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# 1 Introduction.

## 1 Introduction.

The percolation problem has for many years been of great interest to theoretical physicists and mathematicians, in part because it is so simply stated yet so full of fascinating results. It embodies many of the important concepts of critical phenomena, yet is purely geometrical in nature.

Percolation studies the clustering properties of identical objects which are randomly and uniformly distributed through space. In lattice bond percolation, the links of a regular lattice, of edge length $`a`$, are either open or closed. In the simplest version of the model, the open bonds are independently distributed with a probability $`p`$ for each to be open (and $`1p`$ to be closed.) In site percolation, the bonds are all assumed to be open, but now each site is open with probability $`p`$. In both cases we study the statistical properties of clusters of neighbouring open bonds and sites. When $`p`$ is small, the mean cluster size is also small, but, in more than one dimension, there is a critical value $`p_c`$ of $`p`$, called the percolation threshold, at which the mean cluster size diverges. For $`p>p_c`$ there is a finite probability that a given site belongs to an infinitely large cluster.111 There are also so-called continuum versions of percolation, for example the clusters formed by hard spheres of a given radius $`a`$ which are distributed independently so that they may overlap. In all cases, however, a finite microscopic length $`a`$ is necessary to define the notion of clustering.

In these lectures, we shall be concerned with properties of the continuum limit of percolation. This may be defined as follows (we consider two dimensions from now on): consider a finite region $``$ of the plane, bounded by a curve $`\mathrm{\Gamma }`$. Consider a percolation problem on a sequence of lattices $`_a`$ covering $``$, constructed in such a way that the lattice spacing $`a0`$ keeping the size of $``$ fixed. Obviously when we do this, such quantities as the total number of clusters in $``$ will diverge as $`a0`$, so we need to identify some suitable quantities which might have a finite limit. An example is afforded by the crossing probabilities. Suppose for simplicity that $``$ is simply connected, and let $`\gamma _1`$ and $`\gamma _2`$ be two disjoint segments of $`\mathrm{\Gamma }`$ (see Fig. 1). Then a crossing event is a configuration of bonds (or sites) on the lattice $`_a`$ such that there exists at least one cluster, wholly contained within $``$, containing both at least one point of $`\gamma _1`$ and of $`\gamma _2`$.

Let $`P(\gamma _1,\gamma _2;_a)`$ be the probability of this event. Then the following statements are all conjectured to be true:

* $`P(\gamma _1,\gamma _2;_a)`$ has a finite limit, denoted by $`P(\gamma _1,\gamma _2)`$, as $`a0`$, which (under a broad class of conditions) is independent of the particular form of $``$, of the precise way in which $``$ intersects the boundary $`\mathrm{\Gamma }`$, and of whether the microscopic model is formulated as bond, site, or any other type of percolation, as long as there are only short-range correlations in the probability measure.222Of course, this limit is interesting only at $`p=p_c`$. For $`p<p_c`$, $`lim_{a0}P=0`$, because all clusters are finite (in units of $`a`$), while for $`p>p_c`$ the infinite cluster always spans, so the limit is 1.
* $`P(\gamma _1,\gamma _2)`$ is invariant under transformations of $``$ which are conformal in its interior (but not necessarily on its boundary $`\mathrm{\Gamma }`$).
* The Riemann mapping theorem allows us to conformally map the interior of $``$ onto the interior of the unit disc $`|z|<1`$ of the complex plane. Suppose that the ends of the segments are thereby mapped into the points $`(z_1,z_2,z_3,z_4)`$ (see Fig. 1 for the labelling). Then $`P(\gamma _1,\gamma _2)`$ is a function only of their cross-ratio

$$\eta \frac{(z_1z_2)(z_3z_4)}{(z_1z_3)(z_2z_4)},$$
(1)
and has the explicit form

$$P=\frac{\mathrm{\Gamma }(\frac{2}{3})}{\mathrm{\Gamma }(\frac{4}{3})\mathrm{\Gamma }(\frac{1}{3})}\eta ^{{\scriptscriptstyle \frac{1}{3}}}{}_{2}{}^{}F_{1}^{}(\frac{1}{3},\frac{2}{3};\frac{4}{3};\eta )$$
(2)
where $`{}_{2}{}^{}F_{1}^{}`$ is the hypergeometric function.
* Moreover, if the random variable $`N_c(\gamma _1,\gamma _2;_a)`$ denotes the total number of distinct clusters which cross from $`\gamma _1`$ to $`\gamma _2`$, then the whole probability distribution of $`N_c`$ also has a finite limit as $`a0`$ and is conformally invariant, depending only on $`\eta `$. In particular the mean number of such crossing clusters is

$$E[N_c]=\frac{1}{2}\frac{\sqrt{3}}{4\pi }\left[\mathrm{ln}(1\eta )+2\underset{m=1}{\overset{\mathrm{}}{}}\frac{\mathrm{\Gamma }(\frac{1}{3}+m)\mathrm{\Gamma }(\frac{2}{3})}{\mathrm{\Gamma }(\frac{2}{3}+m)\mathrm{\Gamma }(\frac{1}{3})}\frac{(1\eta )^m}{m}\right]$$
(3)

Equations (2,3) are just two among many similar results which may been obtained using methods of conformal field theory developed by theoretical physicists. At first sight, the appearance of formulas like these may seem quite mysterious to those used to thinking about percolation as a lattice problem. It is certainly true that the methods originally used to derive them are not, so far, mathematically rigorous.333S. Smirnov has recently given a proof of (2) using other methods. But there is no doubt that they are correct - (2) has been numerically tested to great precision in a number of cases, and, moreover, once the existence of a conformally invariant continuum limit is accepted, the formulas follow from very classical mathematical methods. It is the purpose of these lectures to give some idea to a non-specialist audience of how these kinds of results arise. Inevitably I shall not be able to cover all the details, but hopefully the lectures will provide a basis from which to explore the literature further.444The main text includes only those concepts and arguments needed to arrive at the final conclusion. Footnotes will indicate how these ideas fit within the more general framework of conformal field theory. For reasons of time I will focus on the derivation of the above formulae, which is mostly my own work, as well as mention some other recent alternative derivations. This is not to overlook the work of others on other important results in percolation, particularly that of Nienhuis, Duplantier, Saleur and others on the Coulomb gas approach, which is better suited to systems without boundaries.

## 2 Percolation, the random cluster model, and the Potts model.

The emphasis in this course will be on the analogy between percolation and conventional critical behaviour in spin systems. This is through a well-known mapping first discovered by Fortuin and Kastelyn. The Potts model is a generalisation of the Ising model in which the spins $`s(r)`$ at each site of a lattice take the values $`(1,2,\mathrm{},Q)`$, where, initially, $`Q`$ is an integer larger than 1. The energy is the sum over all nearest neighbour pairs $`(r^{},r^{\prime \prime })`$ of sites (i.e. a sum over all bonds) of $`J\delta _{s(r^{}),s(r^{\prime \prime })}`$. Thus the partition function is

$$Z=\mathrm{Tr}\mathrm{exp}(\beta J\underset{r^{},r^{\prime \prime }}{}\delta _{s(r^{}),s(r^{\prime \prime })})$$
(4)
Apart from an overall unimportant constant this may be rewritten as

$$Z=\mathrm{Tr}\underset{r^{},r^{\prime \prime }}{}\left((1p)+p\delta _{s(r^{}),s(r^{\prime \prime })}\right)$$
(5)
where $`p=1e^{\beta J}`$.

Now imagine expanding out the product. If there are $`B`$ bonds on the lattice there will be $`2^B`$ terms in this expansion. Each term may be associated with a configuration in which each bond of the lattice is open (if we choose the term $`p`$), or closed (if we choose the term $`(1p)`$). Sites connected by open bonds form clusters, and the Kronecker deltas force the all the spins in a given cluster to be in the same state. When we trace over the spins, each cluster will have only one free spin, so will give a factor $`Q`$. Thus we can write $`Z`$ as a sum over configurations $`𝒞`$ of open bonds:

$$Z=\underset{𝒞}{}p^{|𝒞|}(1p)^{B|𝒞|}Q^{N(𝒞)}$$
(6)
where $`N(𝒞)`$ is the number of distinct clusters in $`𝒞`$. Note that in this form, at least for a finite lattice, $`Z`$ is a polynomial in $`Q`$ and therefore its definition may be extended to non-integer values of $`Q`$.

The weights in (6) define the random cluster model. Of course, in percolation, each cluster is weighted with a factor 1, so it corresponds to $`Q=1`$. In that case, the sum is simply over all possible configurations weighted by their probabilities, so $`Z(Q=1)=1`$. However, there is nontrivial information in the correlation functions. For example, the probability that sites $`r_1`$ and $`r_2`$ are in the same cluster is given by the limit as $`Q1`$ of

$$\delta _{s(r_1),a}\delta _{s(r_2),a}\delta _{s(r_1),a}\delta _{s(r_2),b}$$
(7)
where $`a`$ and $`b`$ are any two different Potts states.555 This follows from a similar argument to that which gives the crossing probabilities in terms of partition functions, described later. From (6) we can also calculate quantities like the mean total number of clusters by differentiating with respect to $`Q`$:

$$E[N]=(/Q)|_{Q=1}Z(Q)$$
(8)
It is important establish how quantities like the crossing probabilities may be related to those in the Potts model. For this we need to bring in the notion of boundary conditions. Consider a Potts model defined on a lattice $``$ which covers the region $``$ of the plane, as described in the Introduction. We consider the boundary of $``$ as being the set of sites which lie just outside $``$ but are adjacent to sites within $``$. These boundary sites form a discrete approximation to the boundary $`\mathrm{\Gamma }`$. On these boundary sites, there are two simple and natural boundary conditions we might impose on the Potts spins: free, which means that we sum freely over them in the partition function; and fixed, in which case they are all fixed into some particular Potts state, say $`a`$.

Notice that if we take the same boundary condition on the whole boundary, then in the limit $`Q1`$ partition functions with either free or fixed boundary conditions become the same, $`Z=1`$, since all spins must be in the same state! But we can get something nontrivial if we allow the boundary conditions to be different on different parts of the boundary. In particular, consider the geometry of Fig. 1, and suppose the boundary spins are fixed on the segments $`\gamma _1`$ and $`\gamma _2`$, and free on the rest of the boundary. By the permutation symmetry of the Potts states, there are two possible different cases: when the fixed states on $`\gamma _1`$ and $`\gamma _2`$ are the same, for example $`a`$; or when they are different, say $`a`$ and $`b`$. Let us denote the partition functions in the two cases by $`Z_{aa}(Q)`$ and $`Z_{ab}(Q)`$ respectively. Now each configuration $`𝒞`$ either has, or does not have, a cluster which spans between $`\gamma _1`$ and $`\gamma _2`$ (see Fig. 2).

Those which do not have a spanning cluster contribute to both partition functions (with the appropriate weights), but configurations which do cannot contribute to $`Z_{ab}(Q)`$, since the existence of the cluster would force spins on the two segments to be in the same state, which is not true by assumption. Thus we have a simple relation for the crossing probability, on the lattice:666Note that the crossing probability in the random cluster model with $`Q1`$ is not given by the (normalised) difference $`(Z_{aa}Z_{ab})/Z_{aa}`$, since this counts clusters which touch $`\gamma _1`$ and/or $`\gamma _2`$ with weight 1, rather than $`Q`$.

$$P(\gamma _1,\gamma _2;)=\underset{Q1}{lim}\left(Z_{aa}(Q)Z_{ab}(Q)\right)$$
(9)
Remember that each of these is a polynomial in $`Q`$, so that $`Z_{ab}`$ makes perfect sense at $`Q=1`$, even though it might seem that we need at least two states to define it.777We can think of the crossing probability as $`P(N_c1)`$, where $`N_c`$ is the number of crossing clusters. It is also possible to design more complicated boundary conditions which give $`P(N_cn)`$ for any integer $`n1`$. See .

With only slightly more effort we can relate the mean number of distinct crossing clusters $`E[N_c]`$ to partition functions. Consider once again the geometry of Fig. 1, but now subdivide the clusters into those which touch neither $`\gamma _1`$ nor $`\gamma _2`$, those which touch $`\gamma _1`$ but not $`\gamma _2`$, those which touch $`\gamma _2`$ but not $`\gamma _1`$, and finally the crossing clusters, which touch both $`\gamma _1`$ and $`\gamma _2`$. Denote the number of each such cluster in each configuration by $`N_0`$, $`N_L`$, $`N_R`$ and $`N_c`$ respectively (see Fig. 3.)

Since clusters which touch a boundary where the Potts spins are fixed are counted with weight 1, while those which are free are counted with weight $`Q`$, it follows that

$`Z_{ff}`$ $`=`$ $`Q^{N_c+N_L+N_R+N_0}Z_{aa}=Q^{N_0}`$ (10)
$`Z_{af}`$ $`=`$ $`Q^{N_R+N_0}Z_{fa}=Q^{N_L+N_0}`$ (11)
where $`f`$ now denotes that the boundary spins are free on that portion of the boundary (they are always free on the complement of $`\gamma _1\gamma _2`$.) Then straightforward algebra shows that

$$N_c=(/Q)|_{Q=1}(Z_{ff}+Z_{aa}Z_{fa}Z_{af})=(/Q)|_{Q=1}(Z_{ff}Z_{aa}/Z_{fa}Z_{af})$$
(12)
where the last equality holds because all the partition functions equal 1 at $`Q=1`$.

It will be the aim in the rest of these lectures to derive explicit expressions for these partition functions, in the continuum limit, and for $`Q`$ close to 1.

## 3 The continuum limit of critical lattice models.

The Potts model in two dimensions is known to have a critical point, with a divergent correlation length, for $`0Q4`$. We now move onto less solid ground. What I am now going to assert is based on evidence from the exactly solved Ising model $`Q=2`$, as well as the analysis of renormalised perturbation theory near the upper critical dimension.

