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# Radiative Generation of the LMA Solution from Small Solar Neutrino Mixing at the GUT Scale

## 1 Introduction

To compare experimental results with predictions from models defined at a high energy scale, it is essential to evolve the parameters of the models from high to low energies by the Renormalization Group Equations (RGE’s). At present, in the lepton sector the LMA solution of the solar neutrino problem with a large but non-maximal value of the solar mixing angle $`\theta _{12}`$ is strongly favored by the experiments . On the other hand, the mixing angles in the quark sector are found to be small. It is therefore interesting to investigate if this discrepancy can be explained by the RG evolution of the lepton mixing angles, i.e. by increasing them via RG running.

The possibility of increasing a small atmospheric mixing angle $`\theta _{23}`$ by RG effects has been considered in . The running of the solar mixing angle $`\theta _{12}`$, starting at the mass scale of the heavy sterile neutrinos, was investigated in . Other authors who studied the 3 neutrino case focused on nearly degenerate neutrinos , on the existence of fixed points , or on the effect of Majorana phases on the RG evolution of mixing angles .

We consider the see-saw scenario , i.e. the Standard Model (SM) or the Minimal Supersymmetric extension of the SM (MSSM) extended by 3 heavy neutrinos that are singlets under the SM gauge groups and have large explicit (Majorana) masses with a non-degenerate spectrum. Due to this non-degeneracy, one has to use several effective theories with the singlets partly integrated out when studying the evolution of the effective mass matrix of the light neutrinos . Below the lowest mass threshold the neutrino mass matrix is given by the effective dimension 5 neutrino mass operator in the SM or MSSM. The relevant RGE’s were derived in . Note that in a realistic GUT model, there can be contributions to the $`\beta `$-functions from additional particles and couplings below the GUT scale.

In a recent study , we showed that starting with bimaximal mixing at the GUT scale, the large solar mixing of the LMA solution can be explained as an effect of the RG evolution of the mixing angles. A key observation was that with bimaximal mixing and vanishing CP phases, the solar mixing angle changes considerably, while the evolution of the other angles is comparatively small.

In this paper, we assume arbitrary solar mixing $`\theta _{12}`$, maximal atmospheric mixing $`\theta _{23}`$ and vanishing $`\theta _{13}`$ at the GUT scale. Especially interesting is the configuration with zero $`\theta _{12}`$, which we examine in detail. In this study, we restrict ourselves to the case of vanishing CP phases and positive eigenvalues of the effective neutrino mass matrix at the GUT scale. We calculate the RG running numerically in order to obtain the mixing angles at low energy and to compare them with the experimentally favored values. Extending the analysis of , we find that the evolution of the solar mixing angle is much larger than the evolution of the other angles. Again, most of the running of the mixing angles takes place between and above the see-saw scales, which shows the importance of carefully studying the RG behavior in these regions. We derive analytic formulae, which help to understand this effect. The LMA solution of the solar neutrino problem can thus be obtained in a natural way from small or even vanishing solar mixing at the GUT scale.

## 2 Solving the RGE’s

To evolve the lepton mixing angles and neutrino masses from the GUT scale to the electroweak (EW) or Supersymmetry (SUSY)-breaking scale in a see-saw model, a series of effective theories has to be used. These are obtained by successively integrating out the heavy singlets at their mass thresholds, which are non-degenerate in general. The derivation of the RGE’s and the method for dealing with these effective theories are given in . Starting at the GUT scale, the strategy is to solve the systems of coupled differential equations of the form

$`\mu {\displaystyle \frac{\mathrm{d}}{\mathrm{d}\mu }}\stackrel{\left(n\right)}{X}_i=\stackrel{\left(n\right)}{\beta }_{X_i}(\{\stackrel{\left(n\right)}{X}_j\})`$ (1)
for all the parameters $`\stackrel{\left(n\right)}{X}_i\{\stackrel{\left(n\right)}{\kappa },\stackrel{\left(n\right)}{Y_\nu },\stackrel{\left(n\right)}{M},\mathrm{}\}`$ of the theory in the energy ranges corresponding to the effective theories denoted by $`(n)`$. At each see-saw scale, tree-level matching is performed. Due to the complicated structure of the set of differential equations, the exact solution can only be obtained numerically. However, to understand certain features of the RG evolution, an analytic approximation at the GUT scale will be derived in section 2.2.

