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# Lorenz-like systems and classical dynamical equations with memory forcing: a new point of view for singling out the origin of chaos

## I Introduction

The Lorenz dynamical system, originally introduced by Lorenz  in order to describe in a very simplified way the Rayleigh-Bénard problem , immediately became important in itself as one of the most studied low-dimensional chaotic systems. Still today the Lorenz model represents a paradigmatic example for both theoretical and numerical investigations in checking some results in chaos theory , in the study of geometrical properties of dynamical systems , in nonlinear analysis of time series , in the stabilization and synchronization of coupled systems , and so on.
Nevertheless, despite the great attention attracted over past decades, some fundamental and rigorous results have been obtained quite recently, as for instance the proof of the existence of the Lorenz attractor , usually using somewhat sophisticated mathematical tools.

On the contrary, our aim here is to provide a description of Lorenz system dynamical features, which requires quite simple analytical tools and, at the same time, allows a very intuitive inspection in Lorenz-like chaos. Preliminary results have been reported in a short communication . Here we shall give more details and new results.

Our interpretation will base itself upon the fact that in the “steady state”, i.e., far from the initial transient and when the memory of the initial conditions has been lost, the Lorenz system is equivalent to a suitably constructed second order integral-differential equation. This equation can be regarded, for instance, as a customary second order one-dimensional classical mechanics equation with a peculiar forcing term. The corresponding dynamics can be interpreted as the one-dimensional motion of a particle in a conservative quartic two-well potential, subjected to a viscous damping and to an additional force resulting from the past history of the motion. The latter force turns out to be essential for chaos to emerge as it acts as an “endogenous” forcing able to permanently sustain the motion even in presence of friction.

The previous interpretation of Lorenz dynamics actually leads to a generalization of the Lorenz model to a wider class of systems showing similar dynamical properties. We shall introduce a particular system belonging to such class which, because of its simplicity (piecewise linearity), will allow us to study the dynamics of the original model using analytical tools. Indeed, in the steady chaotic regime (i.e. when the system permanently lies on its attractor set) the evolution of a point in the Lorenz phase-space can be roughly described as a somewhat regular amplified oscillation around one of its fixed points, followed by a sudden entry in the control basin of a twin fixed point symmetrical with respect to the origin, by a new amplified oscillation around the latter point, by a sudden return in the control domain of the former, and so on.
The most evident aspect of the chaotic regime is just the unpredictability of the instant at which the center of the aforementioned amplified oscillations changes. The choice of a piecewise linearized version of the original model will allow us to highlight this point, while keeping unchanged the peculiar topological properties of the Lorenz dynamics. The exact equation ruling the instant of change of the oscillation center will be derived and a discontinuous dependence of this instant on the initial conditions will be highlighted. It will also be possible to write the analytical equations that defines the first-return two-dimensional Poincaré map for the piecewise linearized system, which in turn synthesizes the main chaotic features of the model dynamics. Moreover, we shall show that, under suitable and reasonable conditions, the evolution of the system completely reduces to a one-dimensional chaotic map.
To summarize, starting from our interpretation, we shall be able to propose a piecewise linearized version of the Lorenz model, which on one hand has the same dynamical properties of the original system and, on the other hand, will provide analytical tools to explicate the emergence of chaos in Lorenz-like systems.

## II The Lorenz equation

The original Lorenz system  consists of the three first order ordinary differential equations

$$\{\begin{array}{ccc}\dot{X}=\sigma X+\sigma Y\hfill & & \\ \dot{Y}=Y+(rZ)X\hfill & & \\ \dot{Z}=bZ+XY,\hfill & & \end{array}$$
(1)
where the dots indicate time derivatives and $`\sigma `$, $`b`$ and $`r`$ are positive parameters originally related to the fluid properties and to the boundary conditions in the Rayleigh-Bénard problem. (Lorenz  used $`\sigma =10`$, $`b=8/3`$ and $`r=28`$).
The fixed points of system (1) and their corresponding stabilities depend on $`r`$. For $`r1`$ there is only one (stable) fixed point in $`(0,0,0)`$. For $`r>1`$ the origin looses its stability and a pair of new fixed points appear: $`(\pm [b(r1)]^{1/2},\pm [b(r1)]^{1/2},r1)`$, which are stable in the range $`1<rr_c`$ with $`r_c=\sigma (\sigma +b+3)/(\sigma b1)`$. (Note that the critical value $`r_c`$ exists if and only if $`\sigma >b+1`$). For $`r>r_c`$ all fixed points are unstable, and the Lorenz system can exhibit either periodic or chaotic behavior (see, e.g., Ref.  for a comprehensive exposition on the matter).

Since we are interested in the case $`r>1`$, we can suitably define the scaled coordinates $`x=X/[b(r1)]^{1/2}`$, $`y=Y/[b(r1)]^{1/2}`$, $`z=Z/(r1)`$, so that the system (1) becomes

$$\{\begin{array}{c}\dot{x}=\sigma (yx)\hfill \\ \dot{y}=y+x+(r1)(1z)x\hfill \\ \dot{z}=b(xyz)\hfill \end{array}$$
(2)
with fixed points $`(0,0,0)`$ and $`(\pm 1,\pm 1,1)`$.

We now reduce the Lorenz system to a unique differential equation for $`x=x(t)`$, whose solution makes it possible the direct calculation of $`y(t)`$ and $`z(t)`$. By inserting into the third equation of (2) the expression for $`y`$ in terms of $`x`$ obtained from the first, one easily gets

$$\dot{z}+bz=\frac{b}{2\sigma }\left[\frac{d}{dt}(x^2)+2\sigma x^2\right],$$
(3)
whose general solution is given by

$$z(t)=e^{b(tt_0)}\left(z(t_0)\frac{b}{2\sigma }x^2(t_0)\right)+\frac{b}{2\sigma }x^2(t)+\left(1\frac{b}{2\sigma }\right)b_{t_0}^t𝑑se^{b(ts)}x^2(s).$$
(4)
We have already stated that we are interested in the evolution of the Lorenz system in the chaotic steady state, i.e. far from the initial transient. Thus, we let $`t_0`$ move back to $`\mathrm{}`$ and obtain the steady-state expression for $`z(t)`$, which can be written in the form

$$z(t)=\frac{b}{2\sigma }x^2(t)+\left(1\frac{b}{2\sigma }\right)\left[x^2\right]_b(t),$$
(5)
where we use the square brackets notation $`[f]_k(t)`$ to indicate the exponential average of any suitable time function $`f`$ on its past history:

$$[f]_k(t)k_0^{\mathrm{}}𝑑se^{ks}f(ts).$$
(6)
From now on we shall refer to $`[f]_k`$ as the *$`k`$-exponentially vanishing memory* of the function $`f`$ or in short its *memory*. Note that, for the memory $`[f]_k`$ to exist, it suffices that $`f(t)O(\mathrm{exp}(ht))`$, with $`h<k`$, as $`t\mathrm{}`$ (the time functions we shall be dealing with are even bounded in this limit).
To summarize, we insert in the second equation of (2) $`y(t)`$ obtained from the first equation and $`z(t)`$ given by (5) and get for the variable $`x=x(t)`$ alone in chaotic steady state the following second order differential equation with memory (in fact, an integral-differential equation)

$$\ddot{x}+(\sigma +1)\dot{x}+\sigma (r1)\left(\frac{b}{2\sigma }(x^21)x+\left(1\frac{b}{2\sigma }\right)\left[x^21\right]_bx\right).$$
(7)
One can interpret the previous equation as the dynamical equation of a (unit mass) particle, viscously moving in a compound potential energy field consisting of a weighted average (in the chaotic regime $`b/2\sigma <1`$) of a quartic potential energy field independent of time (Fig. 1)

$$U(x)=\sigma (r1)\frac{(x^21)^2}{4}$$
(8)
and of a quadratic potential energy field

$$U_t(x)=\sigma (r1)[x^21]_b\frac{(x^21)}{2},$$
(9)
whose curvature is given by a suitable memory function of the past motion.

Without the memory term the particle would stop in one of the minima of the bistable potential $`U`$ due to the damping term $`(\sigma +1)\dot{x}`$. Indeed, the $`U_t`$ contribution yields, through an exponential average on the past evolution, an “endogenous” forcing term which can permanently sustain the motion. The particle oscillates with growing amplitude around the minimum of one of the potential well until its energy is sufficient to allow the crossing of the barrier in $`x=0`$. As already said, the chaotic behavior of the system emerges just in the unpredictability of the instant at which the particle moves from one well to the other. Trajectories relative to very slightly different initial conditions can produce strongly different sequences in the number of oscillations in each well. In the next section we shall explain this fact analytically.

In order to simplify and to make the analysis standard, let us rescale the time $`t`$ in Eq. (7) as $`t\tau [(r1)b/2]^{1/2}t`$, to obtain the equation (hereafter called *Lorenz equation*)

$$\frac{d^2x}{d\tau ^2}+\eta \frac{dx}{d\tau }+(x^21)x=\alpha [x^21]_\beta x,$$
(10)
where

$$\eta =\frac{\sigma +1}{\sqrt{(r1)b/2}},\alpha =\frac{2\sigma }{b}1,\beta =\sqrt{\frac{2b}{r1}}.$$

Note that, given $`b`$ and $`r`$, $`\sigma `$ (the viscosity parameter in the original problem) affects both the friction term and the forcing term in the Lorenz equation. This fact shows how much these “opposite” contributions are in fact strictly related if the equation is to be viewed as representative of the original Lorenz system. Even if one now considers the Lorenz equation as the main subject of the study, one must note that not all the (positive) values of $`\alpha `$, $`\beta `$, $`\eta `$ are consistent with their definition in terms of the original parameters $`b`$, $`\sigma `$, $`r`$. In particular, in order to observe chaotic behavior, the following inequality must hold

$$\alpha >\frac{\eta \left(2+\beta (\beta +\eta )\right)}{2\beta }.$$
(11)
(Further details on the relation between the two sets of parameters are given in Appendix A).

Equation (10) allows us to highlight the role of the memory forcing term in the Lorenz system dynamics. For this purpose it is interesting to compare the Lorenz equation with other examples of chaotic nonlinear (nonautonomous) systems as, for instance, the inverse Duffing equation $`\ddot{x}+\eta \dot{x}+(x^21)x=A\mathrm{cos}(\mathrm{\Omega }t)`$, which describes a sinusoidally forced quartic oscillator , or more appropriately the parametrically forced equation

$$\ddot{x}+\eta \dot{x}+(x^21)x=A\mathrm{cos}(\mathrm{\Omega }t)x.$$
(12)
Note that in the latter cases the motion is sustained by externally assigned forcing terms, while in the case of the Lorenz equation the motion is self-sustained by the endogenous term $`\alpha \left[x^21\right]_\beta x`$. In Figs. 2 and 3 we give a numerically obtained comparison between the phase portraits of the Lorenz equation and of equation (12) with parameters ($`\alpha `$, $`\beta `$, $`\eta `$), and ($`A`$, $`\mathrm{\Omega }`$) suitably chosen in order to get similar ranges of motion. Note that the endogenous Lorenz forcing term, mimed by $`A\mathrm{cos}(\mathrm{\Omega }t)x`$, is in fact neither monochromatic nor with vanishing average value.

## III The generalized Lorenz system

The Lorenz equation (10) can be usefully recast in the form

$$\frac{d^2x}{d\tau ^2}+\eta \frac{dx}{d\tau }+\left(q(x)+\alpha \left[q(x)\right]_\beta \right)\mathrm{\Phi }^{}(x)=\mathrm{\hspace{0.17em}0}$$
(13)
where the prime indicates the derivative with respect to $`x`$ and in our case $`\mathrm{\Phi }(x)=1/2x^2`$ and $`q(x)=x^21`$. Such an equation can be interpreted as the description of the motion of a unit mass particle subjected to a viscous force $`\eta dx/d\tau `$ and interacting with a potential field $`\mathrm{\Phi }`$ through a “dynamically varying charge” $`q_\tau (x)=q(x)+\alpha [q(x)]_\beta `$. This charge both depends on the instantaneous particle position $`x(\tau )`$ (by means of the term $`q(x)`$) and on the past evolution (by means of the memory charge $`[q(x)]_\beta `$). The coupling of $`[q]_\beta `$ with the fixed potential field $`\mathrm{\Phi }`$ acts as an endogenous forcing term which can sustain the motion even in the presence of friction, and the chaotic behavior can actually arise from the synergy between this term and the viscosity.
Put in the form (13), the Lorenz equation is arranged to be generalized to a generic charge $`q(x)`$ interacting with a generic potential field $`\mathrm{\Phi }(x)`$. Correspondingly, it is possible to obtain a  *generalized Lorenz system* whose “$`x`$ \- projection” (far from the initial transient) yields Eq. (13). Indeed, by inverting the calculation followed to derive Eq. (13) from system (2), one easily gets the generalized Lorenz dynamical system

$$\{\begin{array}{c}\dot{x}=\sigma (yx)\hfill \\ \\ \dot{y}=y+x+(r1)(1z)\mathrm{\Phi }^{}(x)\hfill \\ \\ \dot{z}=bz+b[\frac{1}{2}q^{}(x)(yx)+q(x)+1].\hfill \end{array}$$
(14)
Therefore, the specific Lorenz model can be viewed as singled out from a quite general class of dynamical systems which can exhibit chaotic behavior, their common essential property being an exponentially vanishing memory effect together with a viscous damping.

