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# Time-like flows of energy-momentum and particle trajectories for the Klein-Gordon equation

## I Introduction

In a recent paper  we outlined a causal trajectory interpretation (in the de Broglie-Bohm sense) of the Klein-Gordon equation. We indicated how to proceed in order to retain the notion of particle trajectories, both for the single- and many-particle cases. The basic idea is to extend to the quantum context some results established in the context of general relativity for conserved flows of energy-momentum in classical scalar fields. In the classical context Edelen has shown that there is a natural definition of rest-energy flow and an associated conserved density which are determined respectively by the time-like eigenvectors and eigenvalues of the energy-momentum tensor of the scalar field itself in its local rest frame. In the context of a single-particle Klein-Gordon equation these time-like eigenvectors allow the definition of well-behaved particle trajectories. This approach overcomes some of the previous objections to the interpretation of relativistic scalar fields in terms of a particle ontology.

In this paper we give further details of our approach and provide an illustration by showing how the simple quantum phenomena associated with single-particle scattering from static square potentials can consistently be interpreted in terms of well-defined individual relativistic boson trajectories. The single-particle picture is consistent and provides no requirement to have recourse to second quantization. (Particle creation can only be discussed in a many-particle approach.) We also discuss the Lorentz transformation properties of the trajectories.

## II Particle interpretations of the Klein-Gordon equation

de Broglie first proposed a particle interpretation of the Klein-Gordon equation in the period 1926-1927. de Broglie proceeded using the polar form of the scalar field,

$$\varphi =R\mathrm{exp}(iS)$$
(1)
to decompose the wave equation

$$\mathrm{}\varphi =m_0^2\varphi $$
(2)
into a continuity equation

$$^\mu (R^2_\mu S)=0$$
(3)
and a Hamilton-Jacobi equation

$$_\mu S^\mu S\frac{\mathrm{}R}{R}=m_0^2$$
(4)
This approach gives a positive definite Lorentz scalar probability density, $`R^2`$, but the problem with the use of $`_\mu S`$ to define the flow lines is that $`_\mu S`$ is not always a time-like four vector. Consequently the three-velocity, defined (in the absence of electromagnetic fields) by

$$v=\frac{S}{\frac{S}{t}}$$
(5)
is not necessarily subluminal. This fact was, of course, known to de Broglie  but he did not consider it a serious pathology. After all, no experimental consequences follow from the implied superluminal motion of the particles and the measurable predictions of the quantum theory are recovered and these do not contravene relativistic covariance.

Another approach based on relativistic hydrodynamics has been developed (,, ) but in this work also there is an implied assumption that $`_\mu S`$ is a time-like four-vector. Because of the difficulty with space-like flows the particle interpretation of the Klein Gordon equation has not generally been accepted. Instead an interpretation based on well-defined, extended fields has been developed ,,,,.

It turns out however that at least for massive bosons there is a possibility to define time-like flows and hence particle trajectories that follow the flows and so one objection against a particle formulation of boson fields may be overcome. Our aim here is to explore the consequences of taking the idea of boson trajectories seriously.

Dirac  has shown that in relativistic hydrodynamics a Hamiltonian description can be given with reference to an arbitrary space-like hypersurface. The Hamiltonian density $`H`$ for any field splits into two pieces, each piece being proportional to a lapse or shift vector $`(N,N_i)`$. The two pieces have a simple physical significance as shown by Schutz , namely

$`N{\displaystyle \frac{(H(g)^{\frac{1}{2}})}{N}}`$ $`=`$ $`(g)^{\frac{1}{2}}n^\mu T_{\mu \nu }n^\nu NϵN`$ (6)
$`N_i{\displaystyle \frac{(H(g)^{\frac{1}{2}})}{N_i}}`$ $`=`$ $`(g)^{\frac{1}{2}}g^{ij}n^\mu T_{\mu j}N_iP^iN_i`$ (7)
where $`n^\mu =N(^4g^{0\mu })`$ is a unit normal to a space-like hypersurface, $`(^4g^{\mu \nu })`$ is the four dimensional metric and $`g^{ij}`$ is the three-dimensional metric. $`ϵ`$ and $`P_i`$ are, respectively, the co-ordinate densities of energy and momentum measured by an observer at rest on the hypersurface.

One can define the flow lines for relativistic bosonic fields through the energy-momentum tensor $`T_\nu ^\mu `$. In order to obtain a Lorentz invariant description one must form true 4-vectors to define the flow of energy momentum . If one defines an arbitrary time-like vector $`\eta ^\nu `$ then $`T_\nu ^\mu \eta ^\nu `$ is a true four-vector defining the flow of rest energy.***A justification for this approach can be found in  and . This flow, however, is dependent on the arbitrary choice of $`\eta ^\nu `$ and is not therefore suitable, as it stands, if one wishes to ascribe beables to the field itself.

Edelen  has suggested that an intrinsic natural four-vector is provided by the matter field itself through the eigenvalue equation

$$T_\nu ^\mu W^\nu =\lambda W^\mu $$
(8)
Edelen shows that, given such a unique $`W^\mu `$, an intrinsic rest energy density $`(\rho )`$ exists and does not have to be introduced ad-hoc into the Einstein theory. The intrinsic energy density satisfies

$$(\rho W^\mu )_{;\mu }=0$$
(9)
where $`()_{;\mu }`$ indicates the covariant derivative. Edelen establishes, given the unique $`W^\mu `$, that

$$T^{\mu \nu }=\lambda W^\mu W^\nu +\sigma ^{\mu \nu }$$
(10)
where $`\sigma ^{\mu \nu }`$ is any symmetric tensor field with space-like support. Using also $`(T^{\mu \nu })_{;\nu }=0`$ one gets

$$(\lambda W^\nu )_{;\nu }=\sigma ^{\mu \nu }ϵ_{\mu \nu }$$
(11)
where $`ϵ_{\mu \nu }`$ is the Born rate of strain tensor. One now looks for a path density $`S`$ such that its Lie derivative along $`W^\mu `$ equals $`(g)^{\frac{1}{2}}\sigma ^{\mu \nu }ϵ_{\mu \nu }`$. It follows straightforwardly that

$$S=(\mathrm{exp}[_a^bϵd\tau ])(_a^b(\mathrm{exp}[_a^\tau ϵd\tau ](g)^{\frac{1}{2}}\sigma ^{\mu \nu }ϵ_{\mu \nu }d\tau )$$
(12)
all integrations being performed along the $`W^\mu `$ and $`ϵ=ϵ_{\mu \nu }g^{\mu \nu }`$.

In the presence of electromagnetic fields we have

$$(T_{matter}^{\mu \nu })_{;\mu }=ej_\mu F^{\mu \nu }$$
(13)
where $`j_\mu `$ is the charge current, $`F^{\mu \nu }`$ is the electromagnetic field tensor and $`_\mu F^{\mu \nu }`$ is the Lorentz 4-force. The modified conservation relation now reads

$$(\lambda W^\nu )_{;\nu }=\sigma ^{\mu \nu }ϵ_{\mu \nu }+ej_\mu F^{\mu \nu }W_\nu $$
(14)
The path density is now defined to be

$`S\left(s_0\right)=(\mathrm{exp}[{\displaystyle _0^{s_0}}ϵd\tau ])({\displaystyle _a^b}(\mathrm{exp}[{\displaystyle _a^\tau }ϵd\tau ](g)^{\frac{1}{2}}(\sigma ^{\mu \nu }ϵ_{\mu \nu }+j_\mu F^{\mu \nu }W_\nu )d\tau )`$

$`S`$ will, in general, be path dependent and if the quantities in the integrand are continuous with no singularities can be set to zero on an initial space-like hypersurface. Therefore the initial value of $`\rho `$ is equal to $`\lambda `$ and $`\lambda `$ is a constant of the motion along the flow lines.

One now has a unique scalar density

$$\mathrm{\Phi }=(g)^{\frac{1}{2}}\lambda S$$
(15)
or, if one prefers, a unique $`\rho `$ given by

$$\mathrm{\Phi }=(g)^{\frac{1}{2}}\rho $$
(16)
One can say that $`\lambda (g)^{\frac{1}{2}}W^\mu `$ is a flux of rest energy density created in amounts equal to $`\sigma ^{\mu \nu }ϵ_{\mu \nu }`$ per unit geometrical volume. $`\sigma ^{\mu \nu }`$ are the generalised stresses giving rise to the energy flow. $`S`$ then represents a path-dependent flux which combined with the flux of rest energy density gives a conserved flux $`\mathrm{\Phi }W^\mu `$. $`\mathrm{\Phi }W^\mu `$ can thus be thought of as an intrinsic energy density flux.

Using this approach for the Klein-Gordon field circumvents a number of objections to the very notion of boson trajectories, either using the de Broglie approach or using the components of the energy-momentum tensor to define flow lines and densities .

Other objections have been raised to single-particle formulations of relativistic quantum mechanics. For example there are a number of ways of setting up a Hilbert space for the Klein-Gordon equation See for example Schweber , Wald . An example of a different approach is that of Gitman et al. . but the scalar product utilised does not lead to a positive definite probability density. The position operator, also, does not have the usual form and it is not clear what measurement procedure would correspond to the measurement of position in the theory since the eigenfunctions are not delta functions and have an infinite range which suggests a violation of causality.

One way of proceeding has been to use the current $`j^\mu `$ which obeys a conservation relation

$$_V_\mu j^\mu d^4x=_Sj^\mu n_\mu d^3x$$
(17)
where V is a four volume and S is an enclosing hypersurface with unit normal $`n_\mu `$. Since $`j^\mu `$ is not time-like everywhere, even in the case of a restriction to positive energy solutions, $`j^\mu n_\mu `$ does not provide a ”probability” density analogous to the non-relativistic expression. In the case of trajectory theories one could use a scalar density $`j^\mu n_\mu `$ to give a density of crossings of the flow lines, given by $`j_\mu `$, across a hypersurface. The usual choice is to use equi-time surfaces giving a density of $`j^0n_0`$ (with $`n_0=1`$). A Lorentz transformation to a different frame of reference and equi-time hypersurface then leads to a density $`\rho ^{}`$, given by

$$\rho ^{}=j_\mu ^{}n^\mu =\rho $$
(18)
One has however privileged one equi-time hypersurface (one does not choose $`j_0`$ in each frame). This defintion of $`\rho `$ does not, therefore, depend solely on the field but also, through $`n^\mu `$ on the choice of the space-like hypersurface. (Dürr et al.  propose to treat the hypersurface as an additional dynamical variable with its own equation of motion.) One should note that the usual Klein-Gordon scalar product, defined via the conservation relation, is independent of the choice of surface $`S`$ and if one considers an infinitesimal tube along the direction of $`j^\mu `$ then putting $`n_\mu =\frac{j_\mu }{|j_\mu |}`$ one will have $`|j_\mu |d\sigma `$ constant along the tube, where $`d\sigma `$ is the cross-sectional area normal to $`j^\mu `$. The fact that $`j^\mu `$ is not everywhere time-like, and hence the surfaces $`\sigma `$ not always space-like, means that $`|j_\mu |`$ is not interpretable as a probability density of finding a particle in a given position. The density of crossings of flow-lines is however given by $`|j_\mu |`$ which is a scalar quantity. In one frame of reference, at one point in space-time, there will be a rest frame in which $`\rho =|j_0|`$ in the case of a time-like flow. Although this is not of use in the Klein-Gordon case it suggests that, in the Dirac case for example, one might choose the density of crossings as $`|j_\mu |`$ which will be independent of the hypersurface and Lorentz invariant.

