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# 1 Ageing and dynamical scaling

## 1 Ageing and dynamical scaling

Non-equilibrium critical phenomena are a subject of intense research activity in physics. Rather than providing a general and exhaustive definition, we shall present a typical example of current interest, chosen such that our main question can be introduced in a natural way.

A common way to reach a situation of non-equilibrium criticality is through a rapid change of one of the macroscopic variables which enter into the equation of state. For definiteness, consider a simple ferromagnet. The simplest model system of this kind is the Ising model which considers magnetic moments attached to the sites of a (regular) lattice $`\mathrm{\Lambda }`$. By hypothesis, these moments may only take two values, say ‘up’ and ‘down’, and are described through a spin variable $`\sigma _𝒊=\pm 1`$ attached to the lattice site $`𝒊\mathrm{\Lambda }`$. In equilibrium, to a given configuration of spins $`\{\sigma \}=\{\sigma _𝒊\}_{𝒊\mathrm{\Lambda }}`$ one associates an energy $`\{\sigma \}=_{(𝒊,𝒋)}\sigma _𝒊\sigma _𝒋`$ where the sum is usually restricted to nearest-neighbour pairs on the lattice. The probability of a given configuration $`\{\sigma \}`$ in equilibrium is then given by

$$P_{\mathrm{eq}}(\{\sigma \})=\frac{1}{Z}\mathrm{exp}\left(\{\sigma \}/T\right),Z:=\underset{\{\sigma \}}{}\mathrm{exp}\left(\{\sigma \}/T\right)$$
(1)
where $`T`$ is the temperature. It is well-known that systems of this kind show an order-disorder phase transition, at least in $`d>1`$ dimensions, such that the order parameter $`\varphi :=_{𝒊\mathrm{\Lambda }}\sigma _𝒊`$ has a non-vanishing value for temperatures below a certain critical temperature $`T_c>0`$ and vanishes for $`T>T_c`$. Such a model may be brought out of equilibrium, for example, by starting initially from a fully disordered state (effectively corresponding to an infinite temperature) and then quench the system rapidly to a fixed temperature below the system’s critical temperature $`T_c>0`$. Empirically, it is then found that the system evolves slowly towards the equilibrium state corresponding to the fixed temperature $`T`$. However, the details of this relaxation process may be complex. In many materials undergoing such thermal treatment, the time-dependent properties may well depend on the entire thermal history of the sample. The resulting ageing behaviour has been in the focus of intensive study, see  for reviews.

In the Ising model example, a popular choice to simulate the update of the individual spins is through Glauber dynamics . Glauber dynamics may be realized through the discrete-time heat-bath rule $`\sigma _𝒊(t)\sigma _𝒊(t+1)`$ such that

$$\sigma _𝒊(t+1)=\pm 1\text{ with probability }\frac{1}{2}\left[1\pm \mathrm{tanh}(h_𝒊(t)/T)\right]$$
(2)
with the local field $`h_𝒊(t)=_{𝒋(𝒊)}\sigma _𝒋(t)`$, where $`𝒋(𝒊)`$ runs over the nearest neighbours of the site $`𝒊`$. The main property of this dynamical rule is that the order parameter $`\varphi `$ is not conserved. For non-equilibrium systems, there is no general theoretical framework for the calculation of the time-dependent probabilities $`P(\{\sigma \};t)`$. However, with the choice (2), $`P(\{\sigma \};t)`$ can be found exactly in $`1D`$ by solving an associated master equation . The time-dependent spin-spin correlators and their approach towards equilibrium can be determined exactly in this special case. Otherwise, numerical simulation must be used.

In figure 1, we illustrate the evolution of the microscopic state after a quench to $`T<T_c`$. We see that ordered domains form and slowly grow, with a typical size $`L(t)t^{1/z}`$, where $`z`$ is the dynamical exponent. The presence of algebraic growth laws for such dynamic quantities, although the equilibrium state of the model is not critical, is characteristic for the ageing phenomena we wish to consider. Indeed, inside a given domain the spins are completely ordered and the time evolution of the model only occurs through the slow motion of the domain walls.

This evolution is more fully revealed through the study of two-time quantities, such as the two-time correlation function $`C(t,s;𝒓)`$ and the (linear) autoresponse function $`R(t,s;𝒓)`$

$$C(t,s;𝒓)=\varphi (t,𝒓)\varphi (s,\mathrm{𝟎}),R(t,s;𝒓)=\frac{\delta \varphi (t,𝒓)}{\delta h(s,\mathrm{𝟎})}|_{h=0}$$
(3)
where $`\varphi `$ is the order parameter, $`h`$ the conjugate magnetic field, $`t`$ is called the observation time and $`s`$ the waiting time. Space translation invariance is assumed throughout. Autocorrelators are given by $`C(t,s)=C(t,s;\mathrm{𝟎})`$ and autoresponses by $`R(t,s)=R(t,s;\mathrm{𝟎})`$.333We implicitly assume here that the mean order parameter $`\varphi (t)=0`$, otherwise $`C(t,s)`$ must be replaced by the connected correlator $`\mathrm{\Gamma }(t,s)=C(t,s)\varphi (t)\varphi (s)`$. One says that a system is ageing when $`C(t,s)`$ and/or $`R(t,s)`$ depend on both $`t`$ and $`s`$ and not only on their difference. Ageing phenomena are therefore related to a breaking of time-translation invariance. Physically, ageing occurs in the regime when $`s`$ and $`\tau =ts>0`$ are simultaneously much larger than any microscopic time scale $`\tau _{\mathrm{micro}}`$. In many systems, one finds in the ageing regime a dynamical scaling behaviour, see

$$C(t,s)=s^bf_C(t/s),R(t,s)=s^{1a}f_R(t/s)$$
(4)
where $`a`$ and $`b`$ are non-equilibrium exponents. We emphasize that this non-equilibrium scaling also occurs for quenches exactly to the critical point $`T=T_c`$, but the values of the exponents found at $`T=T_c`$ will be different from those found for $`T<T_c`$. For $`T<T_c`$, it can be shown from phenomenological arguments that $`z=2`$ for dynamical rules with a non-conserved order parameter , while at $`T=T_c`$, $`z`$ has a non-trivial value which must be determined from a full renormalization-group approach.

In table 1 we collect the values of the non-equilibrium exponents $`a`$ and $`b`$. Indeed, it turns out that for $`T<T_c`$ the equilibrium behaviour of the order parameter correlator is essential. If $`C_{\mathrm{eq}}(𝒓)e^{|𝒓|/\xi }`$ with a finite $`\xi `$, we say that the system is of class S, while if $`C_{\mathrm{eq}}(𝒓)|𝒓|^{(d2+\eta )}`$, the system is said to be of class L, where $`\eta `$ is a standard equilibrium critical exponent. The results for $`a`$ are based on the well-accepted physical image that ageing comes from the slow motion of the domain walls . This idea had been questioned recently and it was argued that because of some anomalous scaling behaviour, the simple relation $`a=1/2`$ should be invalid in the $`2D`$ Glauber-Ising model (which belongs to class S) and rather $`a=1/4`$ here . However, recent tests have refuted this claim and reestablish that indeed $`a=1/2`$ in this model .