Equations (13) and (14) are related to Eq. (7) by assuming as potential energy field the quantity $`𝒰=(b/2\sigma )U+(1b/2\sigma )U_t`$ with

$$\begin{array}{ccc}U=\sigma (r1)q(x)\mathrm{\Phi }^{}(x)𝑑x\hfill & \text{and}& \hfill U_t=\sigma (r1)[q]_\beta \mathrm{\Phi }.\end{array}$$
(15)
Obviously, any choice of $`q`$ and $`\mathrm{\Phi }`$ should maintain the main properties of the Lorenz model, i.e., correspond to a two-well piecewise differentiable potential energy $`U(x)`$, such that $`U(x)\mathrm{}`$ as $`|x|\mathrm{}`$.

We shall now focus our attention on a particular choice for $`q`$ and $`\mathrm{\Phi }`$, that will maintain all the qualitative properties of the Lorenz system and, at the same time, will allow us to deal with chaos analytically.

## IV The piecewise linearized Lorenz system

### A Linearization near fixed points

As already noticed, the chaotic behavior of the Lorenz system essentially depends on the unpredictability of the instants when $`x`$ change its sign: as long as it keeps constant sign the system evolution is certainly nonlinear, and nevertheless not “chaotic” at all. This fact suggests a slight modification of the original form of the Lorenz system, in order to single out analytically the origin of chaos without to be faced with the difficulties arising from nonlinear features. We thus set in Eqs. (13) and (14) $`\mathrm{\Phi }(x)=|x|`$ and $`q(x)=|x|1`$ obtaining (for $`x0`$) the piecewise linear Lorenz-like equation

$$\frac{d^2x}{d\tau ^2}+\eta \frac{dx}{d\tau }+\left\{|x|1+\alpha \left[|x|1\right]_\beta \right\}\text{sgn}(x)=0,$$
(16)
where $`\text{sgn}(x)|x|/x`$. The corresponding piecewise linearized dynamical system, with the original choice of parameters, is then given by
$$\{\begin{array}{c}\dot{x}=\sigma (yx)\hfill \\ \\ \dot{y}=y+x+(r1)(1z)\text{ sgn}(x)\hfill \\ \\ \dot{z}=bz+b\text{sgn}(x)\frac{x+y}{2}.\hfill \end{array}$$
(22)
Our assumptions on $`\mathrm{\Phi }`$ and $`q`$ correspond in Eq. (7) to $`U(x)=\sigma (r1)\left(|x|1\right)^2/2`$ and $`U_t(x)=\sigma (r1)\left[|x|1\right]_b\left(|x|1\right)`$. Thus, we are faced with a simplified model, obtained by replacing the constant-in-time quartic potential with a piecewise quadratic one resulting from the superposition of two parabolas with vertex in $`\pm 1`$ and truncated at $`x=0`$ (Fig. 4). The two-well character of $`U`$ is obviously maintained as well as the piecewise differentiability. The replacement of the original potential actually corresponds to a linearization of the system around both unstable fixed points $`(\pm 1,\pm 1,1)`$, with the metching performed in $`x=0`$. It appears that the chaotic behavior of the original model does not depend on the differentiability in $`x=0`$. One can guess that also other classes of dynamical systems can be transformed in a piecewise linearized version by means of the same operations.

It is easy to check that the fixed points of (22) are $`(\pm 1,\pm 1,1)`$ and that the equation ruling their local stability is the same as for the original Lorenz system with parameters $`b`$, $`\sigma `$, $`\rho (r+1)/2`$. In particular, if $`\sigma >b+1`$, the critical value of $`r`$ for our piecewise linear system (22) is given by $`r_c^{(lin)}=2r_c1`$. In Figs. 5 and 6 two chaotic phase portrait for systems (2) and (22) are shown, corresponding to the same choice of $`b`$ and $`\sigma `$, and different choices of $`r`$ in order to preserve the relationships between $`r`$ and the proper corresponding critical value.
When dealing with system (22), the main simplification is that it is separately linear for $`x<0`$ and $`x>0`$ and can thus be analytically solved in each region. Indeed, by applying the operator $`(d/d\tau +\beta )`$ to each side of Eq. (16) one obtains the equation

$$\frac{d^3x}{d\tau ^3}+(\beta +\eta )\frac{d^2x}{d\tau ^2}+(1+\beta \eta )\frac{dx}{d\tau }+\beta (1+\alpha )(x\text{sgn}(x))=0,$$
(23)
which can be explicitly solved separately on each side of $`x=0`$. The nonlinearity of the model is simply reduced to a change of sign of the forcing term $`\pm \beta (1+\alpha )`$ when $`x`$ crosses the plane $`x=0`$, henceforth denoted with $`\pi `$ . As we shall see, the crossing times are somewhat unpredictable, as they result from the discontinuous solutions of an (incidentally transcendental) equation. Our piecewise linearized system will thus turn out to be an important tool to analytically investigate the emergence of chaos in Lorenz-like systems. The main advantage of the piecewise linearization is that one has to deal only with the simplest nonlinearity, i.e. an isolated (not eliminable) discontinuity (see, e.g., Refs.  for other examples of piecewise linear chaotic dynamical systems).

### B Analysis of the motion

Let us now consider in detail the second order integral-differential equation (16), which describes the evolution in time of $`x`$ for the piecewise linearized system in the chaotic steady state. It is equivalent to a third order nonlinear differential equation whose phase space is described by the coordinates $`x`$, $`\dot{x}`$, $`\ddot{x}`$ (with a small abuse of notation from this time on we shall indicate with the dot the differentiation with respect to $`\tau `$). Solutions of Eq. (16) can be easily calculated with tools of the customary analysis on each side of $`x=0`$. To obtain a global solution, such partial solutions should be matched at $`x=0`$ under the reasonable assumptions that the position $`x`$, the velocity $`\dot{x}`$, and the memory $`[|x|]_\beta `$ are continuous . Notice that, in contrast, when crossing the plane $`\pi `$, the acceleration $`\ddot{x}`$ turns out to be undefined. However, if $`x(\stackrel{~}{\tau })=0`$, referring to the left and right time limits $`\ddot{x}(\stackrel{~}{\tau }^{})`$ and $`\ddot{x}(\stackrel{~}{\tau }^+`$), it appears from Eq. (16) that they are related by the equation $`\ddot{x}(\stackrel{~}{\tau }^{})+\ddot{x}(\stackrel{~}{\tau }^+)=2\eta \dot{x}(\stackrel{~}{\tau }).`$ In the sequel we shall refer to $`\ddot{x}(\stackrel{~}{\tau }^{})`$ and $`\ddot{x}(\stackrel{~}{\tau }^+)`$ as the acceleration “immediately” before and “immediately” after the crossing, respectively.

Since Eq. (16) is invariant under the transformation $`xx`$, $`\tau \tau `$, we can focus our attention only on one of the two regions, e.g. $`x>0`$, and describe the motion in this half-space (the evolution in its twin half-space being recovered through the change $`xx`$). Clearly, this is equivalent to put a “rigid wall” in $`x=0`$ and look at the crossing of $`\pi `$ as an elastic collision.
In summary, according to the previous scheme, the system evolution in time is completely described by the following steps:

1. motion for $`x>0`$;
2. collision against $`\pi `$ and discontinuity of $`\ddot{x}`$;
3. inversion $`xx`$ and matching with a new solution defined in the region $`x>0`$ again.

#### 1 Motion in the half-space $`x>0`$

If we define $`\xi x1`$, Eq. (23) assume a simple form

$$\stackrel{\dot{}\dot{}\dot{}}{\xi }+(\beta +\eta )\ddot{\xi }+(1+\beta \eta )\dot{\xi }+\beta (1+\alpha )\xi =0,$$
(24)
that is a linear third order differential equation (homogeneous and with constant coefficients). As a consequences of the Routh-Hurwitz theorem , a critical value $`\alpha _c`$ for the parameter $`\alpha `$ exists, i.e.

$$\alpha _c=\frac{(1+\beta \eta )(\beta +\eta )}{\beta }1.$$
(25)
For $`\alpha >\alpha _c`$ the fixed points are unstable saddle focus with a real negative eigenvalue $`\lambda _0`$ and a pair of complex conjugates eigenvalues $`\lambda _1=\lambda _r+i\lambda _i`$, $`\overline{\lambda }_1=\lambda _ri\lambda _i`$.

For the sake of simplicity we shall indicate with $`(0,\tau _1)`$ the time interval between two consecutive collisions in the steady-state of the system. Without loss of generality we assume $`x=0`$ and $`\dot{x}>0`$. Then, it can be easily shown that in the time interval $`(0,\tau _1)`$ the motion in the phase space $`\xi `$, $`\dot{\xi }`$, $`\ddot{\xi }`$ ($`\xi >1`$) is completely described by the equation

$$𝝃(\tau )=(\tau )(0)^1𝝃_0,$$
(26)
where we have defined

$$𝝃(\tau )\left(\begin{array}{c}\xi (\tau )\\ \dot{\xi }(\tau )\\ \ddot{\xi }(\tau )\end{array}\right),𝝃_0\left(\begin{array}{c}\xi _0\\ \dot{\xi }_0\\ \ddot{\xi }_0\end{array}\right)\left(\begin{array}{c}1\\ \dot{\xi }(0)\\ \ddot{\xi }(0^+)\end{array}\right),$$

and
$$(\tau )=\left(\begin{array}{ccc}\text{Re}\left(e^{\lambda _1\tau }\right)& \text{Im}\left(e^{\lambda _1\tau }\right)& e^{\lambda _0\tau }\\ \\ \text{Re}\left(\lambda _1e^{\lambda _1\tau }\right)& \text{Im}\left(\lambda _1e^{\lambda _1\tau }\right)& \lambda _0e^{\lambda _0\tau }\\ \\ \text{Re}\left(\lambda _1^2e^{\lambda _1\tau }\right)& \text{Im}\left(\lambda _1^2e^{\lambda _1\tau }\right)& \lambda _0^2e^{\lambda _0\tau }\end{array}\right).$$

(Note that, for $`\alpha >\alpha _c`$, $`(0)`$ is always invertible since $`\text{det}(0)=\lambda _i\left[\lambda _i^2+(\lambda _r+\lambda _0)^2\right]`$ and $`\lambda _i>0`$). The eigenvalues of the matrix $`(\tau )(0)^1`$, which connects the vector $`𝝃(\tau )`$ to its initial value $`𝝃_0`$, are $`e^{\lambda _1\tau }`$, $`e^{\overline{\lambda }_1\tau }`$, $`e^{\lambda _0\tau }`$, with corresponding (constant-in-time) eigenvectors

$$\begin{array}{ccc}𝒗_1\left(\begin{array}{c}1\\ \lambda _1\\ \lambda _1^2\end{array}\right),\hfill & 𝒗_2\left(\begin{array}{c}1\\ \overline{\lambda }_1\\ \overline{\lambda }_1^2\end{array}\right),& \hfill 𝒗_3\left(\begin{array}{c}1\\ \lambda _0\\ \lambda _0^2\end{array}\right)\end{array}.$$

With respect to the base $`\{𝒗_1,𝒗_2,𝒗_3\}`$ one has

$$𝝃(\tau )=e^{\lambda _r\tau }\left(c_1e^{\lambda _i\tau }𝒗_1+c_2e^{\lambda _i\tau }𝒗_2\right)+c_3e^{\lambda _0\tau }𝒗_3.$$
(27)
For the saddle point $`𝝃=\mathrm{𝟎}`$ there exist a stable one-dimensional manifold $`𝒲^s`$ corresponding to $`𝒗_3`$

$$𝒲^s=\left\{p𝒗_3\right|p>1\}$$

and an unstable two-dimensional manifold $`𝒲^u`$ generated by $`𝒗_1`$, $`𝒗_2`$ (see Fig. 7)
$$𝒲^u=\{p\frac{𝒗_1+𝒗_2}{2}+q\frac{𝒗_1𝒗_2}{2i}|p>1,q\}.$$

The evolution of the linearized system in the interval $`(0,\tau _1)`$ is the combination of an exponential decay along $`𝒲^s`$ and of an amplified rotation on $`𝒲^u`$. To determine the relative quickness of each component of the motion with respect to the other, consider that from Eq. (24) it is easily checked that $`\lambda _02\lambda _r=\beta +\eta `$, and so $`\lambda _0>\lambda _r`$ $`\alpha ,\beta ,\eta `$. Therefore, the exponential decay along the stable manifold $`𝒲^s`$ is always more rapid than the exponential oscillating growth on the unstable manifold $`𝒲^u`$, the parameter controlling this difference being $`\beta +\eta `$.
Although the fixed points are saddle focus, it appears that the piecewise linearized system does not exhibit Shilnikov chaos  owing to the absence of an homoclinic orbit.

