delta R}{ct_P}\right)^2\begin{array}{c}>\\ \end{array}R,$$
(8)
in a distance measurement. In a time measurement, an analogous bound is given by Eq. (5) with $`T`$ playing the role of the measured time and $`t`$ the uncertainty. This limitation to space-time measurements can be interpreted as resulting from quantum fluctuations of space-time itself. In other words, at short distance scales, space-time is foamy. Thus the same physics underlies both the foaminess of space-time and the limits to computation and clock precision. Not surprisingly, these bounds have the same form. It is remarkable that modern gravitational-wave interferometers, through future refinements, may reach displacement noise levels low enough to test this space-time foam model, because the intrinsic foaminess of space-time provides another source of noise in the interferometers that can be highly constrained experimentally. According to one estimate , if Eq. (8) is correct, the “advanced phase” of LIGO is expected to achieve a noise level low enough to probe $`t_P`$ down to $`10^{41}sec`$, only about two orders of magnitude from what we expect it ($`t_P10^{43}sec`$) to be!

Furthermore, the same physics is behind the holographic principle, which states that the number of degrees of freedom of a region of space is bounded (not by the volume but) by the area of the region in Planck units.  To see this, consider a region of space with linear dimension R. Conventional wisdom claims that the region can be partitioned into cubes as small as $`(ct_P)^3`$. It follows that the number of degrees of freedom of the region is bounded by $`(R/ct_P)^3`$, i.e., the volume of the region in Planck units. But according to Eq. (8), the smallest cubes into which we can partition the region cannot have a linear dimension smaller than $`(Rc^2t_P^2)^{1/3}`$. Therefore, the number of degrees of freedom of the region is bounded by $`[R/(Rc^2t_P^2)^{1/3}]^3`$, i.e., the area of the region in Planck units, as stipulated by the holographic principle. (A judicious application of Eq. (6) can also yield this result.) Thus the holographic principle has its origin in the quantum fluctuations of space-time. Turning the argument around, we believe the holographic principle alone suggests that the quantum fluctuations of space-time are as given by Eq. (8) ($`\delta R\begin{array}{c}>\\ \end{array}(Rc^2t_P^2)^{1/3}`$) and hence are much larger than what conventional wisdom leads us to believe ($`\delta R\begin{array}{c}>\\ \end{array}ct_P`$).

Let us now ask for what kind of physical systems are the physical limits listed above saturated (order-of-magnitude-wise). We will show that there is at least one (and very likely only one) such system: the system of black holes. Since black holes have an entropy given by the event horizon area in Planck units, the holographic bound is obviously realized. (Alternatively, we can show this by using Eq. (9) and Eq. (10) below.) Next, consider a black hole as a clock, then it is reasonable to expect that the maximum running time of this gravitational clock is given by the Hawking black hole life-time

$$TT_H\frac{G^2m^3}{\mathrm{}c^4},$$
(9)
and that the minimum interval that the black hole can be used to measure is given by the light travel time across the black hole’s horizon