The scaling functions are expected to behave for large arguments $`x=t/s1`$ asymptotically as

$$f_C(x)x^{\lambda _C/z},f_R(x)x^{\lambda _R/z}$$
(5)
where $`\lambda _C`$ and $`\lambda _R`$ are called the autocorrelation exponent  and autoresponse exponent , respectively. For a fully disordered initial state, it is traditionally accepted that $`\lambda _C=\lambda _R=\lambda `$. However, for spatially long-ranged initial correlations of the form $`C_{\mathrm{ini}}(𝒓)|𝒓|^{d\alpha }`$ (with $`\alpha 0`$) the relation

$$\lambda _C=\lambda _R+\alpha $$
(6)
has been conjectured  and $`\lambda _C=\lambda _R`$ is only recovered if $`\alpha `$ renormalizes to zero.444The conjecture (6) is in agreement with all known results from the kinetic spherical model  and also explains those of the $`2D`$ XY model with $`TT_{\mathrm{KT}}`$ . Remarkably, for the Ising model with long-range initial conditions, only $`\lambda _C`$ appears to be known . Furthermore, the rigorous arguments of  readily yield $`\lambda _C(d+\alpha )/2`$, for simple ferromagnets without disorder. Very recently, distinct exponents $`\lambda _C\lambda _R`$ have also been found in the random sine-Gordon model and in addition $`\lambda _C<d/2`$ violates the rigorous bound mentioned above .

Another central question in this context is whether/when under the conditions just described the system is in thermodynamic equilibrium. It is convenient to consider the fluctuation-dissipation ratio

$$X(t,s)=TR(t,s)\left(\frac{C(t,s)}{s}\right)^1$$
(7)
At equilibrium, the fluctuation-dissipation theorem states that $`X(t,s)=1`$. The breaking of the fluctuation-dissipation theorem has been investigated intensively both theoretically (see e.g. ) and experimentally .

Having thus reviewed the main phenomenological aspects of the ageing behaviour of simple ferromagnets, we can now formulate our main question: is it possible to generalize the dynamical scaling described by eq. (4) to a local scale invariance ? By this we mean that we wish to generalize the transformations of dynamical scaling $`tb^zt`$ and $`𝒓b𝒓`$ to a local form where $`b=b(t,𝒓)`$ . We therefore seek to extend dynamical scaling in a way analogous to the extension of global scale invariance in equilibrium critical phenomena to conformal invariance.

This review is organized as follows. In section 2 we present the main points of the construction of local scale transformations, for an arbitrary dynamical exponent $`z`$. In section 3 we consider in more detail the case $`z=2`$ where the relation to the conformal group and local Ward identities are discussed. In section 4, general expressions for the scaling functions of two-point functions are derived. Application to Lifshitz points are briefly discussed in section 5. Finally, in section 6 we return to applications of local scale invariance to ageing systems, focussing in particular on the prediction of the scaling of the response functions and tests in the Glauber-Ising model.

## 2 Construction of local scale transformations

We are interested in systems with strongly anisotropic or dynamical criticality. By definition, two-point functions of such systems satisfy the scaling form

$$G(t,𝒓)=b^{2x}G(b^\theta t,b𝒓)=t^{2x/\theta }\mathrm{\Phi }\left(rt^{1/\theta }\right)=r^{2x}\mathrm{\Omega }\left(tr^\theta \right)$$
(8)
where $`t`$ stands for ‘temporal’ and $`𝒓`$ for ‘spatial’ coordinates, $`x`$ is a scaling dimension, $`\theta `$ the anisotropy exponent (when $`t`$ corresponds to physical time, $`\theta =z`$ is called the dynamical exponent) and $`\mathrm{\Phi },\mathrm{\Omega }`$ are scaling functions. Physical realizations of this are numerous, see  and references therein. For isotropic critical systems, $`\theta =1`$ and the ‘temporal’ variable $`t`$ becomes just another coordinate. It is well-known that in this case, scale invariance (8) with a constant rescaling factor $`b`$ can be replaced by the larger group of conformal transformations $`b=b(t,𝒓)`$ such that angles are preserved. It turns out that in the case of one space and one time dimensions, conformal invariance becomes an important dynamical symmetry from which many physically relevant conclusions can be drawn .

Given the remarkable success of conformal invariance descriptions of equilibrium phase transitions, see e.g.  for introductions, one may wonder whether similar extensions of scale invariance also exist when $`\theta 1`$. Indeed, for $`\theta =2`$ the analogue of the conformal group is known to be the Schrödinger group  (and apparently already known to Lie). We shall first describe the construction of these local scale transformations for arbitrary $`\theta 1,2`$, show that they act as a dynamical symmetry, then derive the functions $`\mathrm{\Phi },\mathrm{\Omega }`$ and finally comment upon some physical applications. We shall present the main results as formal propositions and refer to  for details and the proofs.

The defining axioms of our notion of local scale invariance from which our results will be derived are as follows (for simplicity, in $`d=1`$ space dimensions) .

1. We seek space-time transformations with infinitesimal generators $`X_n`$, such that time undergoes a Möbius transformation

$$tt^{}=\frac{\alpha t+\beta }{\gamma t+\delta };\alpha \delta \beta \gamma =1$$
(9)
and we require that even after the action on the space coordinates is included, the commutation relations $`[X_n,X_m]=(nm)X_{n+m}`$ remain valid. This is motivated from the fact that this condition is satisfied for both conformal and Schrödinger invariance.
2. The generator $`X_0`$ of scale transformations is $`X_0=t_t\theta ^1r_rx/\theta `$ with a scaling dimension $`x`$. Similarly, the generator of time translations is $`X_1=_t`$.
3. Spatial translation invariance is required.
4. Since the Schrödinger group acts on wave functions through a projective representation, generalizations thereof should be expected to occur in the general case. Such extra terms will be called mass terms. Similarly, extra terms coming from the scaling dimensions should be present.
5. The generators when applied to a two-point function should yield a finite number of independent conditions, i.e. of the form $`X_nG=0`$.

Proposition 1: Consider the generators

$$X_n=t^{n+1}_t\underset{k=0}{\overset{n}{}}\left(\begin{array}{c}n+1\\ k+1\end{array}\right)A_{k0}r^{\theta k+1}t^{nk}_r\underset{k=0}{\overset{n}{}}\left(\begin{array}{c}n+1\\ k+1\end{array}\right)B_{k0}r^{\theta k}t^{nk}$$
(10)
where the coefficients $`A_{k0}`$ and $`B_{k0}`$ are given by the recurrences $`A_{n+1,0}=\theta A_{n0}A_{10}`$, $`B_{n+1,0}=\frac{\theta }{n1}\left(nB_{n0}A_{10}A_{n0}B_{10}\right)`$ for $`n2`$ where $`A_{00}=1/\theta `$, $`B_{00}=x/\theta `$ and in addition one of the following conditions holds: (a) $`A_{20}=\theta A_{10}^2`$ (b) $`A_{10}=A_{20}=0`$ (c) $`A_{20}=B_{20}=0`$ (d) $`A_{10}=B_{10}=0`$. These are the most general linear first-order operators in $`_t`$ and $`_r`$ consistent with the above axioms 1. and 2. and which satisfy the commutation relations $`[X_n,X_n^{}]=(nn^{})X_{n+n^{}}`$ for all $`n,n^{}`$.

Closed but lengthy expressions of the $`X_n`$ for all $`n`$ are known . In order to include space translations, we set $`\theta =2/N`$ and use the short-hand $`X_n=t^{n+1}_ta_n_rb_n`$. We then define

$$Y_m=Y_{kN/2}=\frac{2}{N(k+1)}\left(\frac{a_k(t,r)}{r}_r+\frac{b_k(t,r)}{r}\right)$$
(11)
where $`m=\frac{N}{2}+k`$ and $`k`$ is an integer. Clearly, $`Y_{N/2}=_r`$ generates space translations.

Proposition 2: The generators $`X_n`$ and $`Y_m`$ defined in eqs. (10,11) satisfy the commutation relations

$$[X_n,X_n^{}]=(nn^{})X_{n+n^{}},[X_n,Y_m]=\left(n\frac{N}{2}m\right)Y_{n+m}$$
(12)
in one of the following three cases: (i) $`B_{10}`$ arbitrary, $`A_{10}=A_{20}=B_{20}=0`$ and $`N`$ arbitrary. (ii) $`B_{10}`$ and $`B_{20}`$ arbitrary, $`A_{10}=A_{20}=0`$ and $`N=1`$. (iii) $`A_{10}`$ and $`B_{10}`$ arbitrary, $`A_{20}=A_{10}^2`$, $`B_{20}=\frac{3}{2}A_{10}B_{10}`$ and $`N=2`$.