#### 2 $`\pi `$-collision and inversion

To complete the description of the piecewise linearized system dynamics, we consider the instant $`\tau _1`$ at which the first collision occurs. At this time, as already remarked, the trajectory coming from the half-space $`x>0`$ must be matched with the solution defined again in the same region, but with corresponding new “initial conditions”

$$\{\begin{array}{ccccc}\xi _1\hfill & =\hfill & 1\hfill & & \\ \dot{\xi }_1\hfill & =\hfill & \dot{\xi }(\tau _1)\hfill & & \\ \ddot{\xi }_1\hfill & =\hfill & \ddot{\xi }(\tau _1^+)\hfill & =\hfill & \ddot{\xi }(\tau _1^{})+2\eta \dot{\xi }(\tau _1),\hfill \end{array}$$
(28d)
or, in matrix form,
$$𝝃_1=𝒟𝝃(\tau _1^+)$$
(28e)
with

$`𝒟\left(\begin{array}{ccc}1& 0& 0\\ 0& 1& 0\\ 0& 2\eta & 1\end{array}\right)`$ and $`\left(\begin{array}{ccc}1& 0& 0\\ 0& 1& 0\\ 0& 0& 1\end{array}\right).`$
The matrix $`𝒟`$ accounts for the acceleration discontinuity in $`x=0`$, while $``$ yields the sign inversion after the impact. From Eqs. (26) and (28e) it follows that the velocity and the acceleration immediately after the collision are related to the initial conditions by the operator $`𝒫(\tau )𝒟(\tau )(0)^1`$, according to the formula

$$𝝃_1=𝒫\left(\tau _1(𝝃_0)\right)𝝃_0.$$
(29)
Notice the highlighted dependence of $`\tau _1`$ on $`𝝃_0`$, which reveals the nonlinear character of this important relationship.

Starting from the above results, the very origin of chaos in the piecewise linearized Lorenz system will be identified and discussed in the next section. We shall also show that the basic mechanisms for chaos to emerge apply also to the original Lorenz system.

### C Dependence of $`\tau _1`$ on initial conditions

#### 1 Unpredictability of the crossing time

As already observed, the instant at which the plane $`\pi `$ is crossed, strongly depends on the initial conditions. This fact is strictly related to the chaotic behavior of Lorenz-like systems. Let us now study in some detail this topic for the piecewise linearized model.

The instant $`\tau _1`$ at which the first collision occurs is defined by the condition $`\xi (\tau _1)=1`$. From the first line of Eq. (26) $`\tau _1`$ is thus the smallest positive solution of the transcendental equation

$$1=C_1e^{\lambda _r\tau _1}\mathrm{cos}(\lambda _i\tau _1)+C_2e^{\lambda _r\tau _1}\mathrm{sin}(\lambda _i\tau _1)+C_3e^{\lambda _0\tau _1}$$
(30)
where $`C_1`$, $`C_2`$, $`C_3`$ are linearly related to initial conditions. The residence time $`\tau _1`$ is therefore the first intersection of the graphs of $`g(\tau _1)=C_3e^{\lambda _0\tau _1}1`$ and $`h(\tau _1)=C_1e^{\lambda _r\tau _1}\mathrm{cos}(\lambda _i\tau _1)+C_2e^{\lambda _r\tau _1}\mathrm{sin}(\lambda _i\tau _1)`$. Since $`g`$ is a decreasing exponential function and $`h`$ an oscillating function with growing amplitude, one can easily understand why even a little modification of initial conditions can produce a discontinuous variation of $`\tau _1`$ (Fig. 8).

In conclusion, the unpredictability of the residence time is closely connected to the discontinuous character of the solutions of Eq. (30). The chaotic behavior for the the piecewise linearized system clearly stems from such unpredictability. Our claim is that an entirely analogous situation exists also for the original Lorenz model. We shall return however in more detail on this important analogy in the sequel.

#### 2 The residence time $`\tau _1`$ as a function of $`\dot{\xi }_0`$ and $`\ddot{\xi }_0`$

We now explicitly investigate the dependence of $`\tau _1`$ on the initial velocity and acceleration. As previously remarked, the function $`\tau _1=\tau _1(\dot{\xi }_0,\ddot{\xi }_0)`$ is implicitly defined as the smallest positive solution of Eq. (30). Since $`C_1`$, $`C_2`$, $`C_3`$ are linearly related to the initial conditions, Eq. (30) can be rewritten in terms of $`\dot{\xi }_0`$ and $`\ddot{\xi }_0`$. In this form it describes a family $`𝒮`$ of straight lines in the plane $`\{\dot{\xi }_0,\ddot{\xi }_0\}`$ parametrized by $`\tau _1`$

$$𝒮:A(\tau _1)\dot{\xi }_0+B(\tau _1)\ddot{\xi }_0+C(\tau _1)=\mathrm{\hspace{0.17em}0}$$
(31)
\[see Appendix B for the explicit expression of the coefficients $`A(\tau _1)`$, $`B(\tau _1)`$, $`C(\tau _1)`$\].
Let us denote with $`(T_i),i0`$ the ordered sequence of the zeros of $`B(\tau _1)`$. Note that one always has $`T_0=0`$. The slope of the straight lines of $`𝒮`$, $`A/B`$, and their ordinate for $`\dot{\xi }_0=0`$, i.e. $`C/B`$, have their singularities in $`T_i,i0`$. Both these functions are only asintotically periodic because of the presence of terms proportional to $`e^{\lambda _0\tau _1}`$, which become negligible only for large $`\tau _1`$ (Figs. 9 and 10).
In each interval $`(T_i,T_{i+1})`$, $`i0`$, the function $`A/B`$ is everywhere growing (see Appendix B) and varies from $`\mathrm{}`$ and $`+\mathrm{}`$. Therefore, as $`\tau _1`$ increases, the straight lines of $`𝒮`$ rotate anticlockwise and at the same time translate starting from the $`\ddot{\xi _0}`$-axis (obtained for $`\tau _1=0`$) (Fig. 11).
The envelope of the family $`𝒮`$ is a curve

$$\gamma :\{\begin{array}{cc}\dot{\xi }_0=\dot{\xi }_0(\tau _1)\hfill & \\ \ddot{\xi }_0=\ddot{\xi }_0(\tau _1)\hfill & \end{array}$$

which looks similar to an elliptic spiral (Fig. 12). (A parametrical representation of $`\gamma `$ is given in Appendix B).

From Eq. (31) the contour lines of the function $`\tau _1`$ are parts of straight lines in the plane $`(\dot{\xi }_0,\ddot{\xi }_0)`$. Indeed, according to the definition, each line of $`𝒮`$ is in fact a contour line for $`\tau _1`$ only where its points do not belong to another line corresponding to a smaller value of $`\tau _1`$ and, furthermore, only where their abscissas correspond to positive values of $`\dot{\xi }_0`$. Rather than a family of straight lines, the function contour lines are raies or segments according to the constant value of $`\tau _1`$.
For $`\tau _1`$ ranging from $`0`$ to $`T_2`$ these lines perform a complete anticlockwise “rotation,” starting from the $`\ddot{\xi }_0`$-axis. Thus, they cover the entire half-plane $`\dot{\xi }_00`$ except the region inside their envelope; from this first rotation one obtains a set of raies (Fig. 13).
Subsequently, for $`\tau _1`$ ranging from $`T_2`$ to $`T_4`$ the contour lines become segments of variable orientation and contained in the region delimited by the curve already generated from the first rotation and the new envelope of the second set of straight lines. This behavior repeats itself $`\tau _1[T_{2i},T_{2i+1}]`$, $`i0`$. Because of the aperiodic character of the functions involved, the curve $`\gamma `$ outlines in the positive half-plane a structure consisting of “pseudo-elliptic” annula. Moving anticlockwise along each of these annula, $`\tau _1`$ grows continuously. On the contrary, passing through the border that separates two different bands, one meets discontinuities in the dependence of $`\tau _1`$ on initial conditions.
The curve $`\gamma `$ “winds” round the point $`P_0(\lambda _0,\lambda _0^2)`$ (see Fig. 12). For $`(\dot{\xi }_0,\ddot{\xi }_0)(\lambda _0,\lambda _0^2)`$ one has $`\tau _1\mathrm{}`$, since for these initial conditions one obtains $`C_1=C_2=0`$ and the system exactly lies on the stable manifold $`𝒲^s`$. Its motion is in this case an exponential decay towards the fixed point $`𝝃=\mathrm{𝟎}`$.

The previous observations allow to easily guess the structure of the graph of $`\tau _1=\tau _1(\dot{\xi }_0,\ddot{\xi }_0)`$ shown in Fig. 14. It should be noted that $`\tau _1`$ shows instability with respect to the initial conditions only in a limited subset of the half-plane $`\dot{\xi }_00`$. As we shall see, it is natural to expect that in the chaotic regime the system is quickly attracted inside this region.

### D The piecewise linearized model as a one-dimensional map

#### 1 The $`\pi `$-plane Poincaré map

At this point of our study we have analyzed in some detail the unpredictability of the time at which the system crosses the plane $`\pi `$. To completely motivate the chaotic dynamics of the piecewise linearized system and thus of the original model, we must, however, add some further results on the attracting set of the system.

All results obtained in the previous section can be easily extended to the $`n`$-th collision against $`\pi `$. Specifically, denoting with $`𝝃_n`$ the array assigning position, velocity, and acceleration immediately after the $`n`$-th collision

$$𝝃_n\left(\begin{array}{c}1\\ \dot{\xi }_n\\ \ddot{\xi }_n\end{array}\right),$$

we have \[similarly to Eq. (29)\]

$`𝝃_n`$ $`=`$ $`𝒫(\tau _n)𝝃_{n1},`$ (32)
where we have denoted with $`\tau _n`$ the $`n`$-th residence time, i.e., the time interval between the ($`n1`$)-th collision and the $`n`$-th one.
The first line of Eq. (32) gives $`\tau _n`$ in terms of $`\dot{\xi }_{n1}`$ and $`\ddot{\xi }_{n1}`$: the dependence of this time on the $`(n1)`$-th initial conditions has already been discussed in Section IV C 2 . Knowing $`\tau _n`$, the other two lines allow to relate the velocity $`\dot{\xi }_n`$ and the acceleration $`\ddot{\xi }_n`$ to $`\dot{\xi }_{n1}`$ and $`\ddot{\xi }_{n1}`$. Eq. (32) defines a two-dimensional first-return Poincaré map between $`(\dot{\xi }_n,\ddot{\xi }_n)`$ and $`(\dot{\xi }_{n1},\ddot{\xi }_{n1})`$, obtained from the section $`\xi =1`$ of the phase space $`\xi ,`$ $`\dot{\xi }`$, $`\ddot{\xi }`$. We recall that, in spite of its appearance, the map (32) is in fact non-linear, since the matrix $`𝒫`$ depends on $`\tau _n`$, which is a transcendental discontinuous function of the $`(n1)`$-th initial conditions.
Indeed, under suitable conditions, the two-dimensional map for the linearized system practically reduces to a one-dimensional map.

#### 2 Approximation of the system with a one-dimensional map

It has been already shown that for $`\xi >1`$ the motion in the phase space has the form (27)

$$𝝃(\tau )=c_1e^{\lambda _1\tau }𝒗_\mathrm{𝟏}+c_2e^{\overline{\lambda }_1\tau }𝒗_\mathrm{𝟐}+c_3e^{\lambda _0\tau }𝒗_\mathrm{𝟑}$$

where $`\lambda _0`$ and $`\lambda _r=\text{Re}(\lambda _1)`$ satisfy the equation $`\lambda _02\lambda _r=\beta +\eta `$, which in turn implies $`\lambda _0>\lambda _r`$. As a consequence the evolution in the phase space $`\xi `$, $`\dot{\xi }`$, $`\ddot{\xi }`$ consists both of a “rapid” decay towards $`𝝃=\mathrm{𝟎}`$ along the stable manifold $`𝒲^s`$ and of a “slow” amplified oscillation on $`𝒲^u`$. We thus expect the phase trajectories to be strongly attracted on the unstable manifold and, once on $`𝒲^u`$, to slowly spiral outwards. Provided trajectories start close enough to $`𝒲^u`$, then they meet the $`\pi `$-plane very close to its intersection with $`𝒲^u`$ itself, i.e., along the straight line

$$^{}:\{\begin{array}{cc}\ddot{\xi }+2\lambda _r\dot{\xi }+(\lambda _r^2+\lambda _i^2)=0\hfill & \\ \xi =1.\hfill & \end{array}$$
(33)
Let us assume that the attraction towards the unstable manifold is very strong and thus it takes place almost instantaneously (the goodness of this assumption is controlled by $`\beta +\eta `$). Under this hypothesis all trajectories approximately hit $`\pi `$ along the straight line $`^{}`$. Thus, from Eq. (28e), it follows that, immediately after each collision, the system necessary lies very close to the straight line

$$^+:\{\begin{array}{cc}\ddot{\xi }+2(\eta +\lambda _r)\dot{\xi }(\lambda _r^2+\lambda _i^2)=0\hfill & \\ \xi =1.\hfill & \end{array}$$
(34)
Therefore, the following relation between velocity and acceleration is expected to approximately hold

$$\ddot{\xi }_n+2(\eta +\lambda _r)\dot{\xi }_n(\lambda _r^2+\lambda _i^2)=0.$$
(35)
From Eqs. (16) and (35) an analogous linear dependence between the velocity and the memory follows

$$(\eta +2\lambda _r)\dot{\xi }_n\alpha w_n+1(\lambda _r^2+\lambda _i^2)=0,$$
(36)
where $`w_n`$ denotes the $`\beta `$-memory of $`\xi `$ evaluated at the $`n`$-th collision. As a consequence, in the limit we have considered, the attracting set for the map (32) is $`^+`$ and, therefore, it reduces to an one-dimensional map.