$$t\frac{Gm}{c^3}.$$
(10)
It is interesting that both Eq. (9) and Eq. (10) can actually be derived by appealing to Wigner’s two inequalities Eq. (1) and Eq. (2) and using the Schwarzschild radius of the black hole as the minimum clock size.  Better yet, if we use Eq. (2) and Eq. (3), we can immediately find that the bound on $`T`$ is given by the Hawking black hole life-time. Thus, if we had not known of black hole evaporation, this remarkable result would have implied that there is a maximum lifetime for a black hole! Now note that according to Eq. (10), the limit on $`t`$ as shown in Eq. (3) is saturated for a black hole. Furthermore, using Eq. (9) and Eq. (10) one can easily show that the bound given by Eq. (2) is saturated. It then follows that all the subsequent bounds (from Eq. (4) to Eq. (7)) are saturated for black holes. As a check, we can combine Eq. (9) and Eq. (10) to yield $`T/t^3t_P^2`$ which saturates the T-t bound given in Eq. (5). On the other hand, when a black hole is considered as an information processor with power $`P=mc^2/T_H\mathrm{}c^6/G^2m^2`$ , we can use Eq. (10) to obtain $`\nu ^2P/\mathrm{}`$ which realizes the bound given by Eq. (4). Eq. (9) and Eq. (10) can also be used to yield $`IT/t\mathrm{}/Pt_P^2`$ which saturates the bound given by Eq. (6). Finally, with both $`\nu `$ and $`I`$bounds saturated, the universal bound on computation given by Eq. (7) is also saturated for black holes. All these results reinforce the conceptual importance of black holes as the simplest and most fundamental  constructs of space-time, which set the universal limits to computation, clock precision, and numbers of degrees of freedom. These properties of black holes lead us to believe that their very existence lends support to the physical bounds presented in this paper and the relatively large quantum fluctuations of space-time given by Eq. (8). By the same token, detection of the space-time foam (Eq. (8)) will be an indirect verification of Hawking black hole evaporation. From our perspective, black hole physics is intimately related to space-time foam physics.

Finally we note that, for a 1-kg black hole computer, Eq. (9) and Eq. (10) yield both $`I=T/t10^{16}`$ bits and $`\stackrel{~}{\nu }=I\nu =Tt^210^{51}/sec`$. These results agree with those given by Lloyd on the physical limits to computation in Ref..

To summarize, we have shown that the laws of quantum mechanics and gravitation, which govern the quantum fluctuations of space-time, also set physical bounds on computation and on the precision of clocks. Power limits a simple computer’s speed of computation $`\stackrel{~}{\nu }`$ and its memory space $`I`$. Their product obeys the universal bound given by $`\stackrel{~}{\nu }^2I^1\begin{array}{c}<\\ \end{array}t_P^210^{86}/sec^2`$. This bound is realized for black holes. The same physics underlies the holographic principle. We have also argued that quantum fluctuations of space-time are actually much larger than what the folkfore suggests. We urge the experimentalists, especially those in the gravitational-wave interferometer field, to strive to detect them.

I thank C. Evans, C. Fuchs, S. Lloyd, E. Merzbacher, L. Ng, K. Rajagopal, G. ’t Hooft, H. Tye, H. van Dam, R. Weiss, and D. Wineland for useful discussions. I thank S. Lloyd especially for pointing out my misidentification of computer speeds in the earlier versions of this manuscript. This work was supported in part by DOE under #DE-FG05-85ER-40219 and by the Bahnson Fund of University of North Carolina at Chapel Hill.


text:
# No well-defined remnant Fermi surface in Sr2CuO2Cl2

## Abstract

In angle-resolved photoelectron spectra of the antiferromagnetic insulators Ca2CuO2Cl2 and Sr2CuO2Cl2 a sharp drop of the spectral intensity of the lowest-lying band is observed along a line in k space equivalent to the Fermi surface of the optimally doped high-temperature superconductors. This was interpreted as a signature of the existence of a remnant Fermi surface in the insulating phase of the high-temperature superconductors. In this paper it is shown that the drop of the spectral intensity is not related to the spectral function but is a consequence of the electron-photon matrix element.

It is of interest to understand the changes the normal-state electronic structure of the high-temperature superconductors (HTSCs) undergoes when doped from an antiferromagnetic insulator to a metal. Angle-resolved photoelectron spectroscopy (ARPES) has played an important role in the study of the electronic structure of the HTSCs in the different regions of the doping phase diagram. Recently ARPES experiments using Sr2CuO2Cl2 and Ca2CuO2Cl2 single crystals yielded information on the electronic structure of the HTSCs in the limit of very low hole doping.