At the critical point, these theories are believed to be scale invariant. What this means for correlation functions is the following. Consider for example, the correlations $`s(r_1)s(r_2)\mathrm{}s(r_n)`$ of the local lattice magnetisation in the Ising model. Since $`s(r)=\pm 1`$, this quantity has no dimensions. At the critical point, in the limit where the lattice spacing $`a0`$ with the points $`r_j`$ kept fixed, it behaves like $`a^{nx}`$ times a function of $`r_1,\mathrm{},r_n`$, where $`x`$ is a pure number (equal to $`\frac{1}{8}`$ for the Ising model magnetisation.) This means that we can define a scaling operator $`\varphi (r)a^xs(r)`$ such that the limit $`a0`$ of the correlation functions $`\varphi (r_1)\varphi (r_2)\mathrm{}\varphi (r_n)`$ exists. The pure number $`x`$, which we should denote as $`x_\varphi `$, is called the scaling dimension of $`\varphi `$.

Moreover, as long as the original lattice model has sufficient symmetry under finite rotations, the limit is invariant under infinitesimal rotations. Thus, far away from any boundaries, the two-point correlation function $`\varphi (r_1)\varphi (r_2)`$ depends on the separation $`|r_1r_2|`$ only, and, on dimensional grounds, must therefore have the form888In the case of the magnetisation, $`2x_\varphi `$ is conventionally denoted by $`(d2+\eta )`$.

$$\varphi (r_1)\varphi (r_2)=\mathrm{const}.|r_1r_2|^{2x_\varphi }$$
(13)
The above statement is strictly true only when the points $`r_j`$ are distinct, in the limit $`a0`$. That is, they are separated by an infinite number of lattice spacings. When their relative distances are kept fixed in units of $`a`$, other scaling operators may arise. For example, the product $`s(r_1^{})s(r_1^{\prime \prime })`$ on neighbouring sites may be thought of as being proportional to the local energy density in the Ising model. Correlation functions of this quantity behave in a similar way to those of the magnetisation, but they define a different scaling operator, with a different scaling dimension. In general there is an infinite number of scaling operators $`\varphi _k(r)`$, each with their own scaling dimensions $`x_k`$. Arbitrary local products $`S_j`$ of spins which are separated by distances $`O(a)`$, are given asymptotically as linear combinations of these scaling operators:

$$S_j(r)=\underset{k}{}A_{jk}a^{x_k}\varphi _k(r)$$
(14)
where the dimensionless coefficients $`A_{jk}`$ are of order unity, and correlations of the scaling operators all have a limit as $`a0`$. These are rotationally and translationally invariant (far from a boundary), and also scale covariant: under a scale transformation $`rr^{}b^1r`$

$$\varphi _1(r_1^{})\varphi _2(r_2^{})\mathrm{}\varphi _n(r_n^{})=b^{_kx_k}\varphi _1(r_1)\varphi _2(r_2)\mathrm{}\varphi _n(r_n)$$
(15)
In (14) the coefficients depend on the particular lattice and so on, but the scaling dimensions $`x_\varphi `$ are universal. For example, in the Potts model they depend only on $`Q`$ and the dimensionality of the system, assuming that the interactions are short-ranged.999 One of the important properties of the scaling operators is that they are complete in the following sense. If, in the above correlation function, we take the separation $`|r_1r_2|`$ to be much smaller than the distances $`|r_1r_k|`$ to the other points with $`k3`$, this correlation function may be expressed as a sum over correlation functions with only a single operator at the mid-point, say, of $`r_1`$ and $`r_2`$: $`\varphi _1(r_1)\varphi _2(r_2)\mathrm{}=_kc_{12k}|r_1r_2|^{x_kx_1x_2}\varphi _k((r_1+r_2)/2)\mathrm{}`$ where the dependence on $`r_1r_2`$ is dictated by scale covariance and rotational invariance (we have assumed that all the operators are scalar under rotations, which is a slight over-simplification). The important thing is that the coefficients $`c_{ijk}`$ are also universal, and in particular independent of the other operators hidden in the $`\mathrm{}`$. We can thus remove the $`\mathrm{}`$. The result is called the operator product expansion (OPE).

### 3.1 Boundary operators.

The above statements about the existence of the continuum limit remain valid in the presence of boundaries. Of course the boundary now breaks global rotational and translational invariance. Taking for simplicity the boundary to run along the real axis, so that the system occupies the upper half-plane $`y>0`$, then the two-point function of a scaling operator has the general form

$$\varphi (x_1,y_1)\varphi (x_2,y_2)=(y_1y_2)^{x_\varphi }F(|x_1x_2|/y_1,|x_1x_2|/y_2)$$
(16)
where $`F`$ is a scaling function. This is valid for all $`y_1`$ and $`y_2`$ strictly positive, in the limit $`a0`$. $`F`$ behaves in such a way as to recover the bulk result $`((x_1x_2)^2+(y_1y_2)^2)^{x_\varphi }`$ as both $`y_1`$, $`y_2\mathrm{}`$, but it turns out that the limit as $`y_1`$ and/or $`y_20`$ is singular. In that limit we find instead the behaviour

$$\varphi (x_1,y_1)\varphi (x_2,y_2)\underset{k}{}B_k^2(y_1y_2)^{x_\varphi +\stackrel{~}{x}_k}|x_1x_2|^{2\stackrel{~}{x}_k}$$
(17)
where the $`B_k`$ are (universal) constants and the $`\stackrel{~}{x}_k`$ are a set of boundary scaling dimensions. Thus there is a separate set of scaling operators $`\stackrel{~}{\varphi }_k`$ defined on the boundary $`y=0`$, which have scaling dimensions $`\stackrel{~}{x}_k`$ which are in general different from those in the bulk.101010(17) is equivalent to the bulk-boundary expansion $`\varphi (x,y)=_kB_ky^{x_\varphi +\stackrel{~}{x}_k}\stackrel{~}{\varphi }_k(x)`$. It turns out that the set of such operators depends not only on the bulk universality class, but also on the nature of the boundary condition, for example whether the lattice spins are free or fixed.

### 3.2 Boundary condition changing operators.

Once the idea of boundary scaling operators was understood, it was realised that, at least in two dimensions when the boundary is one-dimensional, there is another set of objects which should possess similar properties under scale transformations. These are points on the boundary where the boundary condition changes from one type to another. Let us illustrate this with a relevant example from the Potts model. Consider a Potts model in the half-disc $`r<R`$, $`y0`$, see Fig. 4.

Compare the case when (a) the boundary conditions on the Potts spins are free ($`f`$) at every point of the boundary except for the interval $`(z_1,z_2)`$ of the real axis, where they are fixed to state $`a`$, to the case (b) when they are free everywhere on the boundary. Denote the corresponding partition functions by $`Z_{af}`$ and $`Z_f`$. Then the ratio $`Z_{af}/Z_f`$ has a finite limit as $`R\mathrm{}`$, 111111This is not obvious, at criticality, and needs to be proved. which therefore depends only on $`|z_1z_2|`$. We may think of this ratio as defining the two-point correlation function of boundary condition changing operators (bcc operators) with a well-defined scaling dimension:

$$\varphi _{f|a}(z_1)\varphi _{a|f}(z_2)\underset{a0}{lim}a^{2x_\varphi }(Z_{af}/Z_f)|z_1z_2|^{2x_\varphi }$$
(18)
Within the Potts model, we expect the scaling dimension of this bcc operator to be universal, depending only on $`Q`$. More complicated sets of boundary conditions may be considered. For example, the partition function $`Z_{ab}`$ in (9) which we shall need to compute the crossing probability is related to the correlation function $`\varphi _{f|a}\varphi _{a|f}\varphi _{f|b}\varphi _{b|f}`$.

### 3.3 Finite-size scaling of the transfer matrix.

Consider now a lattice model defined on an infinitely long strip of width $`L`$, parametrised by the coordinates $`(u,v)`$ with $`0vL`$. We could consider periodic boundary conditions in the $`v`$-direction, but for our purposes it will be more useful to think about particular boundary conditions, labelled say by $`\alpha `$ and $`\beta `$ (which do not have to be the same) on either edge of the strip. A convenient way of discussing this geometry is through the transfer matrix121212I shall attempt to be consistent and denote true operators by a hat $`(\widehat{})`$. Note that the scaling ‘operators’ introduced earlier are not true operators, but simply local densities, which commute with each other. $`\widehat{T}_{\alpha \beta }(L)`$, which is a finite matrix whose rows and columns are labelled respectively by the states of the spins in neighbouring rows $`(u,u+a)`$, and whose elements are the Boltzmann weights for the two rows. If we take the strip to have finite length $`W`$ in the $`u`$-direction, with periodic boundary conditions in that direction, the partition function is given by

$$Z=\mathrm{Tr}\widehat{T}^{W/a}=\underset{n}{}\mathrm{\Lambda }_n^{W/a}$$
(19)
where the $`\mathrm{\Lambda }_n`$ are a complete set of eigenvalues of $`\widehat{T}`$ (which of course depend on $`\alpha `$, $`\beta `$ and $`L`$.) In this picture the lattice spins $`s(u,v)`$ themselves become matrices $`\widehat{s}(v)`$ (diagonal in this basis), acting on the same space as does $`\widehat{T}`$. If the eigenstate corresponding to the largest eigenvalue of $`\widehat{T}`$ is denoted by $`|0`$, then a two-point correlation function may be written

$$s(u_2,v_2)s(u_1,v_1)=0|\widehat{s}(v_2)(\widehat{T}/\mathrm{\Lambda }_0)^{(u_2u_1)/a}\widehat{s}(v_1)|0$$
(20)
and so, by inserting a complete set of eigenstates of $`\widehat{T}`$, we see that it decays along the strip as a sum of terms of the form $`(\mathrm{\Lambda }_n/\mathrm{\Lambda }_0)^{(u_2u_1)/a}`$ such that $`n|\widehat{s}|00`$. Similar equations hold for the correlation function of any local product $`\widehat{S}_j(v)`$ of lattice spins.

How do these quantities behave in the continuum limit $`a0`$, with $`L`$ fixed? The space of states becomes infinite-dimensional, but we shall not worry too much about its precise structure. The scaling ‘operators’ $`\varphi (u,v)`$ become true local operators $`\widehat{\varphi }(v)`$ acting on this space. It is useful to write the transfer matrix itself as

$$\widehat{T}_{\alpha \beta }(L)=\mathrm{exp}(a\widehat{H}_{\alpha \beta }(L))$$
(21)
where $`\widehat{H}`$ has eigenvalues $`E_n`$, so that correlation functions decay as a sum of terms $`e^{(E_nE_0)(u_2u_1)}`$. The existence of the continuum limit implies that the gaps $`E_nE_0`$ have a limit as $`a0`$. Scaling then implies that, at the critical point, each of these gaps must be proportional to $`L^1`$. As we shall soon see, conformal invariance relates the constants of proportionality to scaling dimensions of operators.

## 4 From scale invariance to conformal invariance.

Let us recall the equation (15) for the behaviour of a general correlation function under a scale transformation $`rr^{}b^1r`$:

$$\varphi _1(r_1^{})\varphi _2(r_2^{})\mathrm{}=b^{_kx_k}\varphi _1(r_1)\varphi _2(r_2)\mathrm{}$$
(22)
One way to understand this equation is from the existence of the continuum limit $`a0`$, and the absence of any other length scale at the critical point: if this limit does exist, it should not matter whether we rescale the lattice spacing in the underlying lattice model by a factor $`b`$: $`aba`$, in the sense that the measure of those degrees of freedom which survive the continuum limit should be unchanged. But we can think of this rescaling (which is a kind of renormalisation group transformation) as keeping the lattice spacing fixed, and rescaling $`rr^{}b^1r`$.

Now we make the following bold generalisation: since the measure is ultimately a product over local Boltzmann weights, we may equally well make a rescaling $`ab(r)a`$ where the factor $`b`$ now varies smoothly with $`r`$ (on a scale $`a`$.) So we generalise (22) to

$$\varphi _1(r_1^{})\varphi _2(r_2^{})\mathrm{}=\underset{k}{}b(r_k)^{x_k}\varphi _1(r_1)\varphi _2(r_2)\mathrm{}$$
(23)
where $`b(r)=|r/r^{}|`$, the jacobian of the transformation.

What are the allowed transformations $`rr^{}`$? Locally, they must correspond to a mixture of a scale transformation together with a possible rotation and translation. Such transformations are called conformal.131313Strictly speaking, conformal transformations operate on the metric rather than the coordinates, but this distinction is not important here. An example is shown in Fig. 5.141414It is not possible to have a non-trivial conformal transformation without some element of local rotation as well. This means that anisotropic critical points, which occur, for example, in directed percolation or at a Lifshitz point, are not conformally invariant. So (23) describes the conformal covariance of an arbitrary correlation function.151515This is written for the case of operators which transform as scalars under rotations. A deeper analysis also shows that (23) cannot be true for all scaling operators: for example it is easy to show that if it is true for $`\varphi `$ it cannot in general be true for $`^2\varphi `$. However, this analysis shows that it is true for a subset of operators called primary, and the transformation laws for all other operators may be derived from these.

Once again, it is not rigorously founded, but rather abstracted from exactly solved cases like the Ising model, and from the structure of renormalised perturbation theory. It is generally believed that the continuum limit of any model which is invariant under scale transformations, rotations and translations, and has short-ranged interactions, is also conformally invariant. We are going to assume that it is valid for the continuum limit of the critical Potts model with $`0Q4`$.

In two dimensions, conformal invariance is particularly powerful, because if we label the points of the plane by a complex number $`z=x+iy`$, any analytic function $`zz^{}=f(z)`$ defines a conformal transformation, at least at points where $`f^{}(z)0`$.

