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# Non-BPS Brane Cosmology

## 1 Introduction

Since the advent of branes in string theory, brane models have been used to improve our understanding of physics beyond the standard model. Brane constructions have proved to be particularly successful in providing valuable insights for such arduous puzzles as the cosmological constant problem and the hierarchy problem. In their most common guise, models of this type are five-dimensional following the work of Randall-Sundrum  and the compactification of the heterotic M-Theory on a Calabi-Yau manifold . Our universe is then one of the boundaries of the fifth dimension.

Another approach has been followed starting from ten dimensional string theory compactified on a large volume manifold. These models allow one to lower the string scales in such a way that stringy effects may become observable at accelerators. As opposed to the five dimensional approach the geometry of space-time is flat .

One of the puzzles of high energy physics is supersymmetry breaking. A particularly useful way of breaking supersymmetry has been studied with branes, i.e. configurations of branes and anti-branes do not preserve any supersymmetry because of the incompatibility of their respective BPS conditions. The lack of supersymmetry implies the existence of a tachyon in the open string spectrum, signaling an instability . Indeed brane-antibrane configurations are not static due the existence of a long-range force between them. Such a force can be evaluated in the large separation regime, and hence at low energy the brane separation can be viewed as a field with a non-trivial potential. This setting has been used to model inflation in the primordial universe . As long as the brane and anti-brane are far apart one can trust the supergravity approximation. When the branes are nearly colliding, the open string description is more appropriate. In that case, the Sen conjecture ascertains that the open string tachyon condensates leaving behind a supersymmetric configuration. For brane-antibrane, the result of the annihilation can either be flat empty space or higher codimension supersymmetric branes. This idea has been used to justify the end of inflation and the occurrence of reheating.

One may also be interested in non-BPS branes per se, i.e. branes which breaks all supersymmetries. These objects can be constructed in string theory at small string coupling by considering a brane-antibrane configuration after modding out $`(1)^{F_L}`$, the left fermion number. This gives rise to non-BPS branes with a real tachyon in the open string spectrum. As brane-antibranes, they are meant to decay via open string tachyon condensation. Nevertheless one may be interested in describing the non-BPS branes from the supergravity point of view, i.e. the classical configuration of the closed string zero modes which results from the distortion of space-time by the presence of a non-BPS brane. Such a programme has been carried out in . The tachyon condensation becomes a path in the parameter space interpolating between the non-BPS branes and the BPS branes.

In this paper we consider the low energy physics viewed on a probe brane in the background of a non-BPS brane. The probe is taken to be far enough away from the non-BPS brane that the supergravity approximation can be trusted, and analyse the dynamics before the decay of the non-BPS brane. We consider two situations. In section 2, we study the case of a $`D3`$ brane probing the geometry of a non-BPS brane in non-compact ten dimensional space. In that case there is no self-gravity on the brane, though there is an effective cosmology. We show that despite the attraction between the branes, inflation never occurs. Then in section 3 we compactify the model on a large volume six-manifold that we do not need to specify. We will consider that the moduli resulting from the compactification have been stabilized by an unknowm mechanism. In particular the overall volume of compactification will taken to be a free parameter of the model. As a result of self-gravity, the effective four dimensional Planck mass is finite and the brane undergoes a phase of inflation. After the decay of the non-BPS brane, the probe brane reheats. Inflation does not require any fine-tuning of the parameters of the non-BPS brane, i.e. it takes place whether the non-BPS brane is at the beginning or end of its decay. We stress that the only fine-tuning comes from the initial position of the probe which determines the number of e-folds of inflation.

In section 2, where the geometry is non-compact, the brane ‘mirage’ cosmology arises solely due to the brane motion . The result of compactification, in section 3, leads us to consider a 4d effective action similar to that of  which includes self-gravity. However, as opposed to those references, our theory on the brane turns out to be bi-metric. The setup we envisage is also different to that of  who suppose that inflation ends in a $`\overline{D3}D3`$ collision which will generically produce branes of higher codimension. Here the non-BPS brane eventually decays leaving only our $`D3`$-brane and radiation. The scenario again differs from that of  who considered non-parallel branes, and of reference  in which inflation occurs during a $`\overline{D5}D5`$ annihilation to produce three-branes.

## 2 Non-BPS background metric

In the supergravity approximation, where only massless closed string modes are taken into account, the background generated by a non-BPS $`p`$-brane at the origin was constructed in . This background metric, in the Einstein frame, is given by

$`ds_E^2`$ $`=`$ $`e^{2A(r)}(dt^2+dx_idx^i)+e^{2B(r)}dr^2+r^2e^{2B(r)}d\mathrm{\Omega }_{(8p)}^2`$ (1)
$``$ $`\overline{G}_{AB}dx^Adx^B`$
where $`i=1,\mathrm{},p`$ and capital latin indices run over the 10 spacetime indices ($`A,B=0,\mathrm{},9`$). Here we focus on D3-branes: for $`p=3`$ the functions appearing in (1) are given by

$$A(r)=\frac{1}{4}\mathrm{ln}Y,B(r)=\frac{1}{4}\mathrm{ln}[f_+f_{}]A(r)$$
(2)
where

$`Y`$ $`=`$ $`\mathrm{cosh}(kh(r))c_2\mathrm{sinh}(kh(r))`$
$`f_\pm `$ $`=`$ $`1\pm \left({\displaystyle \frac{r_0}{r}}\right)^4`$
$`h`$ $`=`$ $`\mathrm{ln}[{\displaystyle \frac{f_{}}{f_+}}]`$
$`k`$ $`=`$ $`\sqrt{{\displaystyle \frac{5}{2}}c_1^2}.`$
The corresponding dilaton $`\varphi (r)`$ and 4-form $`C^{(4)}=e^{\mathrm{\Lambda }(r)}dx^0dx^1dx^2dx^3`$ are given by

$`\varphi `$ $`=`$ $`c_1h(r)`$
$`e^\mathrm{\Lambda }`$ $`=`$ $`\stackrel{~}{\eta }(c_2^21)^{1/2}{\displaystyle \frac{\mathrm{sinh}(kh(r))}{Y}}`$ (3)
where $`\stackrel{~}{\eta }`$ is background non-BPS “brane” or “antibrane” charge.

Notice from (3) that $`|c_2|1`$, and also that $`c_1^25/2`$ since $`k`$ must be real (see below). In the following we take $`r_0>0`$, and the resulting naked singularity at $`r=r_0`$ reflects the lack of supersymmetry of the system. (Hence $`rr_0`$; for a discussion of the case in which $`r_0<0`$, see .) Indeed, recall that stable supergravity configurations are specified by two parameters corresponding to the ADM mass, $`M_{ADM}`$, and the charge, $`Q`$, as required by Birkhoff’s theorem. Here, though, a third parameter $`c_1`$ appears due to the non-trivial tachyon v.e.v. $`T`$. As a result Birkhoff’s theorem must break down and this leads to the naked singularity. More specifically, for metric (1)

$`M_{ADM}`$ $`=`$ $`2c_2kN_3r_0^4,`$
$`Q`$ $`=`$ $`2\eta N_3r_0^4\sqrt{c_2^21},`$ (4)
where $`N_3=5\omega _5V_3/4\kappa _{10}^2`$, $`\omega _5=\pi ^3`$, and for convenience we have wrapped the spatial world-volume directions on a torus of volume $`V_3`$ . Notice from (4) that the parameter $`c_2`$ determines the charge of the background, i.e. when $`c_2^2=1`$ the background is neutral. In sections 3 and 4 we will mainly focus on that case. Also notice that the BPS relation $`M_{ADM}=Q`$ is generally violated.

The physical interpretation of $`c_1`$ is that it is related to $`T`$ . Indeed one interpolates between a non-BPS brane when $`c_1=0`$, and a BPS-brane when $`c_1=\sqrt{5/2}`$ ($`k=0`$). The decay of the non-BPS brane can be viewed here as the trajectory in the parameter space when $`c_1[0,\sqrt{5/2}]`$. In the following the value of $`c_1`$ is not specified, and we study the dynamics of a probe in the non-BPS background for any $`c_1`$ (thus corresponding to any stage of the decay).

We begin with the non-compactified case.

## 3 Brane dynamics and mirage cosmology

In this section we determine the dynamics of a probe BPS D3-brane in the non-compact background spacetime (1), neglecting any back-reaction effects of the probe onto the background spacetime.

We consider an infinitely straight brane, lying parallel to the $`x^\mu `$ ($`\mu =0,1,2,3`$) axes, but free to move along the $`r`$ and $`\phi ^q`$ ($`q=5,\mathrm{},9`$) axes. Its position, $`X^A(t)`$, is therefore given by

$$X^\mu =x^\mu ,X^r(t)=R(t),X^q(t)=\phi ^q(t).$$
(5)
Below the Born-Infeld action is used to determine $`R(t)`$, $`\phi ^I(t)`$, and we will see that unless the BPS probe brane has sufficient angular momentum, it is attracted to the non-BPS brane and so the naked singularity at $`r=r_0`$ is not shielded.

For an observer living on the brane, the brane motion (5) leads to a FRW universe with scale factor $`S(\tau )`$ where $`\tau `$ is brane time. This effective ‘mirage’ cosmology is due only to brane motion and not brane self-gravity . In the resulting Friedmann equation, which we determine, the brane motion leads to ‘dark fluid’ terms whose equation of state, $`\omega `$, is calculated . We also show that $`0S(\tau )1`$ when $`c_21`$ so that inflation may not occur on the brane in this case.

A crucial component which is missing in this mirage cosmology approach is brane self-gravity. This is included in section 4 where we compactify the background spacetime, and in that case we will see that inflation may occur. The scale factor $`S(\tau )`$ mentioned above and discussed in this section will still play a rôle when self-gravity is present.

### 3.1 Action and dynamics

We determine the probe BPS brane dynamics by solving the equations of motion coming from the action

$$S=S_{DBI}+S_{WZ}=Td^4xe^\varphi \sqrt{det(\gamma _{\mu \nu }+(2\pi \alpha ^{})F_{\mu \nu }\widehat{B}_{\mu \nu })}qT\widehat{C}_4$$
(6)
where $`T`$ is the brane tension, $`\alpha ^{}`$ the string tension, and $`q=()1`$ for a BPS (anti-)brane. In the DBI term, $`\gamma _{\mu \nu }`$ is the induced brane metric

$$\gamma _{\mu \nu }=_\mu X^A_\nu X^B\overline{G}_{AB}^s(X)$$
(7)
where the superscript $`s`$ refers to the string frame. For the remainder of this section we ignore the pull-back of the Neveu-Schwarz anti-symmetric two-form $`\widehat{B}_{\mu \nu }`$ as well as the worldvolume anti-symmetric gauge fields $`F_{\mu \nu }`$. These will be considered in section 4 when we discuss bi-metric theories. The WZ term is

$$\widehat{C}_4=\frac{1}{4!}d^4xϵ^{\mu \nu \rho \sigma }_\mu X^A_\nu X^B_\rho X^C_\sigma X^DC_{ABCD}$$
(8)
with $`ϵ^{0123}=1`$.

In the static gauge (5), the induced metric is

$$\gamma _{00}=e^{\varphi /2}(\overline{G}_{00}+\overline{G}_{rr}\dot{R}^2+\overline{G}_s\dot{\phi }^2),\gamma _{ij}=e^{\varphi /2}\overline{G}_{ij}$$
(9)
where $`=d/dt`$ and $`\dot{\phi }^2=h_{pq}\dot{\phi }^p\dot{\phi }^q`$ with $`h_{pq}`$ the metric on the 5-sphere. Since the functions appearing in action (6) depend on $`R,\phi ^q`$, and hence only on $`t`$ (by virtue of (5)), one can therefore define a Lagrangian $``$ through

$$S=TV_3𝑑t$$
(10)
where $`V_3=d^3x`$ is the (infinite) spatial volume of the probe, and

$$=\sqrt{a+b\dot{R}^2+c\dot{\phi }^2}+e$$
(11)
where

$$a=e^{8A},b=e^{2(3A+B)}=\frac{c}{R^2},e=qe^\mathrm{\Lambda }.$$
(12)
This Lagrangian defines a conserved positive energy $`E`$ and angular momentum $`l`$ of the brane around the $`S^5`$ which are given by

$`E`$ $`=`$ $`{\displaystyle \frac{}{\dot{R}}}\dot{R}+{\displaystyle \frac{}{\dot{\phi }^p}}\dot{\phi }^p`$
$`l^2`$ $`=`$ $`h_{pq}{\displaystyle \frac{}{\dot{\phi }_p}}{\displaystyle \frac{}{\dot{\phi }_q}}.`$
Hence

$`\dot{\phi }^2`$ $`=`$ $`{\displaystyle \frac{a^2l^2}{c^2(E+e)^2}}`$
$`\dot{R}^2`$ $`=`$ $`{\displaystyle \frac{a}{b}}\left[1+{\displaystyle \frac{a}{c}}{\displaystyle \frac{(l^2c)}{(E+e)^2}}\right].`$ (13)
Since $`a,b,c,`$ and $`e`$ are known functions of $`R`$, these equations can now be solved to determine the brane dynamics as seen by an observer in the bulk with time coordinate $`t`$. For an observer living on the brane, however, the line element is

$`ds_3^2`$ $`=`$ $`\gamma _{\mu \nu }dx^\mu dx^\nu `$ (14)
$`=`$ $`\gamma _{00}(t)dt^2+\gamma _{ij}dx^idx^j`$
$``$ $`d\tau ^2+S^2(\tau )d𝐱^2`$
where the brane time $`\tau `$ and the scale factor $`S(\tau )`$ are given by

$$d\tau ^2=\gamma _{00}(t)dt^2,S^2=e^{\varphi /2}e^{2A}$$
(15)
Thus the observer on the brane appears to be living in a FRW universe with scale factor $`S(R(\tau ))`$ arising from the brane motion. Notice that there is no term in action (6) of the form $`d^4x\sqrt{\gamma }_\gamma `$ (where $`_\gamma `$ is the 4-dimensional Ricci scalar). Thus the above scale factor is only due to brane motion and not due to self-gravity on the brane: in section 4 we show how self-gravity can be included. In that case the scale factor $`S(\tau )`$ will still be important.

From Eqs. (15) and (13) we find

$$d\tau ^2=e^{6A+\varphi /2}\frac{a^2}{(E+e)^2}dt^2$$
(16)
so that $`R^{}_{}{}^{}2`$ (where $`{}_{}{}^{}=d/d\tau `$) is given by

$$R^{}_{}{}^{}2=\frac{1}{abc}e^{6A\varphi /2}\left[c(E+e)^2+a(l^2c)\right].$$
(17)
Finally the Friedman equation on the brane is

$$H^2=\left(\frac{1}{S}\frac{dS}{d\tau }\right)^2=R^{}_{}{}^{}2\left[\frac{dA}{dR}+\frac{1}{4}\frac{d\varphi }{dR}\right]^2\frac{8\pi }{3}\rho _{\mathrm{eff}}$$
(18)
which defines an effective energy density. The corresponding equation of state, which we determine in section 3.3, is

$$\omega =\frac{p_{\mathrm{eff}}}{\rho _{\mathrm{eff}}}=\left(1+\frac{1}{3}\frac{S}{H^2}\frac{H^2}{S}\right).$$
(19)
Clearly in order to find $`\omega `$, we need first to determine the brane dynamics, $`R(t)`$. This will depend on the brane energy $`E`$ and angular momentum $`l`$ as well as the parameters $`c_1`$, $`c_2`$ characterising the non-BPS bulk.

### 3.2 Brane dynamics

It is helpful to use the analogy with particle dynamics and to study the brane motion via the two effective potentials

$$V^t(R,l,E)=E\frac{1}{2}\dot{R}^2,V^\tau (R,l,E)=E\frac{1}{2}R_{}^{}{}_{}{}^{2}$$
(20)
where $`\dot{R}`$ and $`R^{}`$ are given respectively in equations (13) and (17). The first potential, $`V^t`$, describes the brane motion as seen by a bulk observer. The second, $`V^\tau `$, determines the brane dynamics as seen by an observer on the brane. Allowed regions of $`R`$ are ones for which $`V^{t,\tau }(R,l,E)E`$. Notice the dependence of the potentials on $`E`$ and $`l`$.