Although there may well be a preferential slicing of space-time  and equations of motion associated with that slicing, in view of the lack of a theory of such a preference, it seems better to suppose that the choice of space-like hypersurface for the preparation of a system in a given state and its subsequent measurement can be left open to the experimentalist (in thought, at least).

We therefore have proposed to take the eigenvalue $`\lambda `$ of the energy-momentum tensor $`T_\nu ^\mu `$, corresponding to the unit time-like vector $`W_\mu `$ as the positive definite scalar density. In the Klein-Gordon case we have previously given the prescription for finding $`W_\mu `$ which always exists and solely depends on the structure of $`T_\nu ^\mu `$. $`\lambda `$ being given by :-

$$\lambda =\frac{1}{2}\left[m_0^2\left|\varphi \right|^2+\left|_\mu \varphi ^\mu \varphi \right|\right]$$
(19)
$`\lambda `$ is the rest energy at a point, in the frame of reference provided by $`\left[W^\mu \right]=[1,0,0,0]`$ i.e. the locally stationary frame, and $`\lambda \sqrt{g}W^\mu `$ is a flux of rest energy density $`\rho \sqrt{g}`$ such that

$$\left(\rho W^\mu \right)_{;\mu }=0$$
(20)
It is important to note that the flow lines given by $`W^\mu `$ are not geodesics since in the Klein-Gordon case in equation (10) the $`\sigma ^{\mu \nu }`$ is non-zero i.e. the Klein-Gordon field is not that of an incoherent fluid - there are additional state-dependent pressure terms of a purely quantum mechanical origin. One sets $`\rho `$ equal to $`\lambda `$ on an arbitrary initial space-like hypersurface; $`\rho \sqrt{g}`$ has been called the intrinsic energy density . The intrinsic energy density per unit geometrical volume is constant along the flow lines defined by $`W^\mu `$, i.e. $`\lambda \sqrt{g}da`$ is constant along the flow lines and changes in $`da`$ are compensated by the $`\sqrt{g}`$ factor, where

$$\frac{\sqrt{g}}{\sqrt{\left(g\right)_0}}=exp\left(+ϵ𝑑s\right)$$
(21)
and $`ϵ=ϵ_j^i`$, $`ϵ_{ij}`$ being the Born rate of strain tensor.

$`\lambda `$ is, therefore, a constant of the motion . The advantage of using $`\lambda `$ as a density of crossings is that it is defined solely by the field and is a constant along the time-like flows; one may also consider arbitrary space-like hypersurfaces for preparation and measurement.

One must however note that $`\lambda `$ is a non-linear observable of the type proposed by Weinberg  and Leifer  who give different accounts of a non-linear modification of quantum mechanics. Weinberg proposes a scheme that would enable one to measure such a non-linear observable. $`\lambda `$ is clearly not a conventional probability density. In justification of such a procedure one notes that in trajectory theories, such as those proposed by de Broglie and Bohm, there is no need to use the conventional apparatus of Hermitean operators and collapse to define the theory. One has a well-defined physical picture in which the particle follows a trajectory and once a measurement interaction is specified the outcome can be calculated for various initial particle co-ordinates. The uncontrollable nature of the initial co-ordinates in any given case limits the prediction to statistical statements only. One may therefore propose that the actual density of crossing of flow lines corresponds to that of the particles with no necessity to consider conventional measurement processes and no need to define a probability density yielding the statistical results if one were to make a measurement. One takes a consistent ontological position and accepts the contextualisation of results upon measurement.

The eigenvectors of $`T_\mu ^\nu `$ are defined by (8). In the case of massive spin 0 and spin 1 fields unique time-like eigenvectors exist at each point of the Riemannian curved space-time. Transforming to Riemann normal coordinates gives $`T_\nu ^\mu `$ in the usual flat space-time form (minimal coupling with no curvature contributions . We discuss here only the scalar case.

Writing a solution $`\varphi `$ of the Klein-Gordon equation as

$$\varphi =\mathrm{exp}[P+iS]$$
(22)
and setting $`_\mu P=P_\mu `$ and $`_\mu S=S_\mu `$ one gets ,

$$T_\nu ^\mu =|\varphi |^2[m_0^2(P^\alpha P_\alpha +S^\alpha S_\alpha )]\delta _\nu ^\mu +2|\varphi |^2[(P^\mu P_\nu +S^\mu S_\nu )]$$
(23)
The second term can be written as $`2|\varphi |^2`$ times

$$\left[\begin{array}{c}\mathrm{}\\ P^\mu \\ \mathrm{}\end{array}\right][\mathrm{}P_\mu \mathrm{}]+\left[\begin{array}{c}\mathrm{}\\ S^\mu \\ \mathrm{}\end{array}\right][\mathrm{}S_\mu \mathrm{}]$$
(24)
the eigenvectors of $`T_\nu ^\mu `$ must be a linear combination of $`[P^\mu ]`$ and$`[S^\mu ]`$ (or orthogonal to the term above). Some algebra shows that the two solutions are of the form (unnormalised):

$`S^\mu +\mathrm{exp}^\theta P^\mu `$ (25)
$`S^\mu \mathrm{exp}^\theta P^\mu `$ (26)
where

$$sinh\theta =\frac{P^\mu P_\mu S^\mu S_\mu }{2P^\mu S_\mu }$$
(27)
These two vectors are easily shown to be orthogonal four vectors using the expression for $`sinh\theta `$. One can conclude that one is time-like and the other space-like (or both null). If both eigenvectors were space-like then, in some frame of reference, their time components would both vanish giving $`e^\theta =e^\theta =\frac{S_0}{P_0}`$ which is not possible with $`\theta `$ real as given by (27).

In deriving $`T_\nu ^\mu `$ one has assumed the usual metric with one time-like axis. As a result two further space-like vectors $`a^\mu `$ and $`b^\mu `$ can be derived such that

$`a^\mu \left(S_\mu +e^\theta P_\mu \right)`$ $`=`$ $`0`$ (28)
$`a^\mu \left(S_\mu e_\mu ^{\theta P}\right)`$ $`=`$ $`0`$ (29)
and similarily for $`b^\mu `$, since the vectors $`S_\mu +e^\theta P_\mu `$ and $`S_\mu e^\theta P_\mu `$ define a space-like two dimensional plane. The overall eigenvalue $`\lambda `$ is given by

$$\lambda =|\varphi |^2\left[m_0^2\pm ([P^\mu P_\mu S^\mu S_\mu ]^2+4[P^\mu S_\mu ]^2)^{\frac{1}{2}}\right]$$
(30)
The three-velocity is given (in the absence of electromagnetic fields) by one of the two expressions

$$v=\frac{S\pm e^{\pm \theta }P}{\left(\frac{S}{t}\pm e^{\pm \theta }\frac{P}{t}\right)}$$
(31)
In those regions where the de Broglie three-velocity is less than 1 then $`_\mu S`$ is a time-like four vector in all frames of reference. A covariant condition can then be given for agreement between $`v_{dB}`$ and $`v_e`$. Transforming to the rest frame at a point and rotating the space axis one gets

$`e^\theta P_1^{}=S_1^{},e^\theta P_0^{}=S_0^{}`$

or

$`e^\theta P_1^{}=S_1^{},e^\theta P_0^{}=S_0^{}`$

The second case can be dealt with by setting $`\theta `$ equal to $`\theta `$ and $`P_\mu ^{}`$ equal to $`P_\mu ^{}`$ in the first case, so one need only consider the first case in detail. If one transforms back to a frame moving with three-velocity equal to $`\mathrm{tanh}\alpha `$ (at some point)one finds:

$`S_1`$ $`=`$ $`P_0\left(e^\theta +e^\theta \right)\mathrm{sinh}\alpha \mathrm{cosh}\alpha P_1\left(\mathrm{cosh}^2\alpha e^\theta +\mathrm{sinh}^2e^\theta \right)`$ (32)
$`S_0`$ $`=`$ $`P_0\left(\mathrm{cosh}^2\alpha e^\theta +\mathrm{sinh}^2e^\theta \right)+P_1\left(e^\theta +e^\theta \right)\mathrm{sinh}\alpha \mathrm{cosh}\alpha `$ (33)
If the de Broglie three-velocity is less than one (at the considered point) one sees that $`\theta `$ must be sufficiently large and negative to get

$`{\displaystyle \frac{S_1}{S_0}}\mathrm{tanh}\alpha `$

The two ways of calculating the velocity will agree where

$`\left|{\displaystyle \frac{S_1}{S_0}}\right|<1`$

with $`\theta `$ sufficiently large and negative (or positive for the other case). In one dimension it can be shown that the $`+`$ signs give the time-like flows. The flows of the field and hence the individual particle trajectories are described by a set of world-lines in space-time. Evidently they transform according to the appropriate Lorentz transformation to any other inertial frame. The world-lines of the particles are Lorentz invariant in the sense that the same set of events will be connected by the transformed world-line in all inertial frames.

## III Simple example: the square potential barrier

In order to illustrate our physical model we compare the velocities and trajectories defined using the non-relativistic de Broglie-Bohm formulation, de Broglie’s approach to the Klein Gordon equation and our definition in the context of single-particle scattering from a square potential barrier. The counter-intuitive behaviour which arises in this context is often cited as evidence of the inadequacy of single-particle interpretations of relativistic wave equations and of the need to proceed to second quantization, but on closer examination it can be seen that no paradoxical behaviour arises provided one determines the boundary conditions appropriately.

Relativistically the potential may be either scalar or electrostatic in origin and we consider both cases here The scalar potential was originally introduced to give a containment model for quarks (the so-called bag model) after it was found that an electrostatic delta-function barrier could not give containment.. Using the relativistic relation

$$(\mathrm{}\omega )^2=(\mathrm{}k)^2+m_0^2$$
(34)
(we take $`\mathrm{}=c=1`$). In the regions of zero potential the momentum is given by

$$k_\mathit{1}=\pm \sqrt{\omega ^2m_{0}^{}{}_{}{}^{2}}$$
(35)
, The momentum in the potential region depends on the type of potential. For the scalar case we have

$$k_\mathit{2}=\pm \sqrt{\omega ^2(m_0+V)^2}$$
(36)
whereas for the electrostatic case we have

$$k_\mathit{2}=\pm \sqrt{(\omega V)^2m_{0}^{}{}_{}{}^{2}}$$
(37)
When dealing with an electrostatic potential step of semi-infinite extent one needs to take the positive square root in defining the momentum in the potential region in order to ensure that we have the correct physical boundary conditions. This choice avoids the appearance of waves travelling in from positive infinity when $`E<V+m`$ and hence the Klein paradox does not arise. §§§The original Dirac theory version of the paradox was effectively resolved in this manner , see also the discussion in  p264. Pair production by strong fields is a reality, but evidently it can not be treated in a single-particle theory restricted to the single-particle sector of Fock space. Examples involving pair production can only be treated in many-particle theories. We also take positive values for $`\omega `$, there is an exactly symmetrical set of solutions for negative $`\omega `$ but the two sets are disjoint. We shall consider in detail only the barrier case here. The electrostatic step behaviour cannot be obtained by extending the barrier width to infinity as one always has waves propagating in each direction when $`E<V+m`$.