### 2.1 Initial Conditions at the GUT Scale

At the GUT scale $`M_{\mathrm{GUT}}`$, we assume maximal atmospheric mixing $`\theta _{23}`$ and vanishing $`\theta _{13}`$. We restrict ourselves to the case of positive mass eigenvalues and real parameters, so that there is no CP violation. In the basis where the charged lepton Yukawa matrix is diagonal, up to phase conventions the effective Majorana mass matrix of the light neutrinos is given by

$`m_\nu |_{M_{\mathrm{GUT}}}=V(\theta _{12},0,\frac{\pi }{4})m_{\mathrm{diag}}|_{M_{\mathrm{GUT}}}V^T(\theta _{12},0,\frac{\pi }{4}),`$ (2)
with $`m_{\mathrm{diag}}|_{M_{\mathrm{GUT}}}:=\mathrm{diag}(m_1|_{M_{\mathrm{GUT}}},m_2|_{M_{\mathrm{GUT}}},m_3|_{M_{\mathrm{GUT}}})`$ and where

$$V(\theta _{12},\theta _{13},\theta _{23})=\left(\begin{array}{ccc}c_{12}c_{13}& s_{12}c_{13}& s_{13}\\ c_{23}s_{12}s_{23}s_{13}c_{12}& c_{23}c_{12}s_{23}s_{13}s_{12}& s_{23}c_{13}\\ s_{23}s_{12}c_{23}s_{13}c_{12}& s_{23}c_{12}c_{23}s_{13}s_{12}& c_{23}c_{13}\end{array}\right)$$
(3)
with $`s_{ij}=\mathrm{sin}\theta _{ij}`$ and $`c_{ij}=\mathrm{cos}\theta _{ij}`$ is the (orthogonal) MNS matrix  in standard parametrization. In our see-saw scenario, the effective mass matrix of the light neutrinos is

$$m_\nu =\frac{v_{\mathrm{EW}}^2}{2}Y_\nu ^TM^1Y_\nu $$
(4)
at the high-energy scale, with $`\varphi =\frac{v_{\mathrm{EW}}}{\sqrt{2}}174`$ GeV. Obviously, the neutrino Yukawa matrix $`Y_\nu `$ and the singlet mass matrix $`M`$ cannot be determined uniquely from this relation, i.e. there is a set of $`\{Y_\nu ,M\}`$ configurations that yield single maximal mixing. After choosing an initial condition for $`Y_\nu `$, $`M`$ is fixed by the see-saw formula (4) if $`Y_\nu `$ is invertible. This determines the see-saw scales and thus the ranges of the various effective theories.

### 2.2 Analytic Calculations

The RGE for $`m_\nu `$ above the largest see-saw scale is given by

$`16\pi ^2\mu {\displaystyle \frac{\mathrm{d}}{\mathrm{d}\mu }}m_\nu `$ $`=`$ $`C_e\left[Y_e^{}Y_e\right]^Tm_\nu +C_em_\nu \left[Y_e^{}Y_e\right]`$ (5)
$`+C_\nu \left[Y_\nu ^{}Y_\nu \right]^Tm_\nu +C_\nu m_\nu \left[Y_\nu ^{}Y_\nu \right]`$
$`+\text{terms with trivial flavour structure}`$
with $`C_e=\frac{3}{2}`$, $`C_\nu =\frac{1}{2}`$ in the SM and $`C_e=C_\nu =1`$ in the MSSM. The terms with trivial flavor-structure do not influence the evolution of the mixing angles. To calculate the ratios of the RG evolution of the mixing angles at the GUT scale, we further use the parametrization

$$m_\nu (t)=V(\theta _{12}(t),\theta _{13}(t),\theta _{23}(t))m_{\mathrm{diag}}(t)V^T(\theta _{12}(t),\theta _{13}(t),\theta _{23}(t)),$$
(6)
where $`\mu `$ is the renormalization scale, $`t:=\mathrm{ln}\frac{\mu }{\mu _0}`$, and $`m_{\mathrm{diag}}:=\mathrm{diag}(m_1,m_2,m_3)`$. As in , we can parametrize the neutrino Yukawa coupling $`Y_\nu `$ by