When the probe is very far from the non-BPS brane, $`R\mathrm{}`$, it is straightforward to show from (13) and (17) that for all $`c_1`$, $`c_2`$ and $`l`$,

$$\dot{R}^21\frac{1}{E^2},\mathrm{and}R^{}_{}{}^{}2E^21.$$
(21)
Hence both in background time $`t`$ and brane-time $`\tau `$, the probe will be unable to escape to infinity if $`E<1`$. In other words, for $`E<1`$ the BPS probe brane is always bound to the non-BPS brane and, depending on $`l`$ (see below) will eventually be absorbed by it. On the other hand, if $`E>1`$ the probe will be able to escape. The limiting case is when $`E=1`$, for which the kinetic energy of the probe vanishes at infinity where there is no force on the probe. In the BPS limit (of the non-BPS background, as discussed in ), both $`\dot{R}`$ and $`R^{}`$ vanish for all $`R`$ when $`E=1`$, so that $`R`$ is a flat direction, as expected.

To determine the brane dynamics for $`r_0R<\mathrm{}`$ consider first $`V^\tau `$ which is the relevant potential for an observer living on the brane. Very similar comments to the ones below also hold for $`V^t`$. We focus on the neutral limit, $`c_2=1`$, which will be of most interest when self-gravity is included in section 4. (Notice that when $`c_2=\pm 1`$ then $`e=0`$ and the coupling between the BPS probe and the bulk RR field vanishes. Below we see that for $`c_2=1`$ the scale factor $`S(\tau )`$ is badly defined.) Using (20) and (17) as well as the definitions of $`a`$, $`b`$ and $`c`$ in (12) gives

$$V^\tau (R,l,E)=E\frac{1}{2}\frac{(f_+)^{(3k+c_11)/2}}{(f_{})^{(3k+c_1+1)/2}}\left[E^2\left(\frac{f_{}}{f_+}\right)^{2k}\frac{l^2}{r^2}\frac{(f_{})^{k1/2}}{(f_+)^{k+1/2}}\right].$$
(22)
When the probe has zero angular momentum, $`l=0`$, and when $`k>0`$, equation (22) gives $`V^\tau (r_0,0,E)\mathrm{}`$. Thus for all $`E`$ there is an infinitely deep potential well at $`R=r_0`$: the probe is attracted to the singularity which is therefore not protected. If $`E<1`$ then the probe is bound in the region

$$r_0R\overline{r}=r_0\left(\frac{1+E^{\frac{1}{k}}}{1E^{\frac{1}{k}}}\right)^{1/4}.$$

When $`l0`$, a centrifugal potential can develop and this may shield the singularity. From (22) notice that if $`k<1/2`$ then $`V^\tau (r_0,l,E)+\mathrm{}`$ for all $`E`$ so that the singularity is shielded. If $`k1/2`$, however, $`V^\tau (r_0,l,E)\mathrm{}`$ so that the probe may reach the singularity. Despite that some regions of $`R`$ may be excluded even for $`k1/2`$, i.e. if $`l`$ is sufficiently large $`l>l_c`$ where $`l_c`$ is a critical angular momentum which depends on $`E`$, $`r_0`$ and $`c_1`$, then one can show that there are indeed such excluded regions . These results are shown in figure 1.

### 3.3 Mirage cosmology

How is this dynamics reflected in the Friedmann equation on the brane? From Eqn. (15), the brane scale factor $`S(\tau )`$ is given by

$$S(\tau )^4=e^\varphi e^{4A}=\left(\frac{f_{}}{f_+}\right)^{c_1}\frac{1}{Y},$$
(23)
where $`Y`$ is a function of $`c_2`$. If $`c_2<1`$, there are regions of $`R`$ for which $`S^4<0`$ thus leading to an imaginary scale factor: these regimes cannot be physical and so we take $`c_21`$. In that case the scale factor is bounded by

$$0S1$$

since $`S=0`$ as $`Rr_0`$ and $`S=1`$ as $`R\mathrm{}.`$ Thus there can be no inflation on the brane in this mirage cosmology approach.

Again we consider the neutral limit $`c_2=+1`$. Then

$$S^4=x^{c_1+k}\mathrm{where}x=\frac{f_{}}{f^+}.$$
(24)
Furthermore, by definition of $`H`$ in (18) one has

$$H^2=\frac{1}{2}\frac{(c_1+k)^2}{r_0^2}\frac{(1x^2)^{5/2}}{x^{\frac{5+3k+c_1}{2}}}\left[E^2x^{2k}\frac{l^2}{r_0^2}\frac{(1x^2)^{1/2}}{2x^{1/2}}\right]$$
(25)
which, combined with (24) gives $`H^2(S)`$. Hence $`\omega `$ defined in (19) can be calculated. There are two difficulties though: firstly $`H^2(S)`$ is not a sum of terms of the form $`S^n`$ for some integer $`n`$, since functions such as $`(1x^2)^{5/2}=(1S^{8/(k+c_1)})^{5/2}`$ appear in $`H^2`$. Secondly, $`c_1`$ can take any continuous value between $`0`$ and $`\sqrt{5/2}`$ and so $`\omega `$ can also take any value.

To overcome the first problem consider the limit $`S1`$ (and hence $`R=r_0+ϵ`$). A Taylor expansion of $`H^2`$ then contains terms of the form

$$x^{(\alpha k+\beta c_1+\gamma )/2}=S^{\frac{2(\alpha k+\beta c_1+\gamma )}{c_1+k}}$$
(26)
for integer $`\alpha ,\beta `$ and $`\gamma `$. Surprisingly two values of $`c_1`$ are picked out for which this expansion of $`H^2`$ contains terms in $`S`$ to an integer power, they are111These two values do not seem to correspond to any special case of the non-BPS background metric (1).

$$c_1k=\pm 1c_1=3/2,\mathrm{\hspace{0.33em}\hspace{0.33em}1}/2.$$
(27)
When $`c_1=3/2`$, the Friedmann equation contains ‘dark fluids’ with equation of state $`\omega =2,2/3,2/3`$. These are sourced by the angular momentum $`l`$ of the brane. There are also terms with $`\omega =5/3,1`$ which are sourced by the energy $`E`$ of the brane, and terms in $`\omega =1,1/3`$ which are independent of $`E`$ and $`l`$. Note that there is a term behaving as radiation, as well as a cosmological constant term, but there is none behaving as matter.

For $`c_1=1/2`$ the main difference is that there is now a dark ‘matter’ term $`S^3`$ and this is sourced by the angular momentum $`l`$. As far as we are aware, this is the first background for which such a dark ‘matter’ term appears in mirage cosmology.

## 4 Non-BPS Brane Inflation

In the previous section we described the brane dynamics in non-compact space-time. Now we concentrate on the low energy dynamics of the same system, i.e. a probe brane in the vicinity of a non-BPS brane, when the six extra dimensions have been compactified. We do not assume any particular form for the compactification manifold — on the contrary we only need to consider a patch where the non-BPS brane and the probe are embedded. In that patch the geometry is curved by the non-BPS brane while the effective field theory on the probe brane is subject to two competing effects. Firstly gravity now propagates on the brane, hence modifying the induced metric from the previously studied mirage cosmology case. Secondly the motion of the probe in the background of the non-BPS brane modifies the geometry of the probe. The combined effect can be understood by analysing the equations of motion of the low energy effective field theory below the compactification scale.

### 4.1 Gravitons on the Brane

Consider now the 10d metric (in the Einstein frame)

$$ds_E^2=e^{2A}g_{\mu \nu }dx^\mu dx^\nu +e^{2B}(dr^2+r^2d\mathrm{\Omega }_5^2)G_{AB}dx^Adx^B$$
(28)
where $`g_{\mu \nu }`$ is any 4d metric, as opposed to the Minkowski metric considered in (1). For simplicity we now focus on the neutral case, $`|c_2|=1`$, in which case $`F^2=0`$ from equation (3). We will determine the equations of motion for $`g_{\mu \nu }`$ and show that one can construct a whole family of solutions. The previously described solution $`g_{\mu \nu }=\eta _{\mu \nu }`$ is only the simplest case. As long as we do not compactify six dimensions, the dynamics of $`g_{\mu \nu }`$ are frozen due to the infinite effective four dimensional Planck mass, i.e. four dimensional gravity decouples. In the previous section we have considered the mirage dynamics where the fluctuations of the four dimensional metric $`g_{\mu \nu }`$ have been frozen. As soon as we compactify, the effective four dimensional Planck mass becomes finite allowing one to study the gravitational dynamics of $`g_{\mu \nu }`$.

Using the relation

$${}_{}{}^{10}(G)=^4(g)e^{2A}+^{10}(\overline{G}),$$
(29)
it follows that the 10d SUGRA action for the metric (28) reduces to

$$S_{\text{sugra}}=\frac{1}{2\kappa _{10}^2}d^{10}x\sqrt{\overline{G}}\sqrt{g}e^{2A}{}_{}{}^{4}(g)$$
(30)
(see also section 4.2). From this action, the equations of motion for $`g_{\mu \nu }`$ reduce to the 4d Einstein equations

$${}_{}{}^{4}_{\mu \nu }^{}\frac{{}_{}{}^{4}}{2}g_{\mu \nu }=0.$$
(31)
Hence the metric $`g_{\mu \nu }`$ can be any four dimensional solution of the vacuum Einstein equations — a Schwarzchild metric, for instance, leads to a solution of the 10d equations of motion.

Now consider small perturbations of the flat metric $`\eta _{\mu \nu }`$, i.e. $`g_{\mu \nu }=\eta _{\mu \nu }+h_{\mu \nu }`$. This describes the moduli space of solutions where $`h_{\mu \nu }`$ satisfies $`\eta ^{\mu \nu }h_{\mu \nu }=0,_\mu h_\nu ^\mu =0`$ and is massless

$${}_{}{}^{4}\mathrm{}h_{\mu \nu }=0.$$
(32)
Hence massless gravitons $`h_{\mu \nu }`$ can propagate on the brane. Nevertheless, in this uncompactified case the effective four dimensional Planck mass, defined through

$$\frac{1}{2\kappa _4^2}=\frac{1}{2\kappa _{10}^2}\sqrt{\overline{G}}e^{2A}𝑑r𝑑\mathrm{\Omega }_5$$
(33)
diverges, implying the decoupling of self-gravity on the brane. In the remainder of this section we therefore consider the compactified case in which the compactification is over a large 6d manifold $``$, and gravity does not decouple anymore.

### 4.2 Effective 4D action with self-gravity

Here we compactify the theory and study the effective field theory at low energy below the compactification scale — as explained above, this should contain self-gravity. The low energy action therefore comprises two terms: first there is the action obtained by dimensional reduction of the warped background created by the non-BPS brane. Second we include the Born-Infeld action (6) reflecting the low energy dynamics of the transverse modes to the probe. In order to maintain the neutrality of the background we will focus on the case $`|c_2|=1`$.

Before doing so, let us discuss the compactification in general. Our starting point is the metric (28) where $`g_{\mu \nu }dx^\mu dx^\nu =\eta _{ab}d\xi ^ad\xi ^b`$ in a local frame $`d\xi ^a`$. We make the ansatz that both the form $`F`$ as well as the dilaton $`\varphi `$ coincide with the solution obtained previously in the local frame specified by $`d\xi ^a`$. This amounts to specifying that locally the solution of the previous section is valid. Hence

$$F_{r\mu _0\mathrm{}\mu _3}drdx^{\mu _0}\mathrm{}dx^{\mu _3}=\mathrm{\Lambda }^{}e^\mathrm{\Lambda }drd\xi ^{a_0}\mathrm{}d\xi ^{a_3}$$
(34)
It is through $`g_{\mu \nu }`$ that we will be able to describe self-gravity on the brane. The dynamics at low energy are determined by

$`S`$ $`=`$ $`{\displaystyle \frac{1}{2\kappa _{10}^2}}{\displaystyle d^{10}x\sqrt{G}\left({}_{}{}^{10}(G)\frac{1}{2}G^{\mu \nu }_\mu \varphi _\nu \varphi \frac{1}{25!}F^2\right)}`$ (35)
$``$ $`T{\displaystyle d^4xe^\varphi \sqrt{\gamma }}Tq{\displaystyle d^4xC_4}`$
where the first term is the bulk 10d supergravity action, and the second is the DBI action (6). We will integrate out the above action over the 6 extra dimensions which are compactified on $``$, and hence obtain an effective 4D action which includes brane self-gravity through the appearance of the 4D Ricci scalar $`{}_{}{}^{4}(g)`$. We assume that the manifold $``$ is fixed, i.e. the moduli have been stabilized by an unknown mechanism. On using (33), the bulk part of action (35) becomes

$$S_{\mathrm{bulk}}=d^4x\sqrt{g}\left[\frac{1}{2\kappa _4^2}^4(g)\right]\frac{1}{4.5!\kappa _{10}^2}d^4x\sqrt{g}\left(_{}𝑑r𝑑\mathrm{\Omega }_5\sqrt{\overline{G}}F^2\right)$$
(36)
where the 4D planck mass is defined analogously to (33), namely

$$\frac{1}{2\kappa _4^2}=\frac{1}{2\kappa _{10}^2}V_6$$
(37)
where $`V_6`$ is the now finite volume of the 6d compact space;

$$V_6R_c^6=_{}\sqrt{\overline{G}}e^{2A}𝑑r𝑑\mathrm{\Omega }_5.$$
(38)
Notice that $`\kappa _4^2`$ is a function of $`c_1`$, and also that

$$F^2=5!\left(\mathrm{\Lambda }^{}e^\mathrm{\Lambda }\right)^2e^{8A2B}=5!\frac{64\xi ^2k^2(c_2^21)r_0^8}{Y^{5/2}r^{10}f_+^{5/2}f_{}^{5/2}}.$$
(39)
Notice that the factors of $`A`$ and $`B`$ appear due to the non-trivial contraction with the background metric. This defines the gravitational part of the effective action. Notice that there is a negative cosmological constant related to the background field strength. Hence in the neutral case ($`c_2=\pm 1`$), both $`F^2`$ and the coupling of the probe to the four form vanish leading to the absence of the cosmological constant. On the other hand, in the charged case the resulting action contains a negative cosmological constant leading to AdS4 in the absence of the probe.