We define the potential barrier to occupy the region $`0<x<a`$ and to have magnitude V in a frame of reference that we label $`\mathrm{\Sigma }`$. In front of the barrier, for $`x<0`$ the wave function is

$$\psi (x)=e^{ik_\mathit{1}x}+Re^{ik_\mathit{1}x}$$
(38)
whereas in the region of the barrier we have

$$\psi (x)=Ge^{ik_\mathit{2}x}+He^{ik_\mathit{2}x}$$
(39)
beyond the barrier

$$\psi (x)=Je^{ik_\mathit{1}x}$$
(40)
Solving the boundary conditions at the barrier we find the standard expressions for the reflection and transmission ratios.

$$\left|T\right|^2=\frac{4k_1^2k_2^2}{\left(k_1^2+k_2^2\right)^2\left(k_1^2k_2^2\right)^2cos^2(k_2a)}$$
(41)
$$\left|R\right|^2=\frac{\left(k_1^2k_2^2\right)sin^2k_2a}{\left(k_1^2+k_2^2\right)^2\left(k_1^2k_2^2\right)^2cos^2(k_2a)}$$
(42)
The different cases studied here are distinguished by the prevailing relationship between $`k`$ and $`\omega `$. In the scalar case $`k_2`$ becomes imaginary when $`V>\omega m`$ (and the so-called Klein paradox does not arise for scalar potential steps), whereas in the electrostatic case $`k_2`$ is imaginary only in the interval $`\omega m<V<\omega +m`$, for which there is exponential decay in the barrier. As the barrier height is increased beyond $`\omega +m`$, $`k_2`$ becomes real and one has a transmitted and a reflected wave in the barrier region and there is no confinement.

In the usual approach the physical meaning of the component wave functions is derived from their associated currents, one speaks in terms of an incoming, transmitted and reflected current. But the wave function in front of the barrier is, of course, a pure superposition state and so strictly there is just the overall current associated with this pure state. Where a plane-wave description is used, the incoming and reflected wave functions overlap over the whole of space $`(x<0)`$ and so, in the usual approach, for the purpose of interpretation the wave function is tacitly considered to be a mixture; only then can the physical situation be described in terms of separate incident and reflected currents. The reflected current is given by $`k_\mathit{1}\left|R\right|^2`$ and the transmitted current by $`\mathrm{}(k_\mathit{2}\left|T\right|^2)`$. In the pure state the current is always positive or zero. As the reflection coefficient increases the current decreases, vanishing as the reflection coefficient approaches unity.

For the scalar potential the variation of the transmission and reflection coefficients for a given energy and over a range of barrier heights and widths is similar to that familiar from the non-relativistic case. We set $`m=1`$ for the calculations presented in this section. As shown in Fig. 1. the transmission decays to zero as the barrier height increases to $`V=\omega m`$ and the wave is completely reflected. For an electrostatic barrier the situation is somewhat counter intuitive. For an incident momentum of 0.95 (in our arbitrary units), Fig. 2. shows the behaviour of the transmission coefficient (for the electrostatic case) as the magnitude and width of the barrier are varied. At first, as expected, the transmission decreases as the barrier potential height or width increases and this continues until the region for which $`V=\omega \pm m`$ throughout which there is an exponential decay of the wavefunction in the barrier. As the magnitude of the barrier potential increases still further, transmission once more increases right up to $`V=2\omega `$ where full transmission occurs. Thereafter transmission oscillates with increasing barrier height and width (where in the scalar or non-relativistic case the transmission is zero).

In the non relativistic case the continuity equation for the conserved density $`\rho =|\psi |^2`$ is

$$\frac{\rho }{t}=.\left(\rho \stackrel{}{v}\right)$$
(43)
and this suggests that the velocity be defined by

$$\stackrel{}{v}_S=\frac{\stackrel{}{j}}{\rho }==\mathrm{𝐼𝑚}(\frac{\frac{}{x}\psi (x,t)}{\psi (x,t)}$$
(44)
which for the region in front of the barrier yields

$$v_S=\frac{k_\mathit{1}\left(1R^2\right)}{2R\left(\mathrm{cos}(\mathit{2}k_\mathit{1}x)\right)+1+R^2}$$
(45)
At the minima of the denominator the velocity is given by

$$v_S=\frac{k_\mathit{1}\left(1+R\right)}{\left(1R\right)}$$
(46)
Evidently for the non-relativistic case the velocity has no upper bound and where the density is very small the velocity will be very large. The density will develop nodes as $`R1`$. This case was solved exactly by Takabyasi . Typical trajectories for the incident wave packet case can also be seen in .

De Broglie’s expression for the velocity in the Klein Gordon case is given in equation (5). For the particular case of the barrier this yields

$$v_{dB}=\frac{1}{(\omega V)}v_S$$
(47)
with $`k_1`$ in the expression for $`v_S`$ now given by (37), for the region in front of the step. In the limit for which $`k_1`$ is small the de Broglie velocity approaches $`v_S`$. Again there is no upper bound on the velocities defined in this way. As the reflection coefficient approaches unity the regions around the minima for which the velocity is superluminal shrink, but the magnitude of the velocity in these regions increases rapidly. The regions shrink to a point as the reflection coefficient approaches unity.

The situation is markedly different if one uses the time-like eigenvector of the energy-momentum tensor to define velocities and its eigen-value to define the density as described above in equations (31) and (30). In this particular one-dimensional case, for the definite energy eigenfunctions, the expression for the velocity can be written

$$v_e=\frac{S+e^\theta P}{\omega V}$$
(48)
This velocity is a weighted combination of the de Broglie velocity and what has been referred to elsewhere as the osmotic velocity. The combination always has a magnitude less than 1.

For this simple case where the wave function in front of the barrier is a superposition of two counter-propagating waves with complex weights, it can be shown that the eigenvalue of the energy-momentum tensor $`\lambda `$ and $`\left|\varphi \right|^2`$ are in phase and related at the maxima and minima by

$$\lambda =2k^2\left|R\right|+\left(1\pm \left|R\right|\right)^2$$
(49)
In this case then, even for complete reflection when $`R=1`$, although $`\left|\varphi \right|^2`$ will go to zero at the minima, $`\lambda `$ remains finite everywhere. This is similar to the Dirac case where the density can not have nodes. If one wants to calculate $`\rho `$ at later times then he piecewise constant potential introduces some complications since the delta-function forces at the beginning and end of the barrier introduce discontinuities in the path density S and one will have to integrate along the paths. We have

$$j_\mu F^{\mu \nu }W_\nu =ej^\mu \left(\frac{A_\nu }{x^\mu }\frac{A_\mu }{x^\nu }\right)W^\nu $$
(50)
For the one-dimensional, time-independent electrostatic barrier this becomes

$$j^\mu F_{\mu \nu }W^\nu =e\left(j^3W^0j^0W^3\right)\frac{A_0}{x^3}$$
(51)
which has a singularity at the start and end of the barrier, hence there will be a step discontinuity in S at the beginning and end of the barrier.

For the purposes of illustration we calculate the various densities, trajectories and velocities defined above, in the lab frame in which the barrier is stationary, for a variety of cases.

For a momentum of $`k_1=0.1`$ (in our arbitrary units in the $`\mathrm{\Sigma }`$ frame) the particle has a velocity of one tenth of the speed of the light. If the reflection coefficient is also low then the three expressions for the velocity are approximately equal, as are the densities and the motion is time-like in all cases. The situation is very different if we consider a large reflection coefficient, say $`R=0.99`$. With the relativistic energy given by $`E=\sqrt{1.01}`$ the Schrödinger velocity and the de Broglie velocity are similar, the relativistic scaling is just $`\sqrt{1.01}`$. Both expressions give superluminal motion in the interference minima. The eigen-vector velocity remains sub-luminal showing only a small oscillation. As the reflection coefficient approaches unity the de Broglie velocity increases without limit at the minima of $`\left|\varphi \right|^2`$, whereas the energy-momentum velocity approaches zero as $`\lambda `$ approaches a minima. A graph comparing the de Broglie and the energy-momentum velocities and densities is given in Fig. 3. It is clear that even in this ”non-relativistic” limit the relativistic corrections to the velocity are important in maintaining a sub-luminal velocity in the interference minima. That the low-energy limit of the relativistic de Broglie-Bohm velocity and the non-relativistic de Broglie-Bohm velocity differ considerably in interference situations was first noted in .The de Broglie trajectories associated with this situation are given in Fig. 4., and the eigen-vector trajectories in Fig. 5. The relativistic trajectories at low energy differ considerably from those calculated using the non-relativistic (or even the de Broglie) formulation. Several authors have suggested using non-relativistic Bohm trajectories to calculate low-energy barrier-tunnelling times, however we see that the calculation of tunnelling-times based on the low-energy relativistic trajectories will in general give rather different predictions.

At the relativistic momentum $`k=0.95`$ the differences are more marked for all values of the reflection coefficient. Fig. 6 shows a comparison of the velocities and densities defined in the de Broglie theory and in ours for the case of a reflection coefficient of $`0.7`$ when $`E<Vm`$ (the normal region). Fig. 7. shows the associated de Broglie trajectories and Fig. 8. the associated energy-momentum trajectories. Note that the velocities differ appreciably in the region of the interference minima. When $`Vm<E<V+m`$ the reflection coefficient is unity and the velocities are zero. When $`V>E+m`$ we enter the Klein paradox region, Fig. 9. shows the de Broglie and eigen-vector velocities and densities for a reflection coefficient of $`0.7`$ in the anomolous transmission region. Fig. 10. shows the de Broglie trajectories associated with the velocities of Fig. 9. Note that the motion is always in the positive direction. Fig. 11. shows the eigen-vector trajectories associated with the velocities of Fig. 9.

## IV Lorentz covariance

In the theory we have given here, based on the eigenvalues and eigenvectors of the energy momentum tensor in the local rest frame of the flow, the density is a Lorentz scalar and the flows of energy-momentum are defined by four-vectors and are always time-like. The Klein-Gordon wave function, which determines the density and the flow evolves unitarily in a covariant manner and so the problems associated with wave-packet collapse in a relativistic theory do not arise in the same way (there is no wave packet collapse). If the particle position (or the entire world line) is taken as the beable or the element of reality then these are clearly Lorentz covariant. For a given space-time wave function $`\mathrm{\Phi }\left(x\right)=\mathrm{\Phi }^{}\left(x^{}\right)`$, there is a unique world line through a given space-time event. The set of space-time points linked by a world line is invariant, but their co-ordinate description in other frames is, of course, different. So the situation here is no different than that for a classical particle world-line. We labour this point as doubts have been raised concerning the Lorentz covariance of trajectories as defined in relativistic de Broglie-Bohm theories.

To expand on this point further, consider a single-particle system prepared in the laboratory or $`\mathrm{\Sigma }`$ frame on a space-like hypersurface (given by the actual experimental details), typically this will be an equal-time hypersurface, although it need not be so. It is important to remember here that all preparations must be referred to some extended space-like hypersurface and not to a single point or to a time-like hypersurface. From this initial specification on the arbitrary space-like hypersurface the evolution of the wave function can be calculated and the space-time energy-momentum flow lines are then determined using the prescription given above. The calculation of the wave function on any other arbitrary space-like hypersurface, different from the initial surface, would have to be carried out using a type of Tomanaga-Schwinger approach, evolving the initial wave function to the chosen hypersurface. The flow lines remain the same, irrespective of the choice of hypersurface, although their co-ordinatisation using alternative frames of reference will be different. There is an important distinction to be made between the arbitrary choice of space-like surface and an inertial given frame.