### 4.1 Some simple consequences.

Let us consider for definiteness correlations of boundary operators, since it is these we need for our problem. They may be ordinary limits of bulk operators at the boundary, or they may be bcc operators. Just as scale covariance fixes the form of the two-point functions, conformal invariance gives further information about the higher-point functions. If we consider the upper half plane, then the set of conformal transformations which preserve this are the real Möbius transformations

$$zz^{}=\frac{az+b}{cz+d},adbc0,$$
(24)
where $`a`$, $`b`$, $`c`$ and $`d`$ are real (this is to preserve the real axis.) Given a 4-point function $`\varphi (z_1)\varphi (z_2)\varphi (z_3)\varphi (z_4)`$, with the $`z_j`$ real, it is therefore possible in general to choose the parameters in (24) such that $`z_2`$, $`z_3`$ and $`z_4`$ are mapped into three pre-assigned points, say, $`(0,\mathrm{},1)`$, corresponding to $`z^{}=(zz_2)(z_4z_3)/(zz_3)(z_4z_2)`$. However there is always an invariant of such a transformation: it is the cross-ratio (anharmonic ratio)

$$\eta (z_{12}z_{34}/z_{13}z_{24})$$
(25)
(where the notation $`z_{kl}z_kz_l`$ has been introduced) so that, in this example, $`z_1`$ gets mapped into $`\eta `$. We may now apply the transformation formula (23). The correlation function on the left is some (as yet) unknown function of $`\eta `$, and it is simply a matter of working out the jacobian. After some algebra,161616This is the simpler case when all four operators have the same scaling dimension. A more general result also holds.

$$\varphi (z_1)\varphi (z_2)\varphi (z_3)\varphi (z_4)=\left(\frac{z_{13}z_{24}}{z_{12}z_{23}z_{34}z_{14}}\right)^{2x_\varphi }F(\eta )$$
(26)
### 4.2 Application to crossing probabilities.

We are already in a position where we can deduce part of the main result. We begin with the partition functions corresponding to the geometry of Fig. 1, in which the Potts spins on the segments $`\gamma _1`$ and $`\gamma _2`$ are fixed, and the rest are free. As we showed earlier, the crossing probability is given by the limit as $`Q1`$ of the partition functions $`Z_{aa}`$ and $`Z_{ab}`$. According to our analysis above these may be written, as $`a0`$,

$`Z_{aa}/Z_f`$ $``$ $`a^{4x(Q)}\varphi _{f|a}(z_1)\varphi _{a|f}(z_2)\varphi _{f|a}(z_3)\varphi _{a|f}(z_4)`$ (27)
$`Z_{ab}/Z_f`$ $``$ $`a^{4x(Q)}\varphi _{f|a}(z_1)\varphi _{a|f}(z_2)\varphi _{f|b}(z_3)\varphi _{b|f}(z_4)`$ (28)
Here we have introduced the scaling dimension $`x(Q)`$ of the $`(\mathrm{free}|\mathrm{fixed})`$ bcc operator, which will depend on $`Q`$, but not on $`a`$ or $`b`$. Now the Riemann mapping theorem assures us that there exists a conformal mapping of the interior of the region $``$ to that of the unit disc, and thence, by a simple Möbius transformation, to the upper half plane $`y>0`$. Thus we may use (23) to relate the ratios of partition functions in the two geometries.171717In doing this we must assume that the transformation is conformal also at the points $`z_j`$. This requires that the boundary $`\mathrm{\Gamma }`$ be differentiable at that point. There are interesting additional factors when the boundary has a corner at one of these points (as happens in the relevant case of the rectangle). However all these factors are raised to a power proportional to $`x(Q)`$, so are not important at $`Q=1`$. See Ref. . However, this will bring in non-trivial factors from the jacobian, evaluated at the points $`z_j`$, raised to the power $`x(Q)`$, so that the ratio of partition functions is not, in general, conformally invariant.

However, a remarkable thing happens at $`Q=1`$. Consider the two-point function $`\varphi _{f|a}(z_1)\varphi _{a|f}(z_2)`$ in the upper half plane geometry. As discussed earlier, this is proportional to the ratio of correlation functions $`Z_a/Z_f`$, and, at the critical point, decays as $`|z_1z_2|^{2x(Q)}`$. In the random cluster model, $`Z_a`$ counts all clusters which touch the real axis in the interval $`(z_1,z_2)`$ with a weight 1, while counting all other clusters with weight $`Q`$ (see Fig. 4.) Denoting the total number of each type of cluster by $`N_1`$ and $`N_2`$ respectively, we have $`Z_a=Q^{N_2}`$ and $`Z_f=Q^{N_1+N_2}`$. Trivially, then, both partition functions equal one at $`Q=1`$, so that their ratio is independent of $`z_1`$ and $`z_2`$. Thus

$$x(1)=0$$
(29)
an innocent but remarkably interesting equation from the point of view of conformal field theory.181818Note that if we ask for the mean number $`N_1`$ of clusters touching the interval $`(z_1,z_2)`$ we must first differentiate with respect to $`Q`$. The result is $`2x^{}(1)\mathrm{ln}|z_1z_2|`$. As we show later, the prefactor is $`\sqrt{3}/4\pi `$. From our perspective it means that the crossing probabilities in percolation (at least those which may be expressed in terms of $`\varphi _{f|a}`$) are conformally invariant, in the sense stated in the Introduction. Thus percolation has stronger properties under conformal transformations than do more general critical theories. This may be traced to the fact that its partition function is equal to 1.

## 5 Scaling operators and states in conformal field theory.

We have already discussed the continuum limit of the transfer matrix on strip of width $`L`$, and introduced the concept of a state space spanned by the eigenvectors of the operator $`\widehat{H}`$. Now we shall see that this has a very simple structure due to conformal invariance. Consider the upper half plane, with boundary conditions labelled by $`\alpha `$ along the real axis. Consider the conformal mapping

$$z=x+iyw=u+iv=(L/\pi )\mathrm{ln}z$$
(30)
which maps the upper half plane into such a strip, with boundary conditions $`\alpha `$ on both edges. If we apply the transformation law (23) to the correlation function $`\stackrel{~}{\varphi }(z_1)\stackrel{~}{\varphi }(z_2)`$ in the half-plane (where $`\stackrel{~}{\varphi }`$ is some boundary operator and we assume that $`0<z_1<z_2`$), we find

$$\stackrel{~}{\varphi }(u_1,0)\stackrel{~}{\varphi }(u_2,0)=\left[\frac{\pi /L}{\mathrm{sinh}((\pi /L)|u_1u_2|)}\right]^{2x_{\stackrel{~}{\varphi }}}$$
(31)
For $`|u_1u_2|L`$ this reduces to the same result as in the half-plane, but in the opposite limit it decays as $`\mathrm{exp}((\pi \stackrel{~}{x}_\varphi /L)|u_1u_2|)`$. This means that there must be an eigenstate of $`\widehat{H}`$ with a gap $`E_nE_0=\pi \stackrel{~}{x}_\varphi /L`$. In fact it may be argued that to each boundary scaling operator $`\stackrel{~}{\varphi }`$ there is an eigenstate. This may be identified by taking $`u_1\mathrm{}`$ (so that $`x_10`$), in which case only the state $`n|`$ with the lowest value of $`E_n`$ such that $`n|\widehat{\stackrel{~}{\varphi }}|00`$ will contribute. A less obvious statement is that to each eigenstate there is an operator. This can be seen by choosing the strip to be in some particular eigenstate $`|n`$ at $`u=\pm \mathrm{}`$ and computing correlation functions on the strip with this state rather than the vacuum $`|0`$. On transforming these back to the half-plane, they turn out to be exactly as if we had an operator at the origin, with scaling dimension $`(L/\pi )(E_nE_0)`$. Thus we have one of the most important results of two-dimensional conformal field theory:191919A more field-theoretic way to state this is that if $`\widehat{H}`$ generates translations in $`u`$ along the strip, then $`(L/\pi )(\widehat{H}E_0)`$ generates scale transformations in the half-plane. Eigenstates of the latter correspond to scaling operators.

* There is a (1-1) correspondence between the (boundary) scaling operators and the eigenstates of $`\widehat{H}`$ in the strip.

In what follows, we shall normalise so that $`E_0(L)=0`$.202020It is possible to show that $`E_0`$ is in general independent of $`\alpha `$ (in CFTs in which all the scaling dimensions are non-negative), so this is consistent. However, there is useful information in the $`L`$-dependence: if we normalise so that $`E_0(\mathrm{})=0`$, then $`E_0(L)=\pi c/24L`$, where $`c`$ is the central charge of the CFT. This means that a boundary scaling operator $`\stackrel{~}{\varphi }`$, inserted near the origin, corresponds to an eigenstate with $`E=\pi x_\varphi /L`$ in the strip. We may extent this to bcc operators: if we now consider a strip with different boundary conditions $`\alpha `$ and $`\beta `$ on either edge, this corresponds to an insertion of the bcc operator $`\varphi _{\alpha |\beta }`$, and so the the lowest eigenvalue of $`\widehat{H}_{\alpha \beta }`$ is $`\pi x_{\varphi _{\alpha |\beta }}/L`$.

### 5.1 Descendent operators.

Let us consider in more detail the structure of the set of scaling operators. It is useful first to think about infinitesimal conformal transformations (which preserve the upper half-plane). The simplest ones are the translations, $`zz+a_1`$ (where $`a_1`$ is an infinitesimal parameter), under which a scaling operator $`\stackrel{~}{\varphi }(0)`$ transforms according to

$$\stackrel{~}{\varphi }(0)\stackrel{~}{\varphi }(a_1)=\stackrel{~}{\varphi }(0)+a_1[L_1\stackrel{~}{\varphi }](0)$$
(32)
where $`L_1\stackrel{~}{\varphi }`$ is nothing but $`(/z)\stackrel{~}{\varphi }`$. There are also the scale transformations $`zz+a_0z`$, under which

$$\stackrel{~}{\varphi }(0)(1+a_0)^{x_{\stackrel{~}{\varphi }}}\stackrel{~}{\varphi }(0)\stackrel{~}{\varphi }(0)+a_0[L_0\stackrel{~}{\varphi }](0)$$
(33)
where $`L_0\stackrel{~}{\varphi }=x_{\stackrel{~}{\varphi }}\stackrel{~}{\varphi }`$. The statement that the correlations of $`\stackrel{~}{\varphi }`$ satisfy (23) is equivalent to assuming that for a general infinitesimal conformal transformation $`zz+_{n=1}^{\mathrm{}}a_nz^{n+1}`$ which is regular at the origin,

$$\stackrel{~}{\varphi }(0)\stackrel{~}{\varphi }(0)+a_1[L_1\stackrel{~}{\varphi }](0)+a_0[L_0\stackrel{~}{\varphi }](0),$$
(34)
with no further terms.

However, a more general conformal transformation of this kind is bound to have singularities elsewhere in the complex plane (including infinity). In order to understand the implication of this, let us consider a more general infinitesimal transformation in the form of a Laurent series, which may be singular at the origin: $`zz+_{n=\mathrm{}}^{\mathrm{}}a_nz^{n+1}`$. No matter how small we choose the parameters $`a_n`$ for $`n<1`$, for sufficiently small $`z`$ this transformation blows up. We deal with this by imagining cutting out a small half-disc of fixed radius around the origin, and, inside this, smoothing out the transformation. By definition it cannot be conformal in this region. The effect of this from the point of view of the correlation functions with other operators far from the origin is to generate new operators, called the descendents $`\stackrel{~}{\varphi }`$. Thus in general we have

$$\stackrel{~}{\varphi }(0)\stackrel{~}{\varphi }(0)+\underset{n=\mathrm{}}{\overset{\mathrm{}}{}}a_n[L_n\stackrel{~}{\varphi }](0)$$
(35)
Notice that by dimensional analysis the descendent operators $`L_n\stackrel{~}{\varphi }`$ have scaling dimensions $`x_{\stackrel{~}{\varphi }}+(n)`$.

We can keep doing this, by examining the properties of these descendent operators under further infinitesimal conformal transformations. We thus generate an enormous set of descendent operators $`L_{n_1}L_{n_2}\mathrm{}\stackrel{~}{\varphi }`$, with scaling dimensions $`x_{\stackrel{~}{\varphi }}+_j(n_j)`$. This, in turn, implies that to each simple eigenstate of the strip transfer matrix $`\widehat{H}`$ corresonds a whole tower of other eigenstates, with eigenvalues spaced by integer multiples of $`\pi /L`$.212121These descendent operators do not necessarily satisfy the condition that $`[L_n\varphi ]=0`$ for $`n1`$, that is they are not primary and they do not satisfy (23) without adding some additional terms. In general, however, they are related to other descendent operators, with lower scaling dimension, are already constructed. For example, $`[L_1L_1\varphi ]=2[L_0\varphi ]`$. This algebraic structure is realised by thinking of the $`\widehat{L}_n`$ as operators which act on the states of the transfer matrix. They are in fact the Fourier components $`\widehat{L}_n=_0^Le^{\pi inv/L}\widehat{T}(v)𝑑v`$ of a special operator called the stress-energy tensor. They satisfy the Virasoro algebra $`[\widehat{L}_n,\widehat{L}_m]=(nm)\widehat{L}_{n+m}+\frac{c}{12}n(n^21)\delta _{n,m}`$, which plays a very important role in the algebraic development of conformal field theory. However, we do not really need this formalism for the purposes of these lectures.

## 6 Null operators and differential equations.

In general, with each scaling operator $`\stackrel{~}{\varphi }`$ is associated an infinite number of descendents. However, they do not all have to be independent, and in many important applications, they are not. In that case, as we shall show, the correlation functions of $`\stackrel{~}{\varphi }`$ satisfy simple linear differential equations.