$$Y_\nu (y_1,y_2,y_3,\varphi _{12},\varphi _{13},\varphi _{32})=\mathrm{diag}(y_1,y_2,y_3)V^T(\varphi _{12},\varphi _{13},\varphi _{32}).$$
(7)
By differentiating equation (6) w.r.t. $`t`$ and inserting the RGE (5), we obtain analytic expressions for $`\dot{\theta }_{ij}`$ and $`\dot{m}_i`$ at $`M_{\mathrm{GUT}}`$, from which we can compute the rather lengthy expression for $`\dot{\theta }_{12}/\dot{\theta }_{13}`$ and $`\dot{\theta }_{12}/\dot{\theta }_{23}`$ at $`M_{\mathrm{GUT}}`$ as functions of the initial conditions. Inserting the initial condition $`\theta _{13}=0`$ and $`\theta _{23}=\frac{\pi }{4}`$, we find that generically the RG evolution of $`\theta _{12}`$ is much larger than the change of the other angles, unless $`m_1`$ is very small.

For the special case $`\theta _{12}|_{M_{\mathrm{GUT}}}=0`$, from these general formulae we obtain

$`{\displaystyle \frac{\dot{\theta }_{12}}{\dot{\theta }_{13}}}|_{M_{\mathrm{GUT}}}`$ $`=`$ $`{\displaystyle \frac{\left(m_2+m_1\right)\left(m_3m_1\right)G_1}{\left(m_2m_1\right)\left(m_3+m_1\right)G_2}}`$ (8c)
$``$ {±m2+m1m2m1G1G2for hierarchical neutrino masses111
Note that this approximation is also valid for a relatively weak
hierarchy, where m3 is a few times larger or smaller than m1,
m2.
Δmatm2Δmsol2G1G2for degenerate neutrino massescasesplus-or-minussubscript𝑚2subscript𝑚1subscript𝑚2subscript𝑚1subscript𝐺1subscript𝐺2for hierarchical neutrino masses111
Note that this approximation is also valid for a relatively weak
hierarchy, where m3 is a few times larger or smaller than m1,
m2.
Δsuperscriptsubscript𝑚atm2Δsuperscriptsubscript𝑚sol2subscript𝐺1subscript𝐺2for degenerate neutrino masses\displaystyle\left\{\begin{array}[]{ll}\displaystyle\pm\,\frac{m_{2}+m_{1}}{m_{2}-m_{1}}\,\frac{G_{1}}{G_{2}}&\mbox{for hierarchical neutrino masses}\\[8.53581pt]
\displaystyle\,\frac{\Delta m_{\mathrm{atm}}^{2}}{\Delta m_{\mathrm{sol}}^{2}}\,\frac{G_{1}}{G_{2}}&\mbox{for degenerate neutrino masses}\end{array}\right.
$`{\displaystyle \frac{\dot{\theta }_{12}}{\dot{\theta }_{23}}}|_{M_{\mathrm{GUT}}}`$ $`=`$ $`{\displaystyle \frac{\left(m_2+m_1\right)\left(m_3m_2\right)G_1}{\left(m_2m_1\right)\left(m_3+m_2\right)G_3}}`$ (8f)
$``$ {±m2+m1m2m1G1G3for hierarchical neutrino masses111
Note that this approximation is also valid for a relatively weak
hierarchy, where m3 is a few times larger or smaller than m1,
m2.
Δmatm2Δmsol2G1G3for degenerate neutrino massescasesplus-or-minussubscript𝑚2subscript𝑚1subscript𝑚2subscript𝑚1subscript𝐺1subscript𝐺3for hierarchical neutrino masses111
Note that this approximation is also valid for a relatively weak
hierarchy, where m3 is a few times larger or smaller than m1,
m2.
Δsuperscriptsubscript𝑚atm2Δsuperscriptsubscript𝑚sol2subscript𝐺1subscript𝐺3for degenerate neutrino masses\displaystyle\left\{\begin{array}[]{ll}\displaystyle\pm\,\frac{m_{2}+m_{1}}{m_{2}-m_{1}}\,\frac{G_{1}}{G_{3}}&\mbox{for hierarchical neutrino masses}\\[8.53581pt]
\displaystyle\,\frac{\Delta m_{\mathrm{atm}}^{2}}{\Delta m_{\mathrm{sol}}^{2}}\,\frac{G_{1}}{G_{3}}&\mbox{for degenerate neutrino masses}\end{array}\right.
where we neglected the contributions of $`Y_e`$ and

