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# 1 Introduction

## 1 Introduction

Modeling electroweak baryogenesis (EWBG)  requires a study of the generation and transport of CP-violating flows arising from interactions of fermions with the expanding phase transition fronts. Indeed, the most prominent problem in the EWBG scenario over the past few years has been to find a systematic derivation of the appropriate transport equations , including the CP-violating sources. This paper is the second in a series dedicated to reach this goal. In the first paper  (KPSW-I) we have derived a semiclassical transport equation starting with the Kadanoff-Baym (KB) equations  for the Wightman out-of-equilibrium two-point function. For simplicity we have restricted ourselves to 1+1 dimensions there. An important tool for the derivation was an expansion in gradients in the center-of-mass coordinate. This is a good approximation when the typical de Broglie wave length $`\mathrm{}_{\mathrm{dB}}1/T`$ of a particle in the plasma is small in comparison to the wall thickness, $`\mathrm{}_{\mathrm{dB}}\mathrm{}_{\mathrm{wall}}`$. This is the case for example in many supersymmetric models, which typically have $`\mathrm{}_{\mathrm{wall}}(1020)/T`$ . Here we extend the derivation to the more realistic case of fermions interacting with a planar phase transition front in 3+1 dimensions. As in  we only consider collisionless fermions and we do not account for the gauge degree of freedom. Some aspects of collision terms were discussed in  and the gauge fields were studied in the 1+1 dimensional case in .

A crucial step in our derivation is to show that, to second order in gradients or equivalently to first order in $`\mathrm{}`$, the KB equation for the Wightman function $`G^<`$ written in the mixed (Wigner) coordinates admits a spectral solution. This is not a generic feature, and does not persist beyond the order $`\mathrm{}`$. Nevertheless, to first order in $`\mathrm{}`$ one can write an effective kinetic equation for a suitably chosen distribution function for the corresponding on-shell excitations. This kinetic equation has the familiar Liouville form, but with a semiclassical force term that includes a CP-violating part of order $`\mathrm{}`$ which sources baryogenesis. This CP-violating force is in agreement with the earlier results  derived by use of WKB-methods .

It should be stressed that the existence of the spectral solution to order $`\mathrm{}`$ is a new result. Indeed, while fermion dynamics in the presence of classical background fields have been studied extensively within the Schwinger-Keldysh formalism , apparently no attempts have been made to find explicit solutions beyond the classical approximation. Neither the fact that the spectral decomposition ansatz fails beyond the order $`\mathrm{}`$ seems to be known. Our result is also crucial for EWBG-calculations since no CP-violating terms appear in the classical mean field approximation. Moreover, as the failure of the spectral decomposition ansatz beyond order $`\mathrm{}`$ means that higher order effects cannot be described in the semiclassical limit, we are very lucky that in the most interesting cases for the EWBG the walls are thick enough so that the gradient expansion converges rapidly and our semiclassical theory can be expected to be a very good approximation.

This paper is organized as follows. In section 2 we derive the Kadanoff-Baym equation for a collisionless fermionic system and introduce the Lorentz-boost that relates the wall rest frame and the local frame with no parallel momentum, where the KB equations can be reduced to the 1+1-dimensional form. We then construct an explicit connection between the two frames and make use of our old 1+1 dimensional results  to derive the semiclassical transport equations appropriate for the EWBG-problem in 3+1 dimensions. In section 3 we consider the transformation properties of fermionic currents and relate the CP-violation in the fluid equations to the non-conservation of the axial current divergence. In section 4 we derive the semiclassical force in the WKB-approach and in section 5 we apply our results to chargino transport in the MSSM. Finally, section 6 contains our conclusions.

## 2 Derivation of kinetic equations

As in KPSW-I , we will consider a fermionic field described by the Lagrangian

$$=i\overline{\psi }/\psi \overline{\psi }_Lm\psi _R\overline{\psi }_Rm^{}\psi _L+_{\mathrm{int}},$$
(1)
where the mass

$$m(u)=m_R(u)+im_I(u)=|m(u)|\text{e}^{i\theta (u)}$$
(2)
arises from an interaction with a spatially varying scalar field condensate. This situation is realised at the first order electroweak phase transition (EWPT), which proceeds via nucleation and growth of the broken phase bubbles of a nonzero Higgs condensate. EWPT bubbles quickly grow very large in comparison with the thickness of the phase transition front, so one can to a good approximation assume a planar symmetry on the scale of the bubble walls. As a result we can take $`m`$ to be a function of one spatial coordinate. Moreover, bubble walls are often found to be very wide  in comparison with the typical de Broglie wavelength of a particle in the plasma, $`\mathrm{}_{\mathrm{wall}}\mathrm{}_{\mathrm{dB}}1/T`$. This suggests that one should be able to treat the kinetics of plasma excitations near the phase transition front in an expansion in gradients.

Here we consider only a collisionless plasma. Interactions are specified by the Lagrangian $`_{\mathrm{int}}`$, and in addition to reproducing the usual collision terms in kinetic theory, they give rise to a new CP-violating source . We will study these effects in detail elsewhere . For simplicity we also restrict ourselves to a case without gauge degrees of freedom. Transport equations with a self-consistent electric field were considered in 1+1-dimensions in Ref. .

As in , the basic object of our study is the dynamical two point (Wightman) function

$$G_{\alpha \beta }^<(u,v)=i\overline{\psi }_\beta (v)\psi _\alpha (u),$$
(3)
where the expectation value is taken over the initial state. In the collisionless case the equation of motion for $`G^<`$ can be obtained by use of the Dirac equation that follows from the Lagrangian (1):

$$(i/_um_R(u)+im_I(u)\gamma _5)\psi (u)=0.$$
(4)
In order to establish the gradient expansion, we first separate the average center-of-mass coordinate $`x=(u+v)/2`$ from the relative coordinate $`r=uv`$ by performing the Wigner transform (Fourier transform with respect to $`r`$) to the mixed representation:

$$G^<(x,k)=d^{\mathrm{\hspace{0.17em}4}}re^{ikr}G^<(x+r/2,xr/2).$$
(5)
For further reference we note that $`G^<(x,k)`$ satisfies the hermiticity property

$$\left[i\gamma ^0G^<\right]^{}=i\gamma ^0G^<$$
(6)
implied by the definition (3). Using (4) and transforming to the mixed representation, one finds the equation of motion

$$(k/+\frac{i}{2}/m_R(x\frac{i}{2}_k)i\gamma ^5m_I(x\frac{i}{2}_k))iG^<=0,$$
(7)
where

$$m_{R,I}(x\frac{i}{2}_k)m_{R,I}(x)\text{e}^{\frac{i}{2}\stackrel{}{}_k}.$$
(8)
Formally equation (7) is completely general and valid up to any order in gradients and for arbitrary space and time dependence of the mass term (8). This expansion in gradients of the center-of-mass coordinate $`x`$ can be also viewed as an expansion in powers of the Planck constant. We have set $`\mathrm{}1`$, but a dimensionful $`\mathrm{}`$ can at any stage be easily restored by the simple replacements $`_x\mathrm{}_x`$ and $`G^<\mathrm{}^1G^<`$.

In the EWBG problem the system is both stationary and has planar symmetry along spacelike hypersurfaces of constant $`z`$ in the wall rest frame. This means that in the plasma rest frame the mass has the form

$$m_{R,I}=m_{R,I}(\gamma _w(zv_wt)),$$
(9)
where $`v_w`$ is the velocity of the phase transition front and $`\gamma _w`$ the corresponding boost factor. It is easiest to perform the analysis in the wall rest frame where $`m_{R,I}=m_{R,I}(z)`$. Moreover, because equation (7) is Lorentz-covariant, one can immediately write the equations of motion in the wall frame. We also assume a stationary solution for $`G^<`$, so that its functional dependence can be parametrized in the wall frame as $`G^<(k_\mu ;z)`$111To what extent the assumption of stationarity can be relaxed is discussed at the end of this section. Keeping the gradient corrections still to arbitrary order the equation of motion (7) then becomes

$$\left(\gamma ^0k_0\gamma ^3(k_z\frac{i}{2}_z)\stackrel{}{\gamma }\stackrel{}{k}_{}m_R(z\frac{i}{2}_{k_z})i\gamma ^5m_I(z\frac{i}{2}_{k_z})\right)iG^<=0.$$
(10)
Despite of these simplifications, equation (10) still appears quite formidable to solve. Indeed, the Wightman function $`G^<`$ contains 16 independent real functions and equation (10) consists of 16 complex equations for these components222To get a flavour of how the complete set of equations looks like, we refer to Refs. .. However, when $`\stackrel{}{k}_{}0`$, i.e.  for particles that move orthogonally to the wall, equation (10) reduces to the much simpler 1+1 dimensional one studied in . We can make use of those results in the general case studied here if we can find a transform that removes the $`\stackrel{}{\gamma }\stackrel{}{k}_{}`$-term from equation (10). In the static case under consideration this is done by the boost $`\mathrm{\Lambda }`$ to the frame in which $`\stackrel{}{k}_{}=0`$. Obviously the four momentum in the boosted frame becomes

$$\stackrel{}{\stackrel{~}{k}}_{}=0,\stackrel{~}{k}_z=k_z,\stackrel{~}{k}_0=\mathrm{sign}[\mathrm{k}_0](k_0^2\stackrel{}{k}_{}^{\mathrm{\hspace{0.17em}2}})^{\frac{1}{2}}.$$
(11)
We define the boost velocity $`\stackrel{}{v}_{}=\stackrel{}{k}_{}/k_0`$ and the gamma-factor $`\gamma _{}=k_0/\stackrel{~}{k}_0`$ for later reference. Finding the spinor representation of the boost $`\mathrm{\Lambda }`$ requires a little more work, but it can be deduced from the fact that the desired operator $`L(\mathrm{\Lambda })`$ must commute with $`\gamma ^3`$ and $`\gamma ^5`$ and it must effect the transform

$$L(\mathrm{\Lambda })k/L^1(\mathrm{\Lambda })=\gamma ^0\stackrel{~}{k}_0\gamma ^3k_z\stackrel{~}{k/}.$$
(12)
The commutation requirements immediately suggest the form $`L(\mathrm{\Lambda })=a+b\gamma ^0\stackrel{}{\gamma }\stackrel{}{v}_{}`$, and imposing the condition (12) then defines the coefficients $`a`$ and $`b`$, leading to the operator

$$L(\mathrm{\Lambda })=\frac{k_0+\stackrel{~}{k}_0\gamma ^0\stackrel{}{\gamma }\stackrel{}{k}_{}}{\sqrt{2\stackrel{~}{k}_0(k_0+\stackrel{~}{k}_0)}}.$$
(13)
The inverse boost operator is simply $`L^1(\mathrm{\Lambda }(k_0,\stackrel{}{k}))=L(\mathrm{\Lambda }(k_0,\stackrel{}{k}))`$. After performing the boost, we finally arrive at the following effectively 1+1-dimensional equation