Let us consider the case of interest, the bcc operator $`\varphi _{f|a}`$, with scaling dimension $`x(Q)`$. Consider the partition function $`Z_{fa}`$ of an annulus $`0vL`$, $`0u<W`$, with periodic boundary conditions in the $`u`$-direction, free boundary conditions $`f`$ on $`v=0`$ and fixed boundary conditions $`a`$ on $`v=L`$. As discussed above, we may write

$$Z_{fa}(Q)=\mathrm{Tr}\mathrm{exp}(W\widehat{H}_{fa}(L))=\underset{j}{}q^{x_j}$$
(36)
where $`qe^{\pi W/L}`$ and the sum is over all scaling operators, and their descendents, which may occur consistent with the given boundary conditions. The lowest is $`x_0=x(Q)`$, corresponding to the operator $`\varphi _{f|a}`$ itself. Let us examine the first few eigenstates above this, bearing in mind the fact that, as $`Q1`$, $`Z_{fa}(Q)1`$. The first consequence is that, as already noted $`lim_{Q1}x(Q)=0`$. At $`Q=1`$ this gives a contribution 1 to $`Z`$. All other contributions must therefore cancel among themselves in this limit. There is a (unique) operator $`L_1\varphi _{f|a}`$, with scaling dimension $`x(Q)+1`$, which gives a contribution $`q`$ to $`Z`$ at $`Q=1`$, which must be cancelled. The only way is by other primary operator(s) $`\stackrel{~}{\psi }`$ whose scaling dimensions $`x_\psi (Q)1`$ as $`Q1`$. In fact, there are candidates for such operators: close to the bcc operator $`\varphi _{f|a}`$ the $`S_Q`$ permutation symmetry of the Potts model is broken down to $`S_{Q1}`$. The lattice operators $`\delta _{s(r),b}`$ with $`ba`$ thus span a $`(Q2)`$-dimensional space. We identify $`\stackrel{~}{\psi }`$ with the continuum limit of these operators, with degeneracy $`(Q2)`$. Thus

$$Z_{f|a}(Q)=q^{x(Q)}+q^{x(Q)+1}+(Q2)q^{x_\psi (Q)}+\mathrm{}$$
(37)
So far, so good.222222 Note that we are ignoring the possible contributions of operators with non-integer scaling dimensions at $`Q=1`$. These are believed not to arise, but in any case would not affect the argument. However, at the next level we have in principle the operators $`L_2\varphi _{f|a}`$, $`L_1^2\varphi _{f|a}`$ (each with weight 1), and $`L_1\psi `$, with weight $`(Q2)`$. Together these would give a contribution $`q^2`$ to $`Z_{af}`$. There are two possible resolutions: either there must be yet another new primary operator $`\psi ^{}`$ with dimension $`x_\psi ^{}(Q)2`$ as $`Q1`$ and degeneracy $`1+O(Q1)`$; or the two operators $`L_2\varphi _{f|a}`$ and $`L_1^2\varphi _{f|a}`$ are not independent. In that case the combination $`L_2\varphi _{f|a}\kappa L_1^2\varphi _{f|a}`$ (for some number $`\kappa `$) corresponds to a null state, which does not contribute to the partition function. We shall assume that the latter solution is chosen.232323This is the weakest point in the whole argument. However, there is further supporting evidence: at $`Q=2`$ and at $`Q=3`$ the same property is known to hold. In addition, the operator product expansion of two such operators is known, by the so-called fusion rules, to generate another operator degenerate at level 3: this has been identified much earlier with the magnetisation operator at a free boundary, which, by duality, has the same scaling dimension as the bcc operator $`\varphi _{a|b}`$.

Let us now go back to the half-plane and examine the consequences of this for the four-point function

$$G(z_1,z_2,z_3,z_4)\varphi _{f|a}(z_1)\varphi _{a|f}(z_2)\varphi _{f|a}(z_3)\varphi _{a|f}(z_4),$$
(38)
where the points $`z_j`$ lie on the real axis. Consider the infinitesimal conformal transformation

$$zz^{}=z+a(z)=z+a_2(zz_1)^1$$
(39)
At the points $`z_j`$ $`(2j4)`$ this is regular, and the corresponding operators transform simply according to (34). At $`z_1`$ however it is singular, and must be regularised in the manner described earlier. This then generates the new operator $`a_2[L_2\varphi _{f|a}](z_1)`$. We may now equate this to $`\kappa [L_1^2\varphi _{f|a}](z_1)=\kappa (/z_1)^2\varphi _{f|a}](z_1)`$, where $`\kappa `$ is an (as yet) unknown constant. Setting the total variation with respect to $`a_2`$ to zero, we therefore find that $`G`$ satisfies the differential equation

$$\left[\kappa \frac{^2}{z_1^2}+\underset{j=2}{\overset{4}{}}\left(\frac{1}{z_jz_1}\frac{}{z_j}\frac{x(Q)}{(z_jz_1)^2}\right)\right]G(z_1,z_2,z_3,z_4)=0$$
(40)
This is a linear partial differential equation. However, if we substitute in the form (26) (which, recall, followed from the covariance under Möbius transformations), we find an ordinary second-order linear differential equation for $`F(\eta )`$ of a type very familiar to mathematical physicists. In fact, it is a hypergeometric equation, with regular singular points at $`(0,\mathrm{},1)`$. A lot of tedious algebra can be avoided by identifying the indices of this equation, that is, the possible power law behaviour of the general solution near the singular points. For example, if $`F(\eta )\eta ^\alpha `$ as $`\eta 0`$, this implies that $`G(z_{12}z_{34})^{\alpha 2x(Q)}(z_{13}z_{24})^\alpha `$ in the limit where $`z_{12}z_{34}z_{13}z_{24}`$. Substituting into (40) and equating the coefficient of $`z_{12}^{\alpha x(Q)2}`$ to zero gives

$$\kappa (\alpha 2x)(\alpha 2x1)+(\alpha 2x)x=0$$
(41)
Now we know that a particular solution is $`G`$, which in this limit should factorise:

$$G\varphi _{f|a}(z_1)\varphi _{a|f}(z_2)\varphi _{f|a}(z_3)\varphi _{a|f}(z_4)z_{12}^{2x(Q)}z_{34}^{2x(Q)}$$
(42)
This is because, in that limit, clusters which touch both segments $`(z_1,z_2)`$ and $`(z_3,z_4)`$ are very rare. Therefore the indicial equation (41) must have a solution with $`\alpha =0`$. This implies that

$$\kappa =\frac{3}{2(2x(Q)+1)}$$
(43)
The other solution is then $`\alpha =\frac{1}{3}+\frac{8}{3}x(Q)`$.

A similar analysis may be made of the indicial equations at the other singular points. At $`\eta =1`$ we also find $`(0,\frac{1}{3}+\frac{8}{3}x(Q))`$, and at $`\mathrm{}`$, $`(4x(Q),\frac{1}{3}\frac{4}{3}x(Q))`$.242424The indices at $`\eta =\mathrm{}`$ are conventionally defined by $`F\eta ^\alpha `$. There is a result that the 6 indices of such an equation must sum to 1. This explains the appearance of the fraction $`\frac{1}{3}`$ when $`x(Q)=0`$.

The standard form of the hypergeometric equation is

$$\eta (1\eta )F^{\prime \prime }+[c(a+b+1)\eta ]F^{}abF=0$$
(44)
for which the indices are $`(0,1c)`$, $`(a,b)`$ and $`(0,cab)`$ at $`(1,\mathrm{},0)`$ respectively. This we have in our case

$$a=4x(Q),b=\frac{1}{3}\frac{4}{3}x(Q),c=\frac{2}{3}\frac{8}{3}x(Q)$$
(45)
This equation has two independent solutions. The one which is regular at $`\eta =0`$ is proportional to

$${}_{2}{}^{}F_{1}^{}(a,b;c;\eta )=1+\frac{ab}{c}\frac{\eta }{1!}+\frac{a(a+1)b(b+1)}{c(c+1)}\frac{\eta ^2}{2!}+\mathrm{}$$
(46)
which converges for $`|\eta |<1`$. There are in fact many different ways of writing down two independent solutions: a particularly useful pair are

$`{}_{2}{}^{}F_{1}^{}(a,b;a+b+1c;1\eta )`$
$`={}_{2}{}^{}F_{1}^{}(4x,\frac{1}{3}\frac{4}{3}x;\frac{2}{3}\frac{8}{3}x;1\eta )\mathrm{and}`$ (47)
$`(1\eta )^{cab}{}_{2}{}^{}F_{1}^{}(cb,ca;cab+1;1\eta )`$
$`=(1\eta )^{{\scriptscriptstyle \frac{1}{3}}+{\scriptscriptstyle \frac{8}{3}}x}{}_{2}{}^{}F_{1}^{}(\frac{1}{3}\frac{4}{3}x,\frac{2}{3}+\frac{4}{3}x;\frac{4}{3}+\frac{8}{3}x;1\eta )`$ (48)
Although we have been considering the four-point function of bcc operators corresponding to $`Z_{aa}`$, the differential equation should hold equally well for that corresponding to $`Z_{ab}`$. In fact, the two independent solutions above are (apart from constants) just the solutions $`F_{aa}`$ and $`F_{ab}`$ corresponding to $`Z_{aa}`$ and $`Z_{ab}`$ respectively. This is because $`\eta 1`$ corresponds to $`z_2z_3`$. In the second case $`(ab)`$, this introduces the non-trivial bcc operator $`\varphi _{a|b}`$ at $`z_2`$, so cannot contain a term $`(1\eta )^0`$ (incidentally, we see that this operator must have dimension $`\frac{1}{3}+\frac{8}{3}x(Q)`$); while in the first case, the opposite is true. The coefficients may then found from the requirement that, as $`\eta 0`$, $`F_{aa}F_{ab}1`$, and the identity

$${}_{2}{}^{}F_{1}^{}(a,b;c;1)=\frac{\mathrm{\Gamma }(c)\mathrm{\Gamma }(cab)}{\mathrm{\Gamma }(ca)\mathrm{\Gamma }(cb)}$$
(49)
We therefore have the final results for the partition functions in the half-plane (normalised so that $`Z_f=1`$)

$`Z_{aa}`$ $`=`$ $`\zeta ^{2x(Q)}{\displaystyle \frac{\mathrm{\Gamma }(\frac{2}{3}+\frac{4}{3}x)\mathrm{\Gamma }(\frac{1}{3}\frac{4}{3}x)}{\mathrm{\Gamma }(\frac{2}{3}\frac{8}{3}x)\mathrm{\Gamma }(\frac{1}{3}+\frac{8}{3}x)}}{}_{2}{}^{}F_{1}^{}(4x,\frac{1}{3}\frac{4}{3}x;\frac{2}{3}\frac{8}{3}x;1\eta )`$ (50)
$`Z_{ab}`$ $`=`$ $`\zeta ^{2x(Q)}{\displaystyle \frac{\mathrm{\Gamma }(1+x)\mathrm{\Gamma }(\frac{2}{3}+\frac{4}{3}x)}{\mathrm{\Gamma }(\frac{4}{3}+\frac{8}{3}x)\mathrm{\Gamma }(\frac{1}{3}+\frac{8}{3}x)}}(1\eta )^{{\scriptscriptstyle \frac{1}{3}}+{\scriptscriptstyle \frac{8}{3}}x}`$ (51)
$`\times {}_{2}{}^{}F_{1}^{}(\frac{1}{3}\frac{4}{3}x,\frac{2}{3}+\frac{4}{3}x;\frac{4}{3}+\frac{8}{3}x;1\eta )`$
where $`\zeta =(z_{13}z_{24}/z_{12}z_{23}z_{34}z_{14})`$.

Actually, since we are interested in the limit $`Q1`$, that is $`x(Q)0`$, these simplify greatly to the order needed:252525Notice that the ratio of gamma functions in $`Z_{aa}`$ simplifies to $`\mathrm{sin}\pi (\frac{2}{3}\frac{8}{3}x)/\mathrm{sin}\pi (\frac{2}{3}+\frac{4}{3}x)`$, so is easy to expand in powers of $`x`$.

$`Z_{aa}`$ $`=`$ $`\left({\displaystyle \frac{z_{13}z_{24}}{z_{12}z_{23}z_{34}z_{14}}}\right)^{2x(Q)}(1+\frac{4\pi }{\sqrt{3}}x){}_{2}{}^{}F_{1}^{}(4x,\frac{1}{3};\frac{2}{3};1\eta )+O(x^2)`$ (52)
$`Z_{ab}`$ $`=`$ $`{\displaystyle \frac{\mathrm{\Gamma }(\frac{2}{3})}{\mathrm{\Gamma }(\frac{4}{3})\mathrm{\Gamma }(\frac{1}{3})}}(1\eta )^{{\scriptscriptstyle \frac{1}{3}}}{}_{2}{}^{}F_{1}^{}(\frac{1}{3},\frac{2}{3};\frac{4}{3};1\eta )+O(x)`$ (53)
From (9), evaluated at $`Q=1`$, now follows the main result for the crossing probability in the half-plane

$$P((z_1,z_2);(z_3,z_4))=1\frac{\mathrm{\Gamma }(\frac{2}{3})}{\mathrm{\Gamma }(\frac{4}{3})\mathrm{\Gamma }(\frac{1}{3})}(1\eta )^{{\scriptscriptstyle \frac{1}{3}}}{}_{2}{}^{}F_{1}^{}(\frac{1}{3},\frac{2}{3};\frac{4}{3};1\eta )$$
(54)
which may also be written

$$P((z_1,z_2);(z_3,z_4))=\frac{\mathrm{\Gamma }(\frac{2}{3})}{\mathrm{\Gamma }(\frac{4}{3})\mathrm{\Gamma }(\frac{1}{3})}\eta ^{{\scriptscriptstyle \frac{1}{3}}}{}_{2}{}^{}F_{1}^{}(\frac{1}{3},\frac{2}{3};\frac{4}{3};\eta )$$
(55)
Although this follows from standard identities on hypergeometric functions, there is a more physical argument, based on duality in bond percolation: whenever there is a cluster of open bonds connecting $`(z_1,z_2)`$ to $`(z_3,z_4)`$, there cannot be a cluster of open dual bonds connecting $`(z_2,z_3)`$ to $`(z_4,z_1)`$, and vice versa. Therefore there is either a cluster of open bonds connecting $`(z_1,z_2)`$ to $`(z_3,z_4)`$, or a cluster of open dual bonds connecting $`(z_2,z_3)`$ to $`(z_4,z_1)`$. Thus

$$P(z_1,z_2;z_3,z_4)=1P(z_2,z_3;z_4,z_1),$$
(56)
or, in terms of the cross-ratio,

$$P(\eta )=1P(1\eta ).$$
(57)
The expression for the mean number of crossing clusters is slightly more difficult, because we need to differentiate with respect to $`Q`$, that is, with respect to $`x`$. First we note that $`Z_{af}`$ and $`Z_{fa}`$ are equal to $`z_{12}^{2x}`$ and $`z_{34}^{2x}`$ respectively. Thus the ratio of partition functions in (12) may written entirely in terms of $`\eta `$

$$\frac{Z_{aa}Z_{ff}}{Z_{af}Z_{fa}}=(1\eta )^{2x(Q)}(1+\frac{4\pi }{\sqrt{3}}x(Q)){}_{2}{}^{}F_{1}^{}(4x(Q),\frac{1}{3};\frac{2}{3};1\eta )$$
(58)
to the order required. Thus

$$E[N_c]=x^{}(1)\left[2\mathrm{ln}(1\eta )+\frac{4\pi }{\sqrt{3}}4\underset{n=1}{\overset{\mathrm{}}{}}\frac{\mathrm{\Gamma }(\frac{2}{3})\mathrm{\Gamma }(\frac{1}{3}+n)}{\mathrm{\Gamma }(\frac{1}{3})\mathrm{\Gamma }(\frac{2}{3}+n)}\frac{(1\eta )^n}{n}\right]$$
(59)
where the series comes from differentiating $`{}_{2}{}^{}F_{1}^{}(a,\mathrm{})`$ with respect to its first argument $`a`$ at $`a=0`$.