Now consider the brane part of the action. We work in the isotropic gauge where

$$X^\mu =x^\mu $$
(40)
but as opposed to section 2 the brane is now allowed to be bent. Hence

$$X^r=R(x^\mu ),X^p=\phi ^p(x^\mu ),$$
(41)
and the induced metric is thus

$$\gamma _{\mu \nu }=G_{\mu \nu }^s+G_{rr}^s\frac{R}{x^\mu }\frac{R}{x^\mu }+G_{pq}^s\frac{\phi ^p}{x^\mu }\frac{\phi ^q}{x^\nu }.$$
(42)
We will focus on the motion in the $`r`$ direction (and so set $`l=0`$ in the notation of the previous section). In the DBI action, we need to consider the expansion of $`\sqrt{\gamma }`$: if we assume that the brane moves slowly so that the square root part of the DBI action can be expanded one gets, to leading order,

$$\sqrt{\gamma }=e^{4A}e^\varphi \sqrt{g}\left[1+\frac{1}{2}e^{2B2A}g^{ab}\frac{R}{x^a}\frac{R}{x^b}\right].$$
(43)
(Below we will see that $`R`$ is very closely related to the inflaton on the brane, and that this assumption of a slowly moving brane is consistent with the slow-roll conditions.) Thus

$$S_{\mathrm{brane}}=Td^4x\sqrt{g}e^{4A}\left[1+\frac{1}{2}e^{2B2A}g^{ab}_aR_bR\right]qTd^4x\sqrt{g}e^\mathrm{\Lambda }.$$
(44)
This is a non-linear sigma model for $`R`$ with a non-vanishing potential

$$V(R)=T\left(e^{4A}qe^\mathrm{\Lambda }\right)$$
(45)
due to the absence of supersymmetry.222Note that this potential is not directly related to the effective potentials $`V^{\tau ,t}`$ discussed in the previous section. This potential is valid generically for any motion of a $`D3`$ probe in a non-trivial gravitational background. In the supersymmetric case the contributions from the Wess-Zumino coupling and the DBI cancel. Here the absence of cancellation leads to a non-trivial dynamics for the interbrane distance. Notice also the wave-function normalization term

$$Z(R)=Te^{2B+2A}.$$
(46)
It is convenient to use fields with mass dimension one by putting

$$\varphi =\frac{R}{l_s^2}$$
(47)
where $`l_s`$ is the string length scale. We now focus on the neutral case so that it follows from (36) and (44) that the effective 4D action is given by

$$S_{\mathrm{eff}}^4=d^4x\sqrt{g}\left(\frac{1}{2\kappa _4^2}^4(g)\frac{1}{2}Z(\varphi )_\mu \varphi ^\mu \varphi V(\varphi )\right).$$
(48)
Below we study this action and we will be interested in the supergravity regime where the two branes are far apart $`Rr_0`$ leading to

$`V(\varphi )`$ $`=`$ $`T\left(1{\displaystyle \frac{2kr_0^4}{l_s^8\varphi ^4}}\right)`$
$`Z(\varphi )`$ $`=`$ $`l_s^4T`$
where we have neglected higher order terms than $`1/\varphi ^4`$ in $`Z`$.

In the next section we will analyse cosmological solutions to the equations of motion coming from action (48). Before that, notice an intriguing point — the induced metric on the brane $`\gamma _{\mu \nu }`$ differs from the metric $`g_{\mu \nu }`$ which is responsible for Einstein gravity at low energy. Furthermore matter couples to the induced metric as can be seen by including a matter term in the DBI corresponding to the pull-back of the $`U(1)`$ field strength

$$F_{\mu \nu }=F_{AB}\frac{X^A}{x^\mu }\frac{X^B}{x^\nu }.$$
(49)
Action (6) leads to the kinetic terms

$$(2\pi \alpha ^{})^2\frac{T}{8}d^4x\sqrt{\gamma }F^{\mu \nu }F^{\rho \delta }\gamma _{\mu \rho }\gamma _{\nu \delta }$$
(50)
so that matter does indeed couple to the induced metric in the string frame. Thus we have a bi-metric theory  where

$$\gamma _{\mu \nu }=e^{\varphi /2}e^{2A}g_{ab}+e^{\varphi /2}e^{2B}_aR_bR.$$
(51)
As soon as the brane stops moving, the theory stops being a bi-metric theory.

### 4.3 Inflationary solution and induced metric

We search for inflationary solutions of (48) of the form

$$g_{ab}=\mathrm{diag}(1,a^2(t),a^2(t),a^2(t)).$$
(52)
It should be noted, however, that $`a`$ is not the scale factor as seen by an observer living on the brane. The metric on the brane is just the induced metric $`\gamma _{\mu \nu }`$ as discussed above and as given in (51). Assuming now, for simplicity, that $`R=R(t)`$ only, the metric on the brane is therefore given by

$`ds^2`$ $`=`$ $`dt^2(e^{\varphi /2}e^{2A}g_{00}+e^{\varphi /2}e^{2B}\dot{R}^2)+e^{\varphi /2}e^{2A}g_{ij}dx^idx^j`$
$``$ $`d\tau ^2+\stackrel{~}{a}^2(\tau )dx^2`$
where $`=d/dt`$ and

$$\stackrel{~}{a}(\tau )S(\tau )a(\tau ).$$
(53)
It combines the mirage cosmology brane factor $`S^2(\tau )=e^{\varphi /2}e^{2A}`$ which is due to the motion of the brane, and $`a`$ which arises from the self-gravity on the brane. As usual, inflation will lead to an exponential expansion on the brane $`ae^{Ht}`$.

Since matter on the brane couples to $`\gamma _{\mu \nu }`$, whilst gravity couples to $`g_{ab}`$, predictions regarding the CMB and the spectrum of perturbations should in principle be made by calculating with respect to the scale factor $`\stackrel{~}{a}`$ and brane-time $`\tau `$, since particle and photon geodesics are governed by the metric $`\gamma _{\mu \nu }`$. Thus one should replace $`g_{ab}`$ in the effective action (48) by $`\gamma _{\mu \nu }`$, i.e. inverting (51). This, however, would lead to a rather complicated scalar-tensor action, and in that frame the equations of motion are not transparent. Moreover the generation of quantum fluctuations is easier to understand in the Einstein frame where all the usual formalism applies. We will comment on the coupling to matter later and from now on work in the Einstein frame with action (48) and time $`t`$ (as opposed to brane time $`\tau `$). Eventually, in the inflationary phase, the difference between $`t`$ and $`\tau `$ can be seen to be negligible due to the slow roll condition. Similar actions were taken as the starting point of references .

The equations of motion coming from the effective action are

$`\ddot{\varphi }+3H\dot{\varphi }+{\displaystyle \frac{1}{2}}\left({\displaystyle \frac{Z^{}}{Z}}\right)\dot{\varphi }^2+{\displaystyle \frac{V^{}}{Z}}`$ $`=`$ $`0,`$
$`H^2=\left({\displaystyle \frac{\dot{a}}{a}}\right)^2={\displaystyle \frac{\kappa _4^2}{3}}\left({\displaystyle \frac{1}{2}}Z\dot{\varphi }^2+V\right)`$ .
Assuming that

$$\frac{1}{2}Z\dot{\varphi }^2V,\ddot{\varphi }3H\dot{\varphi }$$
(54)
i.e. in the slow roll regime, yields

$$H^2=\frac{\kappa _4^2}{3}V\frac{\kappa _4^2T}{3}$$
(55)
leading to

$$a(t)=a(t_0)e^{\sqrt{\frac{\kappa _4^2T}{3}}(tt_0)}.$$
(56)
As

$$\dot{\varphi }=\frac{V^{}}{3HZ}$$
(57)
where $`V^{}`$ is positive, it follows that during inflation $`\varphi `$ (or equivalently $`R`$) decreases. Notice that the second scale factor $`S`$ actually decreases as $`R`$ decreases. Since the scale factor on the brane is actually $`Sa`$, the overall effect will still be one of inflation since $`S`$ is only a powerlaw in $`t`$. From (57) we find that

$$\varphi ^6=\varphi _0^6Q(tt_0)$$
(58)
where

$$Q=\frac{48kr_0^4}{\sqrt{3}l_s^{12}\kappa _4\sqrt{T}}.$$
(59)
The slow-roll regime is valid provided that

$$\eta =M_{pl,4}^2\frac{V^{\prime \prime }}{V}1,ϵ=\frac{1}{2}M_{pl,4}^2(\frac{V^{}}{V})^21.$$
(60)
Here $`ϵ`$ is always smaller than $`\eta `$ so we only consider the first slow roll condition. Imposing the first condition gives

$$|\eta |=M_{pl,4}^2\frac{40kr_0^4}{l_s^8\varphi ^6}1$$
(61)
or equivalently

$$k\frac{1}{40}\frac{r_{ini}^6}{M_{pl,4}^2l_s^4r_0^4}$$
(62)
where we have taken the initial brane position $`R=r_{ini}r_0`$ consistently with our supergravity approximation. Using now

$`T`$ $`=`$ $`{\displaystyle \frac{1}{g_s(2\pi )^3l_s^4}}`$
$`\kappa _{10}^2`$ $`=`$ $`{\displaystyle \frac{1}{2}}(2\pi )^7l_s^8`$ (63)
gives

$$k\frac{(2\pi )^8}{20}\frac{l_s^4}{r_0^4}\left(\frac{r_{ini}}{R_c}\right)^6.$$
(64)
Thus $`k`$ is undetermined as long as $`r_0`$ remains a free parameter of the supergravity approximation.

In order to specify the range of validity of inflation in the non-BPS scenario, we need to compare the time taken by the non-BPS to decay with the typical inflationary time scale. Inflation typically takes place within

$$t_{infl}=\frac{1}{H}$$
(65)
whereas the decay time for the non-BPS brane is assumed to be infinite in the supergravity approximation. Indeed, in the approach we use here, the tachyon parameter $`c_1`$ is a constant parameter and not a time-dependent modulus . A more appropriate estimate of the decay time in the inflationary regime can be obtained from

$$t_{decay}=\frac{1}{M_{ADM}}$$
(66)
where $`M_{ADM}`$ is the ADM mass of the non-BPS brane . When the brane is flat the ADM mass is infinite reflecting the fact that it has a finite mass per unit volume

$$\frac{M_{ADM}}{V_3}=\frac{5}{2^7\pi ^4}k_{max}\frac{r_0^4}{l_s^8}$$
(67)
where $`k_{max}=\sqrt{5/2}`$. Now when the brane inflates, the volume of space-time is of order of $`V_3=H^3`$ implying that

$$t_{decay}=\frac{2^7\pi ^4}{5k_{max}}\frac{l_s^8}{r_0^4}H^3.$$
(68)
Imposing now that $`t_{decay}t_{inf}`$ leads to

$$r_0^4\frac{1}{40.6^2.\pi ^4}\frac{1}{g_s^2}\frac{1}{M_{pl,4}^4}.$$
(69)
Notice that $`r_0`$ is linked to the 4d Planck mass. In the following we will take $`r_0=1/M_{pl,4}`$ which satisfies the above inequality at small string coupling. This leads to

$$\frac{k}{k_{max}}\frac{9}{2}(2\pi )^{12}g_s^2l_s^4M_{Pl,4}^4(\frac{r_{ini}}{R_c})^6$$
(70)
We will discuss the range of values for $`k`$ in the next section.

### 4.4 Reheating

In this subsection we describe the end of the inflationary era and its connection with the cosmological eras. First of all inflation on the brane stops when $`\eta 1`$. We find that

$$Q(t_{end}t_0)=\frac{r_{ini}^6}{l_s^{12}}\frac{40M_{pl,4}^2r_0^4}{l_s^8}.$$
(71)
After the end of inflation the brane starts rolling fast towards the non-BPS brane. When the non-BPS brane decays the probe has to be far enough from the non-BPS brane in order to trust the supergravity approximation: this leads to

$$g_s^2\frac{2^{21/2}\pi ^5}{15}\frac{k}{k_{max}}\frac{l_s^{12}}{r_{ini}^6R^6}.$$
(72)
This condition is always satisfied for the range of parameters compatible with the COBE normalization. When the non-BPS brane decays, it leads to bulk radiation in the Minkowski vacuum. Moreover we know that $`k_{decay}=0`$ implying that the potential vanishes altogether

$$V_{decay}=V_0+T0,$$
(73)
where $`V_0`$ is the contribution at low energy to the tachyon condensation process. It goes beyond the supergravity approximation and should encompass the opens string degrees of freedom leading to the decay of the non-BPS brane. The vanishing of $`V_0+T`$ is the famous Sen conjecture for non-BPS branes . Here it can be viewed as the vanishing of the cosmological constant at low energy due to the overall supersymmetry of the configuration. The only trace of the decay may appear from the coupling of the bulk radiation to the brane YM fields leading to a radiation dominated era.

Once the non-BPS brane decays, the brane stops moving and starts expanding only due to the presence of matter on the brane. The background metric being flat Minkowski space, the ten dimensional metric becomes

$$ds_{10}^2=dx_Adx^Adt^2+a^2(t)dx^idx_i$$
(74)
where $`A=1\mathrm{}6`$ and $`i=1\mathrm{}3`$. This implies that the induced metric and the Einstein metric become equivalent. Moreover the six extra dimensions play no role in the four dimensional dynamics. We can therefore apply the usual formalism to compute the effect of the initial quantum fluctuations on the CMB results. Indeed once inflation stops, the cosmology of the $`D3`$ brane is solely dictated by the presence of matter on a static brane. In that case we can follow the evolution of the brane through the usual cosmological eras and use the CMB results in order to calibrate the underlying physics of the brane inflation.

In particular we can use the COBE normalization  specifying th magnitude of the density perturbations on large scales in order to evaluate the compactification scale. This gives

$$M_{pl,4}^3\frac{V^{3/2}}{V^{}}M_{pl,4}^3\frac{V_6}{kl_s^9}10^5.$$
(75)
Now

$$l_s^9\left(\frac{V_6}{M_{pl,4}^2}\right)^{9/8},$$
(76)
and on writing $`M_c^6=V_6^1`$, one has that

$$M_c10^{12}\mathrm{GeV}.$$
(77)
Using the relation between the four dimensional Planck mass, the compactification volume and the string scale we deduce that

$$M_sM_{pl,4}^{1/4}M_c^{3/4}10^{14}\mathrm{GeV},$$
(78)
so that the compactification scale is two orders of magnitude smaller than the string scale. Notice that $`r_0R_c`$ as it should in order to consider that the non-BPS brane distorts only locally and weakly the geometry of the compact manifold $``$.

Let us now consider the observable consequences of the primordial inflationary era due to the presence of a non-BPS brane. Two crucial tests have to be overcome. First of all the number of e-folds must be large enough. The number of e-folds

$$N=_{t_{ini}}^{t_{end}}H𝑑t$$
(79)
is determined by the initial position of the probe. Indeed

$$N=\frac{5}{6}\left(\frac{r_{ini}}{r_{end}}\right)^6.$$
(80)
Using

$$r_{end}^6=40kr_0^4l_s^4M_{pl,4}^2$$
(81)
this implies that

$$r_{ini}^6=48Nkr_0^4l_s^4M_{pl,4}^2.$$
(82)
Taking $`r_0`$ to be of the order of $`M_{pl,4}^1`$, i.e. saturating its upper bound, leads to

$$\frac{r_{ini}}{r_0}\left(\frac{M_{pl,4}}{M_s}\right)^{2/3}$$
(83)
Notice that the ratio of the Planck scale to the string scale is related to the COBE normalization, i.e. $`10^5`$, we find that

$$\frac{r_{ini}}{r_0}10^3.$$
(84)
Of course this justifies the supergravity approximation. Notice that all the different scales of the problem have been determined from two inputs. First of all the non-BPS brane scale $`r_0`$ is taken to be of the order the Planck scale, this to guarantee that inflation stops well before the decay of the non-BPS brane. Then the COBE normalization fixes the volume of the compactification manifold.

Now we can check that inflation takes place irrespective of the value $`k`$. Hence we find that inflation is generic in the non-BPS scenario.

Within the supergravity approximation the spectral index of fluctuations can be computed. It is given by

$$n_s1=\frac{5}{3N}.$$
(85)
Of course this is not a prediction of the model as $`N`$ is left undetermined, i.e. $`N`$ depends on the initial position of the probe. The model does not explain why the initial conditions should be such that $`N=60`$.

## 5 Summary and Conclusions

We have described the dynamics of a BPS probe in the background of a non-BPS brane. We have shown that inflation can only take place after compactifying on a six dimensional manifold. The resulting inflation occurs for any non-BPS brane. It ends well before the final decay of the non-BPS brane; the only fine-tuning being the choice of the initial positions of the branes which determines the spectral index.

Of course the essential ingredient here is the lack of supersymmetry which leads to a non-trivial potential for the inter-brane distance. The actual decay of the non-BPS brane may only play a role in the reheating phase where radiation starts dominating due to the impinging radiation resulting from the non-BPS brane annihilation. It would be very interesting to carry out the same analysis for stable non-BPS brane as obtained in compact spaces directly. Of course one would have to motivate the reheating phase differently.

As it stands the brane technology seems to lead to an almost unique form of the inflationary potential, an inverse power law. This is a tremendous improvement over the four dimensional approach where all the potentials seem to be ad hoc and difficult to motivate. On the other hand such a potential is reminiscent of the potentials used to describe quintessence. It would be very interesting if stable non-BPS configurations  could provide a unique description of both inflation and quintessence. This is left for future work.