In each case, the generators depend on two free parameters. The physical interpretation of the free constants $`A_{10},A_{20},B_{10},B_{20}`$ is still open. In the cases (ii) and (iii), the generators close into a Lie algebra, see  for details. For case (i), a closed Lie algebra exists if $`B_{10}=0`$.

Turning to the mass terms, we now restrict to the projective transformations in time, because we shall only need those in the applications later. It is enough to give merely the ‘special’ generator $`X_1`$ which reads for $`B_{10}=0`$ as follows

$$X_1=t^2_tNtr_rNxt\alpha r^2_t^{N1}\beta r^2_r^{2(N1)/N}\gamma _r^{2(N1)/N}r^2$$
(13)
where $`\alpha ,\beta ,\gamma `$ are free parameters (the cases (ii,iii) of Prop. 2 do not give anything new). Furthermore, it turns out that the relation $`[X_1,Y_{N/2}]=0`$ for $`N`$ integer is only satisfied in one of the two cases (I) $`\beta =\gamma =0`$ which we call Type I and (II) $`\alpha =0`$ which we call Type II. The distinction between Type I and Type II is very important for the physical applications.

In both cases, all generators can be obtained by repeated commutators of $`X_1=_t`$, $`Y_{N/2}=_r`$ and $`X_1`$, using (12). Commutators between two generators $`Y_m`$ are non-trivial and in general only close on certain ‘physical’ states. One might call such a structure a weak Lie algebra.

Technically, these results depend on the construction of commuting fractional derivatives satisfying the rules

$$_r^{a+b}=_r^a_r^b,[_r^a,r]=a_r^{a1}$$
(14)
The standard Riemann-Liouville fractional derivative is not commutative, see e.g. . But if one uses the Hadamard definition of the Riemann-Liouville fractional derivatives, it is possible to generalize it by adding terms containing derivatives of the Dirac delta function. Then the relations (14) can be proven .

For $`N=1`$, the generators of both Type I and Type II reduce to those of the Schrödinger group. For $`N=2`$, Type I reproduces the well-known generators of $`2D`$ conformal invariance (without central charge) and Type II gives another infinite-dimensional group whose Lie algebra is isomorphic to the one of $`2D`$ conformal invariance . The physical meaning of this new realization remains to be understood.

Dynamical symmetries can now be discussed as follows, by calculating the commutator of the generalized ‘Schrödinger-operator’ $`𝒮`$ with $`X_1`$. We take $`d=1`$ and $`B_{10}=0`$ for simplicity (it is trival that $`𝒮`$ commutes with the generators $`X_1=_t`$ and $`Y_{N/2}=_r`$ of time and space translations).

Proposition 3: The realization of Type I sends any solution $`\psi (t,r)`$ with scaling dimension $`x=1/2(N1)/N`$ of the differential equation

$$𝒮\psi (t,𝒓)=\left(\alpha _t^N+\left(\frac{N}{2}\right)^2_r^2\right)\psi (t,r)=0$$
(15)
into another solution of the same equation.

Proposition 4: The realization of Type II sends any solution $`\psi (t,r)`$ with scaling dimension $`x=(\theta 1)/2+(2\theta )\gamma /(\beta +\gamma )`$ of the differential equation

$$𝒮\psi (t,r)=\left((\beta +\gamma )_t+\frac{1}{\theta ^2}_r^\theta \right)\psi (t,r)=0$$
(16)
into another solution of the same equation.

In both cases, $`𝒮`$ is a Casimir operator of the ‘Galilei’-subalgebra generated from $`X_1,Y_{N/2}`$ and the generalized Galilei-transformation $`Y_{N/2+1}`$. The equations (15,16) can be seen as equations of motion of certain free field theories, where $`x`$ is the scaling dimension of that free field $`\psi `$. These free field theories are non-local, unless $`N`$ or $`\theta `$ are integers, respectively. Of course, the known dynamical symmetries of the free Schrödinger and Klein-Gordon equations are recovered for $`N=1`$ and $`N=2`$.

Phenomenological consequences will be discussed in section 4.

## 3 The case $`z=2`$ and the Schrödinger group

The origin of local scale invariance may be understood in more detail in the special case $`z=2`$. We consider the diffusion equation, in $`d`$ space dimensions

$$\left(2_t\mathbf{}_𝒓\mathbf{}_𝒓\right)\varphi (t,𝒓)=0$$
(17)
For fixed $``$, the Schrödinger group is the maximal kinematic invariance group  on the space of solutions of eq. (17). It is defined by the space-time transformations ($``$ is a rotation matrix and $`\alpha ,\beta ,\gamma ,\delta `$)

$$tt^{}=\frac{\alpha t+\beta }{\gamma t+\delta },𝒓𝒓^{}=\frac{𝒓+𝒗t+𝒂}{\gamma t+\delta };\alpha \delta \beta \gamma =1$$
(18)
and acts projectively on the solutions $`\varphi (t,𝒓)`$ . We now present several new results on the diffusion equation and the Schrödinger group, again in the form of propositions. For details and the proofs we refer to .

Let $`𝔰𝔠𝔥_d`$ be the Lie algebra of (18) and $`𝔠𝔬𝔫𝔣_d`$ is the complexified Lie algebra of the conformal group in $`d`$ dimensions. Time-translations occur in $`𝔰𝔠𝔥_d`$ and are parameterized by $`\beta `$. We now treat the ‘mass’ $``$ not as a constant but as another variable, see . The wave function $`\varphi (t,𝒓)`$ which solves eq. (17) is replaced by $`\psi =\psi (\zeta ,t,𝒓)`$ through

$$\varphi (t,𝒓)=\frac{1}{\sqrt{2\pi }}_{}d\zeta e^{\mathrm{i}\zeta }\psi (\zeta ,t,𝒓)$$
(19)
which in turn satisfies the equation of motion

$$\left(2\mathrm{i}\frac{^2}{\zeta t}+\frac{^2}{𝒓^2}\right)\psi (\zeta ,t,𝒓)=0$$
(20)
While $`𝔰𝔠𝔥_d`$ acts projectively on the wave functions $`\varphi (t,𝒓)`$ (the phase factor depends on $``$), the action on $`\psi (\zeta ,t,𝒓)`$ is via a true representation. Furthermore, we have

Proposition 5: The Lie algebra of the maximal kinetic invariance group of equation (20) is $`𝔠𝔬𝔫𝔣_{d+2}`$. On the space of wave functions $`\psi `$ defined through eq. (19) one has the embedding

$$𝔰𝔠𝔥_d𝔠𝔬𝔫𝔣_{d+2}$$
(21)
It is now of interest to study the subalgebras of $`𝔠𝔬𝔫𝔣_{d+2}`$. In particular, the parabolic subalgebras of $`𝔠𝔬𝔫𝔣_{d+2}`$ can be classified  and we obtain several new subalgebras, called $`\stackrel{~}{𝔞𝔤𝔢}`$ or $`\stackrel{~}{𝔞𝔩𝔱}`$. For the case of one spatial dimension $`d=1`$, we illustrate in figure 2 their definition through the root space of $`𝔠𝔬𝔫𝔣_3B_2`$. To each point of the diagram corresponds a generator of $`𝔠𝔬𝔫𝔣_3`$. For example, the generator of dilatations $`X_0`$ is one of the two generators sitting at the origin (the Cartan subalgebra $`𝔥`$), the generator $`X_1`$ of time translations has the coordinates $`(1,1)`$ and sits in the lower left corner of figure 2abc and the generator $`Y_{1/2}`$ of space translations has the coordinates $`(0,1)`$. Subalgebras of $`𝔠𝔬𝔫𝔣_3`$ are identified by considering all convex subset in this diagram.