$`G_1`$ $`=`$ $`8\mathrm{cos}(\varphi _{12})\left\{\left(2y_1^2y_2^2y_3^2\right)\mathrm{cos}(\varphi _{13})\left[\mathrm{sin}(\varphi _{13})\mathrm{cos}(\varphi _{13})\mathrm{sin}(\varphi _{12})\right]\right\}`$ (9a)
$`+4\mathrm{cos}(\varphi _{12})\left\{\left(y_2^2y_3^2\right)\mathrm{cos}(2\varphi _{23})\left[\left(3\mathrm{cos}(2\varphi _{13})\right)\mathrm{sin}(\varphi _{12})+\mathrm{sin}(2\varphi _{13})\right]\right\}`$
$`+8\left(y_2^2y_3^2\right)\left(\mathrm{cos}(2\varphi _{12})\mathrm{sin}(\varphi _{13})\mathrm{cos}(\varphi _{13})\mathrm{sin}(\varphi _{12})\right)\mathrm{sin}(2\varphi _{23}),`$
$`G_2`$ $`=`$ $`8\left(2y_1^2y_2^2y_3^2\right)\mathrm{cos}(\varphi _{12})\mathrm{cos}(\varphi _{13})\left(\mathrm{cos}(\varphi _{13})\mathrm{sin}(\varphi _{12})+\mathrm{sin}(\varphi _{13})\right)`$ (9b)
$`4\left(y_2^2y_3^2\right)\mathrm{cos}(\varphi _{12})\mathrm{cos}(2\varphi _{23})\left[\left(\mathrm{cos}(2\varphi _{13})3\right)\mathrm{sin}(\varphi _{12})+\mathrm{sin}(2\varphi _{13})\right]`$
$`+8\left(y_2^2y_3^2\right)\left(\mathrm{cos}(\varphi _{13})\mathrm{sin}(\varphi _{12})+\mathrm{cos}(2\varphi _{12})\mathrm{sin}(\varphi _{13})\right)\mathrm{sin}(2\varphi _{23}),`$
$`G_3`$ $`=`$ $`\sqrt{2}\left(2y_1^2y_2^2y_3^2\right)\left[\mathrm{cos}^2(\varphi _{12})+\left(\mathrm{cos}(2\varphi _{12})3\right)\mathrm{cos}(2\varphi _{13})\right]`$ (9c)
$`+\sqrt{2}\left(y_2^2y_3^2\right)\left[\left(\mathrm{cos}(2\varphi _{12})3\right)\mathrm{cos}(2\varphi _{13})6\mathrm{cos}^2(\varphi _{12})\right]\mathrm{cos}(2\varphi _{23})`$
$`+4\sqrt{2}\left(y_2^2y_3^2\right)\mathrm{sin}(2\varphi _{12})\mathrm{sin}(\varphi _{13})\mathrm{sin}(2\varphi _{23}).`$
Note that the relation $`\mathrm{\Delta }m_{\mathrm{sol}}^2\mathrm{\Delta }m_{\mathrm{atm}}^2`$ also holds at the GUT scale. Equations (8) and (9) can also be obtained from the formulae derived in . The constants $`G_1`$, $`G_2`$ and $`G_3`$ clearly depend on the choice of $`Y_\nu |_{M_{\mathrm{GUT}}}`$. However, unless the parameters $`\{y_1,y_2,y_3,\varphi _{12},\varphi _{13},\varphi _{32}\}`$ are fine-tuned, we expect the ratios $`G_1/G_2`$ and $`G_1/G_3`$ to be of the order one. Thus, in the considered case of zero CP phases, the RG change of $`\theta _{12}`$ at the GUT scale is generically much larger than that of the other angles, unless $`m_1`$ is very small, in which case the ratio approaches 1.

## 3 Numerical Examples with Vanishing $`\theta _{12}`$ at the GUT Scale

In the previous section it was argued that the RG evolution of the solar mixing angle is generically larger than the evolution of the other mixing angles. This raises the question whether the LMA solution might be reached by RG evolution if one starts with vanishing $`\theta _{12}`$ and $`\theta _{13}`$ and maximal $`\theta _{23}`$ at $`M_{\mathrm{GUT}}`$. An overview of the current allowed regions for the mixing angles and the mass squared differences is given in table 1.

We will investigate this possibility by numerical calculations in the following. We choose the specific form

$`Y_\nu =X\left(\begin{array}{ccc}\epsilon ^2& \epsilon ^3& 0\\ \epsilon ^3& \epsilon & 0\\ 0& 0& 1\end{array}\right)`$ (13)
for the neutrino Yukawa coupling at the GUT scale as an example. This example serves as an illustration. Of course, in many other textures large RG effects occur, however, discussing them is beyond the scope of this study. With a given $`Y_\nu `$, $`M`$ can be calculated from $`m_\nu |_{M_{\mathrm{GUT}}}`$ by the see-saw formula (4).