Of course this result depends on the (presently) unknown value of $`x^{}(1)(\mathrm{d}x/\mathrm{d}Q)|_{Q=1}`$. This may be found262626 In fact, the complete dependence of $`x(Q)`$ has been conjectured using Coulomb gas methods. by noting that, as $`\eta 0`$, it is extremely unlikely that there is more than one crossing cluster, so that $`E[N_c]P(\mathrm{\Gamma }(\frac{2}{3})/\mathrm{\Gamma }(\frac{4}{3})\mathrm{\Gamma }(\frac{1}{3}))\eta ^{{\scriptscriptstyle \frac{1}{3}}}`$. Applying Stirling’s formula to the coefficients of the series in (59) we see that they behave at large $`n`$ like $`(\mathrm{\Gamma }(\frac{2}{3})/\mathrm{\Gamma }(\frac{1}{3}))n^{{\scriptscriptstyle \frac{4}{3}}}`$, which implies that the singular part of the sum of the series behaves like $`(\mathrm{\Gamma }(\frac{2}{3})\mathrm{\Gamma }(\frac{1}{3})/\mathrm{\Gamma }(\frac{1}{3}))\eta ^{{\scriptscriptstyle \frac{1}{3}}}`$ as $`\eta 0`$. Equating this to the leading term in $`P`$ then gives

$$x^{}(1)=\left(4\mathrm{\Gamma }(\frac{4}{3})\mathrm{\Gamma }(\frac{1}{3})\right)^1=\mathrm{sin}(4\pi /3)/(4\pi )=\sqrt{3}/(8\pi )$$
(60)
This result for $`x^{}(1)`$ has a direct physical meaning. Consider once again the annular geometry, formed by sewing together the ends of a strip of width $`L`$ and length $`W`$. The mean number of clusters crossing from one edge to the other is once again given by a formula like (12), where now the partition functions may be represented in the trace form like (36). In the limit $`WL`$ the result is particularly simple, since $`Z_{aa}Z_{ff}1`$, while $`Z_{af}=Z_{fa}\mathrm{exp}(\pi x(Q)(W/L))`$. Thus in this limit,

$$E[N_c]2\pi x^{}(1)(W/L)=(\sqrt{3}/4)(W/L)$$
(61)
It is to be expected that, for large $`W`$, $`E[N_c]`$ should be proportional to $`W`$, and therefore by scale invariance should go like $`(W/L)`$, but the (irrational) universal coefficient is quite surprising.

## 7 Other approaches.

### 7.1 Crossing probability in the rectangle and modular invariance.

An important special case is when the curve $`\mathrm{\Gamma }`$ is a rectangle, with the segments $`\gamma _1`$ and $`\gamma _2`$ being opposite edges (see Fig. 6).

The conformal mapping from the half-plane into the interior of the rectangle has the form of a Schwartz-Christoffel transformation

$$zw=_0^z\frac{dt}{(1t^2)^{1/2}(1k^2t^2)^{1/2}}$$
(62)
which maps the points $`(k^1,1,1,k^1)`$ to the corners of the rectangle. The width and height of the rectangle are then

$`W`$ $`=`$ $`2{\displaystyle _0^1}{\displaystyle \frac{dt}{\sqrt{(1t^2)(1k^2t^2)}}}=2K(k^2)`$ (63)
$`L`$ $`=`$ $`{\displaystyle _1^{1/k}}{\displaystyle \frac{dt}{\sqrt{(t^21)(1k^2t^2)}}}=K(1k^2)`$ (64)
where $`K`$ is the complete elliptic integral of the first kind. The aspect ratio $`rW/L=2K(k^2)/K(1k^2)`$. Clearly it is possible numerically to solve this for $`k`$ for a given $`r`$, and compute $`\eta =((1k)/(1+k))^2`$ and thence the crossing probability $`P(r)`$ via (2). However, it turns out that there is a more elegant formula, in terms of modular forms, due to Kleban (see also Ziff.) Kleban and Zagier have recently derived this result, using duality and some basic properties of conformal field theory, with one rather simple assumption, and we now summarise their argument.

From (9), $`P(r)=1Z_{ab}`$, where $`Z_{ab}`$ is the partition function for a strip of width $`L`$, with free boundary conditions on each edge, and length $`W`$. Think of evaluating this using the continuum version of the transfer matrix acting horizontally, along the strip:

$$Z_{ab}=a|e^{W\widehat{H}_{ff}(L)}|b$$
(65)
where $`a|`$ and $`|b`$ are so-called boundary states, whose form we shall not need. Inserting a complete set of eigenstates into this matrix element:

$$Z_{ab}=\underset{j}{}a|jq^{x_j/2}j|b$$
(66)
where $`q=e^{2\pi (W/L)}=e^{2\pi r}`$ and the sum is over a complete set of scaling operators, consistent with the boundary conditions $`(ff)`$ on the edges, the lowest of which has $`x=0`$. The sum may be organised into a sum over primary operators, and their descendents, so that $`P(r)`$ has the form

$$P(r)=1\underset{x\pi _{ff}}{}q^{x/2}Q_x(q)$$
(67)
where $`\pi _{ff}`$ is the set of primary scaling dimensions consistent with the boundary conditions $`(ff)`$, and $`Q_x(q)`$ is a power series, starting with a term $`O(q^0)`$, representing the contribution of all the descendents. Note that in this case no odd powers of $`q^{1/2}`$ enter. This is a consequence of the reflection symmetry of the rectangle in the horizontal axis. Odd powers correspond to states which are odd under this operation, so do not couple to the states $`|a`$ and $`|b`$, which are even. On the other hand, we could also imagine computing $`Z_{ab}`$ using the transfer matrix acting vertically. The result would have the form

$$Z_{ab}=\underset{x\pi _{ab}}{}\stackrel{~}{q}^{x/2}R_x(\stackrel{~}{q}^{1/2})$$
(68)
where $`\stackrel{~}{q}e^{2\pi /r}`$ and now odd powers of $`\stackrel{~}{q}^{1/2}`$ are expected to enter because $`Z_{ab}`$ is not symmetric under reflections in the vertical axis. Note that the lowest value of $`x`$ in $`\pi _{ab}`$ is the scaling dimension of $`\varphi _{a|b}`$, which is strictly positive.

Finally, the function $`P(r)`$ also satisfies (57), which means that $`P(r)=1P(1/r)`$. Comparing with (68) we see that $`P(1/r)`$ has the form of the series on the right hand side, and comparing this with (67) we see that in fact we may write

$$P(r)=\underset{x\pi _{ab}}{}q^{x/2}Q_x(q)$$
(69)
Now assume that there is only one term in this sum, corresponding to $`x=x_{a|b}`$. Let $`r=i\tau `$, so that $`q=e^{2\pi i\tau }`$. Then $`P`$ is holomorphic in the upper-half $`\tau `$-plane. Define $`f(\tau )=dP/d\tau `$. The modular group is generated by the elements $`S:\tau 1/\tau `$ and $`T:\tau \tau +1`$, satisfying $`(ST)^3=1`$. Now (57) implies that under $`S`$, $`f(1/\tau )=\tau ^2f(\tau )`$, while under $`T`$, $`f(\tau +1)=e^{i\pi x}f(\tau )`$. Since $`(ST)^3=1`$, $`(e^{i\pi x})^3=1`$, so that $`x=m/3`$ for some odd integer $`m`$. It follows that the function $`gf^6`$ satisfies $`g(1/\tau )=\tau ^{12}g(\tau )`$, $`g(\tau +1)=g(\tau )`$, and that it has a series expansion in positive integers powers of $`q`$. It is called a cusp form of weight 12. It turns out that there is only one such function, up to an overall multiplicative constant, which is $`\eta (q)^{24}`$, where $`\eta `$ is the Dedekind function

$$\eta =q^{1/24}\underset{n=1}{\overset{\mathrm{}}{}}(1q^n)$$
(70)
Thus

$$P(r)=\frac{2^{7/3}\pi ^2}{\sqrt{3}\mathrm{\Gamma }(\frac{1}{3})^3}_r^{\mathrm{}}\eta (ir^{})^4𝑑r^{}$$
(71)
where the constant is fixed by the requirement that $`P(0)=1`$, and various identities satisfied by $`\eta (q)`$. Remarkably, this formula is identical to the Schwartz-Christoffel transform of (2).

### 7.2 Carleson’s formula for an equilateral triangle, and Smirnov’s proof.

L. Carleson made the interesting observation that the crossing formula in an equilateral triangle has a much simpler form than that for a rectangle. This is because of a simple property of the hypergeometric differential equation arising from (40): because there is a solution with $`F=\mathrm{const}.`$, it follows that $`F^{}(\eta )`$ satisfies a simple first order equation which may be solved by quadrature. The result is that $`P(\eta )`$ may be written as

$$P(\eta )=\frac{\mathrm{\Gamma }(\frac{2}{3})}{3\mathrm{\Gamma }(\frac{4}{3})\mathrm{\Gamma }(\frac{1}{3})}_0^\eta (t(1t))^{2/3}𝑑t$$
(72)
But the occurrence of the exponent $`\frac{2}{3}`$ means that this integral has just the form of the Schwartz-Christoffel conformal mapping from the upper half-plane to an equilateral triangle!

Thus if we consider an equilateral triangle $`ABC`$ (see Fig. 7), whose side has a unit length,

and consider the crossing probability from anywhere on side $`AB`$ to the segment $`XC`$ of length $`x`$ of the side $`BC`$, then Carleson’s version of the crossing formula is simply

$$P(AB,XC)=x$$
(73)
Very recently, S. Smirnov has provided a proof of this formula starting from site percolation on the triangular lattice. He considers the probability $`h(r)`$ that a given point in the interior of the triangle is separated from the segment $`AC`$ by at least one cluster spanning from $`AB`$ to $`BC`$. Taking $`r=X`$ on the boundary segment $`BC`$ gives the required crossing probability. He shows that $`h(r)`$ is, on the lattice, an approximate harmonic function, which, in the limit when the lattice spacing $`a0`$, satisfies Laplace’s equation with the boundary conditions that $`h=0`$ on $`AC`$, $`h=1`$ when $`r=B`$ and the components of $`h`$ at $`60^{}`$ to the boundary (i.e. parallel to $`AC`$) vanish along $`AB`$ and $`BC`$. For the equilateral triangle, the solution of this is simple: $`h(r)`$ is the distance of the point $`r`$ from the edge $`AC`$, in units where the height of the triangle is 1. Of course, in general the solution of this boundary value problem is conformally invariant, so in the half-plane, one gets the result (72). Smirnov’s arguments explain why the crossing formula (2) is the boundary value of an analytic function, but do not immediately give insight into the conformal field theory structure underlying this result. It seems to be special to $`Q=1`$.

### 7.3 The approach of Lawler, Schramm and Werner.

Finally we discuss briefly another approach initiated by Schramm, which fits into a larger investigation into the intersection properties of Brownian walks by the above authors (see Ref.  and many references therein) The idea is to study the properties of a percolation hull, or cluster boundary, which grows from the real axis up into the upper half plane. Suppose that all the edges along the negative real axis are open, and those on the positive real axis are closed. There is an infinitely large cluster formed by the union of the links on the negative real axis and those clusters attached to it. Consider exploring the boundary of this cluster with a time-dependent process which makes one step along this boundary in unit time. (The process is almost symmetric under $`xx`$ because this path is also the boundary of a cluster of open dual links attached to the positive real axis.) The end of this path executes a non-crossing random walk in the upper half-plane, occasionally touching real axis (see Fig. 8).