$$\left(\gamma ^0\stackrel{~}{k}_0\gamma ^3(k_z\frac{i}{2}_z)m_R(z\frac{i}{2}_{k_z})i\gamma ^5m_I(z\frac{i}{2}_{k_z})\right)i\stackrel{~}{G}^<=0,$$
(14)
where the boosted Wigner function $`\stackrel{~}{G}^<`$ is related to the original one by

$$\stackrel{~}{G}^<=L(\mathrm{\Lambda })G^<L(\mathrm{\Lambda })^1.$$
(15)
The further analysis of equation (14) is identical to our earlier treatment . However, for completeness we review the main physical aspects of the derivation here. The most important property of the 1+1-dimensional frame is that the differential operator in (14) is entirely spanned by the 1+1-dimensional Clifford algebra, and that it commutes with the operator

$$\stackrel{~}{S}_z=\gamma ^0\gamma ^3\gamma ^5,$$
(16)
which measures spin $`s`$ in $`z`$-direction in which the wall moves. Therefore $`s`$ is a good quantum number in the boosted frame, and as a result we can restrict ourselves to finding solutions for $`\stackrel{~}{G}^<`$ that satisfy $`\stackrel{~}{S}_z\stackrel{~}{G}_s^<=\stackrel{~}{G}_s^<\stackrel{~}{S}_z=s\stackrel{~}{G}_s^<`$. This condition immediately leads to the following decomposition for $`\stackrel{~}{G}^<`$, which is block-diagonal:

$$i\gamma ^0\stackrel{~}{G}_s^<=\frac{1}{4}(\mathrm{𝟏}+s\sigma ^3)\rho ^a\stackrel{~}{g}_a^s.$$
(17)
Here we made use of the chiral representation for the gamma matrices: $`\gamma ^0\rho ^1`$, $`i\gamma ^0\gamma ^5\rho ^2`$, $`\gamma ^5\rho ^3`$ and $`\stackrel{~}{S}_z\gamma ^0\gamma ^3\gamma ^5\sigma ^3`$, where $`\rho ^a=(\mathrm{𝟏},\rho ^i)`$, and $`\sigma ^3`$ and $`\rho ^i`$ are the Pauli matrices. The normalization was chosen such that the component $`\stackrel{~}{g}_0^s`$ corresponds to the phase space density of states of spin $`s`$ in the boosted frame. All of the results derived in  apply for the functions $`\stackrel{~}{g}_\alpha ^s`$ of course. From these we only need the constraint equations (here written to first order in gradients)

$`k_0\stackrel{~}{g}_0^ssk_z\stackrel{~}{g}_3^sm_R\stackrel{~}{g}_1^sm_I\stackrel{~}{g}_2^s=0`$ (18)
$`k_0\stackrel{~}{g}_3^ssk_z\stackrel{~}{g}_0^s+{\displaystyle \frac{1}{2}}m_R^{}_{k_z}\stackrel{~}{g}_2^s{\displaystyle \frac{1}{2}}m_I^{}_{k_z}\stackrel{~}{g}_1^s=0`$ (19)
$`k_0\stackrel{~}{g}_1^s+{\displaystyle \frac{s}{2}}_z\stackrel{~}{g}_2^sm_R\stackrel{~}{g}_0^s+{\displaystyle \frac{1}{2}}m_I^{}_{k_z}\stackrel{~}{g}_3^s=0`$ (20)
$`k_0\stackrel{~}{g}_2^s{\displaystyle \frac{s}{2}}_z\stackrel{~}{g}_1^sm_I\stackrel{~}{g}_0^s{\displaystyle \frac{1}{2}}m_R^{}_{k_z}\stackrel{~}{g}_3^s=0.`$ (21)
Equations (19-21) allow us to express the functions $`\stackrel{~}{g}_i^s`$ in terms of $`\stackrel{~}{g}_0^s`$ alone, while the remaining equation (18) contains the spectral condition for $`\stackrel{~}{g}_0^s`$.

We now make an explicit connection between the solutions in the boosted and unboosted frame. To this end it is important to note that in the stationary case under study the spin in $`z`$-direction remains a good quantum number also in the unboosted frame. This is mathematically expressed by the fact that the spin operator in the original frame

$$S_zL^1(\mathrm{\Lambda })\stackrel{~}{S}_zL(\mathrm{\Lambda })=\gamma _{}\left(\stackrel{~}{S}_zi(\stackrel{}{v}_{}\times \stackrel{}{\alpha })_z\right)$$
(22)
commutes with the differential operator in equation (10). As a consequence, even in the original frame, the problem splits into two non-mixing sectors labeled by the spin $`s`$. By construction the Wightman function

$$G_s^<L(\mathrm{\Lambda })^1\stackrel{~}{G}_s^<L(\mathrm{\Lambda })$$
(23)
in the original frame commutes with the spin operator $`S_z`$. Note that the spin $`\stackrel{}{S}`$ and $`\stackrel{}{\alpha }=\gamma ^0\stackrel{}{\gamma }`$ transform under boosts as the magnetic and electric components of an antisymmetric tensor, respectively. This can be seen from the relations $`\alpha ^i=i\sigma ^{0i}`$ and $`\stackrel{~}{S}_i=(1/2)ϵ_{ijk}\sigma ^{jk}`$, where $`\sigma ^{\mu \nu }=(i/2)[\gamma ^\mu ,\gamma ^\nu ]`$ is the totally antisymmetric tensor.

Now, the most general decomposition for the Wightman function $`G_s^<`$ in the unboosted frame can be written in the chiral representation as

$$i\gamma ^0G_s^<=\frac{1}{4}\sigma ^a\rho ^bg_{ab}^s,$$
(24)
where $`\rho ^a=(\mathrm{𝟏},\rho ^i)`$ and $`\sigma ^a=(\mathrm{𝟏},\sigma ^i)`$ 333It is easy to show that $`\rho ^a\sigma ^b`$ span the full 3+1 dimensional Clifford algebra.. The connection between the component functions in (24) and (17) is now found444An alternative way to derive this connection would be to identify the transformation properties of $`g_{ab}^s`$ by considering the fermionic currents, see section (3). by direct use of the relation (15) and the explicit form of the boost operator (13):

$$g_{ab}^s=\left(\begin{array}{cccc}\gamma _{}\stackrel{~}{g}_{}^{s}{}_{0}{}^{}& \stackrel{~}{g}_{}^{s}{}_{1}{}^{}& \stackrel{~}{g}_{}^{s}{}_{2}{}^{}& \gamma _{}\stackrel{~}{g}_{}^{s}{}_{3}{}^{}\\ v_1\gamma _{}\stackrel{~}{g}_{}^{s}{}_{3}{}^{}& sv_2\gamma _{}\stackrel{~}{g}_{}^{s}{}_{2}{}^{}& sv_2\gamma _{}\stackrel{~}{g}_{}^{s}{}_{1}{}^{}& v_1\gamma _{}\stackrel{~}{g}_{}^{s}{}_{0}{}^{}\\ v_2\gamma _{}\stackrel{~}{g}_{}^{s}{}_{3}{}^{}& sv_1\gamma _{}\stackrel{~}{g}_{}^{s}{}_{2}{}^{}& sv_1\gamma _{}\stackrel{~}{g}_{}^{s}{}_{1}{}^{}& v_2\gamma _{}\stackrel{~}{g}_{}^{s}{}_{0}{}^{}\\ s\stackrel{~}{g}_{}^{s}{}_{0}{}^{}& s\gamma _{}\stackrel{~}{g}_{}^{s}{}_{1}{}^{}& s\gamma _{}\stackrel{~}{g}_{}^{s}{}_{2}{}^{}& s\stackrel{~}{g}_{}^{s}{}_{3}{}^{}\end{array}\right).$$
(25)
Given the transformation (25) and the constraint equations (18-21), we are now ready to deal with the equations of motion (10). Out of the 16 equations we are primarily interested in the 00-component, defining the kinetic properties of $`g_{00}^s`$, which corresponds to the particle number density in the phase space. Other components can always be determined from $`g_{00}^s`$ by the use of constraint equations, and their physical significance will be discussed in the next section. The relevant kinetic equation has the form

$$_zg_{33}^sm_R^{}_{k_z}g_{01}^sm_I^{}_{k_z}g_{02}^s=0$$
(26)
and the constraint equation reads

$$k_0g_{00}^sk_ig_{i3}^sm_Rg_{01}^sm_Ig_{02}^s=0.$$
(27)
In (26) we have kept terms to the second and in (27) to the first order in gradients, which suffices for the derivation of the kinetic and constraint equations accurate to order $`\mathrm{}`$. Using (25) and the constraints (18-21) it is now a simple matter to show that we get the following kinetic equation

$$k_z_zg_{00}^s\left(\frac{1}{2}|m|_{}^{2}{}_{}{}^{}_{k_z}\frac{s}{2\stackrel{~}{k}_0}(|m|^2\theta ^{})^{}_{k_z}\right)g_{00}^s=0,$$
(28)
and the algebraic constraint equation

$$\left(k^2|m|^2+\frac{s}{\stackrel{~}{k}_0}(|m|^2\theta ^{})\right)g_{00}^s=0,$$
(29)
which both contain nontrivial CP-violating terms $`\theta ^{}`$, where the angle $`\theta `$ corresponds to the complex phase of the mass term $`m=|m|(z)e^{i\theta (z)}`$.

The most important outcome of these results follows from the observation that the equation (29) has a spectral solution555The normalization of $`\stackrel{~}{G}^<`$ in (17), combined with the spectral sum rule $`i\gamma ^0𝑑k_0(G^>G^<)=2\pi \mathrm{𝟏}`$, fixes the normalization in (30) unambiguously. It differs by a factor of 4 from our definition in , which was thus not entirely consistent.

$`g_{00}^s`$ $``$ $`{\displaystyle \underset{\pm }{}}{\displaystyle \frac{2\pi }{Z_{s\pm }}}n_s\delta (k_0\omega _{s\pm }),`$ (30)
where $`\omega _{s\pm }`$ denotes the dispersion relation

$$\omega _{s\pm }=\omega _0s\frac{|m|^2\theta ^{}}{2\omega _0(\omega _0^2\stackrel{}{k}_{}^{\mathrm{\hspace{0.17em}2}})^{1/2}},\omega _0=\sqrt{\stackrel{}{k}^2+|m|^2}$$
(31)
and $`Z_{s\pm }=1s|m|^2\theta ^{}/2(\omega _0^2\stackrel{}{k}_{}^{\mathrm{\hspace{0.17em}2}})^{3/2}`$. Because of the delta function in (30) the functions $`n_s(k_0,k_z,z)`$ are projected on-shell and become the distribution functions $`f_{s+}`$ and $`f_s`$ for particles and antiparticles with spin $`s`$, respectively, defined by

$`f_{s+}`$ $``$ $`n_s(\omega _{s+},k_z,z)`$
$`f_s`$ $``$ $`1n_s(\omega _s,k_z,z).`$ (32)
This on-shell projection proves the implicit assumption underlying the semiclassical WKB-methods, that the plasma can be described as a collection of single-particle excitations with a nontrivial space-dependent dispersion relation.