Sr2CuO2Cl2 and Ca2CuO2Cl2 are closely related to the undoped parent compounds of the HTSCs, as they are also antiferromagnetic insulators with Néel temperatures of 255 and 247 K, respectively. The CuO2 planes in Sr2CuO2Cl2 and Ca2CuO2Cl2 are undoped (half-filled); therefore the spectral intensity in an electron energy-distribution curve (EDC) related to the CuO2 plane gives information about the dynamics of a single hole (the hole created by photoionization) in a CuO2 plane. Of primary interest are the lowest-lying states in an ARPES spectrum, the so-called first electron-removal states. In Sr2CuO2Cl2 and Ca2CuO2Cl2 these show a well-developed low-binding-energy peak only for k vectors in the vicinity of ($`\pi `$/2,$`\pi `$/2) where the peak has its minimum binding energy. The low-binding-energy peak is followed by additional spectral weight at higher binding energies. Outside this k space region the first feature is a rather broad structure with its maximum located at higher binding energy.

In the published Sr2CuO2Cl2 and Ca2CuO2Cl2 ARPES data the spectral intensity of the first electron-removal states shows a sudden drop along a line in k space which closely resembles the Fermi surfaces found in band-structure calculations or ARPES data of optimally or overdoped HTSCs. Insulators such as Sr2CuO2Cl2, Ca2CuO2Cl2 and the undoped parent compounds of the HTSCs do not have partially filled bands and hence no Fermi surface, but it was argued that there exists a remnant of the Fermi surface of their respective metallic phases in the sense that when the first electron-removal states of Sr2CuO2Cl2 or Ca2CuO2Cl2 cross this remnant Fermi surface, their spectral intensity suddenly drops, in analogy to the behavior of the ARPES spectral intensity related to the lowest-lying band of a metal when it crosses the Fermi surface. Comparing the binding energies of the first electron-removal states of the copper oxychlorides for k vectors on the remnant Fermi surface one can formally define a gap, zero for k on the remnant Fermi surface where the low-binding-energy peak has minimum binding energy, and maximum for k on the remnant Fermi surface where the low-binding-energy peak has maximum binding energy. It was noted that the gap defined this way shows an analogous k dependence as the superconducting gap of the HTSCs, i.e. a $`d`$-wave-like dispersion. This $`d`$-wave-like behavior of the first electron-removal states of the copper oxychlorides would naturally explain the k dependence of the normal-state gap encountered in the underdoped HTSCs: upon hole-doping the chemical potential drops to the maximum of the $`d`$-wave-like dispersion (the node of the ”gap”) of the insulator. In the underdoped regime the Fermi level only touches states near the node of the $`d`$-wave-like gap of the insulator, forming small segments of the Fermi surface, while the portions of the remnant Fermi surface around ($`\pi `$,0) remain gapped.

However, in ARPES, the spectral intensity of an EDC is directly proportional to the electron-photon matrix-element weighted spectral function  and not the spectral function itself. Calculations suggest that the relationship between ARPES intensities and the underlying electronic structure can be complicated due to matrix element effects and that caution should be exercised in interpreting detailed features of the ARPES intensities in terms of the spectral function. In a recent paper, using ARPES of Sr2CuO2Cl2 as an example, it was demonstrated experimentally that for layered cuprates the electron-photon matrix element can have a significant impact on both the relative spectral intensity and the shape of a feature in an ARPES spectrum. In this paper ARPES measurements on a Sr2CuO2Cl2 single crystal along the line $`\mathrm{\Gamma }`$ to ($`\pi `$,$`\pi `$) in k space, using different photon energies in the range from 20 to 24 eV, are presented. It will be shown that the sudden drop in spectral intensity observed in the ARPES spectra of Sr2CuO2Cl2 along a line in k space similar to the Fermi surface of HTSCs is not due to a similar drop in the spectral function due to a remnant Fermi surface but is caused by the electron-photon matrix element i.e. is not a feature of the electronic structure of these compounds but an artifact of the photoexcitation.