Since in the chaotic steady-state the velocity and the acceleration that define the initial conditions for the trajectory after each impact are not independent, the time $`\tau _n`$ can be expressed as a function of $`\dot{\xi }_{n1}`$ alone: $`\tau _n=\tau _n(\dot{\xi }_{n1})`$ (see Fig. 15). The behavior of this map is easily understood if we refer to the graph of $`\tau _1`$ as a functions of $`\dot{\xi }_0`$ and $`\ddot{\xi }_0`$ (see Fig. 14). Indeed, in the chaotic regime $`^+`$ is superimposed to the region of the plane $`(\dot{\xi }_{n1},\ddot{\xi }_{n1})`$ contained by $`\gamma `$, where $`\tau _1`$ shows unstable behavior with respect to a change in the initial conditions (Fig. 16). For those values of $`\dot{\xi }_{n1}`$, for which $`^+`$ passes through the same “pseudo-elliptic” corona, $`\tau _n`$ slowly changes with varying crossing velocity. On the contrary, when $`^+`$ intersects the boundary between two different coronas, $`\tau _n`$ shows a discontinuity in its dependence on $`\dot{\xi }_{n1}`$ (Fig. 15).
The linear dependence between velocity and acceleration immediately after each collision implies that the Poincaré map (32) becomes one-dimensional, e.g. a map between $`\dot{\xi }_n`$ and $`\dot{\xi }_{n1}`$. Figure 17 shows this fact for $`\alpha =6.50`$, $`\beta =0.19`$, $`\eta =0.78`$. By simple inspection of the derivatives corresponding to the fixed points of the map one can easily check that they are all unstable, so that the map produces a chaotic behavior. Note that the discontinuities simply correspond to the analogous ones in the function $`\tau _n=\tau _n(\dot{\xi }_{n1})`$, evaluated along the straight line given by (35) and drawn in Fig.16.

For the sake of completeness, we turn now to the description of the piecewise linearized system in the original phase space $`x`$, $`\dot{x}`$, $`\ddot{x}`$. There the system has two fixed points $`(\pm 1,0,0)`$. For each one there exists a stable manifold

$$𝒲_\pm ^s=\{p𝒗_\mathrm{𝟑}+(\pm 1,0,0)|p1\}$$
(37)
and an unstable manifold
$$𝒲_\pm ^u=\{p\frac{𝒗_\mathrm{𝟏}+𝒗_\mathrm{𝟐}}{2}+q\frac{𝒗_\mathrm{𝟏}𝒗_\mathrm{𝟐}}{2i}+(\pm 1,0,0)|p1\text{and}q\}.$$
(38)
During the evolution the trajectories are rapidly attracted on the unstable manifold relative to the half-plane where they belong (Fig. 18). Thus, immediately after the crossing of the $`\pi `$-plane the phase point lies on one of the straight lines

$$\{\begin{array}{cc}\ddot{x}+2(\eta +\lambda _r)\dot{x}+(\lambda _r^2+\lambda _i^2)\text{sgn}(\dot{x})=0\hfill & \\ x=0,\hfill & \end{array}$$
(39)
while the memory and the velocity are linearly related according to equation
$$(\eta +2\lambda _r)\dot{x}_n\alpha \text{sgn}(\dot{x}_n)w_n+\mathrm{\hspace{0.17em}1}(\lambda _r^2+\lambda _i^2)=0.$$
(40)
As for the crossing of the $`\pi `$-plane, the system can therefore be described by a one-dimensional map. To get the maps $`\tau _n=\tau _n(\dot{x}_{n1})`$ and $`\dot{x}_n=\dot{x}_n(\dot{x}_{n1})`$ from the analogous ones in the rigid wall scheme, one has simply to consider that $`\dot{\xi }_n`$ coincides with $`|\dot{x}_n|`$.

The reader should note that all the maps we have drawn in the previous figures have been obtained by numerically solving the analytical equation (32), which exactly defines $`\tau _n`$, $`\dot{\xi }_{n+1}`$, and $`\ddot{\xi }_{n+1}`$, and they have not been computed by numerical integration of the differential system (as usual for non solvable dynamical systems like the Lorenz original one). Thus, the use of numerical tools has been required only because of the transcendental character of the concerned equation.

We explicitly remark that in general the attraction towards $`𝒲^u`$ is not infinite, but nevertheless more rapid than the amplified rotation on the unstable manifold (remember that $`\lambda _02\lambda _r=\beta +\eta >0`$ $`\alpha ,\beta ,\eta `$). Therefore, we can expect that, if $`\beta +\eta `$ is finite, the attractor set is not exactly the straight line $`^+`$, but a narrow “strip” that contains $`^+`$. This strip intersects the region of the graph of $`\tau _n`$ where the residence time is strongly dependent on initial conditions and the mechanism for chaos to arise is absolutely the same. Our numerical simulations for finite $`\beta +\eta `$ are in excellent agreement with these predictions and then we do not show their corresponding graphs here, since they are practically indistinguishable from the graphs we have already discussed.

## V Comparison with the original Lorenz system

We conclude our analysis by showing some simulated numerical results. Bfore doing that, some remarks are worth discussing. We previously considered $`x,\dot{x},\ddot{x}`$ as independent coordinates in the phase space because of their physical meaning: it is more intuitive to speak about acceleration rather than of memory of the system. Unfortunately, if we want to “assign initial conditions” to the original Lorenz system after the crossing of the plane $`\pi `$, we cannot consider the acceleration and the velocity since from Eq. (10) they are not independent variables in $`x=0`$. Indeed the relation $`\ddot{x}_n+\eta \dot{x}_n=0`$ always holds, while the memory is not known *a priori*. As a consequence, we have to consider as independent initial conditions position, velocity, and memory. However, it is worth remarking that the comparison between the Lorenz system and the piecewise linearized one is completely meaningful. This because for the latter model $`w_{n1}`$ is easily known in terms of $`\dot{\xi }_{n1}`$ and $`\ddot{\xi }_{n1}`$ from Eq. (16): for the linearized system the choice of $`\ddot{\xi }_{n1}`$ or of $`w_{n1}`$ is absolutely equivalent.

Since we are interested in the behavior of the Lorenz system in the chaotic steady state, all the following results are thus obtained via the numerical integration of the steady-state differential system

$$\{\begin{array}{cc}\dot{x}=v\hfill & \\ \dot{v}+\eta v+(x^21)x=\alpha wx\hfill & \\ \dot{w}=\beta w+\beta (x^21),\hfill & \end{array}$$
(41)
where now $`w=[x^21]_\beta `$. This dynamical system, as already proved, is equivalent to the system (2) far from the initial transient.

We can now turn to the comparison with the piecewise linearized system. For the original Lorenz model we have computed the maps that relate $`\tau _n`$ and $`|\dot{x}_n|`$ to $`|\dot{x}_{n1}|`$, respectively, by numerical integration of the system (41) (the notations are the same as in the previous section). Figures 19 and 20 show the results we obtained: the qualitative behavior of these maps is very similar to that of the analogous maps for the piecewise linearized system. As we will see, the mechanism for chaos to arise is indeed the same.
Observe that the maps in Figs. 19 and 20 are not perfectly onto: obviously this is due to the fact that, in general, the Lorenz system does not reduce exactly to an one-dimensional map when the plane $`x=0`$ is crossed.

From direct computation it appears that the residence time around a fixed point depends on the initial conditions in a way similar to that of the linearized system (Fig. 21). There is a region in which $`\tau _1`$ varies continuously with varying initial conditions and a region (Figs. 21 and 22) of strong instability. In the latter region $`\tau _1`$ changes continuously along each “annulus” of the “spiral,” whereas it shows abrupt discontinuities crossing the boundary of each annulus. As expected, the system is attracted on that region (Fig. 23) and the maps in Figs. 19 and 20 derive from the overplotting between Figs. 23 and 22.
The chaos actually emerges due to the combination of the step-like first-exit-time (Fig. 19) and of the piecewise return map (Fig. 20) for initial conditions. This mechanism is the same as for the linearized model, for which we gave an analytical description. The results we obtained for the piecewise linearized system therefore provide in our opinion a useful enlightening tool to understand both the original Lorenz system and its eventual generalizations.

Finally, in order to point out the connection between the original Lorenz system and its piecewise linearized version, it is illuminating to compare the tent-like map shown by Lorenz in his original work  with the analogous map for our simplified system. Describing the relation between two consecutive maxima of the coordinate $`z(t)`$, Lorenz found a univocal tent-like map (Fig. 24). For our linearized system we obtain similar results (see Fig. 25). The growing branch of the map is approximately linear, since for small values of $`z`$ the system evolution is confined in a half-space and, there, it essentially consists of an exponentially amplified oscillation. For large values of $`z`$ the map has the same shape of the Lorenz tent-like map. The linear growing of the left branch of the map is due to the simplification we made on the evolution on each side of $`x=0`$. The shape of the right branch shows that the piecewise linear system keeps all the complexity of the Lorenz model, which can be attributed to the unpredictability of the $`x=0`$ crossing, which is the very origin of chaos in Lorenz-like systems.

## VI Conclusions

The main conclusions from the present paper can be summarized as follows. We have reformulated in a classical mechanics form the dynamics of Lorenz-like systems and showed that its three-dimensional phase-space dynamics can be mapped into an one-dimensional motion of a particle oscillating in a conservative quartic two-well potential, subjected to a viscous dissipation and to a memory forcing. Starting from this interpretation, we have introduced a piecewise linearized version of the Lorenz system (belonging to a larger family of Lorenz-like systems) which substantially has the same properties of the original model with the advantage that it allows an analytical treatment.
The most evident aspect of chaotic regime is the unpredictability of the instant at which the center of the particle amplified oscillation changes. Chaos arises due to the combination of the step-like behavior of this time with the piecewise return map defining the crossing conditions. This aspect has been singled out analytically, focusing on the piecewise linearized version. There, the exact equation for the time, at which the oscillation center changes, has been derived and the discontinuous dependence of this time on the crossing conditions has been shown analytically.
By means of numerical simulations we have verified that the highlighted mechanisms for the chaos to emerge survive also for the fully-nonlinear Lorenz system, where analytical techniques are not applicable.

###### Acknowledgements.

We would like to thank M. La Camera and A. Vulpiani for useful discussions and suggestions. This work was partially supported by the INFM project GEPAIGG01. D. V. was partially supported by the doctoral grants of the University of Nice and by grants of the University of Genova.

## A Parameters $`\alpha `$, $`\beta `$, $`\eta `$

In the Lorenz system, the following conditions for $`\sigma ,b,r`$ have to be satisfied in order to have three instable fixed points:

$`\sigma ,b,r^+,`$ (A1a)
$`r>1,`$ (A1b)
$`\sigma >b+1,`$ (A1c)
$`r>r_c.`$ (A1d)
The parameters $`\alpha ,\beta ,\eta `$ are defined as follows:

$$\alpha =\frac{2\sigma }{b}1,\beta =\sqrt{\frac{2b}{r1}},\eta =\frac{\sigma +1}{\sqrt{(r1)b/2}}.$$

From (A1a) and (A1b) it immediately follows that $`\alpha ,\beta ,\eta `$ are positive too. Therefore, $`\sigma ,b,r`$ can be rewritten in terms of $`\alpha ,\beta ,\eta `$ in the form

$$\sigma =\frac{(1+\alpha )\beta }{\beta (\alpha +1)2\eta },$$

$$r=1\frac{4}{\beta (\beta (\alpha +1)2\eta )},$$

$$b=\frac{2\beta }{\beta (\alpha +1)2\eta }.$$

Under the hypothesis $`\alpha ,\beta ,\eta ^+`$, (A1a) and (A1b) are equivalent to

$$\beta (\alpha +1)<2\eta ,$$
(A2)
while (A1c) corresponds to the inequality
$$\beta (\alpha +1)>\beta +\eta .$$
(A3)
Specifically, (A1a), (A1b), and (A1c) then imply
$$\alpha >\frac{\eta }{\beta }>1.$$
(A4)
Finally, (A1d) can be rewritten in terms of new parameters as
$$\alpha >\frac{\eta \left(2+\beta (\beta +\eta )\right)}{2\beta },$$
(A5)
from which necessarily (A4) follows.