Integrating (28) over the positive and negative frequencies and taking account of (30) and (32) we now get the following on-shell kinetic equations:

$$v_{s\pm }_zf_{s\pm }+F_{s\pm }_{k_z}f_{s\pm }=0,$$
(33)
where the quasiparticle group velocity $`v_{s\pm }k_z/\omega _{s\pm }`$ is expressed in terms of the kinetic momentum $`k_z`$ and the quasiparticle energy $`\omega _{s\pm }`$ (31), and the semiclassical force

$`F_{s\pm }={\displaystyle \frac{|m|_{}^{2}{}_{}{}^{}}{2\omega _{s\pm }}}\pm {\displaystyle \frac{s(|m|^2\theta ^{})^{}}{2\omega _0(\omega _0^2\stackrel{}{k}_{}^{\mathrm{\hspace{0.17em}2}})^{\frac{1}{2}}}}.`$ (34)
When compared with the 1+1 dimensional case the sole, but significant, difference in the force is that the CP-violating $`\theta ^{}`$-term is enhanced by the boost-factor $`\gamma _{}=\omega _0/(\omega _0^2\stackrel{}{k}_{}^{\mathrm{\hspace{0.17em}2}})^{\frac{1}{2}}`$.

So far we have considered the Boltzmann equation (33) for a static situation (in the wall frame) with planar symmetry. It is interesting to see to what extent these restrictions can be relaxed. The essential aspect of our treatment above was the requirement of spin conservation in $`z`$-direction, guaranteeing the consistency of the spin conserving decomposition $`G^<G_s^<`$ of the Wigner function. This requirement can be formally expressed by the condition

$$[S_z,𝒟]G_s^<=0,$$
(35)
where $`𝒟`$ is the derivative operator in (7), and the commutator evaluates to

$$[\stackrel{}{S}_z,𝒟]=\gamma _{}\gamma ^0\stackrel{}{v}_{}\times _\stackrel{}{x}_{}+\gamma _{}\stackrel{}{\gamma }_{}\times (_\stackrel{}{x}_{}+\stackrel{}{v}_{}_t).$$
(36)
The condition (35) is clearly satisfied when the parameter dependencies of the Wigner function are of the form 666 We have checked that, when (37) is inserted in $`𝒟G_s^<=0`$, one obtains a fully consistent set of 16 equations for the components $`\stackrel{~}{g}_a^s`$ $`(a=\mathrm{0..3})`$.

$$G_s^<=G_s^<(k_\mu ;z,t\stackrel{}{v}_{}\stackrel{}{x}_{}).$$
(37)
For static, planar symmetric solutions studied so far the commutation condition is satisfied trivially, because for them $`_tG^<=_x_{}G^<=0`$. We note that in the $`1+1`$-frame (in which $`\stackrel{}{k}_{}=0`$) our result (37) is particularly simple and intuitive. In this frame $`_{\stackrel{~}{t}}`$ is spin conserving, while $`\stackrel{~}{}_\stackrel{}{x}_{}`$ violates spin, and thus the only off-diagonal contributions in the equation $`\stackrel{~}{𝒟}\stackrel{~}{G}_s^<=0`$ are the $`\stackrel{~}{}_\stackrel{}{x}_{}`$-derivatives, leading to the requirement $`\stackrel{~}{}_\stackrel{}{x}_{}\stackrel{~}{g}_a^s=0`$. This is completely consistent with (37), which in the 1+1-frame reduces to $`\stackrel{~}{G}_s^<=\stackrel{~}{G}_s^<(\stackrel{~}{k}_\mu ;z,\stackrel{~}{t})`$.

Following the procedure outlined earlier in this section one can show that there are no new corrections to the constraint equation (29), implying that the transients (37) respect the simple algebraic on-shell condition. The kinetic equation (33) now generalises to

$$_tf_{s\pm }+\stackrel{}{v}_{s\pm }_\stackrel{}{x}f_{s\pm }+F_{s\pm }_{k_z}f_{s\pm }=0,$$
(38)
where $`\stackrel{}{v}_{s\pm }\stackrel{}{k}/\omega _{s\pm }`$, and the distribution function satisfies $`f_{s\pm }=f_{s\pm }(k_\mu ;z,t\stackrel{}{v}_{}\stackrel{}{x}_{})`$, where now $`\stackrel{}{v}_{}\stackrel{}{k}_{}/\omega _{s\pm }`$. We shall assume this to be satisfied when discussing the current continuity equations in the next section.

## 3 Fermionic currents and CP-violating sources

In order to shed light on the physical significance of the various components of the matrix $`G_s^<`$, it is instructive to consider the fermionic currents

$`\overline{\psi }(x)\mathrm{\Gamma }\psi (x)={\displaystyle \frac{d^4k}{(2\pi )^4}\text{Tr}\left[\mathrm{\Gamma }iG^<(x,k)\right]}`$ (39)
$`\mathrm{\Gamma }=\left(\mathrm{𝟏},\gamma ^5,\gamma ^\mu ,\gamma ^5\gamma ^\mu ,\sigma ^{\mu \nu }={\displaystyle \frac{i}{2}}[\gamma ^\mu ,\gamma ^\nu ]\right).`$ (40)
By direct computation one sees that $`g_{01}^s`$ and $`g_{02}^s`$ correspond to a scalar and pseudoscalar density, respectively, while $`(g_{00}^s,g_{i3}^s)`$ forms a 4-vector, and $`(g_{03}^s,g_{i0}^s)`$ a 4-pseudovector. Finally, $`g_{i1}^s`$ and $`g_{i2}^s`$ are components of an antisymmetric tensor, and so they transform like the magnetic and electric field, respectively. These transformation properties could actually have been used as an alternative and elegant way to infer the relation between the boosted and nonboosted frames in the previous section.

Let us now look at the vector and pseudovector currents in a little more detail. By writing $`g_{ab}^s`$ in terms of $`g_{00}^s`$ and dropping the total derivative terms we find

$`j_s^\mu `$ $`=`$ $`{\displaystyle \frac{d^4k}{(2\pi )^4}(1;\stackrel{}{v})g_{00}^s}`$
$`j_{5s}^\mu `$ $`=`$ $`{\displaystyle \frac{d^4k}{(2\pi )^4}(1;\stackrel{}{v}_{},\frac{1}{\gamma _{}^2v_s})sv_s\gamma _{}g_{00}^s}.`$ (41)
These expressions are clearly the expected generalizations with appropriate boost factors of the 1+1 dimensional currents derived in .

It is straightforward to show from the equations of motion, that the vector current divergence is conserved, and the axial current has the usual form (since we do not treat the gauge fields here, the axial current is taken to be nonanomalous; for an account of the anomaly see ):

$`_\mu j_s^\mu `$ $`=`$ $`0`$ (42)
$`_\mu j_{5s}^\mu `$ $`=`$ $`2im_R\overline{\psi _s}\gamma ^5\psi _s2m_I\overline{\psi _s}\psi _s.`$ (43)
If we define the fluid density777$`n_{s\pm }`$ should not be confused with the phase space density $`n_s`$ in (30). $`n_{s\pm }`$ and fluid velocity moments as888Here we defined integration over the positive frequencies. To obtain equations for antiparticles one integrates over negative frequencies taking into account the appropriate thermal equilibrium limit in (32).

$`n_{s+}`$ $``$ $`{\displaystyle _+}{\displaystyle \frac{d^{\mathrm{\hspace{0.17em}4}}k}{(2\pi )^4}}g_{00}^s`$
$`v_{s+}^p`$ $``$ $`{\displaystyle \frac{1}{n_{s+}}}{\displaystyle _+}{\displaystyle \frac{d^{\mathrm{\hspace{0.17em}4}}k}{(2\pi )^4}}\left({\displaystyle \frac{k_z}{k_0}}\right)^pg_{00}^s,`$ (44)
then Eqs. (42-43) can be shown to correspond to the two lowest velocity moments of the Boltzmann equation (38):

$`_tn_{s\pm }+_z(n_{s\pm }v_{s\pm })`$ $`=`$ $`0,`$ (45)
$`_t\left(n_{s\pm }v_{s\pm }\right)+_z\left(n_{s\pm }v_{s\pm }^2\right)`$ $`=`$ $`S_{s\pm }.`$ (46)
The quantity $`S_{s\pm }`$ is related to the baryogenesis source and is given by the average over the semiclassical force (34) divided by $`k_0`$:

$$S_{s\pm }=\frac{1}{2}|m|^2_{2s\pm }\pm \frac{1}{2}s(|m|^2\theta ^{})^{}_{3s\pm },$$
(47)
and

$$_{ps+}_+\frac{d^4k}{(2\pi )^4}\frac{g_{00}^s}{k_0^p}.$$
(48)
It should be stressed that while equations (45-46) are illustrative in relating the baryogenesis source in moment equations to the non-conservation of the axial current, they are somewhat formal, and not directly suitable for actual calculations. For practical baryogenesis calculations it is convenient to treat the Boltzmann equation (38) in linear response approximation with respect to deviations from thermal equilibrium

$$\delta f_{s\pm }f_{s\pm }f_{0s\pm },f_{0s\pm }=\frac{1}{e^{\beta \gamma _w(\omega _{s\pm }+v_wk_z)}+1},$$
(49)
where $`f_{0s\pm }`$ is the equilibrium distribution function in the wall frame, $`\beta =1/T`$, $`v_w`$ is the wall velocity and $`\gamma _w`$ is the corresponding boost factor. Working to linear order in $`v_w`$ we can rewrite (38) as

$$\left(_t+\stackrel{}{v}_{s\pm }_\stackrel{}{x}+F_{s\pm }_{k_z}\right)\delta f_{s\pm }+v_wF_{s\pm }(_\omega f_\omega )_{\omega =\omega _{s\pm }}=0,$$
(50)
with $`f_\omega 1/(e^{\beta \omega }+1)`$. Equation (50) implies the following kinetic equation for the CP-violating density $`\delta f_s\delta f_{s+}\delta f_s`$:

$$\left(_t+\frac{\stackrel{}{k}}{\omega _0}_\stackrel{}{x}\frac{|m|_{}^{2}{}_{}{}^{}}{2\omega _0}_{k_z}\right)\delta f_s=v_w\left(\delta F_s(_\omega f_\omega )_{\omega _0}+F_0\delta \omega _s\left[\left(\frac{_\omega f_\omega }{\omega }\right)_{\omega _0}(_\omega ^2f_\omega )_{\omega _0}\right]\right),$$
(51)
where we kept only the leading second order terms in gradients, and

$`F_0`$ $``$ $`{\displaystyle \frac{|m|_{}^{2}{}_{}{}^{}}{2\omega _0}}`$
$`\delta \omega _s`$ $``$ $`s{\displaystyle \frac{|m|^2\theta ^{}}{\omega _0\stackrel{~}{\omega }_0}}`$
$`\delta F_s`$ $``$ $`F_{s+}F_s=s{\displaystyle \frac{(|m|^2\theta ^{})^{}}{\omega _0\stackrel{~}{\omega }_0}},`$ (52)
where $`\stackrel{~}{\omega }_0=(\omega _0^2\stackrel{}{k}_{}^2)^{1/2}`$. Equation (51) displays two very important features not evident in equations (45-46): the CP-violating perturbation $`\delta f_s`$ is only sourced by terms second order in derivatives (first order in $`\mathrm{}`$) and the source is suppressed by the wall velocity.