This successively excludes a larger and larger region of the half-plane. Schramm argued that the continuum limit of this process may be defined in terms of the conformal mapping $`g_t(z)`$ which maps the complement of the excluded region onto the upper half-plane. He conjectured272727The recent work of Smirnov shows that percolation does indeed have a conformally invariant continuum limit. Uniqueness arguments then justify this conjecture a posteriori. that this function satisfies a kind of stochastic ordinary differential equation

$$_tg_t(z)=\frac{2}{g_t(z)a(t)}$$
(74)
where $`g_0(z)=z`$ and $`a(t)`$ is a one-dimensional Brownian motion, i.e. $`\dot{a}=\zeta (t)`$ where $`\zeta `$ is a gaussian noise satisfying $`\overline{\zeta (t)\zeta (t^{})}=\kappa \delta (tt^{})`$. This equation is defined up to the time that $`g_t(z)`$ hits $`a(t)`$: we can think of this as the time $`T_z`$ at which the point $`z`$ enters the excluded region.282828It is useful to think about the case when $`a(t)=0`$. The solution is then $`g_t(z)=(z^2+4t)^{1/2}`$. The end of the path lies at $`2i\sqrt{t}`$ at time $`t`$. The initial effect of the noise in $`a(t)`$ is to give this an additional horizontal motion.

The continuum problem is conformally invariant by construction. If we now consider the crossing probability between the intervals $`(\mathrm{},a)`$ and $`(0,b)`$, it may be related to the times $`T_a`$ and $`T_b`$ by

$$P((\mathrm{},a),(0,b))=Pr(T_a<T_b)$$
(75)
From the conjectured equation (74), with $`\kappa =6`$,292929Other values may be considered, which give generalised crossing formulas. In general, the process generated by (74) is called Stochastic Loewner Evolution with parameter $`\kappa `$ (SLE$`\kappa `$). it may be shown that the above is given by the crossing formula (2) with the cross-ratio $`\eta =b/(a+b)`$. Of course, many other related formulae also follow from this approach.

## 8 Conclusions.

The crossing formula (2) was first conjectured in 1992. The original argument was based on (1) the mapping to the $`Q`$-state Potts model in the limit $`Q1`$ and (2) ideas of conformal field theory which had been developed up to that time, which have been the main subject of these lectures. However, it is clear that percolation is somewhat special as in some sense the measure, suitably defined, is conformally invariant, rather than merely covariant as is believed to occur in most critical systems. This is linked to the fact that for percolation the central charge $`c`$ vanishes.303030In general the partition function of a finite system in a region size $`L`$ with smooth metric and smooth boundaries behaves like $`Ze^{c\chi L/6}`$ where $`\chi `$ is the Euler character. Thus the measure is not strictly even scale invariant when $`c0`$. This invariance has allowed mathematicians to formulate other more direct approaches to the problem. It remains to be seen whether these methods will be successful in computing other quantities, such as the mean number of crossing clusters (3), since, at least in our approach, this requires going away from $`Q=1`$, and whether, in a more general context, they will shed light on the origin of conformal covariance in more general critical systems.

Acknowledgments. I would particularly like to thank Professors Y. Higuchi and M. Katori for inviting me to Japan to give these lectures, and for their kind hospitality. I have benefited from useful correspondence and conversations with P. Kleban, G. Lawler, O. Schramm, S. Smirnov and W. Werner on this and related subjects, and thank them for sending preprints of their work prior to publication. This work was supported in part by the EPSRC through grant GR/J 78327.


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# Uniform bounds for eigenfunctions of the Laplacian on manifolds with boundary

## 1. Introduction

Let $`(M,g)`$ be a smooth, compact Riemannian manifold of dimension $`n2`$, with smooth boundary $`M`$. Let $`\mathrm{\Delta }`$ denote the Laplace-Beltrami operator on functions on $`M`$. Consider a solution of the eigenvalue problem, with Dirichlet or Neumann boundary conditions,

(1) $`\begin{array}{cc}\hfill (\mathrm{\Delta }+\lambda ^2)u& =0,\hfill \\ \hfill u_{|M}& =0\text{ or }_nu_{|M}=0,\hfill \end{array}`$
($`_n`$ denotes the normal derivate) normalized by the condition

(2)
$$u_2=1.$$

The subscript $`p`$ will always indicate the $`L^p(M)`$ norm. In this paper we consider the problem of bounding $`u_{\mathrm{}}=\mathrm{max}_{xM}|u(x)|`$ in terms of $`\lambda `$, for large $`\lambda `$. The size of $`u_{\mathrm{}}`$ may be considered as a rough measure for how unevenly the function $`u`$ is distributed over $`M`$: If $`u`$ is ’small’ (say $`o(1)`$ as $`\lambda \mathrm{}`$) on a ’large’ set $`S`$ (say, of area $`|S|=|M|\delta `$) then the condition (2) forces $`u_{\mathrm{}}`$ to be at least of order $`\delta ^{1/2}`$; therefore upper bounds on $`u_{\mathrm{}}`$ imply lower bounds on $`\delta `$, i.e. the area of the set where $`u`$ is ’concentrated’. It may happen that $`\delta 0`$ as $`\lambda \mathrm{}`$, for certain (sequences of) eigenfunctions, for example on the sphere or the disk. Also, upper bounds on $`u_{\mathrm{}}`$ yield upper bounds for the multiplicities of the eigenvalues of $`\mathrm{\Delta }`$.

In addition to single eigenfunctions we also consider sums of eigenfunctions of the form

$$u_I(x)=\sqrt{\underset{j:\lambda _jI}{}|u_j(x)|^2}$$

for finite intervals $`I`$. Here $`u_1,u_2,\mathrm{}`$ is any orthonormal basis of eigenfunctions with eigenvalues $`\lambda _1<\lambda _2\mathrm{}\mathrm{}`$. (The sum is independent of the choice of basis.) A simple argument using a suitable version of Sobolev’s embedding theorem (see, for example, \[Hör85\], Thm. 17.5.3) shows that

(3)
$$\underset{x}{sup}u_{[0,\lambda ]}(x)C\lambda ^{n/2}.$$

(Here and everywhere $`C`$ will denote some constant only depending on $`(M,g)`$.) Together with Weyl’s law

(4)
$$\mathrm{\#}\{j:\lambda _j\lambda \}\gamma _M\lambda ^n\text{as }\lambda \mathrm{}$$

(with $`\gamma _M=(2\pi )^n\mathrm{vol}_{\mathrm{eucl}}(B^n)\mathrm{vol}(M)`$, $`B^n`$=unit ball in $`^n`$) this shows that for each $`x`$ the average size of $`u_1(x),u_2(x),\mathrm{}`$ is of order $`O(1)`$. However, if $`M`$ is a sphere or a ball, for example, then there is a subsequence $`u_j^{}`$ of eigenfunctions with $`u_j^{}_{\mathrm{}}c\lambda _j^{}^{(n1)/2}`$, for some constant $`c>0`$ (see Section 2.3). Our main result shows that this is the worst possible rate of growth:

###### Theorem 1.

Let $`M^n`$ be a compact Riemannian manifold with boundary. There is a constant $`C=C(M)`$ such that any solution of (1) satisfies

(5)
$$u_{\mathrm{}}C\lambda ^{(n1)/2}.$$

From the theorem one easily derives the following corollary. This is well-known (see ’Related Results’ below).

###### Corollary 2.

Under the same assumptions as in the theorem, the multiplicity of the eigenvalue $`\lambda ^2`$ of $`\mathrm{\Delta }`$ is at most $`C\lambda ^{n1}`$.

The theorem is already non-trivial in the case of a domain in $`^n`$ with the Euclidean metric: ’Interior’ estimates are simpler in this case due to the constant coefficients of $`\mathrm{\Delta }`$ (see Section 2.4), but the boundary must still be curved, and this causes the main difficulty. While the bound (5) is optimal for balls and spheres it is far from optimal for a torus and a rectangle (see Section 2.2), and possibly for more general $`M`$ under assumptions on the curvature. For example, in the case of negative curvature, the results of Bérard \[Bér77\] imply a bound of $`C\lambda ^{(n1)/2}/\mathrm{log}\lambda `$. The first time that the exponent in (5) was improved in any case of nonzero curvature was in the paper (\[IS95\]) by Iwaniec and Sarnak, for certain arithmetic surfaces $`M`$. In the opposite direction, one may ask for which $`M`$ the $`O(\lambda ^{(n1)/2})`$ estimate may not be replaced by $`o(\lambda ^{(n1)/2})`$. See \[SZ01\] for results in the case without boundary. We do not analyze the dependence of the constant $`C`$ in (5) on the metric. The methods used imply that it is bounded in terms of a finite number (depending on $`n`$) of derivatives of the metric and of the geodesic curvature of $`M`$.

Outline of the proof of Theorem 1. The idea is to use the standard wave kernel method outside a boundary layer of width $`\lambda ^1`$ and a maximum principle argument inside that layer.

Let us first recall the wave kernel method (cf. \[Hör68, Sog93\]). Certain weighted sums over many eigenfunctions turn out to be easier to estimate than single eigenfunctions, since they have a local character. More precisely, given $`ϵ>0`$, choose a Schwartz function $`\rho `$ such that

$$\rho 0,\rho _{|[0,1]}1,\text{supp}(\widehat{\rho })(ϵ,ϵ).$$

Here $`\widehat{\rho }(t)=_{\mathrm{}}^{\mathrm{}}e^{it\lambda }\rho (\lambda )𝑑\lambda `$ denotes the Fourier transform. Proving the existence of such a $`\rho `$ is an easy exercise.

If $`u_1,u_2,\mathrm{}`$ is an orthonormal basis of real eigenfunctions of the Dirichlet Laplacian, with eigenvalues $`\lambda _1<\lambda _2\mathrm{}\mathrm{}`$, then we consider the sum, convergent by (3),

(6)
$$\underset{j}{}\rho (\lambda \lambda _j)u_j(x)u_j(y).$$

Actually, this is the integral kernel of the operator $`\rho (\lambda \sqrt{\mathrm{\Delta }})`$, but we won’t use this fact. If we write, using Fourier’s inversion formula,

$`\rho (\lambda \lambda _j)`$ $`={\displaystyle \frac{1}{2\pi }}{\displaystyle _{\mathrm{}}^{\mathrm{}}}\widehat{\rho }(t)e^{it(\lambda \lambda _j)}𝑑t`$
$`=[\widehat{\rho }(t)e^{it\lambda _j}]\stackrel{ˇ}{\text{ }}(\lambda )`$
$`=2[\widehat{\rho }(t)\mathrm{cos}(t\lambda _j)]\stackrel{ˇ}{\text{ }}(\lambda )\rho (\lambda +\lambda _j),`$
(the superscript $`\stackrel{ˇ}{\text{ }}`$ denotes inverse Fourier transform $`t\lambda `$) then we get the important identity

(7)
$$\underset{j}{}\rho (\lambda \lambda _j)u_j(x)u_j(y)=2[\widehat{\rho }(t)K(t,x,y)]\stackrel{ˇ}{\text{ }}(\lambda )+O(\lambda ^{\mathrm{}})$$

where the error term is small by (3) and rapid decay of $`\rho `$, and

(8)
$$K(t,x,y)=K_M(t,x,y)=\underset{j}{}\mathrm{cos}(t\lambda _j)u_j(x)u_j(y)$$

is the wave kernel, i.e. for each fixed $`y\dot{M}`$ (the interior of $`M`$) it is the solution of

$`({\displaystyle \frac{^2}{t^2}}\mathrm{\Delta }_x)K(t,x,y)`$ $`=0\text{ in }_t\times \dot{M}_x`$
$`K(0,x,y)`$ $`=\delta _y(x)`$
(9) $`{\displaystyle \frac{}{t}}K(t,x,y)`$ $`=0`$
$`K_{|xM}`$ $`=0.`$
The convergence of (8) is in the sense of distributions (i.e. weakly) in $`t`$, for each fixed $`x,y`$, as the argument leading to (7) shows, for example.

The point of (7) is that $`K`$ may be analyzed directly from (9). In particular, solutions of the wave equation have finite propagation speed (see \[Hör85\], Lemma 17.5.12, for example, for the easy proof using energy estimates); for $`K`$ this means

$$\text{supp}K\{(t,x,y):\text{dist}(x,y)|t|\}$$

and that $`K(t,x,y)`$ depends only on the data (i.e. $`M`$ and the metric $`g`$) in $`B_t(x,y):=\{z:\text{dist}(x,z)+\text{dist}(y,z)|t|\}`$. Therefore, (7) shows that the sum (6) depends (up to an error $`O(\lambda ^{\mathrm{}})`$) only on the data in $`B_ϵ(x,y)`$, and this is the local character mentioned before.

We will use (7) only on the diagonal, i.e. for $`x=y`$. From the assumptions on $`\rho `$ we get

(10)
$$u_{[\lambda 1,\lambda ]}(x)^22[\widehat{\rho }(t)K(t,x,x)]\stackrel{ˇ}{\text{ }}(\lambda )+O(\lambda ^{\mathrm{}}),$$

so the theorem would follow from an estimate

(11)
$$|e^{it\lambda }\widehat{\rho }(t)K(t,x,x)𝑑t|C\lambda ^{n1}.$$

Since $`\widehat{\rho }`$ is smooth, this is a statement about the singularities of $`K`$ as a distribution in $`t`$, uniformly in the parameter $`x`$.

As a first step one may now obtain the interior estimate

(12)
$$u_{[\lambda 1,\lambda ]}(x)C_ϵ\lambda ^{(n1)/2}\text{ if }\text{dist}(x,M)>ϵ.$$

In the case of a domain $`M^n`$ one has $`K_M=K_^n`$ for $`|t|<2\text{dist}(x,M)`$ by locality (finite propagation speed), so (12) follows easily from (10) by using the explicit expression for the Euclidean wave kernel in terms of an $`x`$-space Fourier transform, see Section 2.4. In the case of a nonflat metric, $`K`$ can be analyzed near $`t=0`$ by the geometric optics approximation (see \[Hör68\],\[Hör85\]) or the scaling technique introduced by Melrose in \[Mel84\], and this gives the interior estimate in that case. Another method to obtain (12) uses the Hadamard parametrix for the resolvent, see \[Ava56\], \[Sog88\], for example.