## B Family $`𝒮`$

The family of straight lines $`𝒮`$ is defined by the equation

$$𝒮:A(\tau _1)\dot{\xi }_0+B(\tau _1)\ddot{\xi }_0+C(\tau _1)=\mathrm{\hspace{0.17em}0}$$

where

$$\begin{array}{ccc}A(\tau _1)\hfill & =\hfill & 2\lambda _i\lambda _re^{\lambda _0\tau _1}+e^{\lambda _r\tau _1}\left(2\lambda _i\lambda _r\mathrm{cos}(\lambda _i\tau _1)+(\lambda _0^2+\lambda _i^2\lambda _r^2)\mathrm{sin}(\lambda _i\tau _1)\right)\hfill \\ & & \\ B(\tau _1)\hfill & =\hfill & \lambda _ie^{\lambda _0\tau _1}+e^{\lambda _r\tau _1}\left(\left(\lambda _r+\lambda _0\right)\mathrm{sin}(\lambda _i\tau _1)\lambda _i\mathrm{cos}(\lambda _i\tau _1)\right)\hfill \\ & & \\ C(\tau _1)\hfill & =\hfill & \lambda _i(\lambda _i^2+\lambda _r^2)e^{\lambda _0\tau _1}\lambda _0e^{\lambda _r\tau _1}[\lambda _i(2\lambda _r+\lambda _0)\mathrm{cos}(\lambda _i\tau _1)+\hfill \\ & & \\ & & +(\lambda _i^2(\lambda _0+\lambda _r)\lambda _r)\mathrm{sin}(\lambda _i\tau _1)]+(\lambda _i(\lambda _i^2+(\lambda _0+\lambda _r)^2).\hfill \end{array}$$

### 1 Slope of straight lines of $`𝒮`$

We indicate with $`(T_i)_{i0}`$ the ordered sequence of the zeros of $`B`$: $`T_i<T_{i+1}i0`$ with $`B(T_i)=0i0.`$ The first derivative of $`A/B`$ is positive over the whole domain of definition. Indeed one has

$$\frac{d}{d\tau _1}\left(\frac{A}{B}\right)=$$

$$\frac{\lambda _ie^{\lambda _r\tau _1}\left[\lambda _ie^{\lambda _r\tau _1}+e^{\lambda _0\tau _1}\left(\lambda _i\mathrm{cos}(\lambda _i\tau _1)(\lambda _0+\lambda _r)\mathrm{sin}(\lambda _i\tau _1)\right)\right]\left(\lambda _i^2+(\lambda _0+\lambda _r)^2\right)}{\lambda _ie^{\lambda _0\tau _1}+e^{\lambda _r\tau _1}\left[\lambda _i\mathrm{cos}(\lambda _i\tau _1)(\lambda _r+\lambda _0)\mathrm{sin}(\lambda _i\tau _1)\right]^2}$$

with

$$\lambda _ie^{\lambda _r\tau _1}+e^{\lambda _0\tau _1}\left(\lambda _i\mathrm{cos}(\lambda _i\tau _1)(\lambda _0+\lambda _r)\mathrm{sin}(\lambda _i\tau _1)\right)>\mathrm{\hspace{0.17em}0}\tau _1\underset{i=0}{\overset{\mathrm{}}{}}(T_i,T_{i+1})^+.$$

The latter inequality can be easily proved. Indeed:

$$(\lambda _r+\lambda _0)\tau _1>\mathrm{log}(1+(\lambda _r+\lambda _0)\tau _1)$$

$$e^{(\lambda _r+\lambda _0)\tau _1}>1+(\lambda _r+\lambda _0)\tau _1>\mathrm{cos}(\lambda _i\tau _1)+\frac{(\lambda _r+\lambda _0)}{\lambda _i}\tau _1$$

$$\lambda _ie^{\lambda _r\tau _1}>e^{\lambda _0\tau _1}\left(\lambda _i\mathrm{cos}(\lambda _i\tau _1)+(\lambda _r+\lambda _0)\mathrm{sin}(\lambda _i\tau _1)\right)\tau _1\underset{i=0}{\overset{\mathrm{}}{}}(T_i,T_{i+1})^+.$$

### 2 Envelope of family $`𝒮`$

A parametrical (not regular) representation of the envelope of the family $`𝒮`$ is obtained deriving $`\dot{\xi }_0`$ and $`\ddot{\xi }_0`$ with respect to $`\tau _1`$. This can be done from the system

$$\{\begin{array}{c}A(\tau _1)\dot{\xi }_0+B(\tau _1)\ddot{\xi }_0+C(\tau _1)=\mathrm{\hspace{0.17em}0}\hfill \\ _{\tau _1}A(\tau _1)\dot{\xi }_0+_{\tau _1}B(\tau _1)\ddot{\xi }_0+_{\tau _1}C(\tau _1)=\mathrm{\hspace{0.17em}0}.\hfill \end{array}$$

The result

$$\gamma :\{\begin{array}{cc}\dot{\xi }_0=\dot{\xi }_0(\tau _1)\hfill & \\ \ddot{\xi }_0=\ddot{\xi }_0(\tau _1)\hfill & \end{array}$$

is given by

$$\begin{array}{c}\dot{\xi }_0(\tau _1)=\hfill \\ \hfill \{\lambda _0(\lambda _i(1+e^{\lambda _0\tau _1})\mathrm{cos}(\lambda _i\tau _1)\lambda _i(e^{(\lambda _0+\lambda _r)\tau _1}+e^{\lambda _r\tau _1}))\\ \hfill (\lambda _r^2+\lambda _i^2\lambda _0\lambda _r)(e^{\lambda _0\tau _1}1)\mathrm{sin}(\lambda _i\tau _1)\}/\\ \hfill (\lambda _ie^{\lambda _r\tau _1}+e^{\lambda _0\tau _1}((\lambda _0+\lambda _r)\mathrm{sin}(\lambda _i\tau _1)\lambda _i\mathrm{cos}(\lambda _i\tau _1))\end{array}$$

and

$$\begin{array}{c}\ddot{\xi }_0(\tau _1)=\hfill \\ \hfill \{\lambda _0^2(\lambda _i(\mathrm{cos}(\lambda _i\tau _1)e^{\lambda _r\tau _1})+\lambda _r\mathrm{sin}(\lambda _i\tau _1))\\ \hfill +(e^{\lambda _0\tau _1}1)(\lambda _i\mathrm{cos}(\lambda _i\tau _1)\lambda _r\mathrm{sin}(\lambda _i\tau _1))(\lambda _r^2+\lambda _i^2)+\\ \hfill \lambda _0(e^{\lambda _0\tau _1}((\lambda _i^2\lambda _r^2)\mathrm{sin}(\lambda _i\tau )+2\lambda _i\lambda _r\mathrm{cos}(\lambda _i\tau _1))2\lambda _i\lambda _re^{(\lambda _0+\lambda _r)\tau _1})\}/\\ \hfill (\lambda _ie^{\lambda _r\tau _1}+e^{\lambda _0\tau _1}((\lambda _0+\lambda _r)\mathrm{sin}(\lambda _i\tau _1)\lambda _i\mathrm{cos}(\lambda _i\tau _1)).\end{array}$$

FIG. 1. R. Festa *et al.*, Phys. Rev. E

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# Maximal Subbundles and Gromov-Witten Invariants

## 1. Introduction

Let $`C`$ be a non-singular irreducible projective curve of genus $`g2`$, defined over the complex numbers, and let $`E`$ be a vector bundle over $`C`$ of rank $`n`$ and degree $`d`$. In describing the structure of $`E`$, it is important to consider the set of subbundles $`E^{}`$ of $`E`$ of any fixed rank $`n^{}`$ and degree $`d^{}`$. In particular, for any $`n^{}`$, there is a maximum value of $`d^{}`$ for which such subbundles exist; the corresponding subbundles are called maximal subbundles of $`E`$. It is convenient here to write

$$s(E,E^{})=n^{}dnd^{}.$$

We can then put

$$s_n^{}(E)=\mathrm{min}s(E,E^{}),$$

the minimum being taken over all subbundles $`E^{}`$ of rank $`n^{}`$. A subbundle $`E^{}`$ is then a maximal subbundle if and only if $`s(E,E^{})=s_n^{}(E)`$.

Note in particular that the bundle $`E`$ is stable if and only if $`s_n^{}(E)>0`$ for all $`n^{}`$, $`1n^{}n1`$. In general we call the $`s_n^{}(E)`$ degrees of stability and note that, for each $`n^{}`$, we can define a stratification of the moduli space $`(n,d)`$ of stable bundles of rank $`n`$ and degree $`d`$ by the locally closed subsets

$$U_{n^{},s}(n,d)=\{E(n,d)|s_n^{}(E)=s\}.$$

Note that $`U_{n^{},s}(n,d)`$ can be non-empty only if $`s>0`$ and $`sn^{}dmodn`$.

It was proved in  that $`s_n^{}(E)n^{}(nn^{})g`$ and in fact it is known \[6, Théorème 4.4\] that the maximum value of $`s`$ that occurs is given by

$$s=n^{}(nn^{})(g1)+\epsilon ,$$

where $`\epsilon `$ is the unique integer $`0\epsilon n1`$ such that $`sn^{}dmodn`$. The corresponding $`U_{n^{},s}(n,d)`$ is the unique open stratum of the stratification.

When $`s=n^{}(nn^{})(g1)`$, a dimension counting argument shows that one can expect a general $`E(n,d)`$ to have a finite number $`m_n^{}(E)`$ of maximal subbundles of rank $`n^{}`$, the number being independent of $`E`$ provided that it is chosen sufficiently generally. In the simplest case, when $`n^{}=1`$, the number is known; in fact,

$$m_1(E)=n^g$$

(see  for $`n=2`$,  and \[14, Proposition 3.9\] in general).

Our object in this paper is to obtain a formula for $`m_n^{}(E)`$ in the case $`(n^{},d^{})=1`$. Indeed we use Grothendieck-Riemann-Roch and the Porteous formula to express $`(n^{},d^{})`$ as the top Chern class of a certain virtual bundle (Theorem 3.1). When $`g=2`$ and $`n^{}=2`$, we evaluate this Chern class and give an explicit formula for $`m_2(E)`$ (Theorem 4.1).

Our result can be interpreted in terms of Gromov-Witten theory . Indeed, in , the formula for $`m_n^{}(E)`$ is obtained as an application of a theorem on Gromov-Witten invariants, and the question of computing these invariants when $`n^{}>1`$ is raised. Our results give an answer to this question. Our methods, however, are similar to those of . Notice that these invariants were also defined in the last section of .

It should also be noted that there is a mistake in , where it is claimed that, when $`sn^{}(nn^{})(g1)`$, the general bundle in $`U_{n^{},s}(n,d)`$ has only one maximal subbundle of rank $`n^{}`$. For $`s=n^{}(nn^{})(g1)`$, this is not correct, and indeed the proof given in  fails also for $`s<n^{}(nn^{})(g1)`$. However the result itself is true in this case; we provide a proof of this in Theorem 2.3. It should be emphasised that this does not invalidate any other result in .

The research for this paper was carried out during a visit by the second author to the Mathematisches Institut der Universität Erlangen-Nürnberg in October/November 2001. He is grateful to the DFG for funding this visit and to the Institut for its hospitality.

## 2. Uniqueness of Maximal Subbundles

According to \[16, Theorem 0.1\] $`U_{n^{},s}(n,d)`$ is locally closed in $`(n,d)`$ and irreducible of dimension

$$dimU_{n^{},s}(n,d)=(n^2n^{}(nn^{}))(g1)+s+1.$$

Hence it makes sense to speak of a general vector bundle in $`U_{n^{},s}(n,d)`$.

###### Lemma 2.1.

Let $`E`$ be a general bundle in $`U_{n^{},s}(n,d)`$ with $`sn^{}(nn^{})(g1)`$. Then $`E`$ possesses only finitely many maximal subbundles $`E^{}`$. For any one of them both $`E^{}`$ and $`E^{\prime \prime }=E/E^{}`$ are general (as points of the moduli spaces $`(n^{},d^{})`$ and $`(nn^{},dd^{})`$ respectively).

###### Remark 2.2.

Lemma 2.1 has been proved in \[16, Claim p. 495 and Lemma 1.4\]. Similar statements have been given in . We include the proof for the convenience of the reader.

###### Proof.

We show first that $`E^{}`$ and $`E^{\prime \prime }`$ are both general. If not, then either $`E^{}`$ or $`E^{\prime \prime }`$ (or both) depends on fewer parameters than the dimension of the corresponding moduli space; this is true irrespective of whether $`E^{}`$ and $`E^{\prime \prime }`$ are stable. Note also that $`h^0(E^{\prime \prime }{}_{}{}^{}E^{})=0`$ since $`E`$ is stable. So the nontrivial extensions

$$0E^{}EE^{\prime \prime }0$$

depend on a number $`\nu `$ of parameters with

$`\nu `$ $`<dim(n^{},d^{})+dim(nn^{},dd^{})+h^1(E^{\prime \prime }{}_{}{}^{}E^{})1`$
$`=(g1)(n^{}{}_{}{}^{2}+(nn^{})^2+n^{}(nn^{}))+s+1`$
$`=(g1)(n^2n^{}(nn^{}))+s+1`$
$`=dimU_{n^{},s}(n,d).`$
This contradicts the generality of $`E`$.

If the general $`E`$ in $`U_{n^{},s}(n,d)`$ possesses infinitely many maximal subbundles, then the same inequality holds, again a contradiction. ∎

If $`s<n^{}(nn^{})(g1)`$, we can be more precise:

###### Theorem 2.3.

A general vector bundle $`EU_{n^{},s}(n,d)`$ with $`s<n^{}(nn^{})(g1)`$ admits only one maximal subbundle of rank $`n^{}`$.

Proof. For convenience we write $`n^{\prime \prime }=nn^{}`$, $`d^{\prime \prime }=dd^{}`$. Passing if necessary to the dual bundle, we may assume that $`n^{}n^{\prime \prime }`$. Moreover assume first, slightly more generally, that $`sn^{}(nn^{})(g1)`$, since we want to deduce also something for $`s=n^{}(nn^{})(g1)`$.