Consider now the same physical situation as it is described in another inertial frame, $`\mathrm{\Sigma }^{}`$, in motion with respect to $`\mathrm{\Sigma }`$. In this frame the system is not described as having been prepared on an equal-time hypersurface, the initial hypersurface in $`\mathrm{\Sigma }^{}`$ is just the Lorentz transformed hypersurface defined in $`\mathrm{\Sigma }`$. The relationship between the flow-lines in $`\mathrm{\Sigma }`$ and $`\mathrm{\Sigma }^{}`$ is simply that of the usual passive re-coordinatisation of world lines which follows on the application of the appropriate Lorentz transformation. There is no preferred frame in this approach, although there is, as a matter of contingent fact, a particular space-like hypersurface on which the system is actually prepared.

It is perhaps not surprising that Lorentz covariance follows naturally in the single-particle case where non-local correlations cannot arise. We consider the many-particle case in a further paper. In the approach that we have described here measurements must be treated as particular physical interactions described by introducing the appropriate interaction terms in the Hamiltonian and the appropriate additional apparatus variables. There is no wave packet collapse and the wave equation will still yield a covariant process evolving unitarily into different channels each associated with a different outcome of the measurement . In a further paper we will consider the Klein-Gordon equation for a fixed number of particles greater than one and its interpretation in terms of particle trajectories. This will allow consideration of Lorentz covariance and nonlocality in a relativistic boson particle trajectory de Broglie-Bohm theory.

Figure Captions

1. FIG. 1. Variation of the transmission coefficient with magnitude $`V`$ and width $`a`$ of a scalar potential barrier for an incident energy of 1.38.
2. FIG. 2. Variation of the transmission coefficient with magnitude $`V`$ and width $`a`$ of an electrostatic potential barrier for an incident energy of 1.38.
3. FIG. 3. Schrödinger, de Broglie (dotted line) and eigenvector (solid line) velocities and densities for $`k=0.1`$,$`a=12`$, $`V=0.0306`$ and $`R=0.99`$, the Schrödinger and de Broglie velocities are not distinguishable, the eigenvector velocities are always less than one.
4. FIG. 4.De Broglie trajectories and their direction-field for $`k=0.1`$,$`a=12`$, $`V=0.0306`$ and $`R=0.99`$ in the region of an interference minima.
5. FIG. 5. Energy-momentum flow trajectories and their direction-field for $`k=0.1`$,$`a=12`$, $`V=0.0306`$ and $`R=0.99`$ in the region of an interference minima.
6. FIG. 6.De Broglie (dotted line)and energy-momentum (solid line)velocities and densities for $`k=0.95`$,$`a=12`$,$`V=0.36`$ and $`R=0.7`$.
7. FIG. 7. De Broglie trajectories and their direction field for $`k=0.95`$,$`a=12`$,$`V=0.36`$ and $`R=0.7`$.
8. FIG. 8. Eigenvector trajectories and their direction field for $`k=0.95`$,$`a=12`$,$`V=0.36`$ and $`R=0.7`$.
9. FIG. 9. de Broglie (dotted line)and energy-momentum (solid line)velocities and densities for $`k=0.95`$,$`a=12`$,$`V=4.47`$ and $`R=0.7`$, in the Klein-region.
10. FIG. 10. De Broglie trajectories and their direction field for $`k=0.95`$,$`a=12`$,$`V=4.47`$ and $`R=0.7`$, in the Klein region.
11. FIG. 11. Eigen-vector trajectories and their direction field for $`k=0.95`$,$`a=12`$,$`V=4.47`$ and $`R=0.7`$, in the Klein region.


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# 1 Introduction

## 1 Introduction

Time series with long-range dependence are widespread in nature and for many years have been extensively studied in hydrology and geophysics . More recently, ”long memory” or ”$`1/f`$ noise” (as it is often called) has been observed in DNA sequences , cardiac dynamics , internet traffic , meteorology , geology  and even ethology .

In economics and finance, long-range dependence also has a long history (for a review see Refs. ) and still is a hot topic of active research . Historical records of economic and financial data typically exhibit nonperiodic cyclical patterns that are indicative of the presence of significant long memory. However, the statistical investigations that have been performed to test long-range dependence have often become a source of major controversies, especially in the case of stock returns. The reason for this are the implications that the presence of long memory has on many of the paradigms used in modern financial economics .

Various estimators of long range dependence have been proposed. Even though some have known asymptotic properties, it is important to test their accuracy by using simulated series of different lengths. Such a study was presented in Refs.  using ”ideal” models that display long-range dependence, i.e fractional Brownian noise (fBn) and Fractional ARIMA(0,d,0). However, the authors tested estimators on rather long time series (10000 elements), whereas in practice we often have to perform analysis of much shorter data sets. For example, Lux  used daily time series comprising 1949 DAX returns, Lobato and Savin  originally performed tests on 8178 S&P500 daily returns, but later due to the non-stationarity of the process (which influenced the estimates) divided the sample into smaller subsamples, Grau-Carles  analyzed various stock index data including 4125 Nikkei and 1555 FTSE daily returns, Weron and Przybyłowicz  estimated the Hurst exponent using only 670 daily returns of the spot electricity price in California. Moreover, Taqqu et al.  based their statistical conclusions on only 50 simulated trajectories of fBn or FARIMA. This may be enough for the estimation of the mean or median, but certainly not enough for the estimation of very high or low quantiles, which can be used to construct empirical confidence intervals .

In this paper we analyze rescaled range analysis, Detrended Fluctuation Analysis and periodogram regression methods on samples drawn from Gaussian white noise. In Section 2 we precisely describe all three methods and later, in Section 3, present a comparison based on Monte Carlo simulations. The DFA statistics turns out to be the unanimous winner. Unfortunately, no asymptotic distribution theory has been derived for this statistics so far. We were able, however, to construct empirical (i.e. approximate) confidence intervals for all three methods. These results are presented in Section 4. The obtained values differ largely from heuristic values proposed by some authors for the R/S statistics and are very close to asymptotic values for the periodogram regression method. In Section 5 we apply the results of Section 4 to a number of financial data illustrating their usefulness.

## 2 Methods for estimating $`H`$

### 2.1 R/S analysis

We begun our investigation with one of the oldest and best-known methods, the so-called R/S analysis. This method, proposed by Mandelbrot and Wallis  and based on previous hydrological analysis of Hurst , allows the calculation of the self-similarity parameter $`H`$, which measures the intensity of long range dependence in a time series.

The analysis begins with dividing a time series (of returns) of length $`L`$ into $`d`$ subseries of length $`n`$. Next for each subseries $`m=1,\mathrm{},d`$: 1 find the mean ($`E_m`$) and standard deviation ($`S_m`$); 2 normalize the data ($`Z_{i,m}`$) by subtracting the sample mean $`X_{i,m}=Z_{i,m}E_m`$ for $`i=1,\mathrm{},n`$; 3 create a cumulative time series $`Y_{i,m}=_{j=1}^iX_{j,m}`$ for $`i=1,\mathrm{},n`$; 4 find the range $`R_m=\mathrm{max}\{Y_{1,m},\mathrm{},Y_{n,m}\}\mathrm{min}\{Y_{1,m},\mathrm{},Y_{n,m}\}`$; and 5 rescale the range $`R_m/S_m`$. Finally, calculate the mean value of the rescaled range for all subseries of length $`n`$

$$(R/S)_n=\frac{1}{d}\underset{m=1}{\overset{d}{}}R_m/S_m.$$

It can be shown  that the R/S statistics asymptotically follows the relation

$$(R/S)_ncn^H.$$

Thus the value of $`H`$ can be obtained by running a simple linear regression over a sample of increasing time horizons

$$\mathrm{log}(R/S)_n=\mathrm{log}c+H\mathrm{log}n.$$

Equivalently, we can plot the $`(R/S)_n`$ statistics against $`n`$ on a double-logarithmic paper, see Fig. 1. If the returns process is white noise then the plot is roughly a straight line with slope 0.5. If the process is persistent then the slope is greater than 0.5; if it is anti-persistent then the slope is less than 0.5. The ”significance” level is usually chosen to be one over the square root of sample length, i.e. the standard deviation of a Gaussian white noise .

However, it should be noted that for small $`n`$ there is a significant deviation from the 0.5 slope. For this reason the theoretical (i.e. for white noise) values of the R/S statistics are usually approximated by

$$𝐄(R/S)_n=\{\begin{array}{ccc}\frac{n\frac{1}{2}}{n}\frac{\mathrm{\Gamma }(\frac{n1}{2})}{\sqrt{\pi }\mathrm{\Gamma }(\frac{n}{2})}\underset{i=1}{\overset{n1}{}}\sqrt{\frac{ni}{i}}\hfill & \text{for}\hfill & n340,\hfill \\ \frac{n\frac{1}{2}}{n}\frac{1}{\sqrt{n\frac{\pi }{2}}}\underset{i=1}{\overset{n1}{}}\sqrt{\frac{ni}{i}}\hfill & \text{for}\hfill & n>340,\hfill \end{array}$$
(1)
where $`\mathrm{\Gamma }`$ is the Euler gamma function. This formula is a slight modification of the formula given by Anis and Lloyd ; the $`(n\frac{1}{2})/n`$ term was added by Peters  to improve the performance for very small $`n`$.

Formula (1) was used as a benchmark in all empirical studies of the R/S statistics presented in this paper, i.e. the Hurst exponent $`H`$ was calculated as $`0.5`$ plus the slope of $`(R/S)_n𝐄(R/S)_n`$. The resulting statistics was denoted by R/S-AL.

A major drawback of the R/S analysis is the fact that no asymptotic distribution theory has been derived for the Hurst parameter $`H`$. The only known results are for the rescaled (but not by standard deviation) range $`R_m`$ itself .

### 2.2 Detrended Fluctuation Analysis

The second method we used to measure long range dependence was the Detrended Fluctuation Analysis (DFA) proposed by Peng et al. . The method can be summarized as follows. Divide a time series (of returns) of length $`L`$ into $`d`$ subseries of length $`n`$. Next for each subseries $`m=1,\mathrm{},d`$: 1 create a cumulative time series $`Y_{i,m}=_{j=1}^iX_{j,m}`$ for $`i=1,\mathrm{},n`$; 2 fit a least squares line $`\stackrel{~}{Y}_m(x)=a_mx+b_m`$ to $`\{Y_{1,m},\mathrm{},Y_{n,m}\}`$; and 3 calculate the root mean square fluctuation (i.e. standard deviation) of the integrated and detrended time series

$$F(m)=\sqrt{\frac{1}{n}\underset{i=1}{\overset{n}{}}(Y_{i,m}a_mib_m)^2}.$$

Finally, calculate the mean value of the root mean square fluctuation for all subseries of length $`n`$

$$\overline{F}(n)=\frac{1}{d}\underset{m=1}{\overset{d}{}}F(m).$$

Like in the case of R/S analysis, a linear relationship on a double-logarithmic paper of $`\overline{F}(n)`$ against the interval size $`n`$ indicates the presence of a power-law scaling of the form $`cn^H`$ . If the returns process is white noise then the slope is roughly 0.5. If the process is persistent then the slope is greater than 0.5; if it is anti-persistent then the slope is less than 0.5.

Unfortunately, no asymptotic distribution theory has been derived for the DFA statistics so far. Hence, no explicit hypothesis testing can be performed and the significance relies on subjective assessment.

### 2.3 Periodogram regression

The third method is a semi-parametric procedure to obtain an estimate of the fractional differencing parameter $`d`$. This technique, proposed by Geweke and Porter-Hudak  (GPH), is based on observations of the slope of the spectral density function of a fractionally integrated series around the angular frequency $`\omega =0`$. Since they showed that the spectral density function of a general fractionally integrated model (eg. FARIMA) with differencing parameter $`d`$ is identical to that of a fractional Gaussian noise with Hurst exponent $`H=d+0.5`$, the GPH method can be used to estimate $`H`$.