### 3.1 Examples for the Running of the Lepton Mixing Angles

Figures 1 and 2 show numerical examples for the running of the lepton mixing angles from the GUT scale to the EW or SUSY-breaking scale, which produce the experimentally favored mixing angles of the LMA solution. The kinks in the plots correspond to the mass thresholds at the see-saw scales. The grey-shaded regions mark the various effective theories.

### 3.2 Parameter Space Regions Compatible with the LMA Solution

#### 3.2.1 Interpretation of the Parameters at the GUT Scale

The parameter $`\epsilon `$ introduced in equation (13) controls the hierarchy of the entries in $`Y_\nu `$ and thus the degeneracy of the see-saw scales. Moreover, we choose the lightest neutrino mass at the GUT scale, $`m_1|_{M_{\mathrm{GUT}}}`$ for a regular and $`m_3|_{M_{\mathrm{GUT}}}`$ for an inverted spectrum as a further initial condition. We fix the GUT scale values of the two remaining masses by the requirement that the solar and atmospheric mass squared differences obtained at the EW scale after the RG evolution be compatible with the allowed experimental regions. Thus, we are left with the free parameters $`X`$, $`\epsilon `$ and $`m_1|_{M_{\mathrm{GUT}}}`$ or $`m_3|_{M_{\mathrm{GUT}}}`$. The dependence of the degeneracy of the see-saw scales on $`\epsilon `$ and the mass of the lightest neutrino at the low scale from its initial value at the GUT scale is shown in figure 3. As mentioned above, we work in the basis where the Yukawa matrix of the charged leptons is diagonal.

#### 3.2.2 Allowed Parameter Space Regions

The parameter space regions in which the RG evolution produces low-energy values compatible with the LMA solution are shown in figure 4 for the SM and the MSSM ($`\mathrm{tan}\beta =5`$) with a normal mass hierarchy and $`Y_\nu `$ given in equation (13).

We would like to stress that the shape of the allowed parameter space regions strongly depends on the choice of the initial value of $`Y_\nu `$ at the GUT scale. For inverted neutrino mass spectra in the MSSM, allowed parameter space regions exist as well. For the chosen range of initial conditions at the GUT scale as in figure 4, allowed regions with an inverted neutrino mass spectrum do not exist in the SM. One also has to ensure that the sign of $`\mathrm{\Delta }m_{\mathrm{sol}}^2`$ is positive, as the LMA solution requires this if the convention is used that the solar mixing angle is smaller than $`45^{}`$. For the chosen range of initial conditions there also exist regions, where the evolution of the solar mixing angle is too large, i.e. the mixing angle would run above $`45^{}`$. This would correspond to a negative $`\mathrm{\Delta }m_{\mathrm{sol}}^2`$ and thus these regions have to be excluded.

## 4 Summary and Conclusions

We have studied the RG evolution of the lepton mixing angles in see-saw scenarios in the SM and in the MSSM. We have shown that the experimentally favored neutrino mass parameters of the LMA solution can be obtained in a rather generic way from initial conditions with small or even zero solar mixing $`\theta _{12}`$, maximal $`\theta _{23}`$ and zero $`\theta _{13}`$ at the GUT scale. We have concentrated on the case of vanishing CP phases, which implies positive mass eigenvalues111The general case of arbitrary CP phases is beyond the scope of this study and will be investigated in a forthcoming paper .. We found that generically the RG evolution of the solar mixing angle is enhanced compared to the RG change of the two other mixings if one starts with maximal $`\theta _{23}`$, zero $`\theta _{13}`$ and arbitrary solar mixing $`\theta _{12}`$ at the GUT scale, and if the RG running is dominated by the neutrino Yukawa coupling. A large enhancement occurs for an inverted mass hierarchy and for a regular mass hierarchy with $`|m_2m_1||m_2+m_1|`$. For the special case of bimaximal GUT scale mixing, this has recently been observed in . In the SM and MSSM with $`\theta _{12}=\theta _{13}=0^{}`$ and $`\theta _{23}=45^{}`$ as initial conditions at $`M_{\mathrm{GUT}}`$, we have found regions in parameter space in which mixing angles compatible with the experimentally favored values of the LMA solution are produced. The effect does not require fine-tuning, degenerate neutrinos or a large value of $`\mathrm{tan}\beta `$ (in the case of the MSSM). This opens up new possibilities for building models of neutrino masses.