Two of these parabolic subalgebras (figure 2bc) still contain the generator for the dilatations $`tb^2t,𝒓b𝒓`$ (which is in the Cartan subalgebra of $`𝔠𝔬𝔫𝔣_3`$) but do not contain time-translations anymore. In particular, $`\stackrel{~}{𝔞𝔤𝔢}_1`$ and $`\stackrel{~}{𝔞𝔩𝔱}_1`$ are candidates for a dynamic symmetry algebra of ageing systems.

While we have worked here in units such that the ‘speed of light’ $`c=1`$, it is possible to reintroduce $`c`$ explicitly into the equations of motion such as eq. (17). It had been claimed in the past that $`𝔰𝔠𝔥_d`$ could be obtained from a group contraction from $`𝔠𝔬𝔫𝔣_{d+1}`$ in the ‘non-relativistic limit’ $`c\mathrm{}`$ . This limit procedure can be made precise in terms of the wave function (19) which satisfies a $`(d+2)`$-dimensional massless Klein-Gordon equation (20). We obtain the result

Proposition 6: The non-relativistic limit $`c\mathrm{}`$ of the conformal group acting on the wave function $`\psi `$ defined through (19) leads to the map

$$𝔠𝔬𝔫𝔣_3\stackrel{~}{𝔞𝔩𝔱}_1$$
(22)
Although $`\stackrel{~}{𝔞𝔩𝔱}_1`$ and $`\stackrel{~}{𝔰𝔠𝔥}_1`$ have the same dimension, they are not isomorphic, see figure 2ac.

The dynamical symmetries of the free diffusion equation may be related to the symmetries of the action $`S`$ of the associated free-field theory. This action may be constructed in the standard fashion following the lines of Martin-Siggia-Rose theory, see e.g.  and references therein. Working with the wave function $`\varphi =\varphi (t,𝒓)`$, we introduce a compound vector $`𝜺=(\delta t,\delta 𝒓)`$ for small coordinate changes. Let $`\eta `$ be the phase which arises in the transformation of the wave function $`\varphi `$ under local coordinate transformations. For local theories we expect the following transformation of the action

$$\delta S=dtd𝒓\left(T_{\mu \nu }^\mu 𝜺^\nu +J_\mu ^\mu \eta \right)+_{t=0}d𝒓\left(U_\nu 𝜺^\nu +V\eta \right)$$
(23)
where $`T_{\mu \nu }`$ is the conserved energy-momentum tensor and $`J_\mu `$ is the conserved probability current. The second term contains the contributions from the initial conditions. This local form permits the derivation of Ward identities and we obtain

Proposition 7: Consider an ageing system described by a local action $`S`$ transforming according to (23) and which is invariant under spatial translations, phase shifts, Galilei transformations and dilatations with $`z=2`$. Then $`\delta S=0`$ under the action of the special Schrödinger transformation $`X_1`$.555$`X_1`$ is the generator of the ‘special’ transformation parameterized by $`\gamma `$ in eq. (18).

This illustrates the conceptual importance of the requirement of Galilei invariance, besides dynamical scaling with $`z=2`$, for full local scale invariance to hold. We stress that time-translation invariance is not required.

Finally, we mention that there exist infinite-dimensional Lie algebras which contain $`𝔰𝔠𝔥_d`$ as subalgebras. For example, the Schrödinger group (18) is a subgroup of the group defined by the transformations $`tt^{}`$ and $`𝒓𝒓^{}`$ where

$$t^{}=\beta (t),𝒓^{}=𝒓\sqrt{\dot{\beta }(t)}\text{ or else }t^{}=t,𝒓^{}=𝒓𝜶(t)$$
(24)
and $`\beta `$ and $`𝜶`$ are arbitrary functions. Whether this has a bearing on the non-equilibrium behaviour of spin systems is still open.

## 4 Scaling functions

From a physical point of view, the wave equations (15,16) discussed in section 2 suggest that the applications of Types I and II are very different. Indeed, eq. (15) is typical for equilibrium systems with a scaling anisotropy introduced through competing uniaxial interactions. Paradigmatic cases of this are so-called Lifshitz points which occur for example in magnetic systems when an ordered ferromagnetic, a disordered paramagnetic and an incommensurate phase meet (see  for a recent review). On the other hand, eq. (16) is reminiscent of a Langevin equation which may describe the temporal evolution of a physical system, with a dynamical exponent $`z=\theta `$. In any case, causality requirements can only be met by an evolution equation of first order in $`_t`$.

We now give the scaling functions $`\mathrm{\Phi },\mathrm{\Omega }`$ in eq. (8) from the assumption that the two-point function $`G`$ transforms covariantly under local scale transformations.

Proposition 8:  Local scale invariance implies that for Type I with $`\theta =2/N`$, the function $`\mathrm{\Omega }(v)`$ must satisfy

$$\left(\alpha _v^{N1}v^2_vNx\right)\mathrm{\Omega }(v)=0$$
(25)
together with the boundary conditions $`\mathrm{\Omega }(0)=\mathrm{\Omega }_0`$ and $`\mathrm{\Omega }(v)\mathrm{\Omega }_{\mathrm{}}v^{Nx}`$ for $`v\mathrm{}`$. For Type II, we have

$$\left(_u+\theta (\beta +\gamma )u_u^{2z}+2\theta (2z)\gamma _u^{1z}\right)\mathrm{\Phi }(u)=0$$
(26)
with the boundary conditions $`\mathrm{\Phi }(0)=\mathrm{\Phi }_0`$ and $`\mathrm{\Phi }(u)\mathrm{\Phi }_{\mathrm{}}u^{2x}`$ for $`u\mathrm{}`$.

Here $`\mathrm{\Omega }_{0,\mathrm{}}`$ and $`\mathrm{\Phi }_{0,\mathrm{}}`$ are constants. The ratio $`\beta /\gamma `$ turns out to be universal and related to $`x`$. From the linear differential equations (25,26) the scaling functions $`\mathrm{\Omega }(v)`$ and $`\mathrm{\Phi }(u)`$ can be found explicitly using standard methods .

## 5 Application to Lifshitz points

Given these explicit results, the idea of local scale invariance can be tested in specific models. Indeed, the predictions for $`\mathrm{\Omega }(v)`$ coming from Type I with $`N=4`$ nicely agree with cluster Monte Carlo data for the spin-spin and energy-energy correlators of the $`3D`$ ANNNI model at its Lifshitz point. The ANNNI model is defined in terms of Ising spins $`\sigma =\pm 1`$ on a hypercubic lattice. The Hamiltonian is