The estimation procedure begins with calculating the periodogram, which is a sample analogue of the spectral density. For a vector of observations $`\{x_1,\mathrm{},x_L\}`$ the periodogram is defined as

$$I_L(\omega _k)=\frac{1}{L}\left|\underset{t=1}{\overset{L}{}}x_te^{2\pi i(t1)\omega _k}\right|^2,$$

where $`\omega _k=k/L`$, $`k=1,\mathrm{},[L/2]`$ and $`[x]`$ denotes the largest integer less then or equal to $`x`$. Observe that $`I_L`$ is the squared absolute value of the Fourier transform and if the observations vector is of appropriate length (even or a power of 2) then we can use fast algorithms to calculate the Fourier transform.

The next and final step is to run a simple linear regression

$$\mathrm{log}\{I_L(\omega _k)\}=a\widehat{d}\mathrm{log}\left\{4\mathrm{sin}^2(\omega _k/2)\right\}+ϵ_k,$$
(2)
at low Fourier frequencies $`\omega _k`$, $`k=1,\mathrm{},K[L/2]`$. The least squares estimate of the slope yields the differencing parameter $`d`$ through the relation $`d=\widehat{d}`$, hence $`H=\widehat{d}+0.5`$. A major issue on the application of this method is the choice of $`K`$. Geweke and Porter-Hudak , as well as a number of other authors, recommend choosing $`K`$ such that $`K=[L^{0.5}]`$, however, other values (eg. $`K=[L^{0.45}]`$, $`[L^{0.2}]K[L^{0.5}]`$) have also been suggested.

Periodogram regression is the only of the presented methods, which has known asymptotic properties. Inference is based on the asymptotic distribution of the estimate $`\widehat{d}`$ of $`d`$, which is normally distributed with mean $`d`$ and variance

$$\frac{\pi ^2}{6_{k=1}^K(x_t\overline{x})^2},$$
(3)
where $`x_t=\mathrm{log}\{4\mathrm{sin}^2(\omega _k/2)\}`$ is the regressor in eq. (2).

## 3 Comparison of estimators

In order to test the presented estimation methods we performed Monte Carlo simulations. We generated samples of Gaussian white noise sequences (independent and $`N(0,1)`$ distributed) of length $`L=2^N`$, where $`N=8,9,\mathrm{},16`$, i.e. $`L=256,512,\mathrm{},65536`$. For each $`L`$ ten thousand trajectories were produced. Next, we applied all three estimation procedures – Anis-Lloyd corrected R/S statistics, Detrended Fluctuation Analysis and periodogram regression – to the data series and compared the results.

In Figure 2 we plotted the mean values (over all 10000 samples) of the estimated Hurst exponents. For illustrative purposes we also included the results of the classical R/S statistics (R/S), i.e. without the Anis-Lloyd correction. As can be seen in Fig. 2, on average, this method overestimates the true Hurst exponent to a great extent. On the other hand, all other methods have a slight negative bias.

We analyzed the R/S and DFA methods for two cutoffs of the subinterval length: $`n>10`$ and $`n>50`$. Despite the corrections to the original rescaled range statistics, R/S-AL still possesses a large variance if very small $`n`$ are included in the calculations. Thus we decided to use only subintervals of length $`n>50`$ (to be more precise: $`n=64,128,256,\mathrm{}`$, since the length of our samples was a power of 2). On the other hand, the DFA statistics behaves nicely even for small subintervals. So, we calculated $`H_{DFA}`$ for $`n>10`$ (more precisely: $`n=16,32,64,\mathrm{}`$) and – to be consistent with the results for the rescaled range analysis – separately for $`n>50`$.

As we have mentioned in the previous Section, results of the Geweke-Porter-Hudak method depend on the choice of the cutoff value $`K`$, which determines how many of the low Fourier frequencies $`\omega _k`$ are taken into account. In our simulations we decided to use the standard value, i.e. $`K=[L^{0.5}]`$, because lower powers of $`L`$ introduce larger estimation errors, while larger powers force us to move away from the region for which the theoretical results hold.

The large number of simulated trajectories allowed us to compare the methods. For a given method we obtained 10000 estimated values of $`H`$, called $`\{H_i,i=1,2,\mathrm{},10000\}`$. Apart from calculating their mean (see Fig. 2), we computed their standard deviation and mean absolute error, i.e.

$$\text{MAE}=\frac{1}{10000}\underset{i=1}{\overset{10000}{}}|H_i0.5|,$$

which provides some information on the bias. The results are presented in Table 1. To have a complete picture, in Fig. 3 we also plotted the 2.5% and 97.5% sample quantiles for all methods. A $`p\%`$ sample quantile, denoted by $`\widehat{x}_p`$, is such a value that $`p\%`$ of the sample observations are less than $`\widehat{x}_p`$. Equivalently we can say that the empirical distribution $`F_e`$ evaluated at $`\widehat{x}_p`$ equals $`p\%`$, i.e. $`F_e(\widehat{x}_p)=p\%`$.

In all three tests the clear winner for $`L>500`$ is the DFA statistics with $`n>50`$ as it gives the estimated values closest to the initial Hurst exponent ($`H=0.5`$). The reason it performs worse then the DFA statistics with $`n>10`$ for the smallest tested samples is probably the fact that $`L=256`$ has only three divisors greater than 50: $`n=64,128,256`$ and that regression based on only three points can yield large errors.

Unfortunately, no asymptotic distribution theory has been derived for the DFA statistics so far. However, using Monte Carlo simulations we were able to construct empirical (i.e. approximate) confidence intervals for all three analyzed methods.

## 4 Construction of confidence intervals

The estimation of the Hurst exponent $`H`$ alone is not enough. We also need a measure of the significance of the results. Traditionally, the statistical approach is to test the null hypothesis of no or weak dependence versus the alternative of strong dependence or long memory at some given significance level. However, to construct a test the asymptotic distribution of the test statistics must be known. Of the three analyzed methods only the spectral one has well know asymptotic properties. In this Section we will thus construct empirical confidence intervals.

The procedure is quite simple, although burdensome, and consists of the following: 1 for a set of sample lengths (in our case: $`L=256,512,\mathrm{},65536`$) generate a large number (here: 10000) of realizations of an independent or a weakly dependent time series (here: Gaussian white noise); 2 compute the lower (0.5%, 2.5%, 5%) and upper (95%, 97.5%, 99.5%) sample quantiles for all sample lengths; and 3 plot the sample quantiles vs. sample size and fit them with some functions. These functions can be later used to construct confidence intervals. The 5% and 95% quantiles designate the 90% (two-sided) confidence interval, 2.5% and 97.5% quantiles – the 95% confidence interval and 0.5% and 99.5% quantiles – the 99% confidence interval.

Results of the above procedure for the Anis-Lloyd corrected R/S statistics are presented in Table 2 and Figs. 4-5. To find the 95% confidence interval we plotted 2.5% and 97.5% sample quantiles vs. sample size. The only satisfactory results were obtained for $`\mathrm{log}(\widehat{x}_{97.5}0.5)`$ and $`\mathrm{log}(0.5\widehat{x}_{2.5})`$ vs. $`\mathrm{log}(\mathrm{log}N)`$, where $`N=\mathrm{log}_2L`$, see Fig. 4. For sample size $`L=256`$ the 97.5% quantile introduced large estimation errors, probably due to the fact that $`L=256`$ has only three divisors greater than 50: $`n=64,128,256`$ and that regression based on only three points can yield large errors. Thus we decided to use 97.5% quantiles (in fact 95% and 99.5% quantiles as well) coming only from samples of at least 512 observations. The obtained fit was very good, the $`R^2`$ statistics for the lower quantile was 0.9987 and for the upper 0.9972. The complete formulas, also for 90% and 99% confidence intervals are given in Table 2. In Figure 5 we plotted the mean value of $`H`$ and the 95% confidence interval vs. sample size. For comparison we also added the heuristic ”significance level” (one over the square root of sample length) given in Peters . It is clearly seen that this ”significance level” rejects the null hypothesis too often compared to the 95% confidence interval (in fact too often even compared to the 90% confidence interval).

Results for the DFA statistics are presented in Table 3 and Figs. 6-9. Again in order to find the 95% confidence interval we plotted 2.5% and 97.5% sample quantiles vs. sample size. The only satisfactory results were obtained for $`\mathrm{log}(\widehat{x}_{97.5}0.5)`$ and $`\mathrm{log}(0.5\widehat{x}_{2.5})`$ against $`\mathrm{log}N`$, where $`N=\mathrm{log}_2L`$, see Figs. 6 and 8. Like in the case of the R/S-AL statistics, for sample size $`L=256`$ the 97.5% quantile introduced large estimation errors when the subinterval size was restricted to $`n>50`$, see Fig. 8. Thus we decided to use 97.5% quantiles (95% and 99.5% quantiles as well) coming only from samples of at least 512 observations when the higher ($`n>50`$) cutoff was applied. The obtained fit was very good. In the $`n>10`$ case the $`R^2`$ statistics for the lower quantile was 0.9985 and for the upper 0.9972. In the $`n>50`$ case the $`R^2`$ statistics for the lower quantile was 0.9973 and for the upper 0.9918. The complete formulas, also for 90% and 99% confidence intervals are given in Table 3. In Figures 7 and 9 we plotted the mean value of $`H`$ and the 95% confidence interval vs. sample size.

Finally, results for the GPH statistics are presented in Table 4 and Figs. 10-11. The only satisfactory results for the 95% confidence interval were obtained by plotting $`\mathrm{log}(\widehat{x}_{97.5}0.5)`$ and $`\mathrm{log}(0.5\widehat{x}_{2.5})`$ against $`N^{2/3}`$, where $`N=\mathrm{log}_2L`$, see Fig. 10. The power $`\frac{2}{3}`$ was chosen arbitrarily, however, comparably good results were possible in the range $`(0.6,0.7)`$. The obtained fit was very good, the $`R^2`$ statistics for the lower quantile was 0.9953 and for the upper 0.9987. The complete formulas, also for 90% and 99% confidence intervals are given in Table 4. In Figure 11 we plotted the mean value of $`H`$ and the 95% confidence interval vs. sample size. For comparison we also added the theoretical 95% confidence intervals, see formula (3). The empirical and theoretical intervals are quite close to each other, especially for large samples. For small samples the GPH statistics has a slight negative bias and the empirical values are shifted downward. Recall, however, that the theoretical results are derived from the limiting behavior and obviously cannot take into account finite sample properties.

The small difference between the empirical and theoretical confidence intervals justifies our approach and permits us to use in practical applications the empirical confidence intervals given in Tables 2-4.

## 5 Applications

Having calculated the empirical confidence intervals we are now ready to test for long range dependence in financial time series. For the analysis we selected four data sets (two stock indices and two power market benchmarks):

* 2526 daily returns of the Dow Jones Industrial Average (DJIA) index for the period Jan. 2nd, 1990 – Dec. 30th, 1999;
* 1560 daily returns of the WIG20 Warsaw Stock Exchange index (based on 20 blue chip stocks from the Polish capital market) for the period Jan. 2nd, 1995 – Mar. 30th, 2001;
* 728 daily returns of electricity traded in the California Power Exchange (CalPX) spot market for the period April 1st, 1998 – March 29th, 2000;
* 690 daily returns of firm on-peak power (OTC spot market) in the Entergy region (Louisiana, Arkansas, Mississippi and East Texas) for the period January 2nd, 1998 – September 25th, 2000.