To get equations suitable for baryogenesis calculations it would be necessary to include collision terms in (51), which are responsible for all thermalisation and transport processes. While treating collisions is beyond the scope of this paper, let us nevertheless mention that an approximate solution for Eq. (51) with collisions is typically found by taking moments of the kinetic equation, leading to a set of fluid equations for the moments. In order to get a good approximation while using only a few lowest moments, it is important to parametrize $`\delta f_s`$ such that the parametrization models the actual solution in the best possible way. Particularly suitable and often used is the fluid ansatz parametrised by the chemical potential and a perturbation that is an odd function of the momentum. The chemical potential then captures an excess of particles formed at the phase boundary front, while the latter parametrizes the anisotropic bulk motion of the fluid. For a more detailed account of the fluid equations we refer the reader to Refs. .

We finally note that the continuity equations for the vector and axial vector current (45-46) are equivalent to the two lowest order moments of the Boltzmann equation (51, and hence also to the fluid equations.

## 4 WKB method

For the sake of comparison we shortly review the derivation of the semiclassical transport equations via the WKB-method , in which the dispersion relations of the single particle excitations are derived directly from the Dirac equation (4) in the gradient expansion. In the wall frame the mass (2) is only a function of $`z`$, $`m(z)=|m(z)|e^{i\theta (z)}`$, and therefore the energy and momentum parallel to the wall are conserved quantities. We can then seek the solutions of the form $`\psi (x)=\mathrm{exp}(ik_0t+i\stackrel{}{k}_{}\stackrel{}{x}_{})\psi _{k_0\stackrel{}{k}_{}}(z)`$, which gives

$$\left(\gamma ^0k_0\stackrel{}{\gamma }\stackrel{}{k}_{}i\gamma ^3_zm_Ri\gamma ^5m_I\right)\psi _{k_0\stackrel{}{k}_{}}(z)=0.$$
(53)
As in the previous chapter, we can use the Lorentz boost $`\mathrm{\Lambda }`$ (13) to get rid of the $`\stackrel{}{\gamma }\stackrel{}{k}_{}`$ term in (53). The remaining part of the Dirac operator then commutes with the spin operator $`\stackrel{~}{S}_z`$ (16), indicating that the spin $`s`$ in $`z`$-direction is a good quantum number, and one can write the boosted wave function $`\stackrel{~}{\psi }_{\stackrel{~}{k}_0}=L(\mathrm{\Lambda })\psi _{k_0k_{}}`$ as a direct product of $`2\times 2`$ spinors,

$$\stackrel{~}{\psi }_{\stackrel{~}{k}_0}\stackrel{~}{\psi }_{\stackrel{~}{k}_0}^s\chi _s,\stackrel{~}{\psi }_{\stackrel{~}{k}_0}^s=\left(\begin{array}{c}L_s\\ R_s\end{array}\right),$$
(54)
where $`\chi _s`$ is the eigenspinor of the spin operator (16) in the $`2\times 2`$ spinor space, $`\sigma ^3\chi _s=s\chi _s`$, and $`\stackrel{~}{k}_0=\mathrm{sign}[k_0](k_0^2k_{||}^2)^{1/2}`$ as usual. With this decomposition Eq. (53) simplifies to the following two equations for the left and right chiral states in the boosted frame:

$`(\stackrel{~}{k}_0is_z)L_s`$ $`=`$ $`mR_s`$
$`(\stackrel{~}{k}_0+is_z)R_s`$ $`=`$ $`m^{}L_s.`$ (55)
Our analysis so far differs from the ones in the literature in that we have discussed more explicitly the boost and its relation to the spin-decomposition. The following steps in the analysis are quite standard, and we refer the reader for example to  for more details. Solving $`R_s`$ in terms of $`L_s`$ in (55) and then introducing the WKB-parametrization

$$L_s=u_se^{i^zk_s𝑑z^{}},$$
(56)
one can write down a set of two coupled second order equations for $`u_s`$ and $`k_s`$. Solving these equations to second order in gradients gives the dispersion relation

$$k_s=p_0+s_{\mathrm{CP}/}\frac{(sk_0+p_0)\theta ^{}}{2p_0},$$
(57)
where $`p_0=\mathrm{sign}(k_s)\sqrt{\stackrel{~}{k}_0^2|m|^2}`$ and $`s_{\mathrm{CP}/}=1(1)`$ for particles (antiparticles). Remembering that999The transform back from $`\stackrel{~}{k}_0`$ to $`k_0`$ was not effected in the derivation presented in , leading to a missing $`\gamma _{}`$-factor in the CP-violating force. The gamma-factor was included in  however. $`\stackrel{~}{k}_0^2=k_0^2k_{}^2`$ and inverting (57) one can write the energy in the unboosted frame as

$$k_0\sqrt{(k_ss_{\mathrm{CP}/}\frac{s\theta ^{}}{2})^2+k_{}^2+|m|^2}s_{\mathrm{CP}/}\frac{s\theta ^{}}{2}.$$
(58)
From this expression for the energy we can finally compute the physical momentum, which is defined in terms of the group velocity $`v_g=k_0(_{k_s}k_0)_z`$:

$$k_zk_0v_g=p_0+s_{\mathrm{CP}/}\frac{s|m|^2\theta ^{}}{2p_0\stackrel{~}{k}_0}$$
(59)
and the corresponding physical force $`F_z=\dot{k}_z=\omega _{s\pm }dv_{s\pm }/dt`$:

$$F_z=\frac{|m|_{}^{2}{}_{}{}^{}}{2k_0}+s_{\mathrm{CP}/}\frac{s(|m|^2\theta ^{})^{}}{2k_0\stackrel{~}{k}_0}.$$
(60)
These results are in complete agreement with those found in section 2, completing the explicit proof of correctness of the semiclassical limit in the present paper.

Let us finally point out that the kinetic equations could be formulated in terms of the canonical momentum (57), as it was done originally in . The transformation that relates the kinetic and canonical momenta is noncanonical:

$$k_z=k_s\left(1\frac{s\theta ^{}}{2(k_s^2+|m|^2)^{1/2}}\right).$$
(61)
The advantage of the canonical formulation is that it allows for a hamiltonian formulation of kinetic equations, while the disadvantage is that the canonical momentum and energy do not transform as a 4-vector under Lorentz boosts. This makes the formulation of fluid equations cumbersome, and so far it has not been done with due care in the literature .

## 5 Applications to supersymmetric models

When studying electroweak baryogenesis in supersymmetric models an important source comes from CP-violating dynamics of charginos in presence of a bubble wall. In this case a formalism that describes the dynamics of mixing fermions is required. Introducing the mixing does not bring any extra complications w.r.t. to extension to 3+1 dimensions and hence, proceeding just as in KPSW-I , we find the semiclassical Boltzmann equation

$$_tf_{si\pm }+\stackrel{}{v}_{si\pm }_\stackrel{}{x}f_{si\pm }+F_{si\pm }_{k_z}f_{si\pm }=0,$$
(62)
where $`f_{si+}`$ and $`f_{si}`$ are the distribution functions for fermions and antifermions of spin $`s`$, respectively, written in the propagating basis in which the mass matrix is diagonal. As it was the case in Eq. (38), $`f_{si}`$’s are assumed to satisfy the condition $`f_{si\pm }=f_{si\pm }(k_\mu ;z,t\stackrel{}{v}_{}\stackrel{}{x}_{})`$.

The group velocity of the $`i`$’th quasiparticle eigenstate equals $`\stackrel{}{v}_{si\pm }=\stackrel{}{k}/\omega _{si\pm }`$ and the CP-violating semiclassical force reads

$$F_{si\pm }=\frac{|M_i|_{}^{2}{}_{}{}^{}}{2\omega _{si\pm }}\pm \frac{s(|M_i|^2\mathrm{\Theta }_i^{})^{}}{2\omega _{0i}(\omega _{0i}^2\stackrel{}{k}_{}^{\mathrm{\hspace{0.17em}2}})^{1/2}},$$
(63)
where $`|M_i|^2\mathrm{\Theta }_i^{}`$ is a diagonal matrix which can be computed from the original mass matrix and the rotation matrix $`U`$ diagonalizing $`MM^{}`$ as follows:

$$|M_d|^2\mathrm{\Theta }^{}=\text{Im}\left(UMM_{}^{}{}_{}{}^{}U^{}\right)_d.$$
(64)
For example, in the case of charginos the mass term reads

$$\overline{\mathrm{\Psi }}_RM\mathrm{\Psi }_L+\mathrm{h}.\mathrm{c}.,$$
(65)
where $`\mathrm{\Psi }_R=(\stackrel{~}{W}_R^+,\stackrel{~}{h}_{1,R}^+)^T`$ and $`\mathrm{\Psi }_L=(\stackrel{~}{W}_L^+,\stackrel{~}{h}_{2,L}^+)^T`$ are chiral fields consisting of winos and higgsinos. The mass matrix is conveniently parametrized as

$$M=\left(\begin{array}{cc}m_2& gH_2^{}\\ gH_1^{}& \mu \end{array}\right),$$
(66)
where $`H_1=h_1e^{i\theta _1}`$ and $`H_2=h_2e^{i\theta _2}`$ are the Higgs field vacuum expectation values and $`\mu `$ and $`m_2`$ are the soft supersymmetry breaking parameters. For a realistic choice of parameters there is no spontaneous CP-violation in the MSSM, so to good approximation we can take the Higgs vev’s to be real . In this case

$$|M_i|^2\mathrm{\Theta }_i^{}m_\pm ^2\mathrm{\Theta }_\pm ^{}=\frac{g^2}{\mathrm{\Lambda }}\mathrm{}(\mu m_2)(h_1h_2)^{},$$
(67)
where $`\mathrm{\Theta }_+`$ ($`\mathrm{\Theta }_{}`$) corresponds to the higgsino-like state when $`|\mu |>|m_2|`$ ($`|\mu |<|m_2|`$), and $`\mathrm{\Lambda }=m_+^2m_{}^2`$ is the mass splitting of the chargino mass eigenstates . CP violation is here mediated via the parameters $`\mu `$, $`m_2`$ and may be large . Yet another interesting CP-violating source arises when the Higgs condensate develops a CP-violating phase, as it is in the case of the NMSSM  (for details of computation see ).