###### Acknowledgments.

We thank Ruth Durrer and Jean-Philippe Uzan for useful discussions.


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# Occupation densities for SPDE’s with Reflection

## 1 Introduction

We are concerned with the solution $`(u,\eta )`$ of the stochastic partial differential equation with reflection of the Nualart-Pardoux type, see :

$$\{\begin{array}{cc}\frac{u}{t}=\frac{1}{2}\frac{^2u}{\theta ^2}+\frac{^2W}{t\theta }+\eta (t,\theta )\hfill & \\ & \\ u(0,\theta )=x(\theta ),u(t,0)=u(t,1)=0\hfill & \\ & \\ u0,d\eta 0,u𝑑\eta =0\hfill & \end{array}$$
(1)
where $`u`$ is a continuous function of $`(t,\theta )\overline{𝒪}:=[0,+\mathrm{})\times [0,1]`$, $`\eta `$ a positive measure on $`𝒪:=[0,+\mathrm{})\times (0,1)`$, $`x:[0,1][0,\mathrm{})`$ and $`\{W(t,\theta ):(t,\theta )\overline{𝒪}\}`$ is a Brownian sheet. We denote by $`\nu `$ the law of a Bessel Bridge $`(e_\theta )_{\theta [0,1]}`$ of dimension 3.

The main aim of this paper is to prove the following properties of the reflecting measure $`\eta `$:

* For all $`t0`$ the measure $`\eta ([0,t],d\theta )`$ is absolutely continuous with respect to the Lebesgue measure $`d\theta `$ on $`(0,1)`$:

$$\eta ([0,t],d\theta )=\eta ([0,t],\theta )d\theta .$$
(2)
The process $`(\eta ([0,t],\theta ))_{t0}`$, $`\theta (0,1)`$, is an Additive Functional of $`u`$, increasing only on $`\{t:u(t,\theta )=0\}`$, with Revuz measure:

$$\frac{1}{2\sqrt{2\pi \theta ^3(1\theta )^3}}\nu (dx|x(\theta )=0).$$
(3)
* For all $`t0`$:

$$\eta ([0,t],\theta )=\frac{3}{4}\underset{ϵ0}{lim}\frac{1}{ϵ^3}_0^t1_{[0,ϵ]}(u(s,\theta ))𝑑s,$$
(4)
in probability.
* There exists a family of Additive Functionals of $`u`$, $`(l^a(,\theta ))_{a[0,\mathrm{}),\theta (0,1)}`$, such that $`l^a(,\theta )`$ increases only on $`\{t:u(t,\theta )=a\}`$ and such that the following occupation times formula holds for all $`FB_b()`$:

$$_0^tF(u(s,\theta ))𝑑s=_0^{\mathrm{}}F(a)l^a(t,\theta )𝑑a,t0.$$
(5)
* For all $`t0`$:

$$\eta ([0,t],\theta )=\frac{1}{4}\underset{a0}{lim}\frac{1}{a^2}l^a(t,\theta )$$
(6)
in probability.
* For all $`t0`$ and $`a(0,1)`$:

$$\underset{ϵ0}{lim}\sqrt{ϵ}_0^a\left(1\frac{\theta }{ϵ}\right)\eta ([0,t],d\theta )=\sqrt{\frac{2}{\pi }}t$$
(7)
and symmetrically:

$$\underset{ϵ0}{lim}\sqrt{ϵ}_a^1\left(1\frac{1\theta }{ϵ}\right)\eta ([0,t],d\theta )=\sqrt{\frac{2}{\pi }}t,$$
(8)
in probability.

Recall that if $`B`$ is a linear Brownian Motion and $`(X,L)`$ is the unique continuous solution of the Skorohod problem:

$$dX=dB+dL,X(0)=x0,L(0)=0,$$

$$X0,tL(t)\mathrm{non}\mathrm{decreasing},_0^{\mathrm{}}X(t)𝑑L(t)=\mathrm{\hspace{0.17em}0},$$

then it turns out that $`2L`$ is the local time of $`X`$ at $`0`$ and:

$$L(t)=\frac{1}{2}\underset{ϵ0}{lim}\frac{1}{ϵ}_0^t1_{[0,ϵ]}(X(s))𝑑s.$$
(9)
In the infinite-dimensional equation (1), the reflecting term $`\eta `$ is a random measure on space-time. In , the following decomposition formula was proved:

$$\eta (ds,d\theta )=\delta _{r(s)}(d\theta )\eta (ds,(0,1)),$$
(10)
where $`\delta _a`$ is the Dirac mass at $`a(0,1)`$ and $`r(s)(0,1)`$, for $`\eta (ds,(0,1))`$-a.e. $`s`$, is the unique $`r(0,1)`$ such that $`u(s,r)=0`$. This formula was used in  to write equation (1) as the following Skorohod problem in the infinite dimensional convex set $`K_0`$ of continuous non-negative $`x:[0,1][0,\mathrm{})`$:

$$du=\frac{1}{2}\frac{^2u}{\theta ^2}dt+dW+\frac{1}{2}n(u)dL,$$

interpreting the set of $`xK_0`$ having a unique zero in $`(0,1)`$ as the boundary of $`K_0`$, the increasing process $`tL_t:=2\eta ([0,t],(0,1))`$ as the local time of $`u`$ at this boundary and the measure $`n(u)=\delta _{r(s)}`$ as the normal vector field to this boundary at $`u(s,)`$.

On the other hand, the absolute-continuity result (2) suggests an interpretation of $`\eta `$ as sum of reflecting processes $`t\eta ([0,t],\theta )`$, each depending only on $`(u(t,\theta ))_{t0}`$ and increasing only on $`\{t:u(t,\theta )=0\}`$. Therefore, by (2) equation (1) can also be interpreted as the following infinite system of 1-dimensional Skorohod problems, parametrized by $`\theta (0,1)`$ and coupled through the interaction given by the second derivative w.r.t. $`\theta `$:

$$\{\begin{array}{cc}u(t,\theta )=x(\theta )+\frac{1}{2}_0^t\frac{^2u}{\theta ^2}(s,\theta )𝑑s+\frac{W}{\theta }(t,\theta )+\eta ([0,t],\theta )\hfill & \\ & \\ u(t,0)=u(t,1)=0\hfill & \\ & \\ u0,\eta (dt,\theta )0,_0^{\mathrm{}}u(t,\theta )\eta (dt,\theta )=0,\theta (0,1),\hfill & \end{array}$$
(11)
see (47) below. This interpretation is reminiscent of the result of Funaki and Olla in , where the fluctuations around the hydrodynamic limit of a particle system with reflection on a wall is proved to be governed by the SPDE (1).

By (5), $`(u(t,\theta ))_{t0}`$ admits for all $`a0`$ a local time at $`a`$, $`(l^a(t,\theta ))_{t0}`$. However, by (6), the reflecting term $`\eta ([0,],\theta )`$ which appears in (11) is not proportional to $`l^0(,\theta )`$, which in fact turns out to be identically $`0`$, and is rather a renormalized local time. The necessity of such renormalization is linked with the unusual rescaling of (4). These two properties of $`\eta `$ seem to be significant differences w.r.t. the finite-dimensional Skorohod problems.

The formulae (7) and (8) give informations about the behaviour of $`\eta `$ near the boundary of $`[0,1]`$. In particular, (7) and (8) prove that for any $`t>0`$ and any initial condition $`x`$, the mass of $`\eta `$ on $`[0,t]\times (0,1)`$ is infinite. This solves a problem posed by Nualart and Pardoux in . Notice also that the right hand sides of (7)-(8) are independent of the initial condition $`x`$.

In  it was proved that for all $`I(0,1)`$, the process $`t\eta ([0,t]\times I)`$, where $`\eta `$ is the reflecting term of (1), is an Additive Functional of $`u`$, with Revuz measure:

$$\frac{1}{2}_I\frac{1}{\sqrt{2\pi \theta ^3(1\theta )^3}}\nu (dx|x(\theta )=0)𝑑\theta .$$
(12)
At a heuristic level, the informations given by the formulae (2), (4), (6), (7) and (8) are already contained in (12) and in the properties of the invariant measure $`\nu `$ of $`u`$: for instance, if the limit in the right-hand side of (4) exists for all $`\theta (0,1)`$, then by the properties of $`\nu `$ the Revuz-measure of the limit is (3) and therefore (2) holds by (12) and by the injectivity of the Revuz-correspondence.

However, the existence of such limit is not implied by the structure of (12) alone. According to the Theory of Dirichlet Forms, a sufficient condition for the convergence of a family of additive functionals of a Markov process, as for instance in (4), is the convergence in the Dirichlet space of the corresponding 1-potentials: see Chapter 5 of . In our case, this amounts to introduce the potentials:

$$U_ϵ(x):=\frac{3}{4}_0^{\mathrm{}}e^t\frac{1}{ϵ^3}𝔼\left[1_{[0,ϵ]}(u(s,\theta ))\right]𝑑s,$$

where $`x:[0,1][0,\mathrm{})`$ is continuous and $`u`$ is the corresponding solution of (1), and prove that $`U_ϵ`$ has a limit as $`ϵ0`$ with respect to the Dirichlet Form:

$$(\phi ,\psi ):=\frac{1}{2}\phi ,\psi 𝑑\nu ,\phi ,\psi W^{1,2}(\nu ),$$

where $``$ and $`,`$ denote respectively the gradient and the canonical scalar product in $`H:=L^2(0,1)`$. Indeed, as proved in , $`u`$ is the diffusion properly associated with $``$ in $`L^2(\nu )`$.

However, due to the strong irregularity of the reflecting measure $`\eta `$ in (1), a direct computation of the norm of the gradient of $`U_ϵ`$ seems to be out of reach. In order to overcome this difficulty, we take advantage of a connection between equation (1) and the following $`^3`$-valued linear SPDE with additive white-noise:

$$\{\begin{array}{cc}\frac{z_3}{t}=\frac{1}{2}\frac{^2z_3}{\theta ^2}+\frac{^2\overline{W}_3}{t\theta }\hfill & \\ & \\ z_3(t,0)=z_3(t,1)=0\hfill & \\ & \\ z_3(0,\theta )=\overline{x}(\theta )\hfill & \end{array}$$
(13)
where $`\overline{x}H^3`$ and $`\overline{W}_3`$ the is the $`^3`$-valued Gaussian process whose components are $`3`$ independent copies of $`W`$. The process $`z_3`$ is also called the $`^3`$-valued random string (see  and ), and is the diffusion properly associated with the Dirichlet Form in $`L^2(\mu _3)`$:

$$\mathrm{\Lambda }^3(F,G):=_{H^3}\overline{}F,\overline{}G_{H^3}𝑑\mu _3F,GW^{1,2}(\mu _3),$$

where $`\mu _3`$ is the law in $`H^3`$ of a standard $`^3`$-valued Brownian Bridge, and $`\overline{}F:H^3H^3`$ is the gradient of $`F`$ in $`H^3`$. Then, in  it was noticed that the Dirichlet Form $``$ is the image of $`\mathrm{\Lambda }^3`$ under the map $`\mathrm{\Phi }_3:H^3H`$, $`\mathrm{\Phi }_3(y)(\theta ):=|y(\theta )|_^3`$, i.e. $`\nu `$ is the image $`\mu _3`$ under $`\mathrm{\Phi }_3`$ and:

$$W^{1,2}(\nu )=\{\phi L^2(\nu ):\phi \mathrm{\Phi }_3W^{1,2}(\mu _3)\},$$

$$(\phi ,\psi )=\mathrm{\Lambda }^3(\phi \mathrm{\Phi }_3,\psi \mathrm{\Phi }_3)\phi ,\psi W^{1,2}(\nu ).$$

This connection involves directly the Dirichlet Forms $``$ and $`\mathrm{\Lambda }^3`$, but not the corresponding processes. In particular, it does not imply that $`u`$ is equal in law to $`|z_3|`$. Nevertheless, in this paper we prove that this connection gives a useful projection principle from $`W^{1,2}(\mu _3)`$ onto $`W^{1,2}(\nu )`$ and that, in particular, the convergence in $`W^{1,2}(\mu _3)`$ of the 1-potentials of $`z_3`$:

$$\overline{U}_ϵ(\overline{x}):=\frac{3}{4}_0^{\mathrm{}}e^t\frac{1}{ϵ^3}𝔼\left[1_{[0,ϵ]}(|z_3(s,\theta )|)\right]𝑑s,$$

as $`ϵ0`$, implies the convergence of the 1-potentials $`U_ϵ`$ of $`u`$ in $`W^{1,2}(\nu )`$, and therefore that (4) holds. Also the formulae (6), (7) and (8) are proved similarly. Therefore, precise and non-trivial informations about $`u`$ can be obtained from the study of the Gaussian process $`z_3`$.

We recall that an analogous connection has been proved in  to hold between the $`^d`$-valued solution of a linear white-noise driven SPDE, $`d4`$, and the solution of a real-valued non-linear white-noise driven SPDE with a singular drift.

The paper is organized as follows. Section 2 contains the main definitions and the preliminary results on potentials of the random string in dimension 3. In section 3 the occupation densities and the occupation times formula (5) are obtained for the SPDE with reflection (1). The main results, together with some corollaries, are then proved in section 4.

## 2 The 3-dimensional random string

We denote by $`(g_t(\theta ,\theta ^{}):t>0,\theta ,\theta ^{}(0,1))`$ the fundamental solution of the heat equation with homogeneous Dirichlet boundary condition, i.e.:

$$\{\begin{array}{cc}\frac{g}{t}=\frac{1}{2}\frac{^2g}{\theta ^2}\hfill & \\ & \\ g_t(0,\theta ^{})=g_t(1,\theta ^{})=0\hfill & \\ & \\ g_0(\theta ,)=\delta _\theta \hfill & \end{array}$$

where $`\delta _a`$ is the Dirac mass at $`a(0,1)`$. Moreover, we set $`H:=L^2(0,1)`$ with the canonical scalar product $`,`$ and norm $``$, $`K_0:=\{xH:x0\}`$,

$$C_0:=C_0(0,1):=\{c:[0,1]\mathrm{continuous},c(0)=c(1)=0\},$$

$$A:D(A)HH,D(A):=W^{2,2}W_0^{1,2}(0,1),A:=\frac{1}{2}\frac{d^2}{d\theta ^2},$$

and for all Fréchet differentiable $`F:H`$ we denote by $`F:HH`$ the gradient in $`H`$. We set $`𝒪:=[0,+\mathrm{})\times (0,1)`$ and $`\overline{𝒪}:=[0,+\mathrm{})\times [0,1]`$. We denote by $`(e^{tA})_{t0}`$ the semigroup generated by $`A`$ in $`H`$, i.e.:

$$e^{tA}h(\theta ):=_0^1g_t(\theta ,\theta ^{})h(\theta ^{})𝑑\theta ^{},hH.$$

Let $`W`$ be a two-parameter Wiener process defined on a complete probability space $`(\mathrm{\Omega },,)`$, i.e. a Gaussian process with zero mean and covariance function

$$𝔼\left[W(t,\theta )W(t^{},\theta ^{})\right]=(tt^{})(\theta \theta ^{}),(t,\theta ),(t^{},\theta ^{})\overline{𝒪}.$$

Let $`\overline{W}_3:=(\overline{W}_3^i)_{i=1,2,3}`$ be a $`^3`$-valued process, whose components are three independent copies of $`W`$, defined on $`(\mathrm{\Omega },,)`$. We denote by $`_t`$ the $`\sigma `$-field generated by the random variables $`(W(s,\theta ):(s,\theta )[0,t]\times [0,1])`$.