The ARPES were recorded on the Ames Laboratory/Montana State University ERG/SEYA beamline at the Synchrotron Radiation Center, using a 50 mm radius hemispherical analyzer with a 2 full angular acceptance angle, corresponding to a k resolution of 0.034 Å-1 and 0.038 Å-1 (6 % and 6.8 % of the distance between $`\mathrm{\Gamma }`$ and ($`\pi `$,$`\pi `$)) for the first electron-removal states and 20 eV and 24 eV photon energy, respectively. The total energy resolution was 105 meV. The angle of incidence of the photons was $``$43 with respect to the sample surface normal with the sample normal pointing down by $``$8. The Sr2CuO2Cl2 single crystal was grown as described elsewhere . The sample was oriented ex situ by Laue backscattering and mounted with the Cu-O bonds in a horizontal/vertical plane. The sample was cleaved (cleavage plane parallel to CuO2 planes) in the experimental chamber in a vacuum better than 4$`\times `$10-11 Torr and sample alignment was confirmed in situ by using the symmetry of the dispersion of spectral features at high-symmetry points and the appearance of acute peaks associated with purely O 2$`p`$-derived states in the main valence band at $``$2.5 and $``$4 eV at ($`\pi `$,$`\pi `$) and ($`\pi `$,0), respectively. All EDCs were recorded at room temperature and were normalized to the photon flux. Although there is no long-range antiferromagnetic order at room temperature in Sr2CuO2Cl2, the antiferromagnetic correlation length is still two orders of magnitude larger than the Cu-O distance . Therefore photoemission, as a fast and local probe, still sees the effect of antiferromagnetic order, even 50 K above the Néel temperature . The Fermi edge of a Pt foil in electrical contact with the sample was used as binding-energy reference. There were no indications of charging effects because repeating an EDC after the beam had decayed to less than half the current when the first EDC was taken gave the same EDC, when normalized to the incident flux. All spectra shown were recorded within a period of five days after the cleave of the sample and in one experimental run, i.e., using the same sample cleave. We observed no signs of sample degradation during this span of time.

Figure 1 presents the first electron-removal states of Sr2CuO2Cl2 for k along $`\mathrm{\Gamma }`$ \- ($`\pi `$,$`\pi `$) for photon energies from 20 to 24 eV. For all photon energies a dispersing low-binding-energy peak is observed which has its minimum binding energy at ($`\pi `$/2,$`\pi `$/2). There is a significant change in the spectral intensity of the low-binding-energy peak as a function of k for different photon energies. For 24 eV, the low-binding-energy peak has non-negligible spectral intensity for k from 38 to 51 % of the distance between $`\mathrm{\Gamma }`$ and ($`\pi `$,$`\pi `$). Upon lowering the photon energy, the center of the k  span in which this peak exists along the line $`\mathrm{\Gamma }`$ to ($`\pi `$,$`\pi `$) shifts to bigger $`|`$k$`|`$. For example, for 22 eV photons the low-binding-energy peak can be observed for k  from 39 to 58 % of the distance between $`\mathrm{\Gamma }`$ and ($`\pi `$,$`\pi `$), while for 20 eV photon energy, it has significant spectral intensity from 49 to 60 % of the distance between $`\mathrm{\Gamma }`$ and ($`\pi `$,$`\pi `$). This trend is exemplified in Fig. 2, which shows the integrated spectral intensity of the low-binding-energy peak associated with the momentum density $`n(𝐤)`$. It is evident that the maximum of $`n(𝐤)`$ shifts from $``$40 to 55 % of the distance between $`\mathrm{\Gamma }`$ and ($`\pi `$,$`\pi `$) on going from 24 to 20 eV photon energy. This is a substantial shift, given the fact that along $`\mathrm{\Gamma }`$ \- ($`\pi `$,$`\pi `$) in k space there is only a low-binding-energy peak from $``$33 to $``$60 % of the distance between $`\mathrm{\Gamma }`$ and ($`\pi `$,$`\pi `$).