## 6 Conclusions and discussion

We have presented a first principle derivation of the semiclassical limit of transport equations for a collisionless gas of fermions in a spatially varying background. Our analysis is based on the gradient expansion in the relative coordinate of the Kadanoff-Baym equations of motion  for the out-of-equilibrium two point function $`G^<`$. The most crucial step in our derivation was to show that to first order in $`\mathrm{}`$ the Wigner transformed function $`G^<`$ has a spectral solution. The transport equations for the corresponding on-shell excitations are shown to reduce to the usual Liouville form, and contain a CP-violating semiclassical force of order $`\mathrm{}`$. We also showed how the same force can be obtained by WKB methods . The force is suitable for baryogenesis calculations based on the charge transport picture  at a first order electroweak phase transition.

The present work extends our earlier 1+1 dimensional results  to the more realistic case of a planar phase transition wall in 3+1 dimensions, relevant for EWBG. The problem becomes analytically tractable only upon realising that the spin orthogonal to the moving planar wall remains a good quantum number for particles moving in arbitrary directions with respect to the wall. Thanks to this conserved quantity the problem can be reduced to the dynamics of one spin dependent distribution function for fermions, and one for antifermions. We assumed planar symmetry and stationarity appropriate for EWBG. For completeness we also discussed how our formalism can be extended to include particular time and space dependent transients which conserve spin.

The spectral solution for $`G^<`$ can only be found up to order $`\mathrm{}`$. Beyond order $`\mathrm{}`$ the spectral decomposition ansatz is not consistent and the transport equations do not have the semiclassical Liouville limit. It is therefore very fortunate that in at least some of the most interesting cases  the phase transition walls are rather wide $`\mathrm{}_{\mathrm{wall}}\mathrm{}_{\mathrm{dB}}`$, where $`\mathrm{}_{\mathrm{dB}}`$ is the de Broglie wave length $`1/T`$ of a particle in the plasma, and so the semiclassical equation is expected to be a reasonable approximation.

The case of mixing fermions is relevant for example in supersymmetric baryogenesis scenarios, in which baryogenesis can be mediated by mixing of charginos or neutralinos and other species. Supersymmetric models, in contrast to the minimal version of the standard model , are shown to be viable candidates for EWBG . We therefore derived explicitly the CP-violating force for a general case of mixing fermions and for charginos in particular. With this, the present work covers the proof of the semiclassical methods used for baryogenesis calculations in the literature so far . The directions for further work include the inclusion of the self-consistent gauge (hyperelectric) fields  in 3+1 dimensions and the study of interactions, which introduce new collisional baryogenesis sources .

## Acknowledgements

We wish to thank Michael Joyce for earlier collaboration on the Schwinger-Keldysh formalism for fermions, and Dietrich Bödeker for raising a doubt about the validity of the spectral decomposition ansatz as a general tool for the Kadanoff-Baym equations.


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# Scaling detection in time series: diffusion entropy analysis

## I Introduction

Scale invariance has been found to hold empirically for a number of complex systems and the correct evaluation of the scaling exponents is of fundamental importance to assess if universality classes exist . The mathematical definition of scaling is as follows. The function $`\mathrm{\Phi }(r_1,r_2,\mathrm{})`$ is termed scaling invariant, if it fulfills the property:

$$\mathrm{\Phi }(r_1,r_2,\mathrm{})=\gamma ^a\mathrm{\Phi }(\gamma ^br_1,\gamma ^cr_2,\mathrm{}).$$
(1)
Eq. (1) means that if we scale all coordinates $`\{r\}`$ by means of an appropriate choice of the exponents $`a,b,c\mathrm{}.`$, then we always recover the same scaling function. The theoretical and experimental search for the correct scaling exponents is intimately related to the discovery of deviations from ordinary statistical mechanics. This aspect emerges clearly, for instance, from Ref. . The author of this interesting book, with the help of dimensional analysis and regularity assumption, determines the values of the scaling exponents. These scaling exponents, however, are *trivial* in the sense that they refer to ordinary statistical mechanics.

In this paper we focus on the scaling of time series, and consequently  on the scaling of diffusion processes. In fact, according to the prescription of Ref.  we interpret the numbers of a time series as generating diffusion fluctuations, thereby shifting our attention from the time series to the probability distribution function (pdf) $`p(x,t)`$, where $`x`$ denotes the variable collecting the fluctuations. In this case, if the time series is stationary, the scaling property of Eq. (1) takes the form

$$p(x,t)=\frac{1}{t^\delta }F\left(\frac{x}{t^\delta }\right),$$
(2)
where $`\delta `$ is the scaling exponent. The ordinary value  of the scaling exponent is $`\delta =1/2`$. Ordinary statistical mechanics is intimately related to the Central Limit Theorem (CLT) , thereby implying for for the function $`F`$ of Eq. (2) the Gaussian form.

The main purpose of this paper is to prove that a technique of statistical analysis, recently introduced to establish the thermodynamic nature of a time series of sociological interest , affords a reliable way to evaluate the scaling exponent. This method of analysis is based on the entropy of the diffusion process and for this reason is called Diffusion Entropy Analysis (DEA). We compare the DEA to the Standard Deviation Analysis (SDA) , to the Detrended Fluctuation Analysis (DFA) , to the Rescaled Range Analysis (RRA) , to the Spectral Wavelet Analysis (SWA) , and we show that, while all these techniques, some of which are very popular, can yield wrong scaling exponents, the DEA always determines the correct value, with satisfactory precision. This important conclusion is reached by examining artificial sequences generating both Gauss and Lévy statistics. The DEA is the only technique yielding the correct scaling in both cases. The other techniques produce correct results only in the Gauss case but fail to detect the correct scaling in the case of Lévy statistics.

## II DEA

It is remarkably simple to determine the scaling parameter $`\delta `$ using DEA. First of all, we transform the time series into a diffusion process with a given pdf $`p(x,t)`$ (Section 4 illustrates an algorithm to do that). Then, we measure the Shannon entropy

$$S(t)=_{\mathrm{}}^+\mathrm{}𝑑xp(x,t)\mathrm{ln}\left[p(x,t)\right].$$
(3)
Let us suppose that $`p(x,t)`$ fits the scaling condition of Eq.(2) and let us plug Eq.(2) into Eq.(3). After an easy algebra, based on changing the integration variable from $`x`$ into $`y=x/t^\delta `$, we obtain

$$S(\tau )=A+\delta \tau ,$$
(4)
where

$$A_{\mathrm{}}^{\mathrm{}}𝑑yF(y)\mathrm{ln}[F(y)],$$
(5)
and

$$\tau \mathrm{ln}(t).$$
(6)
It is evident that the origin of this logarithmic time, $`\tau =0`$, is related to $`t=1`$, and this, in turn, depends on the time unit adopted. However, this arbitrary choice in no way affects the scaling parameter, which is given by the slope of the straight line $`S(\tau )`$ of Eq. (3). The adoption of a different time unit would change a given straigh line into a new one, parallel to the original, and thus bearing the same scaling parameter $`\delta `$.

## III Gauss and Lévy Diffusion

The rigorous definition of diffusion scaling is that of Eq.(2). Frequently, the scaling property is also expressed by means of

$$xt^\delta .$$
(7)
Let us see now why the scaling paramater $`\delta `$ is often evaluated through the second moment of the pdf $`p(x,t)`$. In the long-time limit the variable $`x(t)`$ collecting the fluctuations $`\xi (t)`$ has a time evolution equivalent to

$$\stackrel{}{x}(t)=\xi (t),$$
(8)
By time integration we get

$$x(t)=x(0)+\underset{0}{\overset{t}{}}𝑑t^{}\xi (t^{}).$$
(9)
Let us imagine a set of infinitely many trajectories of the type of that of Eq. (9). As to the second moment $`<x^2(t)>`$, we evaluate its time evolution by squaring Eq.(9) and averaging over all the trajectories of this set. Under the assumption that the process is stationary and that $`<\xi (t)>=0`$, it is straightforward to obtain

$$<x^2(t)>=<x^2(0)>+2<\xi ^2>_0^t𝑑t_1_0^{t_1}𝑑t_2\mathrm{\Phi }_\xi (|t_2|).$$
(10)
Note that to get this result we use the equilibrium correlation function

$$\mathrm{\Phi }_\xi (t_1,t_2)\frac{<\xi (t_1)\xi (t_2)>}{<\xi ^2>}.$$
(11)
Under the stationary condition, this correlation function depends only on the time difference, namely, $`\mathrm{\Phi }_\xi (t_1,t_2)=\mathrm{\Phi }_\xi (|t_1t_2|)`$, and this property, with the help of a suitable change of integration variables, yields Eq.(10).

What is the connection between second moment and scaling? Having in mind Eq.(7) one would be tempted to make the conjecture that

$$<x^2(t)>t^{2\delta }.$$
(12)
However, this conjecture is not correct in general, and to be more rigorous let us replace Eq.(12) with

$$<x^2(t)>t^{2H}.$$
(13)
The adoption of the symbol $`H`$ rather than the symbol $`\delta `$ is dictated by two main reasons. First of all, $`H`$ is the symbol frequently used in literature to denote the scaling parameter. In fact, the pioneer work of Mandelbrot, in the special case of Fractional Brownian Motion (FBM) , identified the Hurst coefficient $`H`$  with the scaling parameter. This is certainly correct, but the validity of this conclusion is confined to the Gaussian case. In general, as we shall see, the asymptotic behavior of Eq.(13) does not imply that $`\delta =H`$. This is the second reason why we prefer to use Eq.(13) rather than Eq.(12). In conclusion, we denote by $`\delta `$ a parameter implying the property of Eq.(2) and by $`H`$ the value corresponding to the property of Eq.(13). We shall see that even when $`H\delta `$, the parameter $`H`$ might have a physical meaning of some interest, even if it is not the real scaling.

To prove under which conditions the equality $`\delta =H`$ applies, and consequently Eq. (12), as well as Eq.(13), is correct, let us notice that under the assumption that the fluctuation $`\xi (t)`$ is Gaussian, and with no other assumption, we can prove that the pdf $`p(x,t)`$ fulfills the following diffusion equation

$$\frac{p(x,t)}{t}=D(t)\frac{^2}{x^2}p(x,t),$$
(14)
where

$$D(t)<\xi ^2>_0^t\mathrm{\Phi }_\xi (t^{})𝑑t^{}.$$
(15)
The proof of this important result rests on the cumulant theory of Ref. and the interested reader can derive it from a more general case discussed in Ref.. It is straightforward to show that the general solution of Eq. (14), for a set of particles initially located at $`x=0`$ , is

$$p(x,t)=\frac{1}{\sqrt{2\pi <x^2(t)>}}\mathrm{exp}\left(\frac{x^2}{2<x^2(t)>}\right),$$
(16)
where $`<x^2(t)>`$ is the second moment with the time evolution described by Eq.(10). It is easy to show that the time asymptotic properties of the second moment are compatible with Eq.(13), with $`H`$ ranging from $`0`$ to $`1`$, in the case where

$$lim_t\mathrm{}\mathrm{\Phi }_\xi (t)=sign\frac{const}{t^\beta },$$
(17)
with

$$H=1\frac{\beta }{2}$$
(18)
and $`0\beta 1`$, if $`sign=1`$, and $`1\beta 2`$, if $`sign=1`$. It is evident that in this physical condition the property of Eq.(2) applies to the time asymptotic limit, and consequently in the same time limit the property $`\delta =H`$ holds true. In Section 3A we shall shortly review the FBM, which is a matematical idealization fitting the condition $`\delta =H`$. In Section 3B we shall illustrate the Lévy flight diffusion, which is, on the contrary, a mathematical idealization incompatible with the existence of a finite second moment, thereby implying a striking violation of $`\delta =H`$. Finally, in Section 3C we illustrate the Lévy walk diffusion, a compromise between the two earlier conditions, in the sense that it is compatible with a finite second moment. However, as we shall see, also the Lévy walk diffusion results in a violation of $`\delta =H`$.