Since $`|u(x)|u_{[\lambda 1,\lambda ]}(x)`$ for solutions $`u`$ of (1), (12) gives in particular

(12’)
$$|u(x)|C_ϵ\lambda ^{(n1)/2}\text{ if }xM_ϵ.$$

The claim of Theorem 1 is that $`C_ϵ`$ in (12’) may be chosen independent of $`ϵ`$. When $`x`$ approaches the boundary in the argument above, one has to either shrink the support of $`\widehat{\rho }`$ – which means increasing its maximum since $`\widehat{\rho }=\rho (0)=1`$ (and this gives only $`C_ϵCϵ^{1/2}`$ in (12)) – or analyze the wave kernel in the presence of boundary conditions. The difficulty with the latter is that the geometric optics construction becomes much more complicated near the boundary because of diffraction and multiple reflection of geodesics, and a satisfactory parametrix for the wave equation has so far only been constructed near points where the boundary is strictly convex or concave (see \[MT\], \[Mel80\]). This parametrix was used in \[Gri92\] to prove Theorem 1 near concave boundary points (e.g. near the inner circle of an annular domain). On the diagonal $`x=y`$ the singularities of $`K`$ have been analyzed in sufficient detail near an arbitrary smooth boundary by Ivrii, Melrose and Hörmander (\[Ivr80, Mel84, Hör85\]) to allow us to obtain the desired estimates at points $`x`$ outside a boundary layer of width $`\lambda ^1`$. In the boundary layer, a simple maximum principle argument then completes the proof, because there $`u`$ can have at most one oscillation in the direction perpendicular to the boundary.

Related results. Estimates of $`u_{\mathrm{}}`$ for large $`\lambda `$ are closely related to asymptotic improvements over the bound (3) on $`u_{[0,\lambda ]}`$ (which is often referred to as the ’spectral function of $`\mathrm{\Delta }`$ on the diagonal’). That improvements might be possible is suggested by the observation that $`_Mu_I^2=\mathrm{\#}\{j:\lambda _jI\}`$, and Weyl’s law (4). Carleman \[Car35\] was the first to prove the interior pointwise asymptotics corresponding to (4) (as $`\lambda \mathrm{}`$)

(13)
$$u_{[0,\lambda ]}(x)=\gamma ^{}\lambda ^{n/2}+o_ϵ(\lambda ^{n/2}),\text{for }\text{dist}(x,M)>ϵ$$

(for domains in $`^n`$; for manifolds see \[MP49\], \[Går53\]). Here $`\gamma ^{}=(2\pi )^{n/2}\sqrt{\mathrm{vol}_{\mathrm{eucl}}(B^n)}`$. The error term was improved to

(14)
$$u_{[0,\lambda ]}(x)=\gamma ^{}\lambda ^{n/2}+O_ϵ(\lambda ^{(n1)/2}),\text{for }\text{dist}(x,M)>ϵ$$

(\[Ava52, Lev53\] in $`^n`$, \[Ava56\] for manifolds, \[Hör68\] for higher order operators on manifolds; see \[SV96\] for further improvements). The connection to Theorem 1 is established by writing $`u_{[\lambda 1,\lambda ]}^2=u_{[0,\lambda ]}^2u_{[0,\lambda 1]}^2`$. Then (14) gives immediately the interior estimate (12), and also shows the optimality of the power $`(n1)/2`$ in (12), for any $`M`$ (as opposed to (12’) which is optimal only for some $`M`$).

It follows from the very precise and general results in Ivrii’s book (\[Ivr98\]) that the $`ϵ`$-dependence in (14) may be removed, and hence that our theorem even holds with $`u`$ replaced by $`u_{[\lambda 1,\lambda ]}`$. Our main point here is the simplification of the arguments near the boundary. However, not all difficulties can be avoided: We still have to refer to results on the boundary parametrix in the treatment of the layer $`\{x:\lambda ^1\text{dist}(x,M)1\}`$.

If one considers $`u_p`$ for $`p(0,\mathrm{})`$ instead of $`p=\mathrm{}`$ then one obtains interesting phenomena related to the ’restriction theorem for the Fourier transform’ of Stein-Tomas \[Tom79\]. The optimal interior estimates were obtained by Sogge \[Sog88, Sog93\]. The same estimate extends uniformly to concave portions of the boundary, as shown in \[Gri92\] for $`n=2`$ and in \[SS95\] for all $`n`$, but not in general (e.g. for the ’whispering gallery’ eigenfunctions on the disk, see \[Gri92\] and the remark at the end of Section 2.3). The problem of finding optimal $`L^p`$-bounds for general boundary geometry is still open.

Corollary 2 also follows from the ’sharp Weyl formula’ improving (4)

$$\mathrm{\#}\{j:\lambda _j\lambda \}=\gamma _M\lambda ^n+O(\lambda ^{n1}).$$

While this follows from Ivrii’s results again, there are simpler proofs, see \[See80, Pha81\].

Contents of the paper. In Section 2 we collect some basic facts about our problem which are well-known to the experts but scattered or not present in the literature. In particular, we prove Corollary 2 from Theorem 1 and give two simple proofs of the interior estimate in the case of flat domains. Also, we discuss the torus and the disk. In Section 3 we prove estimate (11) outside a boundary layer of width $`\lambda ^1`$, and in Section 4 we derive from this the estimate on $`u`$ inside this layer, for Dirichlet boundary condition. Finally, in Section 5 we describe the modifications needed for the Neumann problem.

## 2. Basic facts about $`u_{\mathrm{}}`$

### 2.1. Multiplicities

The following proposition shows that Corollary 2 is a consequence of Theorem 1.

###### Proposition 3.

If $`VL^2(M)`$ is a subspace of dimension $`m`$, then

(15)
$$\underset{\begin{array}{c}uV\\ u_2=1\end{array}}{sup}u_{\mathrm{}}|M|^{1/2}m^{1/2}$$

where $`|M|`$ denotes the volume of $`M`$.

###### Proof.

Let $`v_1,\mathrm{},v_m`$ be an orthonormal basis of $`V`$. For simplicity (and sufficient for our purpose), we assume that the $`v_i`$ are continuous, the general case is only slightly harder. Define for $`x,yM`$

$$u_y(x)=\underset{i=1}{\overset{m}{}}\overline{v_i(y)}v_i(x),a(y)=u_y(y)=\underset{i=1}{\overset{m}{}}|v_i(y)|^2.$$

We have $`_Ma(y)=_{i=1}^mv_i_2^2=m`$, so

$$a(\stackrel{~}{y})m/|M|$$

for some $`\stackrel{~}{y}`$. Now by orthonormality of the $`v_i`$

$$u_{\stackrel{~}{y}}_2^2=\underset{i=1}{\overset{m}{}}|\overline{v_i(\stackrel{~}{y})}|^2=a(\stackrel{~}{y})$$

and $`u_{\stackrel{~}{y}}_{\mathrm{}}u_{\stackrel{~}{y}}(\stackrel{~}{y})=a(\stackrel{~}{y})`$, so $`u_{\stackrel{~}{y}}_{\mathrm{}}^2/u_{\stackrel{~}{y}}_2^2a(\stackrel{~}{y})m/|M|`$. Therefore, $`u=u_{\stackrel{~}{y}}/u_{\stackrel{~}{y}}_2`$ satisfies the desired bound. ∎

### 2.2. The torus

Besides proving Corollary 2 from Theorem 1, Proposition 3 has another interesting consequence: Let $`M=^n/(2\pi )^n`$ be the ’square’ torus. The ’standard’ normalized eigenfunctions are

(16)
$$u_a(x)=(2\pi )^{n/2}\mathrm{exp}(iax),a^n,$$

with eigenvalue $`\lambda ^2=|a|^2=a_1^2+\mathrm{}+a_n^2`$. These are uniformly bounded, which is much better than the bound (5). However, since the multiplicity of $`\lambda ^2`$ is not uniformly bounded as $`\lambda \mathrm{}`$, one may construct another sequence of eigenfunctions (as in the proof of Proposition 3) with non-uniformly bounded maxima. In fact, the multiplicity of $`\lambda ^2`$ equals the number of representations of $`\lambda ^2`$ as the sum of $`n`$ squares of integers. From standard results on these numbers (see \[Gro85\], for example) one obtains:

> If $`M`$ is the square $`n`$-torus, then for any $`N`$ there is a sequence of $`L^2`$-normalized eigenfunctions $`u`$ with eigenvalues $`\lambda ^2`$ tending to infinity and satisfying
>
> $$u_{\mathrm{}}c_N\lambda ^{(n2)/2}(\mathrm{log}\lambda )^N$$
>
> for some $`c_N>0`$.

As a simple example we take $`\lambda ^2=5^l`$, $`l=1,2,3,\mathrm{}`$. This has $`4(l+1)`$ representations as sum of two squares, for example $`5`$ arises from $`(\pm 1,\pm 2)`$ and $`(\pm 2,\pm 1)`$. This gives a sequence as desired for $`n=2`$ and $`N=1`$.

Note also that in the case of the torus one has equality in (15), as follows immediately from (16). The number-theoretic results referred to above therefore also yield the upper bound

$$u_{\mathrm{}}C_ϵ\lambda ^{(n2)/2+ϵ}$$

for any $`ϵ>0`$. For more on the case of the torus see Bourgain’s article \[Bou93\]. Of course, the same results hold for a square (or cube) in $`^n`$.

See \[Jak97\] for more about eigenfunctions on tori and \[TZ00\] for interesting recent work on manifolds with uniformly bounded eigenfunctions.

### 2.3. The ball

For completeness and to show that the bound in Theorem 1 cannot be improved in general, we shortly discuss the case $`M=\{x^n:|x|1\}`$. In polar coordinates, the Euclidean Laplacian is

(17)
$$\mathrm{\Delta }=\frac{^2}{r^2}+\frac{n1}{r}\frac{}{r}+\frac{1}{r^2}\mathrm{\Delta }_S$$

where $`\mathrm{\Delta }_S`$ is the Laplacian on the unit sphere $`S=\{|x|=1\}`$. By separation of variables one obtains that there is a basis of eigenfunctions of the form

(18)
$$u(r\omega )=r^{(n2)/2}J_m(\lambda r)\mathrm{\Phi }(\omega ),\omega S,$$

where $`\mathrm{\Phi }`$ is an eigenfunction of $`\mathrm{\Delta }_S`$ (with eigenvalue $`\mu ^2`$), $`J_m`$ is the Bessel function (see \[Wat48\]) of order $`m=\sqrt{\mu ^2+(n2)^2/4}`$ (which is always an integer), and $`\lambda `$ is a positive zero of $`J_m`$ (for Dirichlet boundary conditions).

Consider a radial eigenfunction, i.e. $`\mu =0`$ and $`\mathrm{\Phi }1`$. This is not normalized as in (2), so instead of $`u_{\mathrm{}}`$ we need to estimate $`u_{\mathrm{}}/u_2`$. We have111 That $`r^mJ_m(r)`$ attains its maximum at $`r=0`$ follows immediately from Poisson’s integral
$$J_m(r)=C_mr^m_1^1e^{irt}(1t^2)^{m\frac{1}{2}}𝑑t,$$
see \[Wat48\], Section 3.3. See also \[Wat48\], Section 15.31, for a different proof.  $`m=(n2)/2`$, $`u_{\mathrm{}}=u(0)=C_n\lambda ^{(n2)/2}`$, and the asymptotics

$$J_m(s)cs^{1/2}\mathrm{cos}(sm\pi /2\pi /4)+O(s^{5/2}),s\mathrm{}$$

easily imply $`u_2^2_0^1(r^{(n2)/2}(\lambda r)^{1/2})^2r^{n1}𝑑r=\lambda ^1`$, so $`u_{\mathrm{}}/u_2\lambda ^{(n1)/2}`$, and this shows that the bound (5) is saturated by $`u`$.

Similar (but more involved) Bessel function estimates may be used to prove Theorem 1 directly for the ball, and even the stronger estimate for $`u_{[\lambda 1,\lambda ]}`$. See \[Gri92\].

Remark: The radial functions are one extreme case of (18). The other extreme case is obtained by taking $`\lambda =\lambda _{m1}`$, the first positive zero of $`J_m`$. For $`m=1,2,3,\mathrm{}`$ this yields the sequence of ’whispering gallery eigenfunctions’ (say $`n=2`$ for simplicity). They concentrate on a strip of width $`\lambda ^{2/3}`$ at the boundary, as follows from (and is made precise by) the estimates

$`\lambda _{m1}`$ $`=m+am^{1/3}+O(m^{2/3}),\text{as }m\mathrm{},\text{ with }a>0`$
$`J_m(m+tm^{1/3})`$ $`m^{1/3}\text{ for }t[a/2,a/2]`$
$`J_m(m+tm^{1/3})`$ $`Cm^{1/3}e^{c|t|^{3/2}}\text{ for }m^{2/3}t2a`$
for positive constants $`c,C`$. (These are easy consequences of well-known asymptotic formulas for $`J_m`$, see \[Olv54\] for example, or \[Wat48\], Sec.8.4 for weaker but sufficient bounds.) Sogge showed that away from the boundary concentration can happen only on sets of area $`\lambda ^{1/2}`$. This follows from his estimate $`u_6C\lambda ^{1/6}u_2`$. In contrast, the whispering gallery eigenfunctions have $`u_6\lambda ^{1/3}u_2`$. Note that the $`L^{\mathrm{}}`$ estimate (11) only implies area $`\lambda ^1`$ for concentration. This shows two things:

1. Optimal bounds on concentration phenomena are obtained from certain $`L^p`$, $`p<\mathrm{}`$, rather than $`L^{\mathrm{}}`$ bounds on eigenfunctions.
2. As opposed to $`L^{\mathrm{}}`$ bounds, these $`L^p`$-bounds are sensitive to the presence (and geometry) of a boundary.

In general, such optimal bounds are still unknown.