Note that the observed differences between the series of EDCs shown in Fig. 1 can only be related to the electron-photon matrix element. Sample variability can be excluded as the spectra were recorded using the same sample and cleave. Furthermore, our data are compatible with previously published Sr2CuO2Cl2 and Ca2CuO2Cl2 ARPES results (if recorded at the same photon energy) which eliminates a bad sample cleave or misalignment of the crystal as possible reasons. One could argue that, dependent on photon energy, different initial states are observed, but this is not consistent with the continous shift of spectral intensity of the low-binding-energy peak to bigger k vectors evident in Fig. 1 when the photon energy is decreased. Moreover, up to now most authors ascribe the low-binding-energy peak evident in the first electron-removal states of Sr2CuO2Cl2 or Ca2CuO2Cl2 to a Zhang-Rice singlet (ZRS) , i.e. one initial state. For an initial state with a given k component parallel to the CuO2 planes the momentum component perpendicular to the CuO2 planes is dependent on the photon energy but a ZRS is localized in a CuO2 plane; therefore no dependence of the dispersion of the low-binding-energy peak on the momentum component perpendicular to the CuO2 plane is expected. Note also that the in-plane nature of the counterpart of the first electron-removal states in the unoccupied part of the electronic structure (which is derived from the same orbitals as the first electron-removal states) has been explicitly shown by x-ray absorption spectroscopy. The spectral function itself does not depend on the photon energy used to excite the first electron-removal states. The $`\mathrm{\Gamma }`$ \- ($`\pi `$,$`\pi `$) series of spectra shown in Fig. 1 are equivalent in the sense that they show the lowest-lying excitations associated with the motion of a hole in an antiferromagnetically ordered CuO2 plane for k along the $`\mathrm{\Gamma }`$\- ($`\pi `$,$`\pi `$) line in the first Bz, i.e. the underlying spectral function is the same. The electron-photon matrix element $``$ i $`|`$ p$``$A $`|`$ f $``$ (p and A are the photoelectron momentum and the vector potential, respectively), on the other hand, is affected by the photon energy as different final states are reached upon changing the photon energy. It therefore is the factor which is responsible for the observed differences between the series of EDC’s shown in Fig. 1.

From the preceeding discussion we can conclude that the spectra shown in Fig. 1 truly represent the low-binding energy ARPES response of Sr2CuO2Cl2 for 20 to 24 eV photon energy and k from $`\mathrm{\Gamma }`$ to ($`\pi `$,$`\pi `$) and it has become clear that the spectra are significantly influenced by the electron-photon matrix element. These data show that the lowest-lying band does not cross a sharp remnant of a Fermi surface. Firstly, note that in this kind of scenario the lowest-lying band would disperse to lower binding energies on going from $`\mathrm{\Gamma }`$ to ($`\pi `$/2,$`\pi `$/2) and cross the remnant Fermi surface before it disperses back to higher binding energies again i.e. for k before ($`\pi `$/2,$`\pi `$/2). This implies that in Fig. 1 the peak associated with the lowest-lying band should lose most of its spectral intensity before ($`\pi `$/2,$`\pi `$/2). This is the case for 24 and 23 but not for 20 and 21 eV photon energy where this peak has most of its spectral intensity for k between ($`\pi `$/2,$`\pi `$/2) and ($`\pi `$,$`\pi `$). According to Ref. , a way to locate the crossing of the Fermi surface (or remnant Fermi surface) is to determine the k for which n(k) of the low-binding-energy peak as a function of k has its steepest descent. Applying this method on our Sr2CuO2Cl2 ARPES data, it is clear that due to the influence of the electron-photon matrix element we do not get a result which is robust for 20 to 24 eV photon energy as the k where there is the steepest descent in n(k) from the low-binding-energy peak along $`\mathrm{\Gamma }`$ to ($`\pi `$,$`\pi `$) (Fig. 2) varies from $``$50 to $``$63 % of the distance between $`\mathrm{\Gamma }`$ to ($`\pi `$,$`\pi `$) for 24 to 20 eV photon energy, which, as already noted, is a substantial shift compared with the k space range where there exists a low-binding-energy peak in the first electron-removal states of Sr2CuO2Cl2.