### A Fractional Brownian Motion

Fractional Brownian Motion, FBM, is a generalization of ordinary Brownian motion introduced by Mandelbrot  to describe anomalous diffusion. By definition, the FBM of index $`\eta `$ is described by the fractional Gaussian propagator

$$p(x,t)=\frac{1}{\sqrt{4\pi Dt^\eta }}\mathrm{exp}\left(\frac{(x\overline{x})^2}{4Dt^\eta }\right).$$
(19)
The variance of this pdf is given by

$$<(x\overline{x})^2>=\underset{\mathrm{}}{\overset{\mathrm{}}{}}𝑑x(x\overline{x})^2p(x,t)=2Dt^\eta .$$
(20)
We see that FBM is compatible with the asymptotic limit of the dynamic approach to diffusion generated by Eq. (8) when the fluctuation $`\xi (t)`$ is Gaussian. Furthermore, we see that Eq.(19) fits the scaling condition of Eq. (2) and Eq.(20) fits the second moment scaling of Eq. (13). Thus we conclude that

$$\delta =\frac{\eta }{2}=H.$$
(21)
In other words, FBM is a kind of diffusion where the second moment scaling mirrors correctly the scaling property of Eq.(2).

### B Lévy Flight Diffusion

Lévy Flight Diffusion is described, in the symmetric case, by the characteristic function:

$$\widehat{p}(k,t)=\mathrm{exp}\left(K^\alpha t|k|^\alpha \right).$$
(22)
This type of diffusion is generated by a walker that makes jumps with lengths determined by a probability density function, $`\lambda (\xi )`$, whose asymptotic behavior function has the following inverse power law form:

$$\lambda (\xi )A_\alpha \sigma ^\alpha |\xi |^{1\alpha }=A_\alpha \sigma ^{1\mu }|\xi |^\mu .$$
(23)
This means $`|\xi |\sigma `$ and $`\mu =1+\alpha `$.

The Fourier inversion of (22) can be obtained analytically by making use of the Fox function

$`p(x,t)=`$ $`{\displaystyle \frac{1}{\mu 1}}{\displaystyle \frac{1}{t^{1/(\mu 1)}}}\left({\displaystyle \frac{|x|}{t^{1/(\mu 1)}}}\right)^1`$
$`H_{2,2}^{1,1}\left[{\displaystyle \frac{|x|}{(K^\alpha t)^{1/(\mu 1)}}}|{\displaystyle \genfrac{}{}{0pt}{}{(1,1/\alpha ),(1,1/2)}{(1,1),(1,1/2)}}\right].`$
It is evident that this expression fits the scaling definition of Eq. (2), and that consequently, for $`1<\mu <3`$, the scaling coefficient $`\delta `$ is

$$\delta =\frac{1}{\mu 1}.$$
(24)
It is important to remark that while the CLT yields Eq.(2) with $`\delta =\frac{1}{2}`$ with $`F`$ being a Gaussian function, the Generalized Central Limit Theorem (GCLT)  yields Eq.(2) with $`\delta \frac{1}{2}`$ and $`F`$ departing from the Gaussian form. This departure from Gaussian statistics has the striking consequence of making the second moment diverge. In fact, in the asymptotic limit of large $`x`$’s, we get for the distribution $`p(x,t)`$ the following inverse power law form

$$\underset{|x|\mathrm{}}{lim}p(x,t)\frac{1}{t^{1/(\mu 1)}}\left(\frac{|x|}{t^{1/(\mu 1)}}\right)^\mu \mu <3.$$
(25)
This makes the second momernt $`<x^2>`$ diverge. In the more general asymmetric case  similar inverse power law properties apply to one of the two tails, thereby making the variance $`<(x\overline{x})^2>`$ diverge. Consequently, the variance method for scaling detection is quite inappropriate in this case. In the case of real data, the experimental observation is done with a finite number of data. This means that the variance is finite, thereby giving the impression that the variance method can be safely adopted as a scaling detector. This would lead to misleading results, determined by the lack of accurate statistics rather than by the genuine statistical properties of the system under study.

### C A compromise: Lévy Walk Diffusion

Let us now consider another random walk prescription, Lévy Walk Diffusion . This has to do with drawing the random numbers $`\tau _i`$’s, with the probability density $`\psi (\tau )`$ given by

$$\psi (\tau )=(\mu 1)\frac{T^{\mu 1}}{(T+\tau )^\mu }.$$
(26)
This means that we can build up an infinite sequence of numbers, which are then used to make a random walker walk with the following rules. At time $`t=0`$, when the first random number, $`\tau _1`$, is selected, we also toss a coin to decide whether the random walker has to move in the positive or in the negative direction. The random walker walks with a velocity of constant intensity $`W`$. Thus, tossing a coin serves the purpose of establishing whether the velocity of the random walker is $`W`$ (head) or $`W`$ (tail). This condition of uniform motion lasts for a time interval of duration $`\tau _1`$. At the end of this condition of uniform motion, a new number, $`\tau _2`$, is randomly drawn, and a new velocity direction is established by another coin tossing. The time series $`\{\tau _i\}`$ is converted into a time series $`\{\xi _i\}`$ of either $`1`$’s or $`1`$’s, as follows. We associate each $`\tau _i`$ to a patch of $`n_i`$ identical symbols, the $`i`$-th patch. The values of these symbols are fixed to be either $`1`$’s or $`1`$’s, according to the coin tossing rule. Then we sew the $`i`$-th patch to the $`i1`$-th, on the left, and to the $`i+1`$-th, on the right, thereby creating a virtually infinite sequence of $`\xi _i`$, with values given by either $`1`$ or $`1`$. It is evident that the variable $`x`$ collecting the fluctuations $`\xi _i`$ corresponds to the earlier walking prescription with $`W=1`$. The error resulting from the adoption of only the integer part of $`\tau _i`$ is made irrelevant by the fact that the inverse power law nature of Eq. (26) with $`\mu <3`$ makes statistically significant the numbers $`\tau _i>>1`$. It is worthe remarking that we shall focus our attention on the condition $`2<\mu <3`$ .

It is important to stress that the physical condition $`\mu >2`$ corresponds to the non-vanishing mean time $`<\tau >`$, whose explicit expression is:

$$<\tau >=\frac{T}{\mu 2}.$$
(27)
We denote as *event* the joint process of random drawing of a number and of coin tossing. We consider a time scale characterized by the property

$$t\tau .$$
(28)
It is evident that the number of events that occurred prior to a given time $`t`$ is given by

$$n=\frac{t}{<\tau >}.$$
(29)
Consequently, at a given time $`t<\tau >`$, the position $`x`$ occupied by the random walker is equivalent to the superposition of many highly correlated fluctuations $`\xi _i`$ or of $`n`$ uncorrelated variables $`\eta _i`$, whose modulus is equal to $`W\tau _i`$, with signs randomly assigned by the coin tossing. Thus, the probability distribution function, $`\lambda (\eta )`$, is given by

$$\lambda (\eta )=\frac{1}{2W}\psi \left(\frac{\eta }{W}\right),$$
(30)
the analytical form of the function $`\psi `$ being given by Eq.(26). The variables $`\eta _i`$ can be identified with the variables $`\xi `$ of Section 3B. As a consequence, the asymptotic properties of this probability distribution function are the same as those of Eq.(23). By applying again the GCLT  we obtain the same diffusion process as that of Eq.(22), and, of course, the same scaling prescription as that of Eq.(24).

This walk prescription was termed Symmetric Velocity Model in Ref.  and is a form of Lévy walk. The Lévy walk has been originally introduced  as a dynamic approach to Lévy statistics more realistic than the Lévy flight of Section 3B. The reason for this conviction is that with the Lévy walk the walker makes a step of a given length in a time proportional to this length, while with the Lévy flight the walker makes instantaneous jumps of arbitrarily length, a property judged, in fact, to be somewhat unrealistic. In this paper, the Lévy walk serves the very useful purpose of explaining why the emergence of Lévy statistics does not imply a total failure of the methods relating scaling to variance. In this case, in fact, the second moment is finite, and this property does not depend on the lack of sufficient statistics. It depends on the fact that no jump can occur with a length of intensity larger than $`Wt`$. In this specific case the renewal theory  prescribes that the correlation function $`\mathrm{\Phi }_\xi (t)`$ is related to the waiting time distribution $`\psi (\tau )`$ by the important equation

$$\mathrm{\Phi }_\xi (t)=\frac{1}{<\tau >}_0^+\mathrm{}(t^{}t)\psi (t^{})𝑑t^{}.$$
(31)
From this important relation, using Eq.(26), we derive the following analytical expression for $`\mathrm{\Phi }_\xi (t)`$:

$$\mathrm{\Phi }_\xi (t)=\left(\frac{T}{t+T}\right)^\beta .$$
(32)
with

$$\beta =\mu 2.$$
(33)
At this stage we are equipped to derive the asymptotic properties of the pdf second moment. The existence of the correlation function of Eq.(32) allows us to use again Eq. (10) so as to reach quickly the conclusion that

$$H=\frac{4\mu }{2}.$$
(34)
This result is, in fact, obtained by plugging Eq.(33) into Eq.(18). There is no reason to identify $`H`$ with $`\delta `$, in this case. Rather, if we trust the GCLT and, consequently, the scaling prescription of Eq.(24), we see that $`\delta `$ is related to $`H`$ by

$$\delta =\frac{1}{32H}.$$
(35)
We shall prove that the DE method detects this correct scaling, whereas, of course, the methods resting on variance cannot, even if the exponent $`H`$ they detect has an interesting physical meaning.

It is worth stressing that the physical meaning of $`H`$, determined by the variance method, changes from case to case and depends on both the statistics of the process and the walking rule adopted to change the time series into a diffusion process. To illustrate this issue, let us multiply the numbers $`\tau _i`$ by either $`1`$ or $`1`$ by tossing a coin. Then, let us denote the resulting numbers by the symbol $`\xi `$. We obtain a sequence indistinguishable from that discussed in Section 3B. In this case, as we shall see, in Section 6B, the resulting value of $`H=0.5`$ reflects the fact that the numbers $`\tau _i`$ are uncorrelated and, by no means, that the resulting statistics is Gaussian.