The results of the Anis-Lloyd corrected R/S analysis (for $`n>50`$), the Detrended Fluctuation Analysis (for $`n>50`$ only) and the periodogram Geweke-Porter-Hudak method (for $`K=[L^{0.5}]`$) for these time series are summarized in Table 5. The significance of the results is based on values obtained from Tables 2-4. For example, the 90% confidence intervals of the R/S-AL statistics for DJIA returns ($`N=\mathrm{log}_22526=11.3026`$) were calculated as follows:

lower bound: $`0.5\mathrm{exp}(7.35\mathrm{log}(\mathrm{log}N)+4.06)=0.4138,`$
upper bound: $`\mathrm{exp}(7.07\mathrm{log}(\mathrm{log}N)+3.75)+0.5=0.5810.`$
Similarly, we obtained confidence intervals for the 95% and 99% two-sided levels and other methods. All obtained values are presented in Table 6. For comparison we included the theoretical confidence intervals for the periodogram Geweke-Porter-Hudak method. The differences between the empirical (obtained from Table 4) and theoretical confidence intervals are small and the significance of the results is the same for both sets of values.

As expected  we found (almost) no evidence for long range dependence in the stock indices returns and strong – i.e. significant at the two-sided 99% level for all three methods – dependence in the stock indices volatility (more precisely: in absolute value of stock indices returns). On the other hand, electricity price returns were found to exhibit a mean-reverting mechanism (the Hurst exponent was found significantly smaller than 0.5), which is consistent with our earlier findings .

## Acknowledgments

Many thanks to Thomas Lux for stimulating discussions. Partial financial support for this work was provided by KBN Grant no. PBZ 16/P03/99.


text:
# Bihamiltonity as origin of T-duality of the closed string model

## 1 Introduction

The first kind constraints in a gauge theory are the generators of the gauge transformations. All of the Fourier components of constraints are the integrals of motion and does not zero component only, on the constraints surface. Then, algebra of the integrals of motion can be non Abelian. Two dynamical systems are dual, if they are described by their sets of the integrals of motion $`H_i,F^k`$ the same dimension, which are in involution between themselves.

$`\{H_i,H_k\}=0,\{F^a,F^b\}=0,i,a=1\mathrm{}N`$ (1)
bihamiltonian system  is dynamical system with N integral of motions $`H_1,\mathrm{}H_N`$ in involution, if any of the integrals of motion can be considered as hamiltonian, and the following condition is be satisfied

$`\dot{x}^a=\{x^a,H_1\}_1=\mathrm{}=\{x^a,H_N\}_N`$ (2)
Also, the new hierarchies of the Poisson brackets (PB) are arised. It is more interesting, if the new hierarchies of the equation of motion arise under the new time coordinates $`t_k`$.

$`{\displaystyle \frac{dx^a}{dt_{n+k}}}=\{x^a,H_n\}_{k+1}`$ (3)
where $`n,k=1\mathrm{}N`$. The new equations of motion are describe the new dynamical systems with the same set of the integrals of motion, which are dual to the original system. The dual set of the integrals of motion can be obtained from the original it by the mirror transformations and by the contraction of the constraints algebra. The contraction of the constraints algebra means, that dynamical system is belong to the orbits of corresponding generators and is describe the invariant subspace. The set of involutive integrals of motion is belong to Cartan subalgebra of the constraints algebra. Consequetly, duality is property of the integrable models. T-duality in integrable models have considered in Ref.  by the separation of variables method. This duality is correspond to the canonical transformations from one dynamical system to other it. Duality in the string models is appeared in analisis of toroidal compactifications . It was shown, that theories defined on the circles of radii $`R`$ and $`\frac{2}{R}`$ are equivalent. In Ref.  was given general prescription to find dual $`\sigma `$\- models on the manifolds with Abelian isometries. T-duality of the compactified string is result of the symmetry of constraints and of the (PB)

$`H(\tau ,\sigma )={\displaystyle \frac{1}{2}}[2\pi \alpha ^{^{}}Rp_a^2+{\displaystyle \frac{1}{2\pi \alpha ^{^{}}R}}x_a^{}_{}{}^{}2]`$
$`P(\tau ,\sigma )=p_ax_a^{^{}}`$ (4)
$`\{x_a(\sigma ),p_b(\sigma ^{^{}})\}_1=\delta _{ab}\delta (\sigma \sigma ^{^{}})`$
under transformations $`p_ax_a^{^{}}`$, $`2\pi \alpha ^{^{}}R\frac{1}{2\pi \alpha ^{^{}}R}`$. The nonlocal coordinates

$`x_a(\sigma )={\displaystyle \underset{0}{\overset{\sigma }{}}}p_a(\sigma ^{^{}})𝑑\sigma ^{^{}}`$ (5)
$`[x_a(\sigma ),x_b(\sigma ^{^{}})]\theta (\sigma \sigma ^{^{}})`$
arise. This kind of T-duality is described by canonical transformations  and it is transform $`HH`$, $`PP`$. Thus, there are two essentially different kinds of T-duality. First it is described by canonical transformations and it is transform $`H_kH_k`$, $`\{,\}_k\{,\}_k`$. Second it is described by noncanonical transformations  and it is transform $`H_kH_l`$, $`\{,\}_k\{,\}_l`$, $`kl`$. We are suppose, that string model, in the background gravity field and antisymmetric B-field, is the integrable model for particular kind of the background fields and we are use bihamiltonian approach to investigation of the T-duality and of the integrability of the closed string models. Any of generators of $`VirVir`$ algebra can be considered as hamiltonian. But, there is only one model, dual to original, due to two elements of Cartan subalgebra. It is shown,that string model is bihamiltonian system for free string and for constant background fields. The free chiral string is dual string to free original string. The B-chiral string in the constant background fields is dual to chiral string also. In the case of the arbitrary background fields, it is obtained the new (PB), depending of the background fields and of their derivatives. The integrability condition is obtained as the compatibility of the bihamiltonity condition and of the Jacobi identity for the new (PB).

## 2 T-duality of the free closed string model

The free closed string model in conformal gauge is described by Lagrangian

$`L={\displaystyle \frac{1}{2}}[\dot{x}_a^2+x_a^{}_{}{}^{}2]`$ (6)
and by first kind constraints

$`H_1={\displaystyle \frac{1}{2}}[2\pi \alpha ^{^{}}p_a^2+{\displaystyle \frac{x_a^{}_{}{}^{}2}{2\pi \alpha ^{^{}}}}]0`$ (7)
$`H_2=p_ax_a^{^{}}0,x_a(\sigma +2\pi )=x_a(\sigma )`$
These constraints form $`VirVir`$ algebra under (PB) $`\{,\}_1`$.

$`\{L_n,L_m\}_1=i(n+m)L_{nm}`$
$`\{\overline{L}_n,\overline{L}_m\}_1=i(nm)\overline{L}_{nm}`$
$`\{L_n,\overline{L}_m\}_1=0`$ (8)
$`L_k={\displaystyle \frac{1}{4\pi }}{\displaystyle \underset{0}{\overset{2\pi }{}}}(H_1+H_2)e^{ik\sigma }𝑑\sigma `$ (9)
$`\overline{L}_k={\displaystyle \frac{1}{4\pi }}{\displaystyle \underset{0}{\overset{2\pi }{}}}(H_1H_2)e^{ik\sigma }𝑑\sigma `$ (10)
Hamiltonian equations of motion under hamiltonian $`H_1`$ are

$`\dot{x}_a(\sigma )={\displaystyle \underset{0}{\overset{2\pi }{}}}𝑑\sigma ^{^{}}\{x_a(\sigma ),H_1(\sigma ^{^{}})\}_1=2\pi \alpha ^{^{}}p_a`$
$`\dot{p}_a={\displaystyle \frac{1}{2\pi \alpha ^{^{}}}}x_a^{^{\prime \prime }}`$ (11)
The classical solution is

$`x^a(\tau ,\sigma )=x^a(0)+\alpha ^{^{}}p^a\tau +`$ (12)
$`\sqrt{{\displaystyle \frac{\alpha ^{^{}}}{2}}}{\displaystyle }[{\displaystyle \frac{c_n^a}{\sqrt{n}}}e^{in(\tau +\sigma )}+{\displaystyle \frac{\overline{c}_n^a}{\sqrt{n}}}e^{in(\tau \sigma )}+c.c.]`$
The bihamiltonity conditions are modified

$`\dot{x}_a=\{x_a,{\displaystyle \underset{0}{\overset{2\pi }{}}}𝑑\sigma ^{^{}}H_1\}_1\{x_a,{\displaystyle \underset{0}{\overset{2\pi }{}}}𝑑\sigma ^{^{}}H_{\pm 2}\}_{\pm 2}`$
$`=2\pi \alpha ^{^{}}p_a\alpha ^{^{}}P_a`$ (13)
$`\dot{p}_a={\displaystyle \frac{1}{2\pi \alpha ^{^{}}}}x_a^{^{\prime \prime }},P_a={\displaystyle \underset{0}{\overset{2\pi }{}}}𝑑\sigma p_a(\sigma )=const.`$ (14)
The dual (PB) are

$`\{x_a,x_b\}_{\pm 2}=\pm \delta _{ab}[\pi \alpha ^{^{}}ϵ(\sigma ^{^{}}\sigma )`$
$`\alpha ^{^{}}(\sigma ^{^{}}\sigma )]`$ (15)
$`\{p_a(\sigma ),p_b(\sigma ^{^{}})\}_{\pm 2}=\pm 2\pi \alpha ^{^{}}\delta _{ab}{\displaystyle \frac{}{\sigma }}\delta (\sigma \sigma ^{^{}})`$
$`\{x_a(\sigma ),p_b(\sigma ^{^{}})\}_{\pm 2}=0`$ (16)
The (PB) (15), without last term, was introduces in Ref. . This term is reduce to absence of the total momentum in (12). The $`VirVir`$ algebra has wrong sign on comparison with (2) under (PB) $`\{,\}_2`$. To satisfy the bihamiltonity condition, the following dual map is necessary:

$`H_1\pm H_2,L_0\pm L_0,\overline{L}_0\pm \overline{L}_0,\tau \sigma `$ (17)
The Gupta-Bleyler quantization of this model is reduce to the same mass spectrum and to the same wave functions, with regard to the dual mapping. The dual dynamical system is defined by equations

$`\dot{x}_a=\{x_a,\pm {\displaystyle \underset{0}{\overset{2\pi }{}}}𝑑\sigma ^{^{}}H_2\}_1=`$
$`\{x_a,{\displaystyle \underset{0}{\overset{2\pi }{}}}𝑑\sigma ^{^{}}H_1\}_2=\pm x_a^{^{}},\dot{p}_a=\pm p_a^{^{}}`$ (18)
and is describe the left(right)chiral string $`x_a(\tau ,\sigma )=x_a(\tau \pm \sigma )`$. It means, that $`L_n=0`$, or $`\overline{L}_n=0`$, $`n0`$. The Gupta-Bleyler quantization of the chiral string is coincide with the quantization of the closed string with additional condition of ”freezing” modes $`L_n=0`$, or $`\overline{L}_n=0`$, $`n0`$ in the strong sense. Let me remember, that both dynamical systems, the original string and the chiral string, is described by the same Lagrangian. Also, it is possible to consider hamiltonians $`L_k+\overline{L}_k`$ together with (PB)

$`\{x_a(\sigma ),p_b(\sigma ^{^{}})\}_k=e^{ik\sigma ^{^{}}}\delta _{ab}\delta (\sigma \sigma ^{^{}})`$ (19)
and hamiltonians $`L_k\overline{L}_k`$ together with (PB)

$`\{x_a(\sigma ),x_b(\sigma ^{^{}})\}_k=\delta _{ab}[\pi \alpha ^{^{}}ϵ(\sigma ^{^{}}\sigma )`$
$`\alpha ^{^{}}(\sigma ^{^{}}\sigma )]e^{ik\sigma ^{^{}}}`$ (20)
$`\{p_a(\sigma ),p_b(\sigma ^{^{}})\}_k=\delta _{ab}{\displaystyle \frac{1}{2\pi \alpha ^{^{}}}}e^{ik\sigma ^{^{}}}{\displaystyle \frac{}{\sigma }}\delta (\sigma \sigma ^{^{}})`$
But, this hamiltonians do not generate the new dynamical systems.