## Acknowledgements

We would like to thank Manfred Lindner and Jörn Kersten for useful discussions. This work was supported in part by the “Sonderforschungsbereich 375 für Astro-Teilchenphysik der Deutschen Forschungsgemeinschaft”.


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# Quantum Mechanics, Path Integrals and Option Pricing: Reducing the Complexity of Finance

## 1 Introduction

111Prep n.: UNILE-CBR-02-03. Talk presented by Claudio Corianò at the Intl. Workshop “Nonlinear Physics: Theory and Experiment II”, Gallipoli, Lecce, Italy, June 28 - July 4, 2002

Financial markets have undergone a tremendous growth in the last decades and in order to meet the need of customers new and complex financial instruments have been developed. Risk assessment models and the quantification of returns, given the huge amount of trading involved worldwide, requires more sophisticated approaches than in the past. Nonlinearities play a key role in all of this, and, from this side, the field is probably largely unexplored.

In general, intensive numerical simulations and fast algorithms are needed to obtain useful results. Analytical results are limited, except for simple models such as the Black-Sholes model and other similar models.

Use of a path integral formulation has some advantages. First, it is in close relation to the lagrangean description of diffusion processes, second, it opens the way to the use of quantum mechanical methods.

We will introduce the field at a non-expert level through a crash course (next few sections). Then we will come to brefly illustrate where nonlinearities appear and review some of the simplest equations one can write down, generalizing the Black-Scholes model. We will then proceed to discuss the path integral formulation of the Black-Scholes and the model of barrier options, resorting to a lagrangian path integral formulation. Strategies to solve the path integral are then briefly presented, together with some results. Detailed simulations, algorithms of analysis and related applications will be presented elsewhere . The review sections are standard knowledge in the field, and are based on .

## 2 A view on Theoretical Finance

### 2.1  Simulating the Complexity of Finance

The simulation of financial markets can be modeled, from a theoretical viewpoint, according to two separate approaches: a bottom up approach and (or) a top down approach.

For instance, the modeling of financial markets starting from diffusion equations and adding a noise term to the evolution of a function of a stochastic variable is a top down approach. This type of description is, effectively, a statistical one.

A bottom up approach, instead, is the modeling of artificial markets using complex data structures (agent based simulations) using general updating rules to describe the collective state of the market. The number of procedures implemented in the simulations can be quite large, although the computational cost of the simulation becomes forbidding as the size of each agent increases. Readers familiar with Sugarscape Models and the computational strategies based on Growing of Artificial Societies  have probably an idea of the enormous potentialities of the field. However, one would expect that the bottom up description should become comparable to the top down description for a very large number of simulated agents.

The bottom up approach should also provide a better description of extreme events, such as crashes, collectively conditioned behaviour and market incompleteness, this approach being of purely algorithmic nature. A top down approach is, therefore, a model of reduced complexity and follows a statistical description of the dynamics of complex systems (for an introduction see ).

### 2.2 Forward, Futures Contracts and Options

Let the price at time t of a security be $`S(t)`$. A specific good can be traded at time t at the price $`S(t)`$ between a buyer and a seller. The seller (short position) agrees to sell the goods to the buyer (long position) at some time T in the future at a price F(t,T) (the contract price). Notice that contract prices have a 2-time dependence (actual time t and maturity time T). Their difference $`\tau =Tt`$ is usually called time to maturity. Equivalently, the actual price of the contract is determined by the prevailing actual prices and interest rates and by the time to maturity.

Entering into a forward contract requires no money, and the value of the contract for long position holders and strong position holders at maturity T will be

$$(1)^p\left(S(T)F(t,T)\right)$$
(1)
where $`p=0`$ for long positions and $`p=1`$ for short positions. Futures Contracts  are similar, except that the after the contract is entered, any changes in the market value of the contract are settled by the parties. Hence, the cashflows occur all the way to expiry unlike in the case of the forward where only one cashflow occurs. They are also highly regulated and involve a third party (a clearing house). Forward, futures contracts and, as we will see, options  go under the name of derivative products, since their contract price F(t, T) depend on the value of the underlying security $`S(T)`$.