## IV The Diffusion Algorithm

Let us consider a sequence of $`M`$ numbers

$$\xi _i,i=1,\mathrm{},M.$$
(36)
The purpose of the DEA algorithm is to establish the possible existence of a scaling, either normal or anomalous, in the most efficient way as possible without altering the data with any form of detrending. First of all, let us select an integer number $`l`$, fitting the condition $`1lM.`$ This integer number will be referred to by us as “time”. For any given time $`l`$ we can find $`Ml+1`$ sub-sequences defined by

$$\xi _i^{(s)}\xi _{i+s},withs=0,\mathrm{},Ml.$$
(37)
For any of these sub-sequences we build up a diffusion trajectory, $`s`$, defined by the position

$$x^{(s)}(l)=\underset{i=1}{\overset{l}{}}\xi _i^{(s)}=\underset{i=1}{\overset{l}{}}\xi _{i+s}.$$
(38)
Let us imagine this position as that of a sort of Brownian particle that at regular intervals of time has been jumping forward of backward according to the prescription of the corresponding sub-sequence of Eq.(37). This means that the particle before reaching the position that it holds at time $`l`$ has been making $`l`$ jumps. The jump made at the $`i`$-th step has the intensity $`|\xi _i^{(s)}|`$ and is forward or backward according to whether the number $`\xi _i^{(s)}`$ is positive or negative. We adopt the paradigm of Brownian motion for the tutorial purpose of illustrating how the diffusion algorithm work. Actually, the ultimate task of this algorithm is to express in a quantitative way the departure of the observed process from the statistical properties of ordinary Brownian motion.

We are now ready to evaluate the entropy of this diffusion process. To do that we have to partition the $`x`$-axis into cells of size $`ϵ(l)`$. When this partition is made, we have to label the cells. We count how many particles are found in the same cell at a given time $`l`$. We denote this number by $`N_i(l)`$. Then we use this number to determine the probability that a particle can be found in the $`i`$-th cell at time $`l`$, $`p_i(l)`$, by means of

$$p_i(l)\frac{N_i(l)}{(Ml+1)}.$$
(39)
At this stage the entropy of the diffusion process at the time $`l`$ is determined and reads

$$S_d(l)=\underset{i}{}p_i(l)\mathrm{ln}[p_i(l)].$$
(40)
The easiest way to proceed with the choice of the cell size, $`ϵ(l)`$, is to assume it to be a fraction of the square root of the variance of the fluctuation $`\xi (i)`$, and consequently independent of $`l`$.

## V The methods of analysis based on variance

In this section we review four methods of time series analysis. The last three methods are very popular, and are all related, to a somewhat different extent, to the first, based on the direct evaluation of variance.

### A SDA

The direct evaluation of variance, by means of SDA, is probably the most natural method of variance detection. This method was used, for instance, in Ref. . The starting point is given by the diffusion algorithm of Section 4, Eq.(38). All trajectories start from the origin $`x(l=0)=0`$. With increasing time $`l`$, the sub-sequences generate a diffusion process. At each time $`l`$, it is possible to calculate the Standard Deviation (SD) of the position of the $`Nl`$ trajectory with the well known expression:

$$SD(l)=\sqrt{\frac{_{s=1}^{Nl}\left(x^{(s)}(l)\overline{x}(l)\right)^2}{Nl1}},$$
(41)
where $`\overline{x}(l)`$ is the average of the positions of the $`Nl`$ sub-trajectories at time $`l`$. We note that the prescription illustrated in Section 4 to define the trajectories of this diffusion process is based on overlapping windows. This means that the trajectories are not totally independent of one another. In principle, we can also adopt a non-overlapping window method. In this case the largest trajectory that we can build up with the whole sequence is divided in $`M=int(N/l)`$ smaller trajectories of size $`l`$ (with $`int(x)`$ we denote the integer part of $`x`$). Thus, the quantity $`SD(l)`$ can be referred to many trajectories totally independent the one from the other. The advantage of using many independent trajectories is balanced, though, by the disadvantage of statistics poorer than those obtained by using the overlapping window method. Therefore, in this paper we use the method of overlapping windows.

According to the traditional wisdom of the methods based on variance, the existence of scaling is assessed by observing, with numerical methods, the following properties

$$SD(l)l^H.$$
(42)
The exponent $`H`$ is interpreted as the scaling exponent. As discussed in Section 3, there is no guarantee that this exponent coincides with the genuine scaling $`\delta `$. This is the reason why with all the methods of analysis of this section we shall use the symbol $`H`$ to denote the result of the statistical analysis. To assess whether this is the true scaling or not, it is necessary to use also the DEA.

### B RRA

The RRA was introduced by Hurst in 1965, in the work, Long-Term Storage: An Experimental Study , for the main purpose of studying the water storage of the Nile river. The problem was to design a reservoir, which never overflows or empties, based upon the given record of observed discharges from a lake. Let us suppose that $`\xi _i`$ is the amount of water flowing from a lake to a reservoir for each year. The problem is to determine the needed capacity of the reservoir under the condition that each year the reservoir releases a volume of water equal to the mean influx. In $`\tau `$ years, the average influx is

$$<\xi >_\tau =\frac{1}{\tau }\underset{i=1}{\overset{\tau }{}}\xi _i.$$
(43)
The amount of water accumulated in the reservoir in $`t`$ years is

$$x(t,\tau )=\underset{i=1}{\overset{t}{}}(\xi _i<\xi >_\tau ).$$
(44)
The reservoir neither overflows nor empties during the period of $`\tau `$ years if its storage capacity is larger than the difference, $`R(\tau )`$, between the maximum and minimum amounts of water contained in the reservoir. $`R(\tau )`$ is

$$R(\tau )=\underset{1t\tau }{\mathrm{max}}x(t,\tau )\underset{1t\tau }{\mathrm{min}}x(t,\tau ).$$
(45)
For getting a dimensionless value, Hurst divided $`R(\tau )`$ by the standard deviation $`S(\tau )`$ of the data during the $`\tau `$ years:

$$S(\tau )=\sqrt{\frac{1}{\tau }\underset{i=1}{\overset{\tau }{}}(\xi _i<\xi >_\tau )^2}.$$
(46)
Hurst observed that many phenomena are very well described by the following scaling relation:

$$\frac{R(\tau )}{S(\tau )}\tau ^H.$$
(47)
The exponent $`H`$ (denoted by the letter $`K`$ by Hurst) was called Hurst exponent, and consequently denoted by the letter $`H`$, by Mandelbrot . The work of Mandelbrot made the RRA become popular as a technique of scaling detection. In the case of the Nile river, Hurst measured an exponent $`H=0.9`$. This means that the Nile is characterized by a long range persistence that requires unusually high barriers, such as the Aswân High Dam, to contain damage and rein in the floods. This paper proves that this perspective, correct in the Gaussian case, is in general misleading.

### C DFA

The DFA was introduced in 1994 by the authors of Ref. . Since 1994, hundreds of papers, which analyze fractal properties of time series with the DFA, have been published. In summary DFA works as follows. Given a time sequence $`\{\xi _i\}`$ ($`i=1,\mathrm{},N`$), the DFA is based upon the following steps. First, the entire sequence of length $`N`$ is integrated, thereby leading to

$$x(t)=\underset{i=1}{\overset{t}{}}\left(\xi _i<\xi >\right),$$
(48)
where

$$<\xi >=\frac{1}{N}\underset{i=1}{\overset{N}{}}\xi _i.$$
(49)
Second, the time series is divided into $`int(N/l)`$ non-overlapping boxes. The number $`l`$, which indicates the size of the box, is an integer smaller than $`N`$. A local trend is defined for each box by fitting the data in the box. The linear least-squares fit may be done with a polynomial function of order $`n0`$ . Let $`x_l(t)`$ be the local trend built with boxes of size $`l`$. Third, a detrended walk is defined as the difference between the original walk and the local trend given by the linear least-squares fit according to the following relation

$$X_l(t)=x(t)x_l(t).$$
(50)
Finally, the mean squared displacement of the detrended walk is calculated, that is,

$$F_D^2(l)=\frac{1}{N}\underset{t=1}{\overset{N}{}}[X_l(t)]^2.$$
(51)
The application of this method of analysis to a number of complex systems (see, for instance, Refs.  ) shows that

$$F_D(n)l^H.$$
(52)
Again, according to the traditional wisdom of the methods based on variance, the exponent $`H`$ is considered to be a scaling exponent. Thus the extent of the departure from the ordinary condition of Brownian motion is given by $`|H0.5|>0`$.

### D SWA

The SWA is a new and powerful method for studying the fractal properties of variance . SWA decomposes the sample variance of a time series on a scale-by-scale basis. Wavelet Transform makes use of scaling wavelets that have the characteristics of being localized in space and in frequencies. The wavelets are characterized by the fact that they can be localized in the space and depend upon a scaling coefficient that gives the width of the wavelet. Two typical wavelets widely used are the Haar wavelet and the Mexican hat wavelet . A width coefficient $`\tau `$ defines the scale analyzed by the wavelet. Given a signal $`\xi (u)`$, the Continuous Wavelet Transform is defined by

$$W(\tau ,t)=\underset{\mathrm{}}{\overset{\mathrm{}}{}}\stackrel{~}{\psi }_{\tau ,t}(u)\xi (u)𝑑u.$$
(53)
The original signal can be recovered from its Continuous Wavelet Transform via

$$\xi (u)=\frac{1}{C_{\stackrel{~}{\psi }}}\underset{0}{\overset{\mathrm{}}{}}\left[\underset{\mathrm{}}{\overset{\mathrm{}}{}}W(\tau ,t)\stackrel{~}{\psi }_{\tau ,t}(u)𝑑t\right]\frac{d\tau }{\tau ^2}.$$
(54)
Finally, it is possible to prove that

$$\underset{\mathrm{}}{\overset{\mathrm{}}{}}\xi ^2(u)𝑑u=\frac{1}{C_{\stackrel{~}{\psi }}}\underset{0}{\overset{\mathrm{}}{}}\left[\underset{\mathrm{}}{\overset{\mathrm{}}{}}W^2(\tau ,t)𝑑t\right]\frac{d\tau }{\tau ^2}\underset{0}{\overset{\mathrm{}}{}}S_W(\tau )𝑑\tau .$$
(55)
The function $`W^2(\tau ,t)/\tau ^2`$ defines an energy density function that decomposes the energy across different scales and times. Eq. (55) is the wavelet equivalent to the Fourier Parseval’s theorem. The function $`S_W(\tau )`$, defined by Eq.(55), is the wavelet spectral density function that gives the contribution to the energy at the scale $`\tau `$.