## 3 Closed string in the background fields

The closed string in the background gravity field and the antisymmetric B-field is described by first kind constraints

$`H_1={\displaystyle \frac{1}{2}}g^{ab}(x)[p_a\alpha B_{ac}(x)x^{}_{}{}^{}c][p_b\alpha B_{bd}(x)x^{}_{}{}^{}d]`$
$`+{\displaystyle \frac{1}{2}}g_{ab}(x)x^{}_{}{}^{}ax^{}_{}{}^{}b,H_2=p_ax^{}_{}{}^{}a`$ (21)
where $`a,b=0,1,\mathrm{}D1`$,$`\alpha `$ -arbitrary parameter. The original (PB) are

$`\{x^a(\sigma ),p_b(\sigma ^{^{}})\}_1=\delta _b^a\delta (\sigma \sigma ^{^{}})`$ (22)
$`\{x^a,x^b\}_1=\{p_a,p_b\}_1=0`$
The dual (PB) has following form

$`\{A(\sigma ),B(\sigma ^{^{}})\}_2=`$ (23)
$`{\displaystyle \frac{A}{x^a}}{\displaystyle \frac{B}{x^b}}[[\omega ^{ab}(\sigma )+\omega ^{ab}(\sigma ^{^{}})]ϵ(\sigma ^{^{}}\sigma )+`$
$`[\mathrm{\Phi }^{ab}(\sigma )+\mathrm{\Phi }^{ab}(\sigma ^{^{}})]{\displaystyle \frac{}{\sigma ^{^{}}}}\delta (\sigma ^{^{}}\sigma )+`$
$`[\mathrm{\Omega }^{ab}(\sigma )+\mathrm{\Omega }^{ab}(\sigma ^{^{}})]\delta (\sigma ^{^{}}\sigma )]+`$
$`{\displaystyle \frac{A}{p_a}}{\displaystyle \frac{B}{p_b}}[[\omega _{ab}(\sigma )+\omega _{ab}(\sigma ^{^{}})]ϵ(\sigma ^{^{}}\sigma )+`$
$`[\mathrm{\Phi }_{ab}(\sigma )+\mathrm{\Phi }_{ab}(\sigma ^{^{}})]{\displaystyle \frac{}{\sigma ^{^{}}}}\delta (\sigma ^{^{}}\sigma )+`$
$`[\mathrm{\Omega }_{ab}(\sigma )+\mathrm{\Omega }_{ab}(\sigma ^{^{}})]\delta (\sigma ^{^{}}\sigma )+`$
$`[{\displaystyle \frac{A}{x^a}}{\displaystyle \frac{B}{p_b}}+{\displaystyle \frac{A}{p_b}}{\displaystyle \frac{B}{x^a}}][[\omega _b^a(\sigma )+\omega _b^a(\sigma ^{^{}})]ϵ(\sigma ^{^{}}\sigma )`$
$`+[\mathrm{\Phi }_b^a(\sigma )+\mathrm{\Phi }_b^a(\sigma ^{^{}})]{\displaystyle \frac{}{\sigma ^{^{}}}}\delta (\sigma ^{^{}}\sigma )]+`$
$`[{\displaystyle \frac{A}{x^a}}{\displaystyle \frac{B}{p_b}}{\displaystyle \frac{A}{p_b}}{\displaystyle \frac{B}{x^a}}][\mathrm{\Omega }_b^a(\sigma )+\mathrm{\Omega }_b^a(\sigma ^{^{}})]\delta (\sigma ^{^{}}\sigma )`$
The arbitrary functions $`A,B,\omega ,\mathrm{\Phi },\mathrm{\Omega }`$ are functions of $`x^a(\sigma ),p_a(\sigma )`$ and $`\omega ^{ab},\omega _{ab}`$, $`\mathrm{\Phi }^{ab},\mathrm{\Phi }_{ab}`$ are symmetric functions on $`a,b`$ and $`\mathrm{\Omega }^{ab},\mathrm{\Omega }_{ab}`$ are antisymmetric functions.

### 3.1 Constant background fields

The equations of motion under (PB) $`\{,\}_1`$ are

$`\dot{x}^a=g^{ab}[p_b\alpha B_{bc}x^{}_{}{}^{}c]`$ (24)
$`\dot{p}_a=\alpha B_{ab}g^{bc}p_c^{^{}}+[g_{ab}\alpha ^2B_{ac}g^{cd}B_{db}]x^{{}_{}{}^{\prime \prime }b}`$
The bihamiltonity condition is reduce to the following constraints on the phase space

$`\dot{x}^a=2\omega _b^ax^b+4\omega ^{ab}p_b+2\mathrm{\Phi }^{ab}p_b^{^{\prime \prime }}2\mathrm{\Phi }_b^ax^{{}_{}{}^{\prime \prime }b}+`$
$`+2\mathrm{\Omega }_b^ax^{}_{}{}^{}b=g^{ab}p_b\alpha g^{ab}B_{bc}x^{}_{}{}^{}c,\mathrm{\Omega }^{ab}=0`$ (25)
$`\dot{p}_a=4\omega _{ab}x^b2\mathrm{\Phi }_{ab}x^{{}_{}{}^{\prime \prime }b}+2\mathrm{\Omega }_{ab}x^{}_{}{}^{}b+4\omega _a^bp_b+`$
$`+2\mathrm{\Phi }_a^bp_b^{^{\prime \prime }}+2\mathrm{\Omega }_a^bp_b^{^{}}=\alpha B_{ab}g^{bc}p_c^{^{}}+`$
$`+[g_{ab}\alpha ^2B_{ac}g^{cd}B_{db}]x^{{}_{}{}^{\prime \prime }b}`$
There is the unique solution without constraints

$`\omega ^{ab}={\displaystyle \frac{1}{4}}g^{ab},2\mathrm{\Omega }_b^a=\alpha g^{ac}B_{cb}=\alpha B_{bc}g^{ca},`$
$`2\mathrm{\Phi }_{ab}=g_{ab}\alpha ^2B_{ac}g^{cd}B_{db}`$ (26)
The rest structure functions are equal zero. The dual (PB) are

$`\{x^a(\sigma ),x^b(\sigma ^{^{}})\}_2={\displaystyle \frac{1}{2}}g^{ab}ϵ(\sigma ^{^{}}\sigma )`$ (27)
$`\{x^a(\sigma ),p_b(\sigma ^{^{}})\}_2=\alpha g^{ac}B_{cb}\delta (\sigma ^{^{}}\sigma )`$
$`\{p_a(\sigma ),p_b(\sigma ^{^{}})\}_2=`$
$`[g_{ab}\alpha ^2B_{ac}g^{cd}B_{db}]{\displaystyle \frac{}{\sigma ^{^{}}}}\delta (\sigma ^{^{}}\sigma )`$
The dual dynamical system is the chiral string

$`\dot{x}^a=x^{}_{}{}^{}a,\dot{p}_a=p_a^{^{}}`$ (28)
To find the nontrivial dual dynamical system, it needs to introduce some constraints (3.1) to the original model. At the beginning, we are consider the toy model.

### 3.2 Relativistic particle in the background electromagnetic field and noncommutativity

The relativistic particle in the constant background electromagnetic field is described by hamiltonian

$`H={\displaystyle \frac{1}{2}}[(p_a+i\beta B_{ab}x_b)^2+m^2]`$ (29)
The electromagnetic field is $`A_a(x)=2F_{ab}x_b`$=$`B_{ab}x_b`$. The simplest constraint from (3.1) without derivatives is

$`\phi _a=p_a+i\alpha B_{ab}x_b0`$ (30)
The consistency condition

$`\{\phi _a,H\}=i\alpha (\alpha +\beta )B_{ab}\phi _b`$ (31)
shows, that there are unique set of constraints, if $`\alpha +\beta =0`$. They are second kind constraints $`\{\phi _a,\phi _b\}=2i\alpha B_{ab}`$. There are the following algebra of the phase space coordinates under the Dirac bracket

$`\{x_a,x_b\}_D={\displaystyle \frac{i}{2\alpha }}(B^1)_{ab},\{x_a,p_b\}_D={\displaystyle \frac{1}{2}}\delta ab`$
$`\{p_a,p_b\}_D={\displaystyle \frac{i\alpha }{2}}B_{ab}`$ (32)
The motion equation under Dirac bracket

$`\dot{x}_a+2i\alpha B_{ab}x_b=0,\dot{p}_a+2i\alpha B_{ab}x_b=0`$ (33)
have solution $`x_a(\tau )=\{e^{2i\alpha B\tau }\}_{ab}x_b(0)`$. The quantization of the Dirac bracket is reduce to the noncommutative space

$`[x_a,x_b]={\displaystyle \frac{1}{2\alpha }}(B^1)_{ab},[p_a,p_b]={\displaystyle \frac{\alpha }{2}}B_{ab}`$
$`[x_a,p_b]={\displaystyle \frac{i}{2}}\delta _{ab}`$ (34)
in the analogy to noncommutativity of the open string model . But, there is the commutative solution under some restriction on the background field. We are suppose $`\alpha =i`$ for simplicity and we are introduce ”physical” coordinates $`y_a=p_a+x_a`$,$`q_a=p_ax_a`$. They form following algebra under constraint $`B_{ac}B_{cb}=\delta _{ab}`$

$`\{y_a,y_b\}_D=0,\{q_a,q_b\}_D=0`$
$`\{y_a,q_b\}_D=\delta _{ab}B_{ab}`$ (35)
We have after quantization

$`[y_a,y_b]=[q_a,q_b]=0,[y_a,q_b]=i(\delta _{ab}B_{ab})`$
$`q_a=i(\delta _{ab}B_{ab}){\displaystyle \frac{}{y_a}}`$ (36)
As is obvious from (3.2), the coordinates $`x_a`$ are commute in the strong coupling regime $`\alpha \mathrm{}`$. The commuting momenta $`p_a`$ must to consider as the coordinates of position in the weak coupling regime $`\alpha 0`$. The similar condition on the B-field is arise in the closed string model in the constant background fields with the additional constraint.

### 3.3 B-chiral string

Let me consider following constraint from (3.1)

$`\phi _a=p_a+\beta B_{ab}x^{}_{}{}^{}b0`$ (37)
The consistency condition

$`\{\phi _a,{\displaystyle \underset{0}{\overset{\pi }{}}}𝑑\sigma ^{^{}}H_1\}_1=(\alpha +\beta )B_{ab}g^{bc}\phi _c^{^{}}+`$
$`+[g_{ab}(\alpha +\beta )^2B_{ac}g^{cd}B_{db}]x^{{}_{}{}^{\prime \prime }b}0`$ (38)
If we suppose condition

$`g_{ab}=(\alpha +\beta )^2B_{ac}g^{cd}B_{db}`$ (39)
we have first kind constraint $`\phi _a`$, which is describe the B-chiral string. The motion equations are

$`\dot{x}^a=(\alpha +\beta )g^{ab}B_{bc}x^{}_{}{}^{}c`$ (40)
$`\dot{p}_a=(\alpha +\beta )B_{ab}g^{bc}p_c^{^{}},\ddot{x}^a=x^{{}_{}{}^{\prime \prime }a}`$
This model is the bihamiltonian model under (PB) (27) also. The B-chiral string model is dual to the chiral model also.