To complete this crash course on financial instruments we need to define options. Options are derivatives that can be written on any security and have a more complicated payoff function than the futures or forwards. For example, a call option gives the buyer (long position) the right (but not the obligation) to buy or sell the security at some predetermined strike-price at maturity. A payoff function is the precise form of the price. Path dependent options are derivative products whose value depends on the actual path followed by the underlying security up to maturity. In the case of path-dependent options, since the payoff may not be directly linked to an explicit right, they must be settled by cash. This is sometimes true for futures and plain options as well as this is more efficient.

## 3 Langevin Evolution

In the top down description of theoretical finance, a security $`S(t)`$ follows a random walk described by a Ito-Weiner process (or Langevin equation) as

$$\frac{dS(t)}{S(t)}=\varphi dt+\sigma R(t)dt,$$
(2)
where R(t) is a Gaussian white noise with zero mean and uncorrelated values at time t and $`t^{}`$ $`R(t)R(t^{})=\delta (tt^{})`$. $`\varphi `$ is the drift term or expected return, while $`\sigma `$ is a constant factor multiplying the random source $`R(t)`$, termed volatility.

As a consequence of Ito calculus, differentials of functions of random variables, say $`f(S,t)`$, do not satisfy Leibnitz’s rule, and for a Ito-Weiner process with drift (2) one easily obtains for the time derivative of $`f(S,t)`$

$$\frac{df}{dt}=\frac{f}{t}+\frac{1}{2}\sigma ^2S^2\frac{^2f}{S^2}+\varphi S\frac{f}{S}+\sigma S\frac{f}{S}R.$$
(3)
The Black-Scholes model is obtained by removing the randomness of the stochastic process shown above by introducing a random process correlated to (3). This operation, termed hedging, allows to remove the dependence on the white noise function $`R(t)`$, by constructing a portfolio $`\mathrm{\Pi }`$, whose evolution is given by the short-term risk free interest rate $`r`$

$$\frac{d\mathrm{\Pi }}{dt}=r\mathrm{\Pi }.$$
(4)
A possibility is to choose $`\mathrm{\Pi }=f\frac{f}{S}S`$. This is a portfolio in which the investor holds an option $`f`$ and short sells 222short selling of the stock should be possible an amount of the underlying security S proportional to $`\frac{f}{S}`$. A combination of (3) and (4) yields the Black-Scholes equation

$$\frac{f}{t}+\frac{1}{2}\sigma ^2S^2\frac{^2f}{S^2}+rS\frac{f}{S}=rf.$$
(5)
There are some assumptions underlying this result. We have assumed absence of arbitrage, constant spot rate $`r`$, continuous balance of the portfolio, no transaction costs and infinite divisibility of the stock.

The quantum mechanical version of this equation is obtained by a change of variable $`S=e^x`$, with $`x`$ a real variable. This yields

$$\frac{f}{t}=H_{BS}f$$
(6)
with an Hamiltonian $`H_{BS}`$ given by

$$H_{BS}=\frac{\sigma ^2}{2}\frac{^2}{x^2}+\left(\frac{1}{2}\sigma ^2r\right)\frac{}{x}+r.$$
(7)
Notice that one can introduce a quantum mechanical formalism and interpret the option price as a ket $`|f`$ in the basis of $`|x`$, the underlying security price. Using Dirac notation, we can formally reinterpret $`f(x,t)=x|f(t)`$, as a projection of an abstract quantum state $`|f(t)`$ on the chosen basis.

In this notation, the evolution of the option price can be formally written as $`|f,t=e^{tH}|f,0`$, for an appropriate Hamiltonian H.

In the presence of a stochastic volatility, the description is more involved, but also more interesting.

In general, the description of these processes is driven by two correlated white noise functions $`R_1`$ and $`R_2`$

$`{\displaystyle \frac{dV}{dt}}`$ $`=`$ $`\lambda +\mu V+\zeta V^\alpha R_1`$
$`{\displaystyle \frac{dV}{dt}}`$ $`=`$ $`\varphi S+\sigma \sqrt{V}+\mu V+\zeta V^\alpha R_2`$ (8)
with $`V=\sqrt{\sigma }`$ and $`R_1(t)R_2(t^{})=1/\rho \delta (tt^{})`$, $`\rho `$ being the correlation parameter. However, since volatility is not traded in the market (the market is said to be incomplete), perfect hedging is not possible, and an additional term, the market price of volatility risk $`\beta (S,V,t,r)`$, is in this case introduced. $`\beta `$ can be modeled appropriately. In some models , a redefinition of the drift term $`\mu `$ in (8) in the evolution of the volatility is sufficient to hedge such more complex portfolios, which amounts to an implicit choice of $`\beta (S,V,t,r)`$. We just quote the result for the evolution of an option price in the presence of stochastic volatility, which, in the Hamiltonian formulation are given by