### 2.4. General domains in $`^n`$

Here we prove the interior estimate (12) for Euclidean domains $`M^n`$. We give two proofs: First, we finish the wave equation proof outlined in the Introduction, and second, we give a more direct proof using averaging and Bessel functions.

First proof: As argued in the introduction, it is sufficient to prove (11), with $`K`$ replaced by the wave kernel in $`^n`$. One way to represent $`K_^n`$ is as an oscillatory integral, obtained from using the $`x`$-space Fourier transform and solving the ordinary differential equation that results from (9),

(19)
$$K_^n(t,x,y)=(2\pi )^n_^n\mathrm{cos}(t|\xi |)e^{i(xy)\xi }𝑑\xi .$$

From this it is not hard to get (11) directly. Let us describe a more conceptual approach which yields the power $`n1`$ by pure homogeneity arguments (this is the scaling technique in \[Mel84\] for this special case): From the homogeneity of the equation satisfied by $`K_^n`$ (or from (19) directly) one has the homogeneity

$$K_^n(t,x,y)=ϵ^nK_^n(t/ϵ,x/ϵ,y/ϵ)$$

for $`ϵ>0`$. Since $`\mathrm{\Delta }`$ has constant coefficients, one has furthermore translation invariance $`K_^n(t,x,y)=K_^n(t,xy,0)`$. Therefore, $`K_^n(t,x,x)=K_^n(t,0,0)`$ is a distribution in $`t`$, homogeneous of degree $`n`$. Then its singular support must be contained in $`\{0\}`$, and its inverse Fourier transform is also smooth outside zero and homogeneous of degree $`n1`$ (see \[Hör83\], Theorem 7.1.18), so it satisfies the desired bound. Then it is straightforward to see that $`\rho K_^n\stackrel{ˇ}{\text{ }}`$ satisfies the same bound, i.e. (11).

Second proof: Let $`x_0M`$, and assume that the ball $`B`$ of radius $`R`$ around $`x_0`$ is contained in $`M`$. We show that

(20)
$$|u(x_0)|C\lambda ^{(n1)/2}R^{1/2}u_{L^2(B)}$$

which clearly implies (12’). To simplify notation, assume $`x_0=0`$. In this proof, $`_p`$ denotes the $`L^p`$ norm on $`B`$, not $`M`$.

Define the spherical average

$$h(r)=\frac{1}{|S|}_Su(r\omega )𝑑\omega ,$$

considered as function on $`B`$. Since $`h`$ is the average over the functions $`g^{}u`$ over all rotations $`gSO(n)`$ and since these rotations induce isometries on $`L^2(B)`$, Minkowski’s inequality gives

$$h_2u_2.$$

Furthermore, $`h`$ solves $`(\mathrm{\Delta }+\lambda ^2)h=0`$ (since $`\mathrm{\Delta }`$ is rotation invariant) and is radial, so it is of the form (18) with $`\mathrm{\Phi }=const`$. Therefore, the same calculation as in Section 2.3 shows that

$$\frac{h_{\mathrm{}}}{h_2}R^{1/2}\lambda ^{(n1)/2}.$$

Finally, $`h_{\mathrm{}}=|h(0)|=|u(0)|`$, so (20) follows. We remark that this proof may be adapted to prove (12) instead of (12’), see \[Gri92\].

## 3. Estimates outside the boundary layer

In this section we prove Theorem 1 for points $`x`$ with

$$\text{dist}(x,M)\lambda ^1.$$

As explained in the Introduction, we only have to prove (11) for these $`x`$. Propagation of singularities (see \[Hör85\]) implies that the singular support of the distribution $`tK(t,x,x)`$ is contained in the set of lengths of geodesics, possibly reflected at the boundary, which start and end at $`x`$. Clearly, for small $`ϵ`$ the only singularities in $`|t|<ϵ`$ are therefore at $`t=0`$ and possibly at $`t=\pm 2\text{dist}(x,M)`$. Therefore, $`K`$ may be expected to be and indeed is representable, for small $`|t|`$, as the sum of two distributions, a ’direct’ term which is only singular at $`t=0`$, and a ’reflected’ term. To describe the direct term, choose a closed manifold $`\stackrel{~}{M}`$ extending $`M`$, and let

$$K^{\text{dir}}(t,x,y)$$

be the solution of the problem (9) on $`\stackrel{~}{M}`$.

To describe the reflected term, it is convenient to introduce geodesic coordinates with respect to the boundary; that is, we identify points $`x`$ of $`M`$ close to the boundary with pairs $`(x^{},x_n)M\times [0,c)`$, $`c>0`$, via the map

(21)
$$M\times [0,c)M$$

sending $`(x^{},x_n)`$ to the endpoint of the geodesic of length $`x_n`$ which starts at $`x^{}M`$ perpendicular to $`M`$. This map is a diffeomorphism onto its image for sufficiently small $`c`$. We have

$$x_n=\text{dist}(x,M).$$

Also, let $`\chi _+^\alpha `$, $`\alpha `$, be the distribution on $``$ obtained by analytic continuation in $`\alpha `$ from $`\{\text{Re }\alpha >1\}`$, where it is defined by

$$\chi _+^\alpha (s)=\{\begin{array}{cc}s^\alpha /\mathrm{\Gamma }(\alpha +1)\hfill & \text{ if }s>0\hfill \\ 0\hfill & \text{ if }s0\hfill \end{array}$$

and satisfies $`(\chi _+^{\alpha +1})^{}=\chi _+^\alpha `$, see \[Hör83\], Section 3.2. Alternatively, it is the inverse Fourier transform of

(22)
$$\widehat{\chi }_+^\alpha (\sigma )=e^{i(\alpha +1)\pi /2}\frac{1}{(\sigma i0)^{\alpha +1}}.$$

Theorem 17.5.9 in \[Hör85\] then gives the following description of the singularity of $`K`$ at $`t=\pm 2\text{dist}(x,M)`$:

###### Proposition 4.

For sufficiently small $`ϵ`$, there is a distribution

$$I(x^{},\theta ,t)𝒟^{}(M\times \times (ϵ,ϵ))$$

so that for $`|t|<ϵ`$ and $`x_n>0`$ we have

$$K(t,x,x)=K^{\text{dir}}(t,x,x)t^nI(x^{},\frac{2x_n}{t},t).$$

Furthermore, $`I`$ has support in $`|\theta |1`$ and singular support in $`|\theta |=1`$, and near $`\theta =1`$ we have

$$I(x^{},\theta ,t)=\underset{j=0}{\overset{N1}{}}a_j(x^{},\theta ,t)\chi _+^{j(n+1)/2}(1\theta )+R_N(x^{},\theta ,t)$$

with smooth functions $`a_j`$ and a continuous remainder $`R_N`$, for any $`N>(n1)/2`$. A similar expansion exists near $`\theta =1`$.

Note: In the statement of Theorem 17.5.9 in \[Hör85\] the direct term (called $`t^nI_1`$ there) is not identified like in the statement above. But in the proof (middle of page 59, loc. cit.) it is chosen as $`K^{\text{dir}}`$ like above.

The proposition is obtained by analyzing the regions $`t<3x_n`$ and $`t3x_n`$ separately: In $`t<3x_n`$ one uses a suitable scaling (cf. Section 2.4) and the Hadamard parametrix, and in $`t3x_n`$ (where no singularities should occur) one uses propagation of singularities estimates (this is the harder part).

Since the estimates for $`K^{\text{dir}}`$ are already known by the interior estimate, (11) will follow from:

###### Lemma 5.

For $`x_n\lambda ^1`$, we have

$$|_0^{\mathrm{}}e^{it\lambda }\widehat{\rho }(t)t^nI(x^{},\frac{2x_n}{t},t)𝑑t|C\lambda ^{n1}.$$

For convenience, we restrict to positive $`t`$. Negative $`t`$ are handled in the same way.

###### Proof.

The integrand is zero for $`t<2x_n`$ and for $`t>ϵ`$. We split the integral up into a part where $`t>3x_n`$ and a part where $`t<4x_n`$, using a cutoff function smooth in $`t/x_n`$. By Proposition 4, $`I`$ is smooth on the first part and therefore bounded, so this part is dominated by a constant times

$$_{x_n}^{\mathrm{}}t^n𝑑tx_n^{n+1}\lambda ^{n1}.$$

In the second part, where $`t<4x_n`$, we split up $`I`$ as in the proposition, with a fixed $`N>(n1)/2`$. Then the term $`R_N`$ can be handled in the same way as the first part.

It remains to analyze the singular terms. If we denote the cutoff function by $`\psi (t/x_n)`$, $`\psi C_0^{\mathrm{}}(1,4)`$, they take the form (assuming for simplicity that $`\widehat{\rho }`$ was chosen to be constant near zero)

$$e^{it\lambda }a(x^{},\frac{2x_n}{t},t)\chi _+^\alpha (1\frac{2x_n}{t})\psi (\frac{t}{x_n})t^n𝑑t,$$

$`\alpha =j(n+1)/2`$. If we change variables $`\tau =t/2x_n`$ and use the homogeneity of $`\chi _+^\alpha `$, this becomes

$$x_n^{n+1}e^{2i\tau \lambda x_n}b(x^{},\tau ,t)\chi _+^\alpha (\tau 1)𝑑\tau $$

with $`b`$ smooth and supported in $`\tau (1/2,2)`$. Using (22) one sees by a short standard calculation that this is bounded by a constant times

$$x_n^{n+1}(\lambda x_n)^{(n1)/2j}=\lambda ^{n1}(\lambda x_n)^{(n1)/2j}\lambda ^{n1}.$$

## 4. Estimates in the boundary layer

So far, we have proved $`|u(x)|C\lambda ^{(n1)/2}`$ for $`\text{dist}(x,M)\lambda ^1`$. The proof of Theorem 1 in the Dirichlet case will therefore be completed by the following lemma:

###### Lemma 6.

If $`u`$ is a solution of

$$(\mathrm{\Delta }+\lambda ^2)u=0$$

vanishing at the boundary of $`M`$, then

(23)
$$\underset{x:\text{dist}(x,M)<\lambda ^1}{\mathrm{max}}|u(x)|\underset{x:\text{dist}(x,M)=\lambda ^1}{\mathrm{max}}|u(x)|.$$

###### Proof.

Without loss of generality, assume $`u`$ is real valued. Under the identification near the boundary given by (21), the metric takes the form

$$g(x)=dx_n^2+g^{}(x^{},x_n)$$

where $`g^{}(,x_n)`$ is a Riemannian metric on $`M`$ for each $`x_n`$. Therefore, the Laplacian has the form

(24)
$$\mathrm{\Delta }=\frac{^2}{x_n^2}+a(x)\frac{}{x_n}+P(x^{},x_n,D_x^{})$$

with a Laplacian $`P`$ on the boundary (depending on the parameter $`x_n`$) and a smooth function $`a`$. The generalized maximum principle says that if $`v`$ is a positive function on the strip

$$S=\{0x_n\lambda ^1\}M$$

with

$$(\mathrm{\Delta }+\lambda ^2)v0$$

then

(25)
$$\underset{S}{\mathrm{max}}\frac{|u|}{v}\underset{S}{\mathrm{max}}\frac{|u|}{v}.$$

(Apply \[PW84\], Theorem 10, to $`u`$ and then to $`u`$.) We apply this with the function

$$v(x^{},x_n)=\mathrm{sin}(\frac{\pi }{2}+\frac{3}{2}(\lambda x_n1)).$$

We have $`v>0.07`$ on $`S`$ and thus, from (24),

$$(\mathrm{\Delta }+\lambda ^2)v=\frac{5}{4}\lambda ^2v+O(\lambda )<0\text{ on }S\text{ for large }\lambda ,$$

so the generalized maximum principle applies. Now $`u=0`$ at the outer boundary $`x_n=0`$ of $`S`$, and $`v=1`$ at the inner boundary $`x_n=\lambda ^1`$. Since $`v1`$ on $`S`$, (25) implies (23). ∎

## 5. The Neumann problem

Theorem 1 and Corollary 2 remain true if the Dirichlet boundary condition $`u_{|M}=0`$ is replaced by the Neumann boundary condition

$$_nu_{|M}=0$$

in (1), where $`_n`$ denotes the outward normal derivative.

Let us sketch the proof: The proof of Proposition 3 (and thus the proof of Corollary 2 from Theorem 1) as well as the reduction of Theorem 1 to the wave kernel estimate (11) carry over literally, except that $`K`$ is replaced by the Neumann wave kernel (i.e. $`_nK_{|xM}=0`$ instead of $`K_{|M}=0`$ in (9), where $`_n`$ refers to the $`x`$-coordinates). (Also, Section 2.4 applies literally to the Neumann problem.)

Proposition 4 holds for the Neumann wave kernel as well (with different $`a_j`$), by straightforward modification of the arguments in \[Hör85\].

Finally, Lemma 6 remains true for Neumann eigenfunctions, except that (23) must be replaced by

(23’)
$$\underset{x:\text{dist}(x,M)<\lambda ^1}{\mathrm{max}}|u(x)|20\underset{x:\text{dist}(x,M)=\lambda ^1}{\mathrm{max}}|u(x)|.$$

To see this, just note that, in the comparison of the functions $`u`$ and $`v`$, the maximum of $`u/v`$ over $`S`$ not only must occur at a boundary point $`x_0`$ of $`S`$, but also the outward normal derivative at $`x_0`$ must be strictly positive. See Theorem 10 of \[PW84\] (this is sometimes called Zaremba’s principle). Now choose $`v=\mathrm{sin}(\frac{\pi }{2}+\frac{3}{2}\lambda x_n)`$, then

$$_nv=v/x_n=0\text{ for }x_n=0$$

and so $`_n(u/v)=0`$ for $`x_n=0`$. This means that the maximum of $`u/v`$ over $`S`$ must occur at the inner boundary $`x_n=\lambda ^1`$ of $`S`$. Since $`v^1<20`$ there, we get (23’) after applying the same argument to $`u`$.