### 3.4 Closed string in the arbitrary background fields

The equations of motion of the closed string, in the arbitrary background gravity field and antisymmetric B-field under hamiltonian $`H_1`$ (3) and (PB) $`\{,\}_1`$, are

$`\dot{x}^a=g^{ab}[p_b\alpha B_{bc}x^{}_{}{}^{}c]`$ (41)
$`\dot{p}_a=\alpha B_{ab}g^{bc}p_c^{^{}}+[g_{ab}\alpha B_{ac}g^{cd}B_{db}]x^{{}_{}{}^{\prime \prime }b}`$
$`{\displaystyle \frac{1}{2}}{\displaystyle \frac{g^{bc}}{x^a}}p_bp_c\alpha {\displaystyle \frac{}{x^a}}(B_{bd}g^{dc})x^{}_{}{}^{}bp_c+`$
$`+\alpha {\displaystyle \frac{}{x^b}}(B_{ad}g^{dc})x^{}_{}{}^{}bp_c`$
$`{\displaystyle \frac{1}{2}}{\displaystyle \frac{}{x^a}}[g_{bc}\alpha ^2B_{bd}g^{de}B_{eb}]x^{}_{}{}^{}bx^{}_{}{}^{}c+`$
$`+{\displaystyle \frac{}{x^b}}[g_{ac}\alpha ^2B_{ad}g^{de}B_{ec}]x^{}_{}{}^{}bx^{}_{}{}^{}c`$
The bihamiltonity condition for coordinate $`x^a`$ is

$`\dot{x}^a=2\omega _b^ax^b+4\omega ^{ab}p_b+2\mathrm{\Phi }^{ab}p_b^{^{\prime \prime }}`$ (42)
$`2\mathrm{\Phi }_b^ax^{{}_{}{}^{\prime \prime }b}+2\mathrm{\Omega }_b^ax^{}_{}{}^{}b2\mathrm{\Omega }^{ab}p_b^{^{}}+`$
$`{\displaystyle \underset{0}{\overset{\pi }{}}}𝑑\sigma ^{^{}}[\omega _b^ax^{}_{}{}^{}a+{\displaystyle \frac{\omega ^{ac}}{x^b}}x^{}_{}{}^{}bp_c+{\displaystyle \frac{\omega ^{ac}}{p_b}}p_b^{^{}}p_c]ϵ(\sigma ^{^{}}\sigma )`$
$`+({\displaystyle \frac{\mathrm{\Phi }^{ac}}{x^b}}x^{}_{}{}^{}b+{\displaystyle \frac{\mathrm{\Phi }^{ac}}{p_b}}p_b^{^{}})p_c^{^{}}`$
$`({\displaystyle \frac{\mathrm{\Phi }_c^a}{x^b}}x^{}_{}{}^{}b+{\displaystyle \frac{\mathrm{\Phi }_c^a}{p_b}}p_b^{^{}})x^{}_{}{}^{}c=g^{ab}p_b\alpha g^{ab}B_{bc}x^{}_{}{}^{}c`$
The consistency condition of the equation (42) is

$`\mathrm{\Phi }^{ab}=\mathrm{\Phi }_b^a=\mathrm{\Omega }^{ab}=0,{\displaystyle \frac{\omega ^{ab}}{p_c}}=0`$ (43)
$`\omega _b^a={\displaystyle \frac{\omega ^{ac}}{x^b}}p_c,\mathrm{\hspace{0.17em}2}\mathrm{\Omega }_b^a=\alpha g^{ac}B_{cb}`$
$`\omega ^{ab}=Cg^{ab},{\displaystyle \frac{g^{ab}}{x^c}}x^c=ng^{ab},C={\displaystyle \frac{1}{2(n+2)}}`$
The metric tensor $`g^{ab}(x)`$ is homogeneous function of $`x^a`$ order $`n`$ and $`C`$ is arbitrary constant. The bihamiltonity condition for coordinate $`p_a`$ is

$`\dot{p}_a=2\omega _{ab}x^b2\mathrm{\Phi }_{ab}x^{{}_{}{}^{\prime \prime }b}+2\mathrm{\Omega }_{ab}x^{}_{}{}^{}b+`$ (44)
$`+4\omega _a^bp_b+2\mathrm{\Phi }_a^bp_b^{^{\prime \prime }}+2\mathrm{\Omega }_a^bp_b^{^{}}+{\displaystyle \underset{0}{\overset{pi}{}}}d\sigma ^{^{}}(\omega _{ab}x^{}_{}{}^{}b`$
$`{\displaystyle \frac{^2\omega ^{cd}}{x^ax^b}}x^{}_{}{}^{}bp_cp_d{\displaystyle \frac{\omega ^{bc}}{x^a}}p_bp_c^{^{}})ϵ(\sigma ^{^{}}\sigma )`$
$`({\displaystyle \frac{\mathrm{\Phi }_{ac}}{x^b}}x^{}_{}{}^{}b+{\displaystyle \frac{\mathrm{\Phi }_a^c}{p_b}}p_b^{^{}})x^{}_{}{}^{}c+`$
$`+({\displaystyle \frac{\mathrm{\Phi }_a^c}{x^b}}x^{}_{}{}^{}b+{\displaystyle \frac{\mathrm{\Phi }_a^c}{p_b}}p_b^{^{}})p_c^{^{}}=`$
$`=\alpha B_{ab}g^{bc}p_c^{^{}}+[g_{ab}\alpha ^2B_{ad}g^{dc}B_{cb}]x^{}_{}{}^{}b`$
$`{\displaystyle \frac{1}{2}}{\displaystyle \frac{g^{bc}}{x^a}}p_bp_c\alpha {\displaystyle \frac{}{x^a}}(B_{bd}g^{dc})x^{}_{}{}^{}bp_c+`$
$`+\alpha {\displaystyle \frac{}{x^b}}(B_{ad}g^{dc})x^{}_{}{}^{}bp_c`$
$`{\displaystyle \frac{1}{2}}{\displaystyle \frac{}{x^a}}[g_{bc}\alpha ^2B_{bd}g^{de}B_{eb}]x^{}_{}{}^{}bx^{}_{}{}^{}c+`$
$`{\displaystyle \frac{}{x^b}}[g_{ac}\alpha ^2B_{ad}g^{de}B_{ec}]x^{}_{}{}^{}bx^{}_{}{}^{}c`$
The common consistency conditions are

$`\mathrm{\Phi }^{ab}=0,\mathrm{\Omega }^{ab}=0,\mathrm{\Phi }_b^a=0,\omega ^{ab}=Cg^{ab}`$ (45)
$`\omega _{ab}={\displaystyle \frac{C}{2}}{\displaystyle \frac{^2g^{cd}}{x^ax^b}}p_cp_d,\omega _b^a=C{\displaystyle \frac{g^{ac}}{x^b}}p_c,`$
$`\mathrm{\Phi }_{ab}={\displaystyle \frac{1}{2}}[g_{ab}\alpha ^2B_{ac}g^{cd}B_{db}],`$
$`\mathrm{\Omega }_{ab}={\displaystyle \frac{1}{2}}({\displaystyle \frac{\mathrm{\Phi }_{bc}}{x^a}}{\displaystyle \frac{\mathrm{\Phi }_{ac}}{x^b}})x^{}_{}{}^{}c`$
$`({\displaystyle \frac{\mathrm{\Omega }_b^c}{x^a}}{\displaystyle \frac{\mathrm{\Omega }_a^c}{x^b}})p_c,`$
$`2\mathrm{\Omega }_b^a=\alpha g^{ac}B_{ca},{\displaystyle \frac{g^{ab}}{x^c}}x^c=ng^{ab},C={\displaystyle \frac{1}{2(n+2)}}`$
The Jacoby identity

$`\{A(\sigma ),B(\sigma ^{^{}})\}_2C(\sigma ^{^{\prime \prime }})\}_2+`$ (46)
$`\{C(\sigma ^{^{\prime \prime }}),A(\sigma )\}_2B(\sigma ^{^{}})\}_2+`$
$`\{B(\sigma ^{^{}}),C(\sigma ^{^{\prime \prime }}\}_2A(\sigma )\}_2=0`$
does not be satisfied for arbitrary background fields. The terms with derivatives of structure functions is reduce to integrability conditions of the closed string model in the background gravity field and the antisymmetric B-field. The principal of this conditions is condition on the structure function $`\omega ^{ab}(x)`$.

$`[{\displaystyle \frac{g^{ab}(\sigma )}{x^d}}[g^{dc}(\sigma )+g^{dc}(\sigma ^{^{\prime \prime }})]`$ (47)
$`{\displaystyle \frac{g^{ac}(\sigma )}{x^d}}[g^{db}(\sigma )+g^{db}(\sigma ^{^{}})]]ϵ(\sigma ^{^{}}\sigma )ϵ(\sigma ^{^{\prime \prime }}\sigma )+`$
$`+[{\displaystyle \frac{g^{cb}(\sigma ^{^{}})}{x^d}}[g^{da}(\sigma ^{^{}})+g^{da}(\sigma )]`$
$`{\displaystyle \frac{g^{ab}(\sigma ^{^{}})}{x^d}}[g^{dc}(\sigma ^{^{}})+g^{dc}(\sigma ^{^{\prime \prime }})]]ϵ(\sigma \sigma ^{^{}})ϵ(\sigma ^{^{\prime \prime }}\sigma ^{^{}})+`$
$`[{\displaystyle \frac{g^{ac}(\sigma ^{^{\prime \prime }})}{x^d}}[g^{db}(\sigma ^{^{\prime \prime }})+g^{db}(\sigma ^{^{}})]`$ (48)
$`{\displaystyle \frac{g^{cb}(\sigma ^{^{\prime \prime }})}{x^d}}[g^{da}(\sigma ^{^{\prime \prime }})+g^{da}(\sigma )]]ϵ(\sigma \sigma ^{^{\prime \prime }})ϵ(\sigma ^{^{}}\sigma ^{^{\prime \prime }})`$
It is possible to reduce this condition to unique equation

$`[{\displaystyle \frac{g^{ab}(\sigma )}{x^d}}[g^{dc}(\sigma )+g^{dc}(\sigma ^{^{\prime \prime }})]`$ (49)
$`{\displaystyle \frac{g^{ac}(\sigma )}{x^d}}[g^{db}(\sigma )+g^{db}(\sigma ^{^{}})]]ϵ(\sigma ^{^{}}\sigma )ϵ(\sigma ^{^{\prime \prime }}\sigma )=0`$
In assumption, that $`g^{ab}=\frac{^2f}{x^ax^b}`$ , this equation is the matrix equation with the additional parametric dependence unknown function $`f(x^a(\sigma ))`$ of parameter $`\sigma `$. The rest equations for structure functions $`\omega ,\mathrm{\Omega },\mathrm{\Phi }`$ together with corresponding generalized functions (23) and crossed terms of the structure functions are similar to previous equation. We do not reduce tedious expression for this equations here.

## 4 Acknowledgements

The author would like to thank A. Zheltukhin and D. Sorokin for useful discussions.