From Ref. , we derive that SWA applied to studying a noisy seqeuence $`\{\xi _i\}`$ , at the scale $`\tau `$, yields

$$S_W(\tau )\tau ^\alpha .$$
(56)
The exponent $`\alpha `$ is related to the variance scaling exponent $`H`$ in the same way as in the conventional Fourier Analysis. Therefore, $`\alpha =2H1`$ for the SWA of the noise, and $`\alpha =2H`$ for the SWA of the integral of the noise. The connection with the methods of scaling detection based on variance is evident.

## VI Artificial sequence analysis

In this section we verify the theoretical predictions of the previous sections about the pdf scaling exponent $`\delta `$ and the variance scaling exponent, $`H`$, by using artificial sequences of five million data. With the help of artificial time series, we compare the methods of analysis based on variance with the DEA. We prove that the DEA always determines the true scaling $`\delta `$, whereas the variance based methods detect the true scaling only in the Gaussian case. Thus, in the Lévy case, only the DEA reveals the true scaling. The accuracy of all the numerical points is estimated to be of about $`1\%`$, for all the cases but the short-time regime of the highly subdiffusional regime studied in Fig.1 and Fig. 2. In this case the error is estimated to be slighltly larger, of about $`2\%`$. To make easier for the reader to interpret the figures, we have not reported the error bars.

### A Gauss statistics: Fractional Brownian diffusion

Fractional Brownian diffusion is produced by Fractional Brownian noise. We generate a time series $`\{\xi _{H,t}\}`$ of N data by using the original algorithm by Mandelbrot, illustrated in the book of Feder . Our choice is motivated only by historical reasons, and it is beyond the purpose of this paper to discuss the computational relevance of other algorithms, more recently proposed to generate FBM . Chosen a value of $`H[0:1]`$, let $`\{\theta _i\}`$ be a set of Gaussian random variables with unit variance and zero mean. The discrete fractional Brownian increment is given by

$`\xi _{H,t}=x_H(t)x_H(t1)=`$
$`{\displaystyle \frac{n^H}{\mathrm{\Gamma }(H+0.5)}}\{{\displaystyle \underset{i=1}{\overset{n}{}}}i^{H0.5}\theta _{1+n(M+t)i}+`$
$`{\displaystyle \underset{i=1}{\overset{n(M1)}{}}}((n+i)^{H0.5}i^{H0.5})\theta _{1+n(M1+t)i}\},`$
where $`M`$ is an integer that should be moderately large, and $`n`$ indicates the number of the fractional steps for each unit time. Note that the time $`t`$ is discrete. In the simulation, good results are obtained with $`M=1000`$ and $`n=10`$. The time series $`\{\xi _{H,t}\}`$ is then used for generating a diffusion process with the trajectories (38).

According to the theoretical arguments of Section 3, we expect $`\delta =H`$ in this case. To confirm this expectation by means of the statistical analysis we generate five different sequences, with the following values of $`H`$: (1) $`H=0.8`$, (2) $`H=0.6`$, (3) $`H=0.5`$, (4) $`H=0.4`$, (5) $`H=0.2`$. We analyze these sequences with the SDA (Fig. 1) and with the DEA (Fig.2). The results of the numerical analysis fully confirm our expectation. Let us see all this in more detail. For illustration convenience, in Fig. 1 we show the normalized standard deviation defined by

$$NSD(l)=\frac{SD(l)}{SD(1)}.$$
(57)
where $`SD(l)`$ is defined by Eq.(41). With this choice. at $`l=1`$ all the numerical results yield, in the ordinate axis, the same value, equal to the unity. For the same reason, in Fig. 2, we plot the entropy difference $`S(l)S(1)`$, thereby making all five numerical curves depart from the same ordinate value at $`l=1`$. In both figures the straigh lines are the results of a fitting procedure, based on $`f_{SD}(l)=l^H+K_{SD}`$ in Fig. 1, and on $`f_E(l)=\delta \mathrm{ln}(t)+K_E`$, in Fig. 2. Note that only the levels of the straight lines of these two figures, namely the values $`K_{SD}`$’s and $`K_E`$’s, whose actual value is of no interest, are determined by the fitting procedure. The parameters $`H`$ of the straight lines of Fig. 1 are given by the earlier mentioned set of values, selected to create the five artificial sequences. The parameters $`\delta `$ of the straight lines of Fig. 2 are the corresponding scaling values, prescribed by the theoretical remarks of Section 3, namely $`\delta =H`$ for each curve. The extremely good agreement between theory and numerical experiment, shown in Fig. 1 and Fig. 2, proves that, as expected, in the case of FBM, the condition $`H=\delta `$ really holds true.

It is remarkable that for almost all the values of $`H`$ the parameters $`K_{SD}`$ and $`K_E`$ are very close to zero. This is a consequence of a peculiar property of FBM. In general, the statistical analysis of times series is affected by the transition from dynamics to thermopdynamics. The short-time regime is a kind of dynamic regime and the scaling regime is a kind of thermodynamic regime. It takes time to make a transition from the dynamic to the thermodynamic regime. This property is made especially evident by the analysis of Lévy walk . In the ideal case of FBM, however, the transition time is expected to be equal to zero. This means that, in the case of ideal FBM, the parameters $`K_{SD}`$ and $`K_E`$ should vanish. This constraint is satisfactorily fulfilled by all the curves of Fig. 1 and Fig. 2, but those corresponding to $`H=\delta =0.2`$. This seems to be a consequence of the numerical inaccuracy, enhanced by the highly antipersistent condition of this case.

### B Lévy statistics: flight and walk diffusion

We generate five time series of numbers, $`\{r_i\}`$, distributed according to the following inverse power law

$$\psi (r)=(\mu 1)\frac{T^{\mu 1}}{(T+r)^\mu }.$$
(58)
We select the following values of $`\mu `$: (1) $`\mu =2.8`$, (2) $`\mu =2.6`$, (3) $`\mu =2.5`$, (4) $`\mu =2.4`$ and (5) $`\mu =2.2`$. We also select the numbers $`s_i`$, equal to $`1`$ or to $`1`$, randomly according to the coin tossing. We generate the Lévy flight of Section 3B, by building up the new sequence $`\{\xi _i\}`$, where $`\xi _is_ir_i`$. As to the Lévy walk, we derive it, as explained in Section 3C, by sewing together into a single sequences many patches. These patches are filled with either an integer number of $`1`$’s or an integer number of $`1`$, according to the coin tossing prescription. The distribution density of the patch length is the same as that of Eq. (58). As a consequence, the Lévy flight and the Lévy walk, in the asymptotic time limit have the same scaling, given by Eq.(24). However, as explained in Section 3C, the Lévy walk is expected to result in a given $`H`$, predicted by Eq.(34). In Table I we have reported for the reader conveniences the values of $`\delta `$ and $`H`$ associated to each $`\mu `$ of the five artificial sequences that we are considering for our numerical check.

Fig. 3 shows the DEA at work on the time series generating Lévy flight. The straight lines are fitting functions of the form $`f_E(l)=\delta \mathrm{ln}(t)+K_E`$. The values of the parameters $`\delta `$, are not fitting parameters, but are determined by the theoretical prescription of Table I. Figs. 4 and 5 illustrate the results of the SDA and RRA, respectively, applied to the same five time series of Fig. 3. Both figures yield for $`H`$ a value independent of $`\mu `$. This value is $`H=0.5`$ in all cases. According, to the traditional wisdom, this would suggest the wrong conclusion that we are in the presence of ordinary Brownian motion. We are not, and the DEA is warning us from making this wrong conclusion. The reason for this misleading result is that these techniques are determined by both the finite value of the variance, due to statistical limitation and the memoryless nature of the sequence $`\{r_i\}`$. The smaller the parameter $`\mu `$, the smaller the variance, as shown by Fig. 4. The RRA eliminates this spreading, due to the fact that it normalizes the data by dividing by the standard deviation.

Figs. 6-10 refer to the time series generating Lévy walk. Fig. 6 illustrates the result of the DEA. As in Fig. 3 the straight lines are fitting functions of the form $`f_E(l)=\delta \mathrm{ln}(t)+K_E`$, and, again the parameters $`\delta `$ are those reported in Table I, and are determined by theoretical prescription $`\delta =1/(\mu 1)`$. Figs. 7, 8, 9 and 10 illustrate the results of RRA, SDA, DFA and SWA, respectively. In these cases the straight lines are fitting functions with the form $`f(l)=Kl^H`$. The parameters $`H`$ are not fitting parameters, and their values, reported in Table I, are determined by $`H=(4\mu )/2`$. It is remarkable that, for all these techniques, the same value of $`\mu `$ yields the same value of $`H`$, as the fitting curves show. This fully supports the conclusion that these seemingly different methods of analysis are actually equivalent, and that all of them are reliable only in the FBM case. On the other hand, we notice that the values of $`\delta `$ and the values of $`H`$ reported in Table I fit the condition of Eq.(35) and this a strong evidence that the statistics generated by the time series is Lévy statistics. This means that the disagreement between the DEA and the ordinary techniques of analysis can be used for the important purpose of defining the nature of statistics generated by strange kinetics.

## VII  Significance of the results obtained

This paper affords a compelling evidence that the DEA is the only method leading in all conditions to the detection of the correct scaling exponent $`\delta `$. In the case of a sequence of random numbers, that according to the GCLT should result in an anomalous scaling, the popular Hurst method would lead to the wrong conclusion that the process observed is equivalent to ordinary Brownian motion. All the traditional methods would lead to quite correct conclusion only in the case of Gaussian statistics, a condition which does not mean, of course, ordinary Brownian diffusion, as made evident by the FBM theory of Mandelbrot. It is also evident that these traditional methods ought not to be abandoned, even if they have to be used with caution. The results of Section 6B prove that the departure of $`\delta `$ from $`H`$ is a clear indication of the occurrence of Lévy statistics. More in general, the departure of the traditional methods from the DEA finding might be used to shed light on statistics as well as on dynamics. Paraphrasing the title of a recent paper, ”Do strange kinetics imply unusual thermodynamics?”, we can say that one of the basic problems concerning complex systems is that of establishing if anomalous diffusion (strange kinetics) is compatible or not with ordinary Gaussian distribution (ordinary thermodynamics). The connection between thermodynamics and statistical equlibrium does not need any explanation. Here we are subtly assuming that scaling can be perceived as a form of thermodynamic equilibrium. If we look to the results of this paper from within this perspective, we can conclude that FBM is an example of strange kinetic compatible with ordinary thermodynamics. We can thus conclude that the joint use of DEA and techniques of analysis based on variance can assess when strange kinetics force the complex system to depart from ordinar thermodynamics.


text:
# Measurement of the Width Difference of 𝐵_𝑑 Mesons Presented by T.Yoshikawa at KEKTC5.

## ACKNOWLEDGMENTS

The work of C.S.K. was supported by Grant No. 2001-042-D00022 of the KRF. The work of T.Y. was supported in part by the US Department of Energy under Grant No.DE-FG02-97ER-41036.