Fix a maximal subbundle $`E^{}(n^{},d^{})`$ of $`E`$ and write $`E^{\prime \prime }=E/E^{}(n^{\prime \prime },d^{\prime \prime })`$. So

$$s=n^{}d^{\prime \prime }n^{\prime \prime }d^{}.$$

Suppose $`F`$ is a second maximal subbundle of $`E`$. The composed map $`\phi :FEE^{\prime \prime }`$ is nonzero. Let $`GE^{\prime \prime }`$ be its (sheaf theoretic) image. Then we have the following commutative diagram

$$\begin{array}{ccccccccc}0& & H& & F& & G& & 0\\ & & _j& & & & ||& & \\ 0& & E^{}& & \stackrel{~}{E}& & G& & 0\\ & & ||& & & & _i& & \\ 0& & E^{}& & E& & E^{\prime \prime }& & 0\end{array}$$

where the middle exact sequence is the push out of the upper exact sequence and the pull back of the lower sequence and the composition $`FE^{\prime \prime }`$ is the map $`\phi `$. Note that $`i`$ and $`j`$ are injective (as maps of sheaves). Conversely, given such a diagram with $`rk(F)=n^{}`$ and $`deg(F)=d^{}`$, then $`F`$ is a second maximal subbundle of $`E`$ of rank $`n^{}`$. Let $`n_G`$ and $`d_G`$ denote the rank and degree of $`G`$, $`1n_Gn^{}`$.

Let $`A_{n_G,d_G}(E^{\prime \prime })`$ denote the set of subsheaves of $`E^{\prime \prime }`$ of rank $`n_G`$ and degree $`d_G`$, and define similarly $`A_{n_H,d_H}(E^{})`$. Note that $`A_{n_G,d_G}(E^{\prime \prime })`$ and $`A_{n_H,d_H}(E^{})`$ can be given a scheme structure by identifying them with Quot schemes. Finally denote by $`i^{}`$ the pull back map $`H^1(E^{\prime \prime }{}_{}{}^{}E^{})H^1(G^{}E^{})`$. According to the above remarks, it suffices to show that, if $`s<n^{}(nn^{})(g1)`$, then

$`(1)`$
$$dimA_{n_G,d_G}(E^{\prime \prime })+dimA_{n_H,d_H}(E^{})+h^1(G^{}H)+dimKer(i^{})<h^1(E^{\prime \prime }{}_{}{}^{}E^{})$$

But, by Lemma 2.1 and \[16, Theorem 0.2\],

$$\begin{array}{ccc}\hfill dimA_{n_G,d_G}(E^{\prime \prime })& =& n_Gd^{\prime \prime }n^{\prime \prime }d_Gn_G(n^{\prime \prime }n_G)(g1)\hfill \\ \hfill dimA_{n_H,d_H}(E^{})& =& n^{}d_Gn_Gd^{}(n^{}n_G)n_G(g1).\hfill \end{array}$$

Moreover, since $`i^{}`$ is surjective and $`h^0(G^{}H)=0,F`$ being stable,

$$\begin{array}{ccc}\hfill h^1(G^{}H)& =& n^{}d_Gn_Gd^{}+n_G(n^{}n_G)(g1)\hfill \\ \hfill dimKer(i^{})& & n^{}(n^{\prime \prime }n_G)(g1)+s+n_Gd^{}n^{}d_G.\hfill \end{array}$$

Hence inequality (1) would follow from

$$(n^{}n^{\prime \prime }+n_G(n_Gn^{}n^{\prime \prime }))(g1)+n_Gd^{\prime \prime }n^{\prime \prime }d_G+n^{}d_Gn_Gd^{}+s<n^{}n^{\prime \prime }(g1)+s$$

which is equivalent to

$`(2)`$
$$n_G(n_Gn^{}n^{\prime \prime })(g1)+n_G(d^{\prime \prime }d^{})+(n^{}n^{\prime \prime })d_G<0.$$

But Lemma 2.1 implies that $`n_G(n^{}n_G)(g1)s_{n^{}n_G}(F)n^{}d_Gn_Gd^{}`$ which gives

$$d_G\frac{n_G}{n^{}}\left[(n^{}n_G)(g1)+d^{}\right].$$

Hence the left hand side of (2) is less than or equal to (here we use the fact that $`n^{}n^{\prime \prime }`$)

$$\begin{array}{ccc}\hfill \frac{n_G}{n^{}}& \left[n^{\prime \prime }(n_G2n^{})(g1)+d^{\prime \prime }n^{}n^{\prime \prime }d^{}\right]\hfill & \\ & =\frac{n_G}{n^{}}\left[n^{\prime \prime }(n_Gn^{})(g1)+sn^{}n^{\prime \prime }(g1)\right]\hfill & \\ & \frac{n_G}{n^{}}\left[sn^{}n^{\prime \prime }(g1)\right](\text{since }n_Gn^{})\hfill & \\ & <0\text{ for }s<n^{}n^{\prime \prime }(g1).\hfill & \end{array}$$

$`\mathrm{}`$
Suppose now $`s=n^{}(nn^{})(g1)`$. According to Lemma 2.1 there are only finitely many maximal subbundles for general $`E`$. We obtain as a consequence of the proof of Theorem 2.3

###### Proposition 2.4.

Let $`E`$ be a general vector bundle on $`C`$ with $`s_n^{}(E)=n^{}(nn^{})(g1)`$ and $`n^{}(nn^{})`$. If $`E^{}`$ and $`F`$ are $`2`$ maximal subbundles of rank $`n^{}`$ of $`E`$, the composed map $`FEE/E^{}`$ is injective.

###### Proof.

For the proof just note that in the proof of Theorem 2.3 all inequalities have to be equalities. In particular we must have $`n_G=n^{}`$, which implies the assertion. ∎

## 3. Maximal subbundles of general bundles

Let $`E`$ be a general stable bundle of rank $`n`$ and degree $`d`$ on $`C`$ and let $`n^{}`$ be an integer, $`1n^{}n1`$, such that

$$s_n^{}(E)=n^{}(nn^{})(g1)=n^{}dnd^{}.$$

We know by Lemma 2.1 that $`E`$ has only a finite number of maximal subbundles. Our object in this section is to obtain a formula for this number when $`(n^{},d^{})=1`$.

We denote by $`M_n^{}(E)`$ the set of maximal subbundles of $`E`$ of rank $`n^{}`$. This set can be given a scheme structure by identifying it with Grothendieck’s scheme $`Quot_{nn^{},d^{\prime \prime }}(E)`$ of quotients of $`E`$ of rank $`nn^{}`$ and degree

$$d^{\prime \prime }=dd^{}=\frac{1}{n}\left((nn^{})d+s_n^{}(E)\right)$$

Now let $`J`$ denote the Jacobian of $`C`$ consisting of line bundles of degree $`0`$ on $`C`$, and let $`M_0`$ denote the moduli space of stable bundles of rank $`n^{}`$ and with fixed determinant of degree $`d^{}`$ on $`C`$. The map

$$\pi :J\times M_0(n^{},d^{}):(L,F)LF$$

is an unramified covering of degree $`n^{}^{2g}`$.

Let $``$ denote a Poincaré bundle on $`C\times J`$ and $`𝒰`$ a universal bundle on $`C\times M_0`$ (recall that we are assuming $`(n^{},d^{})=1`$, so $`𝒰`$ exists). Let $`K`$ denote the canonical bundle on $`C`$ and $`q:C\times J\times M_0J\times M_0`$ and $`p:C\times J\times M_0C`$ be the canonical projections. We denote the pullbacks of $`𝒰`$ and $``$ to $`C\times J\times M_0`$ by the same symbols and the restrictions of $`𝒰`$ and $``$ to $`\{x\}\times J\times M_0`$ by $`𝒰_x`$ and $`_x`$.

###### Theorem 3.1.

Let $`E`$ be a general bundle of rank $`n`$ and degree $`d`$, and $`n^{}`$ an integer with $`1n^{}n1`$. Suppose that $`n^{}dnd^{}=n^{}(nn^{})(g1)`$ and that $`(n^{},d^{})=1`$. Then the number of maximal subbundles of $`E`$ of rank $`n^{}`$ is given by

$$m_n^{}(E)=\frac{1}{n^{}^{2g}}c_{\mathrm{top}}\left(\right)[J\times M_0]$$

where $`=q_{}(𝒰^{}^{}p^{}(EK))`$ and $`=_{xD}(𝒰_x^{}_x^{})^n`$, where $`D`$ is a smooth canonical divisor on $`C`$.

Proof. Note first that the conclusion is equivalent to

$$\mathrm{\#}\pi ^1(M_n^{}(E))=c_{\mathrm{top}}\left(\right)[J\times M_0].$$

Consider the exact sequence

$$0𝒰^{}^{}p^{}E\stackrel{D}{}𝒰^{}^{}p^{}(EK)𝒰^{}^{}|_{p^{}(D)}^n0$$

where $`D`$ denotes any smooth canonical divisor. Note that for any maximal subbundle $`E^{}`$ of $`E`$,

$$\mathrm{deg}(E^{}{}_{}{}^{}EK)=n^{}dnd^{}+nn^{}(2g2)>nn^{}(2g2).$$

Since any such $`E^{}`$ is stable by Lemma 2.1, $`E^{}{}_{}{}^{}EK`$ is semistable, so

$$H^1(E^{}{}_{}{}^{}EK)=0.$$

Hence $`R^1q_{}(𝒰^{}^{}p^{}(EK))=0`$ and we have an exact sequence

$$0q_{}(𝒰^{}^{}p^{}E)\stackrel{\phi }{}R^1q_{}(𝒰^{}^{}p^{}E)0$$

with $``$, $``$ as in the statement of the theorem. Note that, by Riemann-Roch,

$$\begin{array}{ccc}\hfill rk& =& n^{}dnd^{}+nn^{}(g1)\hfill \\ & =& 2nn^{}(g1)n^{}{}_{}{}^{2}(g1)\hfill \\ & =& rkn^{}{}_{}{}^{2}(g1).\hfill \end{array}$$

Claim: $`\pi ^1(M_n^{}(E))=\{(L,F)J\times M_0|rk\phi _{(L,F)}rk1\}`$.

The claim is a consequence of the following lemma and Lemma 2.1.

###### Lemma 3.2.

Let $`E`$ be a general bundle. Suppose $`n^{}dnd^{}=n^{}(nn^{})(g1)`$ and let $`E^{}`$ be a stable bundle of rank $`n^{}`$ and degree $`d^{}`$. Then any nonzero homomorphism $`E^{}E`$ is an injection onto a subbundle of $`E`$. Moreover $`h^0(E^{}{}_{}{}^{}E)=1`$.

###### Proof.

If $`\psi :E^{}E`$ is injective then $`Im\psi `$ must be saturated since it has the same degree as a maximal subbundle of $`E`$. Suppose that $`\psi `$ is not injective and let $`E_1=Im\psi `$. Since $`E^{}`$ is stable, we have

$$\frac{d_1}{n_1}>\frac{d^{}}{n^{}}=\frac{d}{n}\frac{nn^{}}{n}(g1)>\frac{d}{n}\frac{nn_1}{n}(g1),$$

contradicting the generality of $`E`$. Finally, if $`h^0(E^{}{}_{}{}^{}E)2`$, the morphism

$$(H^0(E^{}{}_{}{}^{}E))M_n^{}(E)$$

is non-constant, since $`E^{}`$ is stable. So $`M_n^{}(E)`$ is infinite, another contradiction. ∎

This establishes the claim. It follows by the Porteous formula (see \[1, p.86\]) that the fundamental class of $`\pi ^1(M_n^{}(E))`$ in $`H^{}(J\times M_0,)`$ is given by

$$[\pi ^1(M_n^{}(E))]=c_{\mathrm{top}}()[J\times M_0].$$

To complete the proof of the theorem, we must show that $`M_n^{}(E)`$ is smooth.

Given the identification of $`M_n^{}(E)`$ with $`Quot_{nn^{},d^{\prime \prime }}(E)`$, it is sufficient to prove

###### Lemma 3.3.

Let $`E`$ be a general bundle and $`E^{}`$ any subbundle of $`E`$. Then

$$H^1(E^{}{}_{}{}^{}E/E^{})=0.$$

###### Proof.

(due essentially to Laumon , see also ). If $`H^1(E^{}{}_{}{}^{}E/E^{})0`$, then by Serre duality there exists a nonzero homomorphism $`E/E^{}E^{}K`$. We thus have a non-zero homomorphism

$$EE/E^{}E^{}KEK.$$

This homomorphism is clearly nilpotent. But, since $`E`$ is general, it is very stable (see \[10, Proposition 3.5\]), i.e. it admits no nilpotent homomorphism $`EEK`$ different from zero. This contradiction establishes the lemma and Theorem 3.1. ∎

###### Remark 3.4.

It may be of interest to identify the precise generality conditions required on $`E`$. In fact we need

1. $`s_n^{}(E)=n^{}(nn^{})(g1)`$;
2. $`s_{n_1}(E)n_1(nn_1)(g1)`$ for $`1n_1n^{}1`$;
3. every maximal subbundle of $`E`$ of rank $`n^{}`$ is stable;
4. $`M_n^{}(E)`$ is finite;
5. $`E`$ is very stable.