$$=\underset{xyz}{}\sigma _{xyz}\left[\sigma _{xy(z+1)}+\sigma _{x(y+1)z}+\sigma _{(x+1)yz}\right]+\kappa \underset{xyz}{}\sigma _{xyz}\sigma _{xy(z+2)}$$
(27)
where $`\kappa `$ is a constant. Extensive simulations using a generalization  of the Wolff algorithm  and a new method  to reduce finite-size effects in the estimates of correlation functions led to a considerable improvement in the precision of the estimation of the location of the Lifshitz point, viz. $`\kappa _L=0.270(4)`$ and $`T_L=3.7475(50)`$ . The Lifshitz-point exponents $`\alpha _L=0.18(2),\beta _L=0.238(5),\gamma _L=1.36(3)`$, respectively, of the specific heat, the magnetization and the susceptibility were obtained .666The fact that the scaling relation $`\alpha _L+2\beta _L+\gamma _L=2`$ is satisfied up to $`0.8\%`$ gives an a posteriori estimate of the quality of the numerical data. These values are also in good agreement with the results of a careful two-loop study of the $`3D`$ ANNNI model within renormalized field theory which gives $`\alpha _L=0.160`$, $`\beta _L=0.220`$ and $`\gamma _L=1.399`$ . In figure 3, we show the scaling function $`\mathrm{\Psi }(v):=v^\zeta \mathrm{\Omega }(v)`$ of the spin-spin correlator. Here $`\zeta =(2/\theta )(d_{}+\theta )/(2+\gamma _L/\beta _L)`$, where $`d_{}=2`$ is the number of transverse dimensions without competing terms and $`\theta 1/2`$ within the numerical accuracy of the data (see  for a fuller discussion of this point). We see the expected collapse of the data which establishes scaling. In the inset, we compare the data with the prediction of local scale invariance. If $`\theta =2/N=1/2`$, we have $`N=4`$ and expect from proposition 8 that $`\mathrm{\Omega }(v)`$ satisfies

$$\alpha \frac{\mathrm{d}^3\mathrm{\Omega }(v)}{\mathrm{d}v^3}v^2\frac{\mathrm{d}\mathrm{\Omega }(v)}{\mathrm{d}v}4xv\mathrm{\Omega }(v)=0$$
(28)
The are two independent solutions which satisfy the required boundary conditions, such that the form of $`\mathrm{\Omega }(v)`$ depends on a single universal parameter $`p`$. Its value can in turn be estimated by considering universal ratios of moments of $`\mathrm{\Omega }(v)`$, see  for details. In the inset of figure 3, we find perfect agreement with the prediction of local scale invariance.

Replacing the Ising model spins by so-called spherical spins $`s_𝒓`$ such that $`_{𝒓\mathrm{\Lambda }}s_𝒓^2=𝒩`$, where $`𝒩`$ is the number of sites of the lattice, one obtains the exactly solvable ANNNS model. At its Lifshitz point, the spin-spin correlator agrees exactly with the prediction of local scale invariance .777The ANNNS model may be generalized such that Lifshitz points of second order appear as the endpoints of lines of Lifshitz points. This allows for a test of local scale invariance for $`N=6`$ .

On the other hand, the predictions of Type II have been tested extensively in the context of ageing ferromagnetic spin systems which are going to be described in the next section.

## 6 Application to ageing

Time translation invariance does not hold in ageing systems. The simplest way to do this is to remark that the Type II-subalgebra spanned by $`X_0,X_1`$ and the $`Y_m`$ leaves the initial line $`t=0`$ invariant, see (13). Therefore the autoresponse function $`R(t,s)`$ is fixed by the two covariance conditions $`X_0R=X_1R=0`$. Solving these differential equations leads to

Proposition 9:  For a statistical non-equilibrium system which satisfies local scale invariance the autoresponse function $`R(t,s)`$ takes the form

$$R(t,s)=r_0\left(t/s\right)^{1+a\lambda _R/z}\left(ts\right)^{1a},t>s$$
(29)
where $`a`$ and $`\lambda _R/z`$ are the non-equilibrium exponents defined in section 1 and $`r_0`$ is a normalization constant.

The functional form of $`R`$ is completely fixed once the exponents $`a`$ and $`\lambda _R/z`$ are known. Similarly, $`R(t,s;𝒓)=R(t,s)\mathrm{\Phi }\left(r(ts)^{1/z}\right)`$ gives the spatio-temporal response, with the scaling function $`\mathrm{\Phi }(u)`$ determined by (26) . In the $`z=2`$ special case the above result takes a particularly simple form.

Proposition 10:  For an ageing system with dynamical exponent $`z=2`$ and which is invariant under $`𝔞𝔤𝔢_d`$, the two-time spatio-temporal response function is

$$R(t,s;𝒓)=R(t,s)\mathrm{exp}\left[\frac{}{2}\frac{𝒓^2}{(ts)}\right]$$
(30)
where $`R(t,s)`$ is given by eq. (29).

The form of the two-point function does not change if we use $`𝔞𝔩𝔱_d`$ instead.

Ageing systems are often described in terms of Langevin equations of the form

$$\dot{\varphi }(t)=\frac{\delta }{\delta \varphi (t)}+\eta (t)$$
(31)
where $`\eta (t)`$ is assumed to be a Gaussian noise with mean zero and variance $`\eta (t)\eta (t^{})=2T\delta (tt^{})`$. In the context of Martin-Siggia-Rose theory, it can be shown that response functions can be written as a correlator $`R(t,s)=\varphi (t)\stackrel{~}{\varphi }(s)`$ of the order parameter $`\varphi `$ and its associated response field $`\stackrel{~}{\varphi }`$. On the other hand, to each solution $`\varphi (t,𝒓)`$ with positive mass $`>0`$ there exists a conjugate solution $`\varphi ^{}(t,𝒓)`$ which satisfies the diffusion equation with $``$ replaced by $``$ and which can be said to have negative mass.

On the other hand, if we work instead with the wave function $`\psi (\zeta ,t,𝒓)`$ as defined in eq. (19), we can use the embedding $`𝔰𝔠𝔥_d𝔠𝔬𝔫𝔣_{d+2}`$ and the form of the two- and three-point functions is fixed by conformal invariance. For ageing systems, time-translation invariance does not hold and we must restrict to those parabolic subalgebras which do not contain $`X_1`$. We are interested in the linear response functions

$`R_2(t_1,s)`$ $`=`$ $`{\displaystyle \frac{\delta \varphi (t_1)}{\delta h(s)}}=\varphi (t_1)\stackrel{~}{\varphi }(s)`$ (32)
$`R_3(t_1,t_2,s)`$ $`=`$ $`{\displaystyle \frac{\delta \varphi (t_1)\varphi (t_2)}{\delta h(s)}}=\varphi (t_1)\varphi (t_2)\stackrel{~}{\varphi }(s)`$ (33)
Instead, we may also calculate them using the functions $`\psi (\zeta ,t,𝒓)`$ and then find

Proposition 11:  For an ageing system with $`z=2`$ and which is invariant under $`𝔞𝔤𝔢_d`$, the two- and three-time spatio-temporal response functions may be obtained from

$`R_2(t_1,s)`$ $`=`$ $`\varphi (t_1)\varphi ^{}(s)`$ (34)
$`R_3(t_1,t_2,s)`$ $`=`$ $`\varphi (t_1)\varphi (t_2)\varphi ^{}(s)`$ (35)
such that the causality conditions $`t_1>s`$ and $`t_2>s`$ are automatically satisfied.

This suggests the identification of the response field

$$\stackrel{~}{\varphi }=\varphi ^{}$$
(36)
with the conjugate solution of the Schrödinger equation. Explicit expressions for these response functions are known.

Finally, Galilei invariance holds de rigueur only for a vanishing temperature $`T=0`$ and in principle all predictions made on ageing systems so far are restricted to that case.888At $`T=0`$, the ageing behaviour is determined from the properties of the initial state. However, constructing the free-field Martin-Siggia-Rose action it can be seen through the Wick theorem that the perturbative series in $`T`$ terminates after the first term.

Proposition 12:  For an ageing Gaussian system with $`z=2`$ and which is invariant under $`𝔞𝔤𝔢_d`$ and at a temperature $`T<T_c`$, the response function $`R(t,s)`$ agrees to all orders in $`T`$ with eq. (29).