We set for $`\overline{x}H^3=L^2((0,1);^3)`$:

$$w_3(t,\theta ):=_0^t_0^1g_{ts}(\theta ,\theta ^{})\overline{W}_3(ds,d\theta ^{})$$

$$z_3(t,\theta ):=e^{tA}\overline{x}(\theta )+w_3(t,\theta ),Z_3(t,\overline{x}):=z_3(t,).$$

Then $`z_3`$ is the unique solution of the following $`^3`$-valued linear SPDE with additive white-noise:

$$\{\begin{array}{cc}\frac{z_3}{t}=\frac{1}{2}\frac{^2z_3}{\theta ^2}+\frac{^2\overline{W}_3}{t\theta }\hfill & \\ & \\ z_3(t,0)=z_3(t,1)=0\hfill & \\ & \\ z_3(0,\theta )=\overline{x}(\theta )\hfill & \end{array}$$
(14)
where $`\overline{x}H^3`$. The process $`z_3`$ is also called the $`^3`$-valued random string: see  and . Recall that the law of $`Z_3(t,\overline{x})`$ is the Gaussian measure $`𝒩(e^{tA}\overline{x},Q_t)`$ on $`H^3`$, with mean $`e^{tA}\overline{x}`$ and covariance operator $`Q_t:H^3H^3`$:

$$Q_t\overline{h}(\theta )=_0^t_0^1q_t(\theta ,\theta ^{})\overline{h}(\theta ^{})𝑑\theta ^{}𝑑s,$$
(15)
for all $`t[0,\mathrm{}]`$, $`\theta (0,1)`$, $`\overline{h}H^3`$, where:

$$q_t(\theta ,\theta ^{}):=_0^tg_{2s}(\theta ,\theta ^{})𝑑s,t[0,\mathrm{}],\theta ,\theta ^{}(0,1).$$
(16)
We denote by $`(\overline{\beta }(\theta ))_{\theta [0,1]}`$ a 3-dimensional standard Brownian Bridge, and by $`\mu _3`$ the law of $`\overline{\beta }`$. Recall that $`\mu _3`$ is equal to the Gaussian measure $`𝒩(0,Q_{\mathrm{}})`$ on $`H^3`$, $`Q_{\mathrm{}}=(2A)^1`$, and:

$$q_{\mathrm{}}(\theta ,\theta ^{})=\theta \theta ^{}\theta \theta ^{}.$$
(17)
We set also for all $`t[0,\mathrm{})`$, $`\theta ,\theta ^{}(0,1)`$:

$$q^t(\theta ,\theta ^{}):=_t^{\mathrm{}}g_{2s}(\theta ,\theta ^{})𝑑s=q_{\mathrm{}}(\theta ,\theta ^{})q_t(\theta ,\theta ^{}).$$
(18)
It is well known that $`Z_3`$ is the Markov process associated with the Dirichlet Form in $`L^2(\mu _3)`$:

$$\mathrm{\Lambda }^3(F,G):=_{H^3}\overline{}F,\overline{}G_{H^3}𝑑\mu _3,F,GW^{1,2}(\mu _3),$$

where $`\overline{}F:H^3H^3`$ is the gradient of $`F`$ in $`H^3`$. For all $`f:H^3`$ bounded and Borel and for all $`\overline{x}H^3`$ we set:

$$R_3(1)f(\overline{x}):=_0^{\mathrm{}}e^t𝔼\left[f(Z_3(t,\overline{x}))\right]𝑑t.$$

The main result of this section is the following:

###### Proposition 2.1

* For all $`\theta (0,1)`$, $`a^3`$, the function $`U_3^{\theta ,a}:H^3`$:

$$U_3^{\theta ,a}(\overline{x}):=_0^{\mathrm{}}e^t\frac{1}{(2\pi q_t(\theta ,\theta ))^{3/2}}\mathrm{exp}\left(\frac{|e^{tA}\overline{x}(\theta )a|^2}{2q_t(\theta ,\theta )}\right)𝑑t,$$
(19)
is well defined and belongs to $`C_b(H^3)W^{1,2}(\mu _3)`$. If $`(a_n,\theta _n)(a,\theta )^3\times (0,1)`$, then:

$$\underset{n\mathrm{}}{lim}_{H^3}\left[\left|U_3^{\theta _n,a_n}U_3^{\theta ,a}\right|^2+\overline{}U_3^{\theta _n,a_n}\overline{}U_3^{\theta ,a}^2\right]𝑑\mu _3=\mathrm{\hspace{0.17em}0}.$$
(20)
Moreover $`(\theta ^{3/2}(1\theta )^{3/2}U_3^{\theta ,a})_{\theta (0,1),a^3}`$ is uniformly bounded, i.e.:

$$\underset{\theta (0,1),a^3}{sup}\theta ^{3/2}(1\theta )^{3/2}\underset{\overline{x}H^3}{sup}U_3^{\theta ,a}(\overline{x})<\mathrm{}.$$
(21)
* Set $`\overline{\gamma }^\theta (\overline{x}):=|\overline{x}(\theta )|/\sqrt{\theta }`$, $`\overline{x}(C_0)^3`$. Then $`\mathrm{\Gamma }_3^\theta :=R_3(1)\overline{\gamma }^\theta `$ converges to $`\sqrt{8/\pi }`$ in $`W^{1,2}(\mu _3)`$ as $`\theta 0`$ or $`\theta 1`$.

Proof. Let $`\omega _3:=4\pi /3`$. If $`\lambda `$, we denote by $`\lambda I`$ the linear application $`^3\alpha \lambda \alpha ^3`$.

Step 1. Let $`\overline{x}H^3`$ be fixed. Notice that $`z_3(t,\theta )`$ has law $`𝒩(e^{tA}\overline{x}(\theta ),q_t(\theta ,\theta )I)`$, where $`q_t(\theta ,\theta )`$ is defined as in (16). We denote by $`(G_t(a,b):t,a,b>0)`$ the fundamental solution of the heat equation on $`(0,+\mathrm{})`$ with homogeneous Dirichlet boundary condition. By the reflection principle we have the explicit representation:

$$G_t(a,b)=\frac{1}{\sqrt{2\pi t}}\mathrm{exp}\left(\frac{(ab)^2}{2t}\right)\left(1\mathrm{exp}\left(\frac{2ab}{t}\right)\right).$$

We set $`\tau _\theta :=inf\{t>0:\theta +B_t\{0,1\}\}`$, $`\theta (0,1)`$. Then we have:

$$g_t(\theta ,\theta ^{})=G_t(\theta ,\theta ^{})𝔼\left[1_{(t>\tau _\theta ^{},\theta ^{}+B_{\tau _\theta ^{}}=1)}G_{t\tau _\theta ^{}}(\theta ,1)\right].$$

Let $`c_0:=1\mathrm{exp}(1)(0,1)`$. Then for all $`t>0`$ and $`a0`$:

$$\frac{c_0}{\sqrt{2\pi t}}\left(1\frac{2a^2}{t}\right)G_t(a,a)\frac{1}{\sqrt{2\pi t}}\left(1\frac{2a^2}{t}\right).$$

Let now $`\theta [0,1/2]`$. Then:

$`{\displaystyle _0^t}𝔼\left[1_{(2s>\tau _\theta ,\theta +B_{\tau _\theta }=1)}G_{2s\tau _\theta }(\theta ,1)\right]𝑑s`$
$`=`$ $`𝔼\left[{\displaystyle _0^{(2t\tau _\theta )^+}}{\displaystyle \frac{1_{(\theta +B_{\tau _\theta }=1)}}{2\sqrt{2\pi r}}}\mathrm{exp}\left({\displaystyle \frac{(\theta 1)^2}{2r}}\right)\left(1\mathrm{exp}\left({\displaystyle \frac{2\theta }{r}}\right)\right)𝑑r\right]`$
$``$ $`𝔼\left[1_{(\theta +B_{\tau _\theta }=1)}\right]{\displaystyle _0^{2t}}{\displaystyle \frac{1}{2\sqrt{2\pi r}}}\mathrm{exp}\left({\displaystyle \frac{(\theta 1)^2}{2r}}\right)\left(1\mathrm{exp}\left({\displaystyle \frac{2\theta }{r}}\right)\right)𝑑r`$
$``$ $`{\displaystyle \frac{c_1}{\sqrt{\pi }}}t\theta ^2,c_1:=\underset{r>0}{sup}{\displaystyle \frac{1}{\sqrt{2r^3}}}\mathrm{exp}\left({\displaystyle \frac{1}{8r}}\right)<\mathrm{}.`$
For all $`t>0`$ and $`\theta [0,1/2]`$ we obtain:

$`q_t(\theta ,\theta )`$ $``$ $`{\displaystyle _0^t}G_{2s}(\theta ,\theta )𝑑s{\displaystyle \frac{c_1}{\sqrt{\pi }}}t\theta ^2{\displaystyle _0^t}{\displaystyle \frac{c_0}{2\sqrt{\pi s}}}\left(1{\displaystyle \frac{\theta ^2}{s}}\right)𝑑s{\displaystyle \frac{c_1}{\sqrt{\pi }}}t\theta ^2`$
$`=`$ $`{\displaystyle \frac{c_0}{\sqrt{\pi }}}\left(1_{(t\theta ^2)}\sqrt{t}+\mathrm{\hspace{0.17em}1}_{(\theta ^2t)}\left(2\theta {\displaystyle \frac{\theta ^2}{\sqrt{t}}}\right)\right)t{\displaystyle \frac{c_1}{\sqrt{\pi }}}\theta ^2`$
$``$ $`{\displaystyle \frac{1}{\sqrt{\pi }}}\left(c_0\mathrm{\hspace{0.17em}1}_{(t\theta ^2)}\sqrt{t}+c_0\mathrm{\hspace{0.17em}1}_{(\theta ^2t)}\theta c_1t\theta ^2\right)`$
Let $`t_0:=(c_0/2c_1)(c_0/2c_1)^2`$. If $`tt_0`$, then $`q_t(\theta ,\theta )q_{t_0}(\theta ,\theta )`$. If $`tt_0`$ then:

$`{\displaystyle \frac{\theta }{q_t(\theta ,\theta )}}`$ $``$ $`\sqrt{\pi }\left({\displaystyle \frac{\theta }{\sqrt{t}(c_0c_1\sqrt{t}\theta ^2)}}\mathrm{\hspace{0.17em}1}_{(t\theta ^2)}+{\displaystyle \frac{\theta }{\theta (c_0c_1t\theta )}}\mathrm{\hspace{0.17em}1}_{(\theta ^2t)}\right)`$
$``$ $`{\displaystyle \frac{2\sqrt{\pi }}{c_0}}\left({\displaystyle \frac{1}{\sqrt{t}}}+\mathrm{\hspace{0.17em}1}\right)`$
By symmetry, we obtain that there exists $`C_0>0`$ such that for all $`\theta (0,1)`$:

$$\left(\frac{\theta (1\theta )}{q_t(\theta ,\theta )}\right)^{3/2}C_0\left(\frac{1}{t^{3/4}}1\right),t>0.$$
(22)
Step 2. Fix $`\theta (0,1)`$. By (22), $`U_3^{\theta ,a}`$ is well defined and in $`C_b(H^3)`$. Moreover for all $`\overline{x}H^3`$:

$`\theta ^{3/2}(1\theta )^{3/2}U_3^{\theta ,a}(\overline{x})`$ $`=`$ $`{\displaystyle _0^{\mathrm{}}}e^t\left({\displaystyle \frac{\theta (1\theta )}{2\pi q_t(\theta ,\theta )}}\right)^{3/2}\mathrm{exp}\left({\displaystyle \frac{|e^{tA}\overline{x}(\theta )a|^2}{2q_t(\theta ,\theta )}}\right)𝑑t`$
$``$ $`{\displaystyle \frac{C_0}{(2\pi )^{3/2}}}{\displaystyle _0^{\mathrm{}}}e^t\left({\displaystyle \frac{1}{t^{3/4}}}1\right)𝑑t<\mathrm{},`$
so that (21) is proved. For all $`ϵ>0`$ we set:

$$\overline{f}^ϵ(\overline{y}):=\frac{1}{\omega _3ϵ^3}\mathrm{\hspace{0.17em}1}_{(|\overline{y}(\theta )a|ϵ)},\overline{y}(C_0)^3.$$

Let $`\overline{x}H^3`$. Then:

$`R_3(1)\overline{f}^ϵ(\overline{x})={\displaystyle _0^{\mathrm{}}}e^t{\displaystyle \frac{1}{\omega _3ϵ^3}}\left(|z_3(t,\theta )+e^{tA}\overline{x}(\theta )a|ϵ\right)𝑑t`$
$`={\displaystyle _0^{\mathrm{}}}e^t{\displaystyle \frac{1}{\omega _3ϵ^3}}{\displaystyle _^3}1_{(|\alpha |ϵ)}𝒩(e^{tA}\overline{x}(\theta )a,q_t(\theta ,\theta )I)(d\alpha )𝑑t`$
$`={\displaystyle _0^{\mathrm{}}}𝑑te^t{\displaystyle \frac{1}{\omega _3ϵ^3}}{\displaystyle _{(|\alpha |ϵ)}}{\displaystyle \frac{1}{(2\pi q_t(\theta ,\theta ))^{3/2}}}\mathrm{exp}\left({\displaystyle \frac{|\alpha e^{tA}\overline{x}(\theta )+a|^2}{2q_t(\theta ,\theta )}}\right)𝑑\alpha `$
$`={\displaystyle \frac{1}{\omega _3ϵ^3}}{\displaystyle _{(|\alpha |ϵ)}}\left[{\displaystyle _0^{\mathrm{}}}e^t{\displaystyle \frac{1}{(2\pi q_t(\theta ,\theta ))^{3/2}}}\mathrm{exp}\left({\displaystyle \frac{|\alpha e^{tA}\overline{x}(\theta )+a|^2}{2q_t(\theta ,\theta )}}\right)𝑑t\right]𝑑\alpha `$
$`={\displaystyle \frac{1}{\omega _3ϵ^3}}{\displaystyle _{(|\alpha |ϵ)}}U_3^{\theta ,a+\alpha }(\overline{x})𝑑\alpha .`$ (23)
By (22) and the Dominated Convergence Theorem, we have that for all $`(\theta ,a)(0,1)\times ^3`$:

$$\underset{ϵ0}{lim}R_3(1)\overline{f}^ϵ(\overline{x})=U_3^{\theta ,a}(\overline{x}),\overline{x}H^3,$$
(24)
uniformly for $`\overline{x}`$ in bounded sets of $`H^3`$, and by (22):

$$|R_3(1)\overline{f}^ϵ(\overline{x})|_0^{\mathrm{}}e^t\frac{1}{(2\pi q_t(\theta ,\theta ))^{3/2}}𝑑t<\mathrm{}.$$
(25)
Step 3. Notice that by the Dominated Convergence Theorem the map $`^3\times (0,1)(a,\theta )U_3^{\theta ,a}L^2(\mu _3)`$ is continuous. We want to prove now that $`U_3^{\theta ,a}`$ is in $`W^{1,2}(\mu _3)`$: to this aim we shall prove that $`R_3(1)\overline{f}^ϵ`$ converges to $`U_3^{\theta ,a}`$ in $`W^{1,2}(\mu _3)`$. We define for all $`\overline{x}(C_0)^3`$, $`a^3\backslash \{\overline{x}(\theta )\}`$:

$$𝒰_{\overline{h}}^{\theta ,a}(\overline{x}):=_0^{\mathrm{}}e^t\frac{e^{tA}\overline{h}(\theta )}{(2\pi )^{3/2}(q_t(\theta ,\theta ))^2}\psi \left((e^{tA}\overline{x}(\theta )a)/\sqrt{q_t(\theta ,\theta )}\right)𝑑t,$$

$$\mathrm{where}:\psi :^3^3,\psi (a):=a\mathrm{exp}(\frac{|a|^2}{2}).$$
(26)
Recall now that for all $`\overline{h}H^3`$ and $`\theta (0,1)`$:

$`|e^{tA}\overline{h}(\theta )|e^{tA}|\overline{h}|(\theta )={\displaystyle _0^1}|\overline{h}(\theta ^{})|g_t(\theta ,\theta ^{})𝑑\theta ^{}{\displaystyle _0^1}|\overline{h}(\theta ^{})|G_t(\theta ,\theta ^{})𝑑\theta ^{}`$
$`{\displaystyle \frac{1(2\theta /t)}{\sqrt{2\pi t}}}{\displaystyle _0^1}|\overline{h}(\theta ^{})|\mathrm{exp}\left({\displaystyle \frac{|\theta \theta ^{}|^2}{2t}}\right)𝑑\theta ^{}{\displaystyle \frac{1(2\theta /t)}{t^{1/4}}}\overline{h},`$ (27)
so that:

$$\left|\underset{\overline{h}=1}{sup}𝒰_{\overline{h}}^{\theta ,a}(\overline{x})\right|_0^{\mathrm{}}\frac{e^t}{(q_t(\theta ,\theta ))^2t^{1/4}}\left|\psi \left((e^{tA}\overline{x}(\theta )a)/\sqrt{q_t(\theta ,\theta )}\right)\right|𝑑t.$$

Since $`\overline{\beta }`$ has law $`\mu _3=𝒩(0,Q_{\mathrm{}})`$, then $`e^{tA}\overline{\beta }`$ has law $`𝒩(0,e^{tA}Q_{\mathrm{}}e^{tA})=𝒩(0,Q_{\mathrm{}}Q_t)`$. Then, by (22), and since $`|\psi |1`$:

$`\left(𝔼\left[\right|\underset{\overline{h}=1}{sup}𝒰_{\overline{h}}^{\theta ,a}\left(\overline{\beta }\right)|^2]\right)^{1/2}{\displaystyle _0^{\mathrm{}}}{\displaystyle \frac{e^t}{(q_t(\theta ,\theta ))^2t^{1/4}}}`$
$`\left({\displaystyle _^3}\left|\psi \left(\alpha ^{}/\sqrt{q_t(\theta ,\theta )}\right)\right|^2𝒩(a,q^t(\theta ,\theta )I)(d\alpha ^{})\right)^{1/2}dt`$
$`{\displaystyle _0^{\mathrm{}}}{\displaystyle \frac{e^t}{(q_t(\theta ,\theta ))^2t^{1/4}}}\left\{1\left[\left({\displaystyle \frac{q_t(\theta ,\theta )}{2\pi q^t(\theta ,\theta )}}\right)^{3/4}\psi _{L^2(^3)}\right]\right\}𝑑t`$
$`{\displaystyle \frac{1}{(q^1(\theta ,\theta ))^{3/4}}}{\displaystyle _0^1}{\displaystyle \frac{1}{(q_t(\theta ,\theta ))^{5/4}t^{1/4}}}𝑑t+{\displaystyle \frac{1}{(q_1(\theta ,\theta ))^2}}{\displaystyle _1^{\mathrm{}}}e^t𝑑t<\mathrm{}.`$
Therefore, setting for $`\mu _3`$-a.e. $`\overline{x}`$:

$$𝒰^{\theta ,a}:=_0^{\mathrm{}}e^t\frac{g_t(\theta ,)}{(2\pi )^{3/2}(q_t(\theta ,\theta ))^2}\psi \left((e^{tA}\overline{x}(\theta )a)/\sqrt{q_t(\theta ,\theta )}\right)𝑑t,$$

we have that $`𝒰^{\theta ,a}L^2(H^3,\mu _3;H^3)`$, and $`𝒰^{\theta ,a},\overline{h}=𝒰_{\overline{h}}^{\theta ,a}`$ in $`L^2(\mu _3)`$, for all $`\overline{h}H^3`$. Arguing analogously we have:

$`\left(𝔼[𝒰^{\theta ,a+\alpha }\left(\overline{\beta }\right)𝒰^{\theta ,a}\left(\overline{\beta }\right)^2]\right)^{1/2}{\displaystyle _0^{\mathrm{}}}{\displaystyle \frac{e^t}{(q_t(\theta ,\theta ))^2t^{1/4}}}`$
$`\{1[\left({\displaystyle \frac{q_t(\theta ,\theta )}{2\pi q^t(\theta ,\theta )}}\right)^{3/4}\psi (+\alpha /\sqrt{q_t(\theta ,\theta )})\psi _{L^2(^3)}]\}dt`$ (28)
which tends to $`0`$ as $`\alpha 0`$. Therefore we can differentiate under the integral sign in (2) and obtain:

$$\overline{}R_3(1)\overline{f}^ϵ=\frac{1}{\omega _3ϵ^3}_{(|\alpha |ϵ)}𝒰^{\theta ,a+\alpha }𝑑\alpha ,\mathrm{in}L^2(H^3,\mu _3;H^3).$$

Therefore by (2):

$`{\displaystyle _{H^3}}\overline{}R_3(1)\overline{f}^ϵ𝒰^{\theta ,a}^2𝑑\mu _3`$
$`{\displaystyle \frac{1}{\omega _3ϵ^3}}{\displaystyle _{(|\alpha |ϵ)}}{\displaystyle _{H^3}}𝒰^{\theta ,a+\alpha }𝒰^{\theta ,a}^2𝑑\mu _3𝑑\alpha \mathrm{\hspace{0.17em}0}`$
as $`ϵ0`$. Therefore, $`R_3(1)\overline{f}^ϵ`$ converges to $`U_3^{\theta ,a}`$ in $`L^2(\mu _3)`$ and $`\overline{}R_3(1)\overline{f}^ϵ`$ converges to $`𝒰^{\theta ,a}`$ in $`L^2(H^3,\mu _3;H^3)`$ as $`ϵ0`$. Since $`W^{1,2}(\mu _3)`$ is complete, then $`U_3^{\theta ,a}W^{1,2}(\mu _3)`$, $`\overline{}U_3^{\theta ,a}=𝒰^{\theta ,a}`$ in $`L^2(H^3,\mu _3;H^3)`$ and $`R_3(1)\overline{f}^ϵ`$ converges to $`U_3^{\theta ,a}`$ in $`W^{1,2}(\mu _3)`$ as $`ϵ0`$. Moreover, by (2), (20) is proved.

Step 4. We prove now the last assertion. By symmetry, it is enough to consider the case $`\theta 0`$. Recall that $`\overline{\gamma }^\theta (\overline{x})=|\overline{x}(\theta )|/\sqrt{\theta }`$, $`\overline{x}(C_0)^3`$. Then:

$`\mathrm{\Gamma }_3^\theta (\overline{x})`$ $`:=`$ $`R_3(1)\overline{\gamma }^\theta (\overline{x})={\displaystyle \frac{1}{\sqrt{\theta }}}{\displaystyle _0^{\mathrm{}}}e^t{\displaystyle _^3}|\alpha |𝒩(e^{tA}\overline{x}(\theta ),q_t(\theta ,\theta )I)(d\alpha )𝑑t`$
$`=`$ $`{\displaystyle _0^{\mathrm{}}}e^t\sqrt{{\displaystyle \frac{q_t(\theta ,\theta )}{\theta }}}{\displaystyle _^3}|\alpha |𝒩(e^{tA}\overline{x}(\theta )/\sqrt{q_t(\theta ,\theta )},I)(d\alpha )𝑑t,`$
and:

$`\overline{}\mathrm{\Gamma }_3^\theta (\overline{x})={\displaystyle _0^{\mathrm{}}}e^t\sqrt{{\displaystyle \frac{q_t(\theta ,\theta )}{\theta }}}g_t(\theta ,)`$
$`{\displaystyle _^3}|\alpha |(\alpha e^{tA}\overline{x}(\theta )/\sqrt{q_t(\theta ,\theta )})𝒩(e^{tA}\overline{x}(\theta )/\sqrt{q_t(\theta ,\theta )},I)(d\alpha )dt,`$
for all $`\overline{x}(C_0)^3`$. By (2) and by Schwartz’s inequality:

$$\overline{}\mathrm{\Gamma }_3^\theta (\overline{x})\sqrt{3}_0^{\mathrm{}}e^t\frac{1}{t^{1/4}}\left(1\frac{2\theta }{t}\right)\sqrt{3+\frac{|e^{tA}\overline{x}(\theta )|^2}{q_t(\theta ,\theta )}}𝑑t.$$

By the sub-additivity of the square-root, by (22) and since $`q^t(\theta ,\theta )\theta (1\theta )`$:

$`\left[𝔼\left(\overline{}\mathrm{\Gamma }_3^\theta \left(\overline{\beta }\right)^2\right)\right]^{1/2}\sqrt{3}{\displaystyle _0^{\mathrm{}}}{\displaystyle \frac{e^t}{t^{1/4}}}\left(1{\displaystyle \frac{2\theta }{t}}\right)\left(\sqrt{3}+\sqrt{{\displaystyle \frac{q^t(\theta ,\theta )}{q_t(\theta ,\theta )}}}\right)𝑑t`$
$`\sqrt{3}{\displaystyle _0^{\mathrm{}}}e^t\left(1{\displaystyle \frac{2\theta }{t}}\right)\left({\displaystyle \frac{\sqrt{3}}{t^{1/4}}}+{\displaystyle \frac{(C_0)^{1/3}}{t^{3/4}}}\right)𝑑t\mathrm{\hspace{0.17em}0}`$
as $`\theta 0`$. Since $`\mu _3`$ is invariant for $`z_3`$, we have

$$𝔼\left(\mathrm{\Gamma }_3^\theta \left(\overline{\beta }\right)\right)=\frac{1}{\sqrt{\theta }}𝔼(|\overline{\beta }(\theta )|)=:c_\theta .$$

By the Poincaré inequality for $`\mathrm{\Lambda }^3`$, see , there exists $`C>0`$ such that:

$$𝔼\left(\mathrm{\Gamma }_3^\theta \left(\overline{\beta }\right)c_\theta \right)^2\frac{1}{C}𝔼\left(\overline{}\mathrm{\Gamma }_3^\theta \left(\overline{\beta }\right)^2\right)\mathrm{\hspace{0.17em}0},$$

as $`\theta 0`$, and since:

$`c_\theta ={\displaystyle \frac{4\pi }{\sqrt{\theta }}}{\displaystyle _0^{\mathrm{}}}{\displaystyle \frac{1}{(2\pi \theta (1\theta ))^{3/2}}}r^3\mathrm{exp}\left({\displaystyle \frac{r^2}{2\theta (1\theta )}}\right)𝑑r`$
$`=\sqrt{1\theta }\sqrt{{\displaystyle \frac{2}{\pi }}}{\displaystyle _0^{\mathrm{}}}r^3\mathrm{exp}\left({\displaystyle \frac{r^2}{2}}\right)𝑑r=\sqrt{1\theta }\sqrt{{\displaystyle \frac{8}{\pi }}}\sqrt{{\displaystyle \frac{8}{\pi }}}`$
we obtain that $`\mathrm{\Gamma }_3^\theta `$ converges to $`\sqrt{8/\pi }`$ in $`W^{1,2}(\mu _3)`$ as $`\theta 0`$. $`\mathrm{}`$

## 3 Occupation densities

Following , we set the:

###### Definition 3.1

A pair $`(u,\eta )`$ is said to be a solution of equation (1) with initial value $`xK_0C_0`$, if:

* $`\{u(t,\theta ):(t,\theta )\overline{𝒪}\}`$ is a continuous and adapted process, i.e. $`u(t,\theta )`$ is $`_t`$-measurable for all $`(t,\theta )\overline{𝒪}`$, a.s. $`u(,)`$ is continuous on $`\overline{𝒪}`$, $`u(t,)K_0C_0`$ for all $`t0`$, and $`u(0,)=x`$.
* $`\eta (dt,d\theta )`$ is a random positive measure on $`𝒪`$ such that $`\eta ([0,T]\times [\delta ,1\delta ])<+\mathrm{}`$ for all $`T,\delta >0`$, and $`\eta `$ is adapted, i.e. $`\eta (B)`$ is $`_t`$-measurable for every Borel set $`B[0,t]\times (0,1)`$.
* For all $`t0`$ and $`hD(A)`$

$`u(t,),hx,h{\displaystyle _0^t}u(s,),Ah𝑑s`$
(29)
$`={\displaystyle _0^1}h^{}(\theta )W(t,\theta )𝑑\theta +{\displaystyle _0^t}{\displaystyle _0^1}h(\theta )\eta (ds,d\theta ),\mathrm{a}.\mathrm{s}..`$
* $`_𝒪u𝑑\eta =0`$.

In , existence and uniqueness solutions of equation (1) were proved.

We denote by $`(e(\theta ))_{\theta [0,1]}`$ the 3-Bessel Bridge between $`0`$ and $`0`$, see , and by $`\nu `$ the law on $`K_0`$ of $`e`$. We recall the following result, proved in .

###### Theorem 3.1

Let $`\mathrm{\Phi }_3:H^3=L^2(0,1;^3)K_0`$, $`\mathrm{\Phi }_3(y)(\theta ):=|y(\theta )|_^3`$.

* The process $`u`$ is a Strong-Feller Markov process properly associated with the symmetric Dirichlet Form $``$ in $`L^2(\nu )`$:

$$\frac{1}{2}_{K_0}\phi ,\psi 𝑑\nu ,\phi ,\psi W^{1,2}(\nu ).$$
* The Dirichlet Form $``$ is the image of $`\mathrm{\Lambda }^3`$ under the map $`\mathrm{\Phi }_3`$, i.e. $`\nu `$ is the image $`\mu _3`$ under $`\mathrm{\Phi }_3`$ and:

$$W^{1,2}(\nu )=\{\phi L^2(\nu ):\phi \mathrm{\Phi }_3W^{1,2}(\mu _3)\},$$

$$(\phi ,\psi )=\mathrm{\Lambda }^3(\phi \mathrm{\Phi }_3,\psi \mathrm{\Phi }_3)\phi ,\psi W^{1,2}(\nu ).$$
(30)

We refer to  and  for all basic definitions in the Theory of Dirichlet Forms. Notice that by point 1 in Theorem 3.1 and by Theorem IV.5.1 in , the Dirichlet Form $``$ is quasi-regular. In particular, by the transfer method stated in VI.2 of  we can apply several results of  in our setting.

We recall the definition of an Additive Functional of the Markov process $`u`$. We denote by $`(_x:xK_0)`$ the family the of laws of $`u`$ on $`E:=C([0,\mathrm{});K_0)`$ and the coordinate process on $`K_0`$ by: $`X_t:EK_0`$, $`t0`$, $`X_t(e):=e(t)`$. By a Positive Continuous Additive Functional (PCAF) in the strict sense of $`u`$, we mean a family of functions $`A_t:E^+`$, $`t0`$, such that:

* $`(A_t)_{t0}`$ is adapted to the minimum admissible filtration $`(𝒩_t)_{t0}`$ of $`u`$, see Appendix A.2 in .
* There exists a set $`\mathrm{\Lambda }𝒩_{\mathrm{}}`$ such that $`_x(\mathrm{\Lambda })=1`$ for all $`xK_0`$, $`\theta _t(\mathrm{\Lambda })\mathrm{\Lambda }`$ for all $`t0`$, and for all $`\omega \mathrm{\Lambda }`$: $`tA_t(\omega )`$ is continuous non-decreasing, $`A_0(\omega )=0`$ and for all $`t,s0`$:

$$A_{t+s}(\omega )=A_s(\omega )+A_t(\theta _s\omega ),$$
(31)
where $`(\theta _s)_{s0}`$ is the time-translation semigroup on $`E`$.

Two PCAFs in the strict sense $`A^1`$ and $`A^2`$ are said to be equivalent if

$$_x\left(A_t^1=A_t^2\right)=\mathrm{\hspace{0.17em}1},t>0,xK_0.$$

If $`A`$ is a linear combination of PCAFs in the strict sense of $`u`$, then the Revuz-measure of $`A`$ is a Borel signed measure $`m`$ on $`K_0`$ such that:

$$_{K_0}\phi 𝑑m=_{K_0}𝔼_x\left[_0^1\phi (X_t)𝑑A_t\right]\nu (dx),\phi C_b(K_0).$$

Moreover $`UD()`$ is the 1-potential of a PCAF $`A`$ in the strict sense with Revuz-measure $`m`$, if:

$$_1(U,\phi )=_{K_0}\phi 𝑑m,\phi D()C_b(K_0),$$

where $`_1:=+(,)_{L^2(\nu )}`$. We introduce the following notion of convergence of Positive Continuous Additive Functionals in the strict sense of $`X`$.