The fact that there is a distinct low-binding-energy peak for k on a line from ($`\pi `$/2,$`\pi `$/2) to ($`\pi `$,$`\pi `$) and that the steepest descent of the integrated spectral intensity of the low-binding-energy peak along $`\mathrm{\Gamma }`$ to ($`\pi `$,$`\pi `$) is not found at the same k for different photon energies represents evidence against the existence of a well-defined remnant Fermi surface for Sr2CuO2Cl2. Nonetheless, the existence of a remnant Fermi surface for Sr2CuO2Cl2 cannot be ruled out unless it is also proven that the intensity of the low-binding-energy peak for k along $`\mathrm{\Gamma }`$ \- ($`\pi `$/2,$`\pi `$/2) is not much bigger than for k along ($`\pi `$/2,$`\pi `$/2) - ($`\pi `$,$`\pi `$). Note that this possibility still exists, as the low-binding-energy peak is best developed for k along $`\mathrm{\Gamma }`$ \- ($`\pi `$/2,$`\pi `$/2) for a different photon energy (23 eV) than for k along ($`\pi `$/2,$`\pi `$/2) to ($`\pi `$,$`\pi `$) (21 eV). This means that it still could be possible that the intensity of the low-binding-energy peak in the spectral function is quite different for k along $`\mathrm{\Gamma }`$ \- ($`\pi `$/2,$`\pi `$/2) and along ($`\pi `$/2,$`\pi `$/2) - ($`\pi `$,$`\pi `$). It is clear that a much bigger intensity of the low-binding-energy peak for k along $`\mathrm{\Gamma }`$ \- ($`\pi `$/2,$`\pi `$/2) than for k along ($`\pi `$/2,$`\pi `$/2) - ($`\pi `$,$`\pi `$) would be compatible with a sharp decrease of the integrated intensity of this peak on going from $`\mathrm{\Gamma }`$ to ($`\pi `$,$`\pi `$) and a remnant Fermi surface. In Fig. 3 the first-electron removal states of Sr2CuO2Cl2 are shown for k vectors at 44 and 56 % of the distance between $`\mathrm{\Gamma }`$ and ($`\pi `$,$`\pi `$) \[i.e. equidistant to ($`\pi `$/2,$`\pi `$/2)\] for photon energies from 20 to 24 eV. If there exists a remnant Fermi surface in Sr2CuO2Cl2 it is expected that the spectral intensity of the peak at 56 % of the distance between $`\mathrm{\Gamma }`$ and ($`\pi `$,$`\pi `$) and for the photon energy where it is best developed (21 eV) is much smaller than the maximum peak intensity one can get at 44 % of the distance between $`\mathrm{\Gamma }`$ and ($`\pi `$,$`\pi `$) (at 23 eV photon energy) which evidently is not the case. In conjunction with the results presented in the preceeding paragraph this is clear evidence that in the case of Sr2CuO2Cl2 the lowest-lying band does not cross a remnant Fermi surface on going from $`\mathrm{\Gamma }`$ to ($`\pi `$,$`\pi `$).

In conclusion the spectral function associated with the motion of a hole in an antiferromagnetically ordered background has been probed by ARPES of the antiferromagnetic insulator Sr2CuO2Cl2. Along the line $`\mathrm{\Gamma }`$ to ($`\pi `$,$`\pi `$) in k space we have observed that the strong drop of the spectral intensity of the lowest-lying states reported in the literature is not related to a crossing of the lowest-lying band of a remnant Fermi surface but is due to the electron-photon matrix element.

The Ames Laboratory is operated by Iowa State University for the U.S. DOE under Contract No. W-7405-ENG-82. This work is based upon research conducted at the Synchrotron Radiation Center, University of Wisconsin, Madison, which is supported under Award No. DMR-95-31009.