This argument is expected to work in the low-temperature phase, where $`T`$ flows to zero under the action of the renormalization group  so that perturbation theory should be applicable. Direct evidence in favour of this is given below. The independence of the form of $`R(t,s)`$ on the (short-ranged) initial conditions is all the more remarkable since for instance the correlators do depend on them . On the other hand, at $`T=T_c`$ thermal fluctuations and fluctuations of the initial state become simultaneously important. Remarkably enough, there exists good numerical evidence that eq. (29) even holds at $`T=T_c`$ in the $`2D`$ and $`3D`$ Glauber-Ising model . However, a two-loop renormalization group calculation of the O($`n`$) field theory gives a numerically small correction to eq. (29) . The understanding of the rôle of temperature on the validity of Galilei invariance in field theory will require more work.

A quantitative test of the prediction (29) is best carried out through the consideration of an integrated response function, such as the thermoremanent magnetization

$$M_{\mathrm{TRM}}(t,s)=h_0^sduR(t,u)=r_0s^af_M(t/s)$$
(37)
where the system is quenched in a small (random ) magnetic field $`h`$ which is turned off after the waiting time $`s`$ has elapsed. The magnetization is then measured at a later time $`t`$. Local scale invariance furnishes, via (29), an explicit predictions for the scaling function $`f_M(x)`$. In certain cases there may be sizeable correction terms to this scaling form, see  for details.

We now consider ageing in the Glauber-Ising model (2), quenched to a temperature $`T<T_c`$ from a fully disordered initial state. Then the exponents $`a=1/z=1/2`$ and $`\lambda _R1.26`$ and $`1.6`$ in $`2D`$ and $`3D`$, respectively, are known. In figure 4ab, the scaling function $`f_M(x)`$, as obtained from large-scale simulations, is shown for several values of the waiting time $`s`$. In both two and three dimensions, a nice scaling behaviour is found and the form of the scaling function agrees very well with the prediction from eq. (29).

For $`z=2`$, we have seen in section 3 the importance of Galilei invariance as the second building block, besides dynamical scaling, of the local scale invariance of systems whose action $`S`$ transforms according to eq. (23). It is therefore important to test Galilei invariance directly, which can be done by considering the spatio-temporal response $`R(t,s;𝒓)`$ and testing it for the form eq. (30) . We first fix the mass $``$ by studying how the integrated response $`_0^sduR(t,u;𝒓)`$ depends on $`r^2/s`$ for a single fixed value of $`x=t/s`$. Next, a demanding test of the $`𝒓`$-dependence of $`R(t,s;𝒓)`$ can be performed by measuring the spatio-temporally integrated response

$$_0^sdu_0^{\sqrt{\mu s}}drr^{d1}R(t,u;𝒓)s^{d/2a}\rho ^{(2)}(t/s,\mu )$$
(38)
where $`\mu `$ is a control parameter. We stress that the scaling function $`\rho ^{(2)}`$ does not contain any free non-universal parameter at all . As an example, we compare in figure 4c data from $`2D`$ taken with $`\mu =2`$ with eq. (29). Besides the expected scaling, the functional form of the scaling function neatly follows the prediction. We stress that the position, the height and the width of the maximum of $`\rho ^{(2)}`$ in figure 4c are completely fixed. Similar results have been obtained for other values of $`\mu `$ and in $`3D`$ as well. This provides strong evidence that eq. (30) is exact, at least in this model . This is the first time that Galilei invariance in an ageing system has been directly confirmed. It is remarkable that Galilei invariance, which after all was used with a generator which takes the form found for a free particle, is confirmed for a theory which is certainly not a free-field theory.

The prediction (29) for the autoresponse has been confirmed in several physically distinct exactly solvable systems undergoing ageing, including several variants of the kinetic spherical model, the voter model and Brownian motion, see  and references therein. Where applicable, these models also confirm the form (30) of the spatio-temporal response.

Taken together, these confirmations suggest that (29) should hold independently of

1. the value of the dynamical exponent $`z`$
2. the spatial dimensionality $`d>1`$
3. the numbers of components of the order parameter and the global symmetry group
4. the spatial range of the interactions
5. the presence of spatially long-range initial correlations
6. the value of the temperature $`T`$
7. the presence of weak disorder

This provides strong evidence that local scale invariance is indeed realized as a dynamical symmetry in ageing systems.

## 7 Conclusion

Motivated by the observation that dynamical or strongly anisotropic scaling occurs in many physically relevant situations, we have made the hypothesis of dynamical scaling the starting point of our study. Since conformal transformations may be seen as a sort of space-dependent local scale transformations, we have asked ourselves whether an analogous extension might be possible for any given value of the dynamical exponent $`z`$. Indeed, we have shown that infinitesimal transformations of this kind can be explicitly constructed. It turns out that there exist two distinct realizations of these local scale transformations (Type I and Type II) which lead to very different physical consequences.

These purely formal considerations appear to have a bearing on physics, since the predictions of local scale invariance for some two-point functions could be explicitly verified in concrete physical models, which describe either Lifshitz points (Type I) or ageing systems (Type II). Several of these models do not reduce to a free-field theory. We have also indicated in the text some of the open problems which remain and which we hope might be resolved at a later time.

We hope that in the future, the principle of local scale invariance might become useful in order to derive hitherto unexplained properties of dynamic (or strongly anisotropic) phase transitions. For example, is there a way to predict the values of the exponents which we have used here as externally given parameters ?

This work was supported by CINES Montpellier (projet pmn2095) and the Bayerisch-Französisches Hochschulzentrum (BFHZ). MH thanks the Centro de Física Teórica e Computacional (CTFC) of the Universidade de Lisboa for warm hospitality, where this work was finished.


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# Mean-field and fluctuation analyses of a forced turbulence simulated by the lattice Boltzmann method

## I Introduction

Understanding turbulence has not been attained over millenniums. However, new approaches to turbulence have been invented successively.

Recently turbulence data in nature and laboratories are analyzed from new view points. One is based on the exit-time statistics and discusses Kolmogorov’s scaling. The other on the basis of the Rényi-Tsallis statistics discusses the probability distribution functions (PDF).

Our study starts from the application of the above two schemes to our numerical simulation data and aims to obtain some new insight of the turbulence.

Before reporting our study of the turbulence we briefly review here our strategy approaching intermittency problems in other non-equilibrium systems. In the numerical study of the critical spin-state of the Ising model we have observed that the degree of the non-Gaussianity of the Rényi-Tsallis PDF represents that of the non-equilibrium. On the other hand, in the numerical study of a supercooled liquid near the glass transition we have observed that the spatial distribution of the coherently moving regions is well analyzed by the singularity spectrum of multifractal. Since the Rényi-Tsallis statistics can describe the systems with multifractality, the above two observations are closely related.

In these two systems the correlation length of the fluctuations becomes divergently large and we can expect the scale-invariance. A scale-invariant system has multifractal nature. On the other hand, we can also expect the scale-invariance in the turbulent systems at high Reynolds number. Thus we adopt the same strategy to intermittency problem in turbulence.

The next section describes our simulation method. In the following sections the simulation data are analyzed at the mean-field level at first and subsequently taking fluctuations into account. In the final section a brief summary is given.

## II Lattice Boltzmann simulation

We simulate a forced turbulence in real space and time and adopt the lattice Boltzmann method as one of the easiest ways for such a purpose.