###### Definition 3.2

Let $`(A_n(t))_{t0}`$, $`n\{\mathrm{}\}`$, be a sequence of PCAF’s in the strict sense of $`u`$. We say that $`A_n`$ converges to $`A_{\mathrm{}}`$, if:

* For all $`ϵ>0`$ and for all $`xK_0C_0`$:

$$\underset{n\mathrm{}}{lim}A_n(t+ϵ)A_n(ϵ)=A_{\mathrm{}}(t+ϵ)A_{\mathrm{}}(ϵ),$$
(32)
uniformly for $`t`$ in compact sets of $`[0,\mathrm{})`$, $`_x`$-almost surely.
* For $``$-q.e. $`xK_0C_0`$:

$$\underset{n\mathrm{}}{lim}A_n(t)=A_{\mathrm{}}(t),$$
(33)
uniformly for $`t`$ in compact sets of $`[0,\mathrm{})`$, $`_x`$-almost surely.

###### Lemma 3.1

Let $`(A_n(t))_{t0}`$, $`n\{\mathrm{}\}`$, be a sequence of PCAF’s in the strict sense of $`X`$, and let $`U_n`$ be the 1-potential of $`A_n`$, $`n\{\mathrm{}\}`$. If $`U_nU_{\mathrm{}}`$ in $`D()`$, then $`A_n`$ converges to $`A_{\mathrm{}}`$ in the sense of Definition 3.2.

Proof. Since $`U_nU_{\mathrm{}}`$ in $`D()`$, by Corollary 5.2.1 in , we have point 2 of Definition 3.2, i.e. there exists an $``$-exceptional set $`V`$ such that (33) holds for all $`xK_0\backslash V`$. By the Strong Feller property of $`X`$, $`_x`$-a.s. $`X_tE\backslash V`$, for all $`t>0`$ and for all $`xK_0`$, and by the additivity property (32) holds for all $`xK_0`$. $`\mathrm{}`$

###### Remark 3.1

We recall that if $`(A,𝒜)`$ is a measurable space, $`(\mathrm{\Omega },,)`$ a probability space and $`X_n`$ is a sequence of $`𝒜`$-measurable random variables, such that $`X_n(a,)`$ converges in probability for every $`aA`$, then there exists a $`𝒜`$-measurable random variable $`X`$, such that $`X(a,)`$ is the limit in probability of $`X_n(a,)`$ for every $`aA`$.

We can now state the main result of this section:

###### Theorem 3.2

Let $`\theta (0,1)`$, $`a0`$.

* For all $`(\theta ,a)(0,1)\times [0,\mathrm{})`$, there exists a PCAF in the strict sense of $`u`$, $`(l^a(t,\theta ))_{t0}`$, such that $`(l^a(,\theta ))_{\theta (0,1),a[0,\mathrm{})}`$ is continuous in the sense of Definition 3.2 and jointly measurable, and such that for all $`a0`$:

$$l^a(t,\theta )=\underset{ϵ0}{lim}\frac{1}{ϵ}_0^t1_{[a,a+ϵ]}(u(s,\theta ))𝑑s,t0,$$

in the sense of Definition 3.2.
* The Revuz measure of $`l^a(,\theta )`$ is:

$$\sqrt{\frac{2}{\pi \theta ^3(1\theta )^3}}a^2\mathrm{exp}\left(\frac{a^2}{2\theta (1\theta )}\right)\nu (dx|x(\theta )=a),a0,$$

and in particular $`l^0(,\theta )0`$. Moreover, $`l^a(,\theta )`$ increases only on $`\{t:u(t,\theta )=a\}`$.
* The following occupation times formula holds for all $`\theta (0,1)`$:

$$_0^tF(u(s,\theta ))𝑑s=_0^{\mathrm{}}F(a)l^a(t,\theta )𝑑a,FB_b(),t0.$$
(34)

For an overview on existence of occupation densities see .

We set $`\mathrm{\Lambda }_1^3:=\mathrm{\Lambda }^3+(,)_{L^2(\mu _3)}`$, $`_1:=+(,)_{L^2(\nu )}`$. For all $`f:H`$ bounded and Borel and for all $`xK_0C_0`$ we introduce the 1-resolvent of $`u`$:

$$R(1)f(x)=_0^{\mathrm{}}e^t𝔼_x\left[f(X_t)\right]𝑑t,$$

where $`𝔼_x`$ denotes the expectation w.r.t. the law of the solution $`u`$ of (1) with initial value $`x`$. The next Lemma gives the projection principle from the Dirichlet space $`W^{1,2}(\mu _3)`$, associated with the Gaussian process $`z_3`$, to the Dirichlet space $`W^{1,2}(\nu )`$ of the solution $`u`$ of the SPDE with reflection (1).

###### Lemma 3.2

There exists a unique bounded linear operator $`\mathrm{\Pi }:W^{1,2}(\mu _3)W^{1,2}(\nu )`$, such that for all $`F,GW^{1,2}(\mu _3)`$ and $`fW^{1,2}(\nu )`$:

$$\mathrm{\Lambda }_1^3(F,f\mathrm{\Phi }_3)=_1(\mathrm{\Pi }F,f),$$
(35)
$$\mathrm{\Lambda }_1^3((\mathrm{\Pi }F)\mathrm{\Phi }_3,G)=\mathrm{\Lambda }_1^3(F,(\mathrm{\Pi }G)\mathrm{\Phi }_3).$$
(36)
In particular, we have that for all $`\phi L^2(\nu )`$ and $`FW^{1,2}(\mu _3)`$:

$$R(1)\phi =\mathrm{\Pi }\left(R_3(1)\left[\phi \mathrm{\Phi }_3\right]\right),$$
(37)
$$\mathrm{\Pi }F__1F_{\mathrm{\Lambda }_1^3}.$$
(38)
Finally, $`\mathrm{\Pi }`$ is Markovian, i.e. $`\mathrm{\Pi }1=1`$ and:

$$FW^{1,2}(\mu _3),0F10\mathrm{\Pi }F1.$$
(39)
Proof. Let $`𝒟:=\{\phi \mathrm{\Phi }_3:\phi W^{1,2}(\nu )\}W^{1,2}(\mu _3)`$. Let $`W^{1,2}(\mu _3)`$ be endowed with the scalar product $`\mathrm{\Lambda }_1^3`$: then, by (30), $`𝒟`$ is a closed subspace of $`W^{1,2}(\mu _3)`$. Therefore there exists a unique bounded linear projector $`\widehat{\mathrm{\Pi }}:W^{1,2}(\mu _3)𝒟`$, symmetric with respect to the scalar product $`\mathrm{\Lambda }_1^3`$. For all $`FW^{1,2}(\mu _3)`$ we set $`\mathrm{\Pi }F:=f`$ where $`f`$ is the unique element of $`W^{1,2}(\nu )`$ such that $`f\mathrm{\Phi }_3=\widehat{\mathrm{\Pi }}F`$. Then (35) and (36) are satisfied by construction. Let now $`\phi ,\psi W^{1,2}(\nu )`$. Then by (30):

$`_1(R(1)\phi ,\psi )={\displaystyle _{K_0}}\phi \psi 𝑑\nu ={\displaystyle _{H^3}}(\phi \mathrm{\Phi }_3)(\psi \mathrm{\Phi }_3)𝑑\mu _3`$
$`=\mathrm{\Lambda }_1^3(R_3(1)\left[\phi \mathrm{\Phi }_3\right],\psi \mathrm{\Phi }_3)=\mathrm{\Lambda }_1^3(\widehat{\mathrm{\Pi }}R_3(1)\left[\phi \mathrm{\Phi }_3\right],\psi \mathrm{\Phi }_3)`$
$`=_1(\mathrm{\Pi }R_3(1)\left[\phi \mathrm{\Phi }_3\right],\psi ),`$
which implies (37). Then, since $`\widehat{\mathrm{\Pi }}`$ is a symmetric projector:

$$\mathrm{\Pi }F__1=\widehat{\mathrm{\Pi }}F_{\mathrm{\Lambda }_1^3}F_{\mathrm{\Lambda }_1^3},$$

so that (38) is proved. Notice now that $`1𝒟`$, so that obviously $`\mathrm{\Pi }1=1`$. Moreover, recall that $`\widehat{\mathrm{\Pi }}F`$ is characterized by the property:

$$\widehat{\mathrm{\Pi }}F𝒟,\mathrm{\Lambda }_1^3(F\widehat{\mathrm{\Pi }}F,G)=\mathrm{\hspace{0.17em}0},G𝒟.$$

Let $`FW^{1,2}(\mu _3)`$ such that $`F0`$. Since $``$ is a Dirichlet Form, then $`(\widehat{\mathrm{\Pi }}F)^{}:=(\widehat{\mathrm{\Pi }}F)0`$ still belongs to $`𝒟`$, and since $`\mathrm{\Lambda }_1^3`$ is a Dirichlet Form:

$$0=\mathrm{\Lambda }_1^3(F\widehat{\mathrm{\Pi }}F,(\widehat{\mathrm{\Pi }}F)^{})=\mathrm{\Lambda }_1^3(F,(\widehat{\mathrm{\Pi }}F)^{})+(\widehat{\mathrm{\Pi }}F)^{}_{\mathrm{\Lambda }_1^3}^2(\widehat{\mathrm{\Pi }}F)^{}_{\mathrm{\Lambda }_1^3}^2,$$

so that $`\widehat{\mathrm{\Pi }}F0`$, and (39) follows. $`\mathrm{}`$

Proof of Theorem 3.2. Let $`a0`$. For all $`ϵ>0`$ we set:

$$f^ϵ(y):=\frac{1}{ϵ}\mathrm{\hspace{0.17em}1}_{[a,a+ϵ]}(y(\theta )),yK_0C_0.$$

By Lemma 3.2, we have that:

$`R(1)f^ϵ`$ $`=`$ $`\mathrm{\Pi }\left(R_3(1)\left[f^ϵ\mathrm{\Phi }_3\right]\right)={\displaystyle \frac{1}{ϵ}}{\displaystyle _{(a|\alpha |a+ϵ)}}\mathrm{\Pi }\left(U_3^{\theta ,a+\alpha }\right)𝑑\alpha `$
$`=`$ $`{\displaystyle \frac{1}{ϵ}}{\displaystyle _a^{a+ϵ}}r^2𝑑r{\displaystyle _{𝕊^2}}\mathrm{\Pi }\left(U_3^{\theta ,rn}\right)^2(dn),`$
where $`^2`$ is the $`2`$-dimensional Hausdorff measure, $`U_3^{\theta ,an}`$ is the 1-potential in $`W^{1,2}(\mu _3)`$ defined by (19) and $`\mathrm{\Pi }`$ is the operator defined in Lemma 3.2. By (20) above, the map $`rU_3^{\theta ,rn}W^{1,2}(\mu _3)`$ is continuous. Let $`U^{\theta ,a}W^{1,2}(\nu )`$ be defined by:

$$U^{\theta ,a}:=a^2_{𝕊^2}\mathrm{\Pi }\left(U_3^{\theta ,an}\right)^2(dn),a0.$$

By (38) we have that $`R(1)f^ϵ`$ converges to $`U^{\theta ,a}`$ in $`W^{1,2}(\nu )`$ as $`ϵ0`$. For all $`ϵ>0`$ and $`\phi W^{1,2}(\nu )C_b(K_0)`$ we have:

$$_1(R(1)f^ϵ,\phi )=_{K_0}f^ϵ\phi 𝑑\nu =\frac{1}{ϵ}𝔼\left[\phi (e)\mathrm{\hspace{0.17em}1}_{[a,a+ϵ]}(e(\theta ))\right],$$

where the law of $`e`$ is $`\nu `$ and $`_1=+(,)_{L^2(\nu )}`$. Letting $`ϵ0`$ we get:

$`_1(U^{\theta ,a},\phi )=\underset{ϵ0}{lim}{\displaystyle \frac{1}{ϵ}}𝔼\left[\phi (e)\mathrm{\hspace{0.17em}1}_{[a,a+ϵ]}(e(\theta ))\right]`$
$`=\sqrt{{\displaystyle \frac{2}{\pi \theta ^3(1\theta )^3}}}a^2\mathrm{exp}\left({\displaystyle \frac{a^2}{2\theta (1\theta )}}\right)𝔼\left[\phi (e)|e(\theta )=a\right].`$ (40)
By Lemma 3.2, $`\mathrm{\Pi }`$ is a Markovian operator and by (21) in Proposition 2.1 the family $`(U_3^{\theta ,an}:n𝕊^2)`$ is uniformly bounded in the supremum-norm. Therefore, $`U^{\theta ,a}`$ is bounded, and by (3) $`U^{\theta ,a}`$ is the 1-potential of a non-negative finite measure. By Theorem 5.1.6 in , there exists a PCAF $`(l^a(t,\theta ))_{t0}`$ in the strict sense of $`u`$, with 1-potential equal to $`U^{\theta ,a}`$ and with Revuz-measure given by (3). Notice now that $`R(1)f^ϵ`$ is the 1-potential of the following PCAF in the strict sense of $`u`$:

$$t\frac{1}{ϵ}_0^t1_{[a,a+ϵ]}(u(s,\theta ))𝑑s,t0.$$

Therefore, points 1 and 2 of Theorem 3.2 are proved by (20), Lemma 3.1 and Remark 3.1. To prove the last assertion of point 2, just notice that the following PCAF of $`u`$:

$$t_0^t|u(s,\theta )a|l^a(ds,\theta ),$$

has Revuz measure:

$$\sqrt{\frac{2}{\pi \theta ^3(1\theta )^3}}a^2\mathrm{exp}\left(\frac{a^2}{2\theta (1\theta )}\right)|x(\theta )a|\nu (dx|x(\theta )=a)\mathrm{\hspace{0.17em}0}.$$

To prove point 3 it is enough to notice that the PCAF of $`u`$ in the left hand-side of (34) has 1-potential $`R(1)F_\theta `$, where $`F_\theta (y):=F(y(\theta ))`$, $`yK_0C_0`$, and the PCAF in the right hand side has 1-potential:

$`{\displaystyle _0^{\mathrm{}}}r^2F(r)𝑑r{\displaystyle _{𝕊^2}}\mathrm{\Pi }\left(U_3^{\theta ,rn}\right)^2(dn)=\mathrm{\Pi }\left({\displaystyle _^3}F(|\alpha |)U_3^{\theta ,\alpha }𝑑\alpha \right)`$
$`=\mathrm{\Pi }\left(R_3(1)[F_\theta \mathrm{\Phi }_3]\right)=R(1)F_\theta .`$
Since $`R(1)F_\theta `$ is bounded, then, arguing like in Theorem 5.1.6 of , the two processes in (34) coincide as PCAF’s in the strict sense. $`\mathrm{}`$

## 4 The reflecting measure $`\eta `$

Recall that $`\eta `$ is the reflecting measure on $`𝒪=[0,\mathrm{})\times (0,1)`$ which appears in equation (1). The main result of this section is the following:

###### Theorem 4.1

Let $`\theta (0,1)`$, $`a0`$.