The application of the Porteous formula, however, requires only the assumption that the relevant degeneracy locus of $`\phi `$ is finite and it then gives the length of this locus in its natural scheme structure. In particular, if we assume only conditions (i), (ii) and (iv), the formula counts (with the appropriate multiplicities) the number of stable maximal subbundles of $`E`$ of rank $`n^{}`$.

###### Remark 3.5.

Since $`(n^{},d^{})=1`$ and $`n^{}dnd^{}=n^{}(nn^{})(g1)`$, it follows that $`n^{}`$ divides $`n`$ and we can then solve for $`d`$ in terms of $`n,n^{},d^{}`$. Theorem 3.1 does therefore give an answer to the question of \[14, section 3.4, Remark 4\] whenever $`(n^{},d^{})=1`$ (or, in the notation of , $`(r,d)=1`$). In  there is no smoothness assumption on the Quot scheme, so we require only conditions (i)–(iv) of Remark 3.4; the formula of Theorem 3.1 then gives the length of the finite scheme $`Quot_{nn^{},d^{\prime \prime }}(E)`$.

###### Remark 3.6.

To apply this theorem, we note that the Chern classes of $`𝒰`$ and $``$ are well known (see  for $`𝒰`$ and  for $``$). From this the Chern character of $`𝒰^{}^{}p^{}(EK)`$ and hence, using Grothendieck-Riemann-Roch, of $``$ can be computed. The Chern character of $``$ is also easily computed, hence that of $``$. Converting this to Chern classes, we obtain $`c_{\mathrm{top}}()`$. We now need to know only the intersection numbers of $`J\times M_0`$. In principle, these can be calculated. In practice, it may be a difficult computation. In the final section of this paper, we will carry out the computation in the simplest case not previously known.

One could of course have stated the theorem using the cohomology of $`M(n^{},d^{})`$ rather than that of $`J\times M_0`$. We have chosen the latter, because (at least in the case $`n^{}=2`$) it is easier to work with.

## 4. The case $`g=2,n^{}=2`$

###### Theorem 4.1.

Let $`E`$ be a general bundle of rank $`n`$ and degree $`d`$ on a curve $`C`$ of genus $`2`$. Suppose that $`n4`$ is even and $`2d+40modn`$ with $`\frac{2d+4}{n}`$ odd. Then

$$m_2(E)=\frac{n^3}{48}(n^2+2).$$

###### Remark 4.2.

Note that the right hand side of this expression is always a positive integer for $`n`$ even. The numerical conditions are precisely what is needed to allow $`d^{}`$ to be odd. When they are satisfied we can take $`d^{}`$ to be any odd integer and then

$$d=\frac{n}{2}d^{}+n2.$$

Before starting on the proof, we recall some properties of the cohomology ring $`H^{}(C\times J\times M_0,)`$. The abelian group $`H^1(C,)`$ has a natural symplectic structure. Let $`f`$ denote the positive generator of $`H^2(C,)`$. We can then choose a symplectic basis $`e_1,e_2,e_3,e_4`$ for $`H^1(C,)`$ such that

$`(1)`$
$$e_1e_3=e_2e_4=f$$

and all the other products $`e_ie_j`$ for $`i<j`$ are 0. On $`C\times J`$ we can normalise $``$ so that

$`(2)`$
$$c()=1+\xi _1$$

where $`\xi _1H^1(C,)H^1(J,)H^2(C\times J)`$ can be written as

$`(3)`$
$$\xi _1=\underset{i=1}{\overset{4}{}}e_i\phi _i$$

with $`\phi _iH^1(J,)`$. We have (see \[1, p.335\])

$`(4)`$
$$\xi _1^2=2\theta f,\theta ^2[J]=2.$$

The variety $`M_0`$ is given by the intersection of two quadrics in $`_5`$ (see ). From this we can see that its cohomology groups are

$$,0,,^4,,0,.$$

If $`\alpha `$ is the positive generator of $`H^2(M_0,)`$, then $`\alpha ^3[M_0]=4`$, so by (4)

$`(5)`$
$$\alpha ^3\theta ^2[J\times M_0]=8.$$

Taking $`d^{}=1`$ and normalising as in  we have

$`(6)`$
$$c_1(𝒰)=\alpha +f,c_2(𝒰)=\chi +\xi _2+\alpha f$$

with $`\chi H^4(M_0,)`$ and $`\xi _2=H^1(C,)H^3(M_0,)`$. In the notation of  and , $`4\chi =\alpha ^2\beta `$ and we write

$`(7)`$
$$\xi _2^2=\gamma f,\gamma H^6(M_0,).$$

Moreover, when $`g=2`$, the relations of the Theorem of  give

$$\alpha ^2+\beta =0,\alpha ^3+5\alpha \beta +4\gamma =0.$$

Hence $`\beta =\alpha ^2,\gamma =\alpha ^3`$, and we have from (6)

$`(8)`$
$$c_2(𝒰)=\frac{\alpha ^2}{2}+\xi _2+\alpha f,\xi _2^2=\alpha ^3f.$$

We define also $`\mathrm{\Lambda }H^1(J,)H^3(M_0,)`$ by

$`(9)`$
$$\xi _1\xi _2=\mathrm{\Lambda }f.$$

In $`H^{}(C\times J\times M_0,)`$, we have for dimensional reasons (noting that $`H^5(M_0,)=0`$) that the following classes are all zero:

$`(10)`$
$$f^2,\xi _1^3,\alpha ^4,\xi _1f,\xi _2f,\alpha \xi _2,\alpha \mathrm{\Lambda },\theta ^2\mathrm{\Lambda }.$$

Finally we need to compute $`\theta \mathrm{\Lambda }^2`$. We can write

$$\xi _2=\underset{i=1}{\overset{4}{}}e_i\psi _i\text{ with }\psi _iH^3(M_0,).$$

Using this, (1) and (3), we have

$$\xi _1\xi _2=(\phi _1\psi _3+\phi _2\psi _4\phi _3\psi _1\phi _4\psi _2)f.$$

So by (9)

$$\mathrm{\Lambda }=\phi _1\psi _3+\phi _2\psi _4\phi _3\psi _1\phi _4\psi _2.$$

Also from (3) and (4),

$$\theta =\phi _1\phi _3\phi _2\phi _4.$$

Hence $`\theta ^2=2\phi _1\phi _3\phi _2\phi _4`$, so by (4)

$$\phi _1\phi _3\phi _2\phi _4[J]=1.$$

Now

$$\begin{array}{ccc}\hfill \mathrm{\Lambda }^2& =& 2\phi _1\phi _2\psi _3\psi _4+2\phi _1\phi _3\psi _3\psi _1+2\phi _1\phi _4\psi _3\psi _2\hfill \\ & +& 2\phi _2\phi _3\psi _4\psi _1+2\phi _2\phi _4\psi _4\psi _22\phi _3\phi _4\psi _1\psi _2\hfill \end{array}$$

and

$$\begin{array}{ccc}\hfill \theta \mathrm{\Lambda }^2& =& 2\phi _1\phi _3\phi _2\phi _4\psi _4\psi _22\phi _2\phi _4\phi _1\phi _3\psi _3\psi _1\hfill \\ & =& \theta ^2(\psi _1\psi _3+\psi _2\psi _4)\hfill \\ & =& \frac{1}{2}\theta ^2\gamma (\text{by}(7))\hfill \\ & =& \frac{1}{2}\theta ^2\alpha ^3(\text{since }\gamma =\alpha ^3).\hfill \end{array}$$

So by (5)

$`(11)`$
$$\theta \mathrm{\Lambda }^2[J\times M_0]=4.$$

###### Proof of Theorem 4.1..

Tensoring by a line bundle over $`X`$ if necessary, we can suppose $`d^{}=1`$. By (2) and (4) we have

$$ch()=1+\xi _1\theta f$$

while by (6), (8) and (10)

$$ch(𝒰)=2+(\alpha +f)+(\xi _2)+\left(\frac{1}{12}\alpha ^3\frac{1}{4}\alpha ^2f\right).$$

Moreover

$$ch(p^{}(EK))p^{}td(C)=n+\left(\frac{5}{2}n2\right)f.$$

So

$`ch(𝒰^{}^{}p^{}(EK))`$ $`p^{}td(C)=2n+[(4n4)fn\alpha 2n\xi _1]`$
$`+\left[\left(\left({\displaystyle \frac{5}{2}}n2\right)\alpha 2n\theta \right)f+n\alpha \xi _1n\xi _2\right]`$
$`+\left[\left({\displaystyle \frac{n}{4}}\alpha ^2+n\mathrm{\Lambda }+n\alpha \theta \right)f+{\displaystyle \frac{n}{12}}\alpha ^3\right]`$
$`+\left[\left({\displaystyle \frac{5}{24}}n{\displaystyle \frac{1}{6}}\right)\alpha ^3f{\displaystyle \frac{n}{12}}\alpha ^3\xi _1\right]+\left[{\displaystyle \frac{n}{12}}\alpha ^3\theta f\right].`$
Hence by Grothendieck-Riemann-Roch

$`ch()=4n4`$ $`+\left[\left({\displaystyle \frac{5}{2}}n2\right)\alpha 2n\theta \right]+\left[{\displaystyle \frac{n}{4}}\alpha ^2+n\mathrm{\Lambda }+n\alpha \theta \right]`$
$`+\left[\left({\displaystyle \frac{5}{24}}n{\displaystyle \frac{1}{6}}\right)\alpha ^3\right]+\left[{\displaystyle \frac{n}{12}}\alpha ^3\theta \right].`$
From (6) and (8) we obtain easily

$$ch()=4n2n\alpha +\frac{n}{6}\alpha ^3.$$

So

$`ch()=4`$ $`+\left[\left({\displaystyle \frac{1}{2}}n2\right)\alpha +2n\theta \right]+\left[{\displaystyle \frac{n}{4}}\alpha ^2n\mathrm{\Lambda }n\alpha \theta \right]`$
$`+\left[\left({\displaystyle \frac{1}{6}}{\displaystyle \frac{1}{24}}n\right)\alpha ^3\right]+\left[{\displaystyle \frac{n}{12}}\alpha ^3\theta \right].`$
Converting this into Chern classes, we obtain

$$c_{\mathrm{top}}()=c_5()=\left(\frac{1}{24}n^5\frac{5}{12}n^3\right)\alpha ^3\theta ^2+n^3\theta \mathrm{\Lambda }^2.$$

By (5) and (11), we get

$$c_{\mathrm{top}}()[J\times M_0]=\frac{1}{3}n^5+\frac{2}{3}n^3$$

and Theorem 4.1 follows from Theorem 3.1. ∎


text:
# Non-commutative oscillators and the commutative limit

(hep-th/0204149)

## Abstract

It is shown in first order perturbation theory that anharmonic oscillators in non-commutative space behave smoothly in the commutative limit just as harmonic oscillators do. The non-commutativity provides a method for converting a problem in degenerate perturbation theory to a non-degenerate problem.

In the last few years theories in non-commutative space - have been studied extensively. While the motivation for this kind of space with non-commuting coordinates is mainly theoretical, it is possible to look experimentally for departures from the usually assumed commutativity among the space coordinates -. So far no clear departure has been found, but it is clear that any experiment can only provide a bound on the amount of non-commutativity, and that more precise experiments in future can reveal a small amount. Meanwhile, there are some theoretical issues which have arisen in the course of these investigations. If one calls the non-commutativity parameter $`\theta `$, so that two spatial coordinates $`𝐱,𝐲`$ satisfy the relation

$$[𝐱,𝐲]=i\theta ,$$

one would expect ordinary commutative space to emerge in the limit $`\theta 0`$. In many field theoretical and quantum mechanical problems, however, the passage from the non-commutative space to its commutative limit has not appeared to be smooth -. The literature is replete with expressions where $`\theta `$ appears in the denominator. The simplest system is the two-dimensional harmonic oscillator. As in commutative space, this quantum mechanical problem is again exactly solvable -, and the spectrum is in fact smooth in the commutative limit, but the literature is not very clear about the situation: there seems to be a lack of smoothness in the generic case . For a clarification of this limit, we will first review the two-dimensional harmonic oscillator and then go over to a perturbation $`(𝐱^2+𝐲^2)^2`$ to see if the smoothness survives. The anharmonic problem cannot be solved exactly even in commutative space. But a perturbative treatment shows that the quartic terms do not destroy the smoothness of the $`\theta 0`$ limit. It is interesting to note that the commutative oscillator here involves a degenerate perturbation problem, while the non-commutative one is non-degenerate.