The distribution function $`f_i(\stackrel{}{r},t)`$ of the particle with the velocity $`\stackrel{}{c}_i`$ at position $`\stackrel{}{r}`$ and time $`t`$ obeys the lattice Boltzmann equation

$$f_i(\stackrel{}{r}+\stackrel{}{c}_i,t+1)f_i(\stackrel{}{r},t)=\omega [f_i(\stackrel{}{r},t)f_i^0(\stackrel{}{r},t)],$$
(1)
where we have adopted the Bhatnagar-Gross-Krook (BGK) model for the collision term and the time step has been chosen as unity. The position $`\stackrel{}{r}`$ of the particle is restricted on the cubic lattice and the lattice spacing is chosen as unity. The local equilibrium distribution $`f_i^0(\stackrel{}{r},t)`$ is assumed to be given as

$$f_i^0(\stackrel{}{r},t)=w_i\rho [1+3(\stackrel{}{c}_i\stackrel{}{u})+\frac{9}{2}(\stackrel{}{c}_i\stackrel{}{u})^2\frac{3}{2}(\stackrel{}{u}\stackrel{}{u})].$$
(2)
The density $`\rho `$ and the velocity $`\stackrel{}{u}`$ of the fluid are given by the sum of the contributions of the particles as $`\rho =_if_i(\stackrel{}{r},t)`$ and $`\rho \stackrel{}{u}=_if_i(\stackrel{}{r},t)\stackrel{}{c}_i`$, respectively. Using the multiscale analysis the Navier-Stokes equation, which is supposed to be able to describe turbulence, is derived from the present BGK lattice Boltzmann equation and the corresponding viscosity $`\nu =(1/\omega 1/2)/3`$.

In the following we use a 15-velocity model and $`\stackrel{}{c}_i`$ is chosen as $`\stackrel{}{c}_1=(0,0,0)`$, $`\stackrel{}{c}_i=(\pm 1,0,0),(0,\pm 1,0),(0,0,\pm 1)`$ for $`i=2,3,\mathrm{},7`$ and $`\stackrel{}{c}_i=(\pm 1,\pm 1,\pm 1)`$ for $`i=8,9,\mathrm{},15`$. Then the weight factor $`w_i`$ for the local equilibrium distribution is determined as $`w_1=2/9`$, $`w_i=1/9`$ for $`i=2,3,\mathrm{},7`$ and $`w_i=1/72`$ for $`i=8,9,\mathrm{},15`$. The relaxation frequency $`\omega `$ is chosen as $`\omega =1.94`$.

In order to simulate forced turbulence we add the forcing term $`\stackrel{}{g}_i\stackrel{}{F}(\stackrel{}{r},t)`$ due to an applied body force $`\stackrel{}{F}(\stackrel{}{r},t)`$ to the right hand side of Eq. (1). In order to reproduce the Navier-Stokes equation we should choose as $`\stackrel{}{g}_i=\stackrel{}{c}_i/10`$ for the present 15-velocity model. For simplicity we apply a solenoidal force in $`y`$-direction, $`\stackrel{}{F}=(0,F_y(z,t),0)`$, and $`F_y(z,t)`$ is a Gaussian white noise whose variance $`\sigma _F`$ is a function of the lattice coordinate in $`z`$-direction, $`\sigma _F=|0.01\times \mathrm{sin}(2\pi k_fz/L)|`$, where $`L`$ is the linear dimension of the simulation region of cubic box. We have chosen as $`L=200`$ so that $`1x,y,z200`$. We have adopted the periodic boundary condition. Although we have chosen as $`k_f=4`$, the results of the simulation is insensitive to the choice.

In the initial state of the simulation the fluid density is uniform, $`\rho =1`$, and the spatial distribution of the fluid velocity $`\stackrel{}{u}`$ is chosen to be random.

In Fig. 1 we show a snapshot of the vorticity field, $`\stackrel{}{\omega }=\times \stackrel{}{u}`$, in order to visualize a turbulent structure. We see an inhomogeneous distribution of the vortices.

The Reynolds number $`Re`$ for our simulation is estimated as $`Re=\sqrt{\stackrel{}{u}^2}L/2\pi \nu `$ and time-dependent as shown in Fig. 2. Here $`\mathrm{}`$ represents the spatial average. In our simulation we can realize a turbulent state for relatively small Reynolds number, since we add random force.

## III Mean-field behavior

In this section we discuss the mean-field aspects of the velocity field.

Turbulence is one of the typical phenomena with multiscale motions. Each phenomena of a scale strongly couples with all the other scales of turbulent motion. In order to analyze such a system a scale-dependent entropy, the so-called $`ϵ`$-entropy, works well. For example, the time series of the velocity fluctuation in turbulence leads to a non-trivial scaling relation of the $`ϵ`$-entropy, $`h(ϵ)ϵ^3`$, expected from Kolmogorov’s scaling. The existing experimental data are consistent with this scaling. In this section we try to show the consistency of the scaling with our numerical experiment simulating the Navier-Stokes equation.

We focus our attention to the time series of the $`y`$-component $`u_y(\stackrel{}{r},t)`$ of the fluid velocity $`\stackrel{}{u}(\stackrel{}{r},t)`$ as shown in Fig. 3, since our system is anisotropic due to the forcing. This turbulent signal is characterized by the exit-time $`\tau (ϵ;\stackrel{}{r})`$ at position $`\stackrel{}{r}`$. At the exit-time $`t=\tau (ϵ;\stackrel{}{r})`$ the first exit satisfying the condition, $`|u_y(\stackrel{}{r},t_0+\tau )u_y(\stackrel{}{r},t_0)|>ϵ/2`$, occurs. Here the time $`\tau `$ is measured from $`t_0`$ and $`t_0=1000`$ in our simulation regarding the states at the first 1000 time-steps as transitional.

The mean of the exit-time, $`\tau (ϵ)\tau (ϵ;\stackrel{}{r})`$, is related to the $`ϵ`$-entropy, $`h(ϵ)`$, as

$$h(ϵ)\frac{1}{\tau (ϵ)}.$$
(3)
In the region where Kolmogorov’s scaling, the 4/5 law, holds the velocity difference between two points behaves as

$$|\stackrel{}{u}(\stackrel{}{r}+\stackrel{}{R},t_0)\stackrel{}{u}(\stackrel{}{r},t_0)||\stackrel{}{R}|^{1/3}.$$
(4)
Using Taylor’s hypothesis, we obtain

$$|\stackrel{}{u}(\stackrel{}{r},t_0+\tau )\stackrel{}{u}(\stackrel{}{r},t_0)|\tau ^{1/3},$$
(5)
as a mean-field description. In spite of the absence of the global flow in our simulation Taylor’s hypothesis is valid in a local sense as shown in the following. Namely in the mean-field description the velocity difference in temporal and spatial directions have the same fractal scaling exponent. With Eq. (5) the definition of the exit-time leads to $`\tau (ϵ)^{1/3}ϵ`$. From Eq. (3) we can conclude that $`h(ϵ)ϵ^3`$ in the above mean-field description.

In accordance with the above scaling analysis our simulation data for $`1/\tau (ϵ)`$ shown in Fig. 4 have the scaling region for $`ϵ>ϵ_0`$ where $`ϵ_00.04`$. Thus by our simulation we have established that $`h(ϵ)ϵ^3`$. For $`ϵϵ_0`$ the exit in the simulation occurs within one time step and the curve saturates at small $`ϵ`$. These behaviors are consistent with the experimantal data.

In Fig. 5 the result of the similar analysis in spatial direction is shown. In place of $`\tau (ϵ)`$ we measure $`r(ϵ)`$ where at the exit-length $`r=r(ϵ;\stackrel{}{r})`$ the first exit satisfying the condition, $`|u_y(x+r,y,z,t)u_y(x,y,z,t)|>ϵ/2`$, occurs at a time $`t`$. Here $`r(ϵ)=r(ϵ;\stackrel{}{r})`$. Because of the smallness of the number of the available data in space direction, 200, in comparison with that in time direction, 7000, the scaling region is narrow. Since $`1/\tau (ϵ)`$and $`1/r(ϵ)`$ have the same scaling exponent, Taylor’s hypothesis is confirmed to be valid.

In conclusion we have confirmed Kolmogorov’s scaling and Taylor’s hypothesis at the same time. In contrast to the evaluation of the energy spectrum, which is usually employed for testing Kolmogorov’s scaling and determined by the two-point correlation function, Kolmogorov’s scaling is easily observed in the $`ϵ`$-entropy, since it is a mean-field description and fluctuations are averaged out. Such a mean-field scaling is a unifractal description and fluctuations can be taken into account in a multifractal analysis as shown in the following.