* For all $`\theta (0,1)`$, there exists a PCAF in the strict sense $`(l(t,\theta ))_{t0}`$ of $`u`$, such that $`(l(,\theta ))_{\theta (0,1)}`$ is continuous in the sense of Definition 3.2 and jointly measurable, and such that:

$$l(t,\theta )=\underset{ϵ0}{lim}\frac{3}{ϵ^3}_0^t1_{[0,ϵ]}(u(s,\theta ))𝑑s,$$

in the sense of Definition 3.2.
* The PCAF $`(l(t,\theta ))_{t0}`$ has Revuz measure:

$$\sqrt{\frac{2}{\pi \theta ^3(1\theta )^3}}\nu (dx|x(\theta )=0),$$

and increases only on $`\{t:u(t,\theta )=0\}`$.
* We have:

$$l(t,\theta )=\underset{a0}{lim}\frac{1}{a^2}l^a(t,\theta )$$

in the sense of Definition 3.2.
* For all $`t0`$ and $`xK_0`$, $`\eta ([0,t],d\theta )`$ is absolutely continuous w.r.t. the Lebesgue measure $`d\theta `$ and:

$$\eta ([0,t],d\theta )=\frac{1}{4}l(t,\theta )d\theta .$$
(41)
* For all $`a(0,1)`$:

$$\underset{ϵ0}{lim}\sqrt{ϵ}_0^a\left(1\frac{\theta }{ϵ}\right)\eta ([0,t],d\theta )=\sqrt{\frac{2}{\pi }}t,$$

$$\underset{ϵ0}{lim}\sqrt{ϵ}_a^1\left(1\frac{1\theta }{ϵ}\right)\eta ([0,t],d\theta )=\sqrt{\frac{2}{\pi }}t$$

in the sense of Definition 3.2.

Proof. For all $`ϵ>0`$ we set:

$$g^ϵ(y):=\frac{3}{ϵ^3}\mathrm{\hspace{0.17em}1}_{[0,ϵ]}(y(\theta )),yK_0C_0.$$

By Lemma 3.2, we have that:

$`R(1)g^ϵ`$ $`=`$ $`\mathrm{\Pi }\left(R_3(1)\left[g^ϵ\mathrm{\Phi }_3\right]\right)={\displaystyle \frac{3}{ϵ^3}}{\displaystyle _{(|\alpha |ϵ)}}\mathrm{\Pi }\left(U_3^{\theta ,\alpha }\right)𝑑\alpha `$
$`=`$ $`{\displaystyle \frac{3}{ϵ^3}}{\displaystyle _0^ϵ}r^2𝑑r{\displaystyle _{𝕊^2}}\mathrm{\Pi }\left(U_3^{\theta ,rn}\right)^2(dn).`$
By Lemma 3.2, $`R(1)g^ϵ`$ converges in $`W^{1,2}(\nu )`$ as $`ϵ0`$ to:

$$U^\theta :=\mathrm{\hspace{0.17em}4}\pi \mathrm{\Pi }\left(U_3^{\theta ,0}\right),a0.$$

For all $`ϵ>0`$ and $`\phi W^{1,2}(\nu )C_b(K_0)`$ we have:

$$_1(R(1)g^ϵ,\phi )=_{K_0}g^ϵ\phi 𝑑\nu =\frac{3}{ϵ^3}𝔼\left[\phi (e)\mathrm{\hspace{0.17em}1}_{[0,ϵ]}(e(\theta ))\right],$$

and letting $`ϵ0`$ we get:

$`_1(U^\theta ,\phi )=\underset{ϵ0}{lim}{\displaystyle \frac{3}{ϵ^3}}𝔼\left[\phi (e)\mathrm{\hspace{0.17em}1}_{[0,ϵ]}(e(\theta ))\right]`$
$`=\sqrt{{\displaystyle \frac{2}{\pi \theta ^3(1\theta )^3}}}𝔼\left[\phi (e)|e(\theta )=0\right].`$ (42)
Since $`\mathrm{\Pi }`$ is Markovian, by (21) $`U^\theta `$ is bounded, and by (4) $`U^\theta `$ is the 1-potential of a non-negative finite measure. By Theorem 5.1.6 in , there exists a PCAF $`(l(t,\theta ))_{t0}`$ in the strict sense of $`u`$, with 1-potential equal to $`U^\theta `$ and with Revuz-measure given by (4). Since $`R(1)g^ϵ`$ is the 1-potential of the following PCAF of $`u`$:

$$t\frac{3}{ϵ^3}_0^t1_{[0,ϵ]}(u(s,\theta ))𝑑s,t0,$$

then, points 1 and 2 of Theorem 4.1 are proved by (20), Lemma 3.1 and Remark 3.1. To prove the last assertion of point 2, just notice that the following PCAF of $`u`$:

$$t_0^tu(s,\theta )l(ds,\theta ),$$

has Revuz measure:

$$\sqrt{\frac{2}{\pi \theta ^3(1\theta )^3}}x(\theta )\nu (dx|x(\theta )=0)\mathrm{\hspace{0.17em}0}.$$

From the Proof of Theorem 3.2, we know that the 1-potential of $`l^a(,\theta )`$ is:

$$U^{\theta ,a}=a^2_{𝕊^2}\mathrm{\Pi }\left(U_3^{\theta ,an}\right)^2(dn),a0.$$

Then $`U^{\theta ,a}/a^2`$ converges as $`a0`$ to $`U^\theta `$ in $`W^{1,2}(\nu )`$. Since $`U^{\theta ,a}/a^2`$ is the 1-potential of $`l^a(,\theta )/a^2`$, by Lemma 3.1 point 3 of Theorem 4.1 is proved. Let now $`I(0,1)`$ be Borel. Notice that the following PCAF in the strict sense of $`u`$:

$$t\frac{1}{4}_Il(t,\theta )𝑑\theta $$
(43)
has Revuz measure:

$$\frac{1}{2}_I\frac{1}{\sqrt{2\pi \theta ^3(1\theta )^3}}\nu (dx|x(\theta )=0)𝑑\theta ,$$
(44)
and 1-potential equal to:

$$\frac{1}{4}U^I:=\frac{1}{4}_IU^\theta 𝑑\theta .$$

On the other hand, it was proved in Theorem 7 of  that the PCAF in the strict sense of $`u`$:

$$t\eta ([0,t]\times I)$$
(45)
has Revuz measure equal to (44). Therefore, by Theorem 5.1.6 in , the two PCAFs of $`u`$ in (43) and (45) coincide, and since $`U^I`$ is a bounded 1-potential then they coincide as PCAFs in the strict sense. Therefore point 4 is proved. We prove now the last assertion. For all $`ϵ(0,1/2)`$ set $`h_ϵ:[0,1][0,1]`$:

$$h_ϵ(\theta ):=\sqrt{ϵ}\left(\left(1\frac{\theta }{ϵ}\right)1_{[0,1/2]}(\theta )+\mathrm{\hspace{0.17em}4}\theta (1\theta )\mathrm{\hspace{0.17em}1}_{[1/2,1]}(\theta )\right).$$

Then $`h_ϵ`$ is concave and continuous on $`[0,1]`$, with:

$$h_ϵ^{\prime \prime }(d\theta )=\frac{1}{\sqrt{ϵ}}\delta _ϵ(d\theta )\sqrt{ϵ}\mathrm{\hspace{0.17em}8\hspace{0.17em}1}_{[1/2,1]}(\theta )d\theta ,$$

where $`\delta _ϵ`$ is the Dirac mass at $`ϵ`$. Moreover $`h_ϵ(0)=h_ϵ(1)=0`$ and $`h_ϵ0`$ uniformly on $`[0,1]`$ as $`ϵ0`$. By ((iii)) we have then:

$$\underset{ϵ0}{lim}\left(\frac{1}{2\sqrt{ϵ}}_0^tu(s,ϵ)𝑑s\sqrt{ϵ}_0^{1/2}\left(1\frac{\theta }{ϵ}\right)\eta ([0,t],d\theta )\right)=\mathrm{\hspace{0.17em}0}.$$
(46)
Recall the definition of $`\overline{\gamma }^\theta `$ given in point 2 of Proposition 2.1. We set $`\gamma ^ϵ:K_0C_0`$, $`\gamma ^ϵ(x):=x(ϵ)/\sqrt{ϵ}`$. Then, by Lemma 3.2 we have that $`R(1)\gamma ^ϵ=\mathrm{\Pi }\left(R_3(1)\overline{\gamma }^ϵ\right)`$. By point 2 of Proposition 2.1 and by Lemma 3.2, we obtain that $`R(1)\gamma ^ϵ`$ converges to $`\sqrt{8/\pi }`$ in $`W^{1,2}(\nu )`$. Therefore, by Lemma 3.1:

$$\underset{ϵ0}{lim}\frac{1}{2\sqrt{ϵ}}_0^tu(s,ϵ)𝑑s=\sqrt{\frac{2}{\pi }}t,$$

in the sense of Definition 3.2, and by (46) point 5 is proved. $`\mathrm{}`$

###### Corollary 4.1

For all $`xK_0C_0`$, a.s. the set:

$$S:=\{s>0:\theta (0,1),u(s,\theta )=0\}$$

is dense in $`^+`$ and has zero Lebesgue measure.

Proof. By Point 5 in Theorem 4.1, for all $`xK_0C_0`$, a.s. for all $`t>0`$ we have $`\eta ([0,t]\times (0,1))=+\mathrm{}`$, so that in particular $`\eta ([0,t]\times (0,1))>0`$. By (iv) in Definition 3.1 the support of $`\eta `$ is contained in the set $`\{u=0\}`$, so that for all $`t>0`$ there exists $`s(0,t)S`$. By the Markov property, for all $`q`$ and all $`t>q`$, there exists $`s(q,t)S`$, which implies the density of $`S`$ in $`^+`$. To prove that $`S`$ has zero Lebesgue measure, recall that the law of $`u(t,)`$ is absolutely continuous w.r.t. $`\nu `$ for all $`t>0`$, and $`\nu (x:\theta (0,1),x(\theta )=0)=0`$. Then, if $`^1`$ is the Lebesgue measure on $``$:

$$𝔼_x\left[^1(S)\right]=_0^{\mathrm{}}𝔼_x\left[1_S(t)\right]dt=_0^{\mathrm{}}(\theta (0,1),u(t,\theta )=0)dt=0.\mathrm{}$$

Notice now that, by Points 2 and 4 of Theorem 4.1, equation (1) can be formally written in the following form:

$$\{\begin{array}{cc}u(t,\theta )=x(\theta )+\frac{1}{2}_0^t\frac{^2u}{\theta ^2}(s,\theta )𝑑s+\frac{W}{\theta }(t,\theta )+\frac{1}{4}l(t,\theta )\hfill & \\ & \\ u(t,0)=u(t,1)=0\hfill & \\ & \\ u0,l(dt,\theta )0,_0^{\mathrm{}}u(t,\theta )l(dt,\theta )=0,\theta (0,1),\hfill & \end{array}$$
(47)
where, as usual, the first line is rigorously defined after taking the scalar product in $`H`$ between each term and any $`hD(A)`$. Formula (47) allows to interpret $`(u(,\theta ),l(,\theta ))_{\theta (0,1)}`$ as solution of a system of 1-dimensional Skorohod problems, parametrized by $`\theta (0,1)`$. This fact is reminiscent of the result of Funaki and Olla who proved in  that the stationary solution of a certain system of 1-dimensional Skorohod problems converges under a suitable rescaling to the stationary solution of (1).

Finally, we show that $`u`$ satisfies a closed formula and that equation (1) is related to a fully non-linear equation. Let $`(w(t,\theta ))_{t0,\theta [0,1]}`$ be the Stochastic Convolution:

$$w(t,\theta ):=_0^t_0^1g_{ts}(\theta ,\theta ^{})W(ds,d\theta ^{}),$$

solution of:

$$\{\begin{array}{cc}w(t,\theta )=\frac{1}{2}_0^t\frac{^2w}{\theta ^2}(s,\theta )𝑑s+\frac{W}{\theta }(t,\theta )\hfill & \\ & \\ w(t,0)=w(t,1)=0\hfill & \end{array}$$
(48)
Subtracting the first line of (47) and the first line of (48), we obtain that:

$$(t,\theta )\frac{1}{2}\frac{^2}{\theta ^2}_0^t\left(u(s,\theta )w(s,\theta )\right)𝑑s$$

is in $`L_{loc}^1((0,1);`$ $`C([0,T]))`$ for all $`T>0`$, i.e. admits a measurable version which is continuous in $`t`$ for all $`\theta (0,1)`$ and such that the sup-norm in $`t[0,T]`$ is locally integrabile in $`\theta `$. Then, we can write:

$$\{\begin{array}{cc}u(t,\theta )=x(\theta )+w(t,\theta )+\frac{1}{2}\frac{^2}{\theta ^2}_0^t\left(uw\right)(s,\theta )𝑑s+\frac{1}{4}l(t,\theta )\hfill & \\ & \\ u(t,0)=u(t,1)=0\hfill & \\ & \\ u0,l(dt,\theta )0,_0^{\mathrm{}}u(t,\theta )l(dt,\theta )=0,\theta (0,1),\hfill & \end{array}$$
(49)
where every term is now well-defined and continuous in $`t`$, and we can apply Skorohod’s Lemma (see Lemma VI.2.1 in ) for fixed $`\theta (0,1)`$, obtaining:

$$\frac{1}{4}l(t,\theta )=\underset{st}{sup}\left[\left(x(\theta )+w(s,\theta )+\frac{1}{2}\frac{^2}{\theta ^2}_0^s\left(uw\right)(r,\theta )𝑑r\right)\right]0,$$
(50)
for all $`t0`$, $`\theta (0,1)`$. Therefore we have the following:

###### Corollary 4.2

For all $`xK_0C_0`$, a.s. $`u`$ satisfies the closed formula:

$`u(t,\theta )`$ $`=`$ $`x(\theta )+w(t,\theta )+{\displaystyle \frac{1}{2}}{\displaystyle \frac{^2}{\theta ^2}}{\displaystyle _0^t}\left(u(s,\theta )w(s,\theta )\right)𝑑s`$
$`+`$ $`\underset{st}{sup}\left[\left(x(\theta )+w(s,\theta )+{\displaystyle \frac{1}{2}}{\displaystyle \frac{^2}{\theta ^2}}{\displaystyle _0^s}\left(u(r,\theta )w(r,\theta )\right)𝑑r\right)\right]0,`$
for all $`t0`$, $`\theta (0,1)`$. In particular $`v`$, defined by:

$$v(t,\theta ):=_0^t\left(u(s,\theta )w(s,\theta )\right)𝑑s,$$

is solution of the following fully non-linear equation:

$$\{\begin{array}{cc}\frac{v}{t}=\frac{1}{2}\frac{^2v}{\theta ^2}+x(\theta )+\underset{st}{sup}\left[\left(x(\theta )+w(s,\theta )+\frac{1}{2}\frac{^2v}{\theta ^2}(s,\theta )\right)\right]0\hfill & \\ & \\ v(0,)=0,v(t,0)=v(t,1)=0,\hfill & \end{array}$$
(52)
unique in $`𝒱:=\{v^{}:\overline{𝒪}`$ continuous: $`v^{}/t`$ continuous, $`^2v^{}/\theta ^2L_{loc}^1((0,1);`$ $`C([0,T]))`$ for all $`T>0\}`$.

The uniqueness of solutions of equation (52) in $`𝒱`$ is a consequence of the pathwise uniqueness of solutions of equation (1), proved in : indeed, if $`v^{}𝒱`$ is a solution of (52), then setting

$$u^{}(t,\theta ):=\frac{v^{}}{t}(t,\theta )+w(t,\theta ),$$

$$\eta ^{}(dt,d\theta ):=d_t\left\{\underset{st}{sup}\left[\left(x(\theta )+w(s,\theta )+\frac{1}{2}\frac{^2v^{}}{\theta ^2}(s,\theta )\right)\right]0\right\}d\theta $$

and repeating the above arguments backwards, we obtain that $`(u^{},\eta ^{})`$ is a weak solution of (1), so that $`u^{}=u`$ and therefore $`v^{}=v`$.

Notice that, by point 5 in Theorem 4.1, by (41)-(50)-(52) and by the continuity of $`v/t`$ on $`\overline{𝒪}`$, then, for all $`t>0`$, $`^2v/\theta ^2(t,)`$ is not in $`L^1(0,1)`$, so that by the uniqueness a $`C^{1,2}(\overline{𝒪})`$ solution of (52) does not exist.