Let us write the two dimensional anharmonic oscillator potential in the form

$`{\displaystyle \frac{1}{2}}m\omega ^2(𝐱^2+𝐲^2)+\alpha (𝐱^2+𝐲^2)^2.`$ (1)
The non-commuting coordinates can be expressed in terms of commuting coordinates and their momenta in the form

$`𝐱`$ $`=`$ $`x{\displaystyle \frac{1}{2\mathrm{}}}\theta p_y,`$
$`𝐲`$ $`=`$ $`y+{\displaystyle \frac{1}{2\mathrm{}}}\theta p_x.`$ (2)
The Hamiltonian for the unperturbed system is

$`H_{HO}`$ $`=`$ $`{\displaystyle \frac{1}{2m}}\left(p_x^2+p_y^2\right)+{\displaystyle \frac{1}{2}}m\omega ^2\left(𝐱^2+𝐲^2\right)`$ (3)
$`=`$ $`{\displaystyle \frac{1}{2m}}\left(p_x^2+p_y^2\right)+{\displaystyle \frac{1}{2}}m\omega ^2\left(\left(x{\displaystyle \frac{1}{2\mathrm{}}}\theta p_y\right)^2+\left(y+{\displaystyle \frac{1}{2\mathrm{}}}\theta p_x^2\right)^2\right)`$
$`=`$ $`\left({\displaystyle \frac{1}{2m}}+{\displaystyle \frac{m\theta ^2\omega ^2}{8\mathrm{}^2}}\right)\left(p_x^2+p_y^2\right)+{\displaystyle \frac{1}{2}}m\omega ^2\left(x^2+y^2\right)`$
$`{\displaystyle \frac{m\omega ^2\theta }{2\mathrm{}}}\left(xp_yyp_x\right).`$
It is convenient to set $`\left(\frac{1}{2m}+\frac{m\theta ^2\omega ^2}{8\mathrm{}^2}\right)\frac{1}{2M}`$ and $`m\omega ^2M\mathrm{\Omega }^2`$. One can introduce the ladder operators through the equations

$`a_x=\sqrt{{\displaystyle \frac{M\mathrm{\Omega }}{2\mathrm{}}}}\left(x+{\displaystyle \frac{ip_x}{M\mathrm{\Omega }}}\right)`$ ; $`a_x^{}=\sqrt{{\displaystyle \frac{M\mathrm{\Omega }}{2\mathrm{}}}}\left(x{\displaystyle \frac{ip_x}{M\mathrm{\Omega }}}\right);`$
$`a_y=\sqrt{{\displaystyle \frac{M\mathrm{\Omega }}{2\mathrm{}}}}\left(y+{\displaystyle \frac{ip_y}{M\mathrm{\Omega }}}\right)`$ ; $`a_y^{}=\sqrt{{\displaystyle \frac{M\mathrm{\Omega }}{2\mathrm{}}}}\left(y{\displaystyle \frac{ip_y}{M\mathrm{\Omega }}}\right);`$
$`x=\sqrt{{\displaystyle \frac{\mathrm{}}{2M\mathrm{\Omega }}}}\left(a_x+a_x^{}\right)`$ ; $`p_x={\displaystyle \frac{1}{i}}\sqrt{{\displaystyle \frac{M\mathrm{\Omega }\mathrm{}}{2}}}\left(a_xa_x^{}\right);`$
$`y=\sqrt{{\displaystyle \frac{\mathrm{}}{2M\mathrm{\Omega }}}}\left(a_y+a_y^{}\right)`$ ; $`p_y={\displaystyle \frac{1}{i}}\sqrt{{\displaystyle \frac{M\mathrm{\Omega }\mathrm{}}{2}}}\left(a_ya_y^{}\right).`$ (4)
In terms of these operators the unperturbed Hamiltonian takes the form

$$H_{HO}=\mathrm{}\mathrm{\Omega }\left(a_x^{}a_x+a_y^{}a_y+1\right)\frac{M\mathrm{\Omega }^2\theta }{2i}\left(a_x^{}a_ya_y^{}a_x\right).$$
(5)
In view of the Schwinger representation for the angular momentum,

$`J_1`$ $`=`$ $`{\displaystyle \frac{1}{2}}\left(a_x^{}a_y+a_y^{}a_x\right),`$
$`J_2`$ $`=`$ $`{\displaystyle \frac{1}{2i}}\left(a_x^{}a_ya_y^{}a_x\right),`$ (6)
$`J_3`$ $`=`$ $`{\displaystyle \frac{1}{2}}\left(a_x^{}a_xa_y^{}a_y\right),`$
the part $`a_x^{}a_ya_y^{}a_x`$ in $`H_{HO}`$ is seen to be $`2iJ_2`$. Under the unitary transformation

$$\left(\begin{array}{c}a_x\\ a_y\end{array}\right)=\frac{1}{\sqrt{2}}\left(\begin{array}{cc}1& i\\ i& 1\end{array}\right)\left(\begin{array}{c}a_x^{}\\ a_y^{}\end{array}\right),$$
(7)
in which this piece takes the diagonal form $`2iJ_3^{}`$, the Hamiltonian becomes

$$H_{HO}=\mathrm{}\mathrm{\Omega }\left(a_x^{}a_x^{}+a_y^{}a_y^{}+1\right)\frac{M\mathrm{\Omega }^2\theta }{2}\left(a_x^{}a_x^{}a_y^{}a_y^{}\right).$$
(8)
If $`\widehat{N}_x=a_x^{}a_x`$ and $`\widehat{N}_y=a_y^{}a_y`$ are the number operators of the harmonic oscillators in the $`x`$ and $`y`$ directions respectively, one can write

$$H_{HO}=\mathrm{}\mathrm{\Omega }\left(\widehat{N}_x+\widehat{N}_y+1\right)\frac{M\mathrm{\Omega }^2\theta }{2}\left(\widehat{N}_x\widehat{N}_y\right).$$
(9)
The eigenvalues of the unperturbed Hamiltonian are therefore

$$E_{n_x,n_y}^0=\mathrm{}\mathrm{\Omega }\left(n_x+n_y+1\right)\frac{M\mathrm{\Omega }^2\theta }{2}\left(n_xn_y\right),$$
(10)
where $`n_x,n_y`$ are non-negative integers. In terms of $`m`$ and $`\omega `$, the eigenvalues can be written as

$$E_{n_x,n_y}^0=m\omega ^2\mathrm{}^2\left(\frac{1}{m^2\omega ^2\mathrm{}^2}+\frac{\theta ^2}{4\mathrm{}^4}\right)^{\frac{1}{2}}\left(n_x+n_y+1\right)\frac{m\omega ^2\theta }{2}\left(n_xn_y\right).$$
(11)
These eigenvalues are generically non-degenerate. In the limit $`\theta 0`$ they smoothly reduce to the standard degenerate expression

$$E_{n_x,n_y}^0\mathrm{}\omega \left(n_x+n_y+1\right).$$
(12)
Let us now introduce a perturbation of the form $`\alpha \left(𝐱^2+𝐲^2\right)^2`$. In terms of the ladder operators,

$`𝐱`$ $`=`$ $`\sqrt{{\displaystyle \frac{\mathrm{}}{2M\mathrm{\Omega }}}}\left(a_x+a_x^{}\right){\displaystyle \frac{1}{i}}\sqrt{{\displaystyle \frac{M\mathrm{\Omega }\theta ^2}{8\mathrm{}}}}\left(a_ya_y^{}\right),`$
$`𝐲`$ $`=`$ $`\sqrt{{\displaystyle \frac{\mathrm{}}{2M\mathrm{\Omega }}}}\left(a_y+a_y^{}\right)+{\displaystyle \frac{1}{i}}\sqrt{{\displaystyle \frac{M\mathrm{\Omega }\theta ^2}{8\mathrm{}}}}\left(a_xa_x^{}\right).`$ (13)
But under the unitary transformation (7),

$`𝐱`$ $`=`$ $`{\displaystyle \frac{1}{2}}\left(\sqrt{{\displaystyle \frac{\mathrm{}}{M\mathrm{\Omega }}}}\sqrt{{\displaystyle \frac{M\mathrm{\Omega }\theta ^2}{4\mathrm{}}}}\right)a_x^{}+{\displaystyle \frac{i}{2}}\left(\sqrt{{\displaystyle \frac{\mathrm{}}{M\mathrm{\Omega }}}}+\sqrt{{\displaystyle \frac{M\mathrm{\Omega }\theta ^2}{4\mathrm{}}}}\right)a_y^{},`$ (14)
$`=`$ $`\beta \left(a_x^{}+a_x^{}\right)i\gamma \left(a_y^{}a_y^{}\right),`$
where $`\beta =\frac{1}{2}\left(\sqrt{\frac{\mathrm{}}{M\mathrm{\Omega }}}\sqrt{\frac{M\mathrm{\Omega }\theta ^2}{4\mathrm{}}}\right)`$ and $`\gamma =\frac{1}{2}\left(\sqrt{\frac{\mathrm{}}{M\mathrm{\Omega }}}+\sqrt{\frac{M\mathrm{\Omega }\theta ^2}{4\mathrm{}}}\right)`$. One also has

$`𝐲`$ $`=`$ $`i\beta \left(a_x^{}a_x^{}\right)\gamma \left(a_y^{}+a_y^{}\right).`$ (15)
Hence,

$`\left(𝐱^2+𝐲^2\right)`$ $`=`$ $`4\beta ^2a_x^{}a_x^{}+4\gamma ^2a_y^{}a_y^{}+2\left(\beta ^2+\gamma ^2\right)`$ (16)
$`4i\beta \gamma a_x^{}a_y^{}+4i\beta \gamma a_x^{}a_y^{}.`$
This is a non-diagonal operator in the basis in which the unperturbed eigenstates of the Hamiltonian are diagonal, but its effect on the eigenvalues can be studied in first order perturbation theory. In view of the non-degeneracy of the unperturbed eigenvalues, it is sufficient to calculate the expectation values of $`\left(𝐱^2+𝐲^2\right)^2`$ in the states $`|n_x,n_y`$. Thus,

$`\alpha n_x,n_y\left|\left(𝐱^2+𝐲^2\right)^2\right|n_x,n_y`$ $`=`$ $`\alpha (16\beta ^4n_x(n_x+1)+16\gamma ^4n_y(n_y+1)`$ (17)
$`+32\beta ^2\gamma ^2(n_x+n_y)+64\beta ^2\gamma ^2n_xn_y`$
$`+4(\beta ^4+\gamma ^4)+24\beta ^2\gamma ^2).`$
The expression on the right hand side gives the first order correction to the eigenvalues caused by the anharmonicity. In the $`\theta 0`$ limit, $`\beta ,\gamma `$ behave smoothly and this correction goes over smoothly to a finite value:

$$E_{n_x,n_y}^1\alpha (\frac{\mathrm{}}{m\omega })^2(n_x^2+n_y^2+4n_xn_y+3n_x+3n_y+2).$$
(18)
The smooth transition should make it obvious that the same correction must be obtained in the case of the commutative anharmonic oscillator. However, the eigenvalues of the unperturbed commutative oscillator are degenerate, so it may be more convincing if the agreement is shown explicitly after doing a degenerate perturbation theory calculation.

In the commutative case $`\theta =0`$, both $`\beta ,\gamma `$ reduce to $`\frac{1}{2}\sqrt{\frac{\mathrm{}}{m\omega }}\beta _0`$. The operator of interest is

$$\left(x^2+y^2\right)=4\beta _0^2(a_x^{}a_x^{}+a_y^{}a_y^{}+1ia_x^{}a_y^{}+ia_x^{}a_y^{}),$$
(19)
where the unitarily transformed ladder operators are used for ease of comparison with the previous calculation. The matrix element of the square of this operator has to be calculated between degenerate eigenstates of the unperturbed Hamiltonian. Any choice of basis for the degenerate states is permissible: it is convenient to use the eigenstates of $`a_x^{}a_x^{},a_y^{}a_y^{}`$ instead of the untransformed number operators. Thus, states with different values of $`n_x,n_y`$ but the same value of $`n_x+n_y`$ are to be considered. Now $`(x^2+y^2)^2|n_x,n_y>`$ contains the states $`|n_x,n_y>,|n_x2,n_y2>,|n_x+2,n_y+2>,|n_x1,n_y1>,|n_x+1,n_y+1>`$. Out of these, only $`|n_x,n_y>`$ has the original value of $`n_x+n_y`$, while all the other states have different values. Thus, although the operator of interest is not completely diagonal in the energy basis, it is diagonal in the subspace of states with fixed $`n_x+n_y`$. The diagonal value is

$`16\beta _0^4[(n_x+n_y+1)^2+(n_x+1)(n_y+1)+n_xn_y]`$
$`=\left({\displaystyle \frac{\mathrm{}}{m\omega }}\right)^2(n_x^2+n_y^2+4n_xn_y+3n_x+3n_y+2).`$ (20)
These diagonal values are also the eigenvalues of the matrix, so that the correction to the degenerate unperturbed energy eigenvalue is $`\alpha \left(\frac{\mathrm{}}{m\omega }\right)^2(n_x^2+n_y^2+4n_xn_y+3n_x+3n_y+2)`$, which agrees with the $`\theta 0`$ limit (18) of the non-commutative calculation. One could also carry out the calculation in the untransformed occupation number basis, where the matrix in the space of the degenerate eigenvectors is not diagonal to begin with, but on diagonalization, the same eigenvalues are obtained.

Thus, not only the exactly solvable harmonic oscillator but even the first order perturbation theory result for the eigenvalues of the two-dimensional non-commutative anharmonic oscillator behave smoothly in the commutative limit. It is conceivable that, as is widely believed, the Coulomb problem may not show this smoothness. But there clearly is a class of Hamiltonians, not just an isolated Hamiltonian, whose eigenvalues have a smooth $`\theta `$-dependence.

A by-product of this demonstration is the emergence of a method of handling the degenerate perturbation theory through conversion to a non-degenerate problem. This happens through the introduction of the parameter $`\theta `$, which can be regarded as a mathematical trick from the point of view of commutative theory. The calculation may be done for non-zero $`\theta `$ and then the limit $`\theta 0`$ taken.

We would like to thank Ashok Chatterjee for his questions about the $`\theta 0`$ limit.