## IV Fluctuations: qualitative observation

We have discussed the mean-field aspects of the velocity field in the preceding section. Next we discuss the fluctuations of the velocity field. In this section we make a qualitative observation using the correlation maps.

In Fig. 6 we show the space correlation. The correlation decays as the length scale is increased. In Fig. 7 we show the time correlation. The correlation decays as the time scale is increased. At small length or time scale the strong correlation leads to a non-equilibrium state which is identified as the coherent vortex in the following section.

We see a multiscale structure in the correlation map, Fig. 8, which is one of the characteristics of turbulence neither periodic nor random.

## V Fluctuations: non-equilibrium nature

We have discussed the qualitative aspects of the velocity fluctuation in the preceding section. Next we try to quantify the fluctuation by two measures. One is the non-equilibrium parameter used in this section and the other is the singularity spectrum in the next section.

In order to analyze the distribution of the fluctuation we use the Rényi-Tsallis PDF

$$P(X)=P_0[1+\frac{q1}{2\sigma _X^2}X^2]^{\frac{1}{1q}},$$
(6)
for a variable $`X`$. Here the parameter $`q`$ represents the degree of non-equilibrium. To be precise, the deviation of $`q`$ from unity is the measure for the degree of non-equilibrium, since the equilibrium Gaussian distribution is expressed by Eq. (6) in the limit of $`q1`$.

The PDF in Eq. (6) is derived from the Rényi or Tsallis entropy by using the maximum entropy principle. The Tsallis entropy is non-extensive, while the Rényi entropy is extensive. The functional form of the distribution is independent of the choice of the entropy, the Rényi or Tsallis, so that our result is independent of the extensivity of the entropy.

We show the PDF for the velocity difference between two points in Fig. 9 and the vorticity difference in Fig. 10. The $`q`$-value of the PDF is length-scale dependent. Similarly the PDF for the velocity or vorticity difference between two times at a point is time-scale dependent. In any case the degree of non-equilibrium is larger at smaller spatio-temporal scales where the correlation survives. As shown later on, the formation of the coherent vortex structure sustains the strong correlation leading to non-Gaussian PDF. At larger scales the contribution of the structureless incoherent background among vortices dominates. This incoherency leads to Gaussian PDF. The Gaussian PDF is a parabola in the semi-logarithmic plane as Fig. 9 and Fig. 10.

Although our data in Fig. 9 are not enough to discuss the scaling between $`q`$ and $`r`$ quantitatively, we have to derive such a relation in our future study. Already a scaling relation between $`q`$ and $`r`$ has been proposed under the assumption of a cascade picture. On the other hand, another scheme with a $`r`$-independent $`q`$-value has been proposed under the assumption of another cascade picture. In contrast to these two approaches our analysis has nothing to do with cascades.

In Fig. 11 we show the PDF for the vorticity itself taken from a snapshot of the vorticity field. This PDF is also non-Gaussian. The Gaussian components can be removed from the snapshot by using the wavelet denoising technique. It can be seen from the coincidence between the left and right panels in Fig. 12 that the non-Gaussian components corresponds to the vortices. Here the Gaussian component is filtered out by the wavelet denoising in the right panel. This visualization is not new, since it has already been done in the study of the coherent vortex simulation. Our new contribution is to clarify the origin of the scale-dependent $`q`$-value in terms of the coherent vortex structure. The strong correlation leading to the non-Gaussian PDF at smaller scales is sustained in the inner region of the vortices, while the PDF at larger scales than the vortex size tends to Gaussian. In other words the inner region is coherent and the outer is incoherent.

## VI Fluctuations: multifractal nature

We have discussed the local nature of the vortex as the elemntary excitation in the preceding section. In this section we discuss the spatial distribution of the vortices in a global point of view.

First we make a qualitative observation. Already as seen in Fig. 12 the spatial distribution of the coherent vortices is intermittent. In Fig. 13 we also see a intermittent behavior for the derivative of the vorticity. Similar intermittent behavior is observed in experimental data.

Next we quantify the intermittency by introducing the measure, $`\mu _k(l)`$, defined as the probability of finding a coherent vortex in the $`k`$-th cubic box of the linear dimension $`l`$ in a snapshot of the vorticity field. The total number of the boxes $`N_L=(L/l)\times (L/l)`$ where $`L`$ is the linear dimension of the simulation region. The measure behaves as

$$\mu _k(l)l^{\alpha _k},$$
(7)
for small $`l/L`$. The number density $`N(\alpha )`$ for the exponent $`\alpha _k`$ is defined as

$$N(\alpha )\underset{k}{}\delta (\alpha \alpha _k)l^{f(\alpha )}.$$
(8)
This relation defines the singularity spectrum, $`f(\alpha )`$, which is the key quantity to qualify multifractal systems. Using the normalized $`q`$-th moment $`\mu _k(q,l)`$ of the measure $`\mu _k(l)`$,

$$\mu _k(q,l)=\{\mu _k(l)\}^q/\underset{k^{}=1}{\overset{N_L}{}}\{\mu _k^{}(l)\}^q,$$
(9)
the sigularity spectrum $`f(\alpha )`$ is obtained by the following formulae,

$$\alpha (q)=\underset{k=1}{\overset{N_L}{}}\mu _k(q,l)\mathrm{ln}\mu _k(l)/\mathrm{ln}(l/L),$$
(10)
and

$$f(\alpha (q))=\underset{k=1}{\overset{N_L}{}}\mu _k(q,l)\mathrm{ln}\mu _k(q,l)/\mathrm{ln}(l/L).$$
(11)
In Fig. 14 we show the singularity spectrum for the coherent vortex. For simplicity we have used the definition $`N_k/N_L=l^{\alpha _k}`$ where $`N_k`$ is the number of lattice points satisfying the condition $`\omega _z>\omega _z`$. The spectrum is similar to the typical one measured for the energy-dissipation rate by experiments or simulations.

In the last part of this section we give some speculations. As seen in our previous study the width of the singularity spectrum depends on the degree of intermittency so that we expect some Reynolds-number dependence of the spectrum. It has been discussed by many authors and should be claryfied in future systematic study. In our present study the density of the vortex is dilute as seen in Fig. 12. Thus the singularity spectrum in Fig. 14 describes the spatial distribution of relatively free vortices. As the Reynolds number is increased the density increases. In this case the interaction among vortices becomes important and the correlation length of the vorticity fluctuation becomes large. While we can observe the vortex only as an individual elementary excitation in our numerical experiment, some collective excitation is expected to dominate at higher Reynolds number. In the limit of divergently large Reynolds number the correlation length becomes divergently large so that we can expect full scale-invariance. We can find a resemblance to the case of the scaling theory in polymers where an ideal scaling relation is realized for dense solutions where polymers are strongly entangled. In the limit of high Reynolds number each boxes counting the coherent vortex will be filled by almost equal number of vortices so that intermittency will disappear and unifractal Kolmogorov’s scaling will prevail.

## VII Summary

Numerical simulation data, in real space and time, for a forced turbulence on the basis of the lattice Boltzmann method have been analyzed by unifractal and multifractal schemes.

Our new findings are summarized into two points. First in the unifractal analysis using the exit-time statistics we have verified Kolmogorov’s scaling and Taylor’s hypothesis at the same time. Second in the analysis using the Rényi-Tsallis PDF and the wavelet denoising we have clarified that the coherent vortices sustain the power-law velocity correlation in the non-equilibrium state.

Finally in the multifractal analysis it is clarified that the intermittent distribution of the coherent vortices in space-time is described as a multifractal.

This work was supported in part by a Grand-in-Aid for Scientific Research from the Ministry of Education, Culture, Sports, Science and Technology of Japan.