$$\frac{f}{t}=H_{MG}f$$
(9)
with

$`H_{MG}`$ $`=`$ $`\left(r{\displaystyle \frac{e^y}{2}}\right){\displaystyle \frac{}{x}}\left(\lambda e^y+\mu {\displaystyle \frac{\zeta ^2}{2}}e^{2y(\alpha 1)}\right){\displaystyle \frac{}{y}}{\displaystyle \frac{e^y}{2}}{\displaystyle \frac{^2}{x^2}}`$ (10)
$`\rho \zeta e^{y(\alpha 1/2)}{\displaystyle \frac{^2}{xy}}\zeta ^2{\displaystyle \frac{e^{2y(\alpha 1)}}{2}}{\displaystyle \frac{^2}{y^2}}+r.`$
which is nonlinear in the variables $`x=\mathrm{log}(S)`$ and $`y=\mathrm{log}(V)`$. For general values of the parameters, the best way to obtain the pricing of the options in this model is by a simulation of the path integral.

## 4 Monte Carlo Simulations of option pricing

Simulations of the functional integral are rather straightforward and we should omit any detail about them since they have been known ever since by the high energy physics community. However, to reach out to a less specialized audience, we will provide a simple illustration of the method.

Once the model is given, one determines the underlying lagrangean. We assume a discretization of the time to maturity $`\tau `$ in intervals $`ϵ=\tau /N`$, with N an arbitrary (large) integer.

For instance, for the Black Scholes model one gets the action

$$S_{BS}=ϵ\underset{i=1}{\overset{N}{}}L_{BS}(i)$$
(11)
with

$$L_{BS}(i)=\frac{1}{2\sigma ^2}\left(\frac{x_ix_{i1}}{ϵ}+r\frac{\sigma ^2}{2}\right)^2$$
(12)
where we have introduced discretized positions $`(x_i)`$ for the variable $`x=\mathrm{log}(S)`$ which identifies the quantum mechanical state of the system. We will refer to it as to the stock price. The propagator for the stock price is given by the pricing kernel

$`p_{BS}(x,x^{},\tau )`$ $`=`$ $`{\displaystyle DX_{BS}e^{S_{BS}}}`$
$`=`$ $`x|e^{\tau H_{BS}}|x^{}`$
with

$$DX_{BS}=\mathrm{\Pi }_{t=0}^\tau _{\mathrm{}}^{\mathrm{}}𝑑x(t).$$
(14)
For barrier options there is an analogous procedure, except that now we need to introduce a generic potential $`V(x)`$ in the corresponding Hamiltonian

$$H_V=\frac{\sigma ^2}{2}\frac{^2}{x^2}+\left(\frac{1}{2}\sigma ^2V(x)\right)\frac{}{x}+V(x).$$
(15)
The pricing kernel is the fundamental quantity to compute using the functional integral. Related attempts can be found in the literature .

For this purposes, we have used a standard Metropolis algorithm. If thermalization is slow, it is possible to resort to use sequentially Metropolis updates and cluster updates. The latter is an update for the embedded Ising dynamics in the lattice variables $`x_i/|x_i|`$ (Swendsen-Wang, Wolff), and is included in for a faster generation of the thermalized paths of the stock price $`x(t)`$.

For processes involving a stochastic volatility $`(y=\mathrm{log}(V))`$ the expression of the path integral is more complicated and can be found in . From now on we will just consider the case of a constant volatility.

If we denote by $`g(x,K)`$ the payoff function, with a strike price $`K`$, in this case the value of the option (its price) is given by the Feynman-Kac formula

$$f(t,x)=_{\mathrm{}}^{\mathrm{}}𝑑x^{}x|e^{(Tt)H_{BS}}|x^{}g(x^{},K).$$
(16)
In actual simulations, it is convenient to compute directly the option price rather than the propagator itself. The simulation is done by taking the initial point x fixed, and letting the final point evolve according to its quantum dynamics. In this way a path $`(x,x^{})`$ is generated. After the first thermalization, $`x^{}`$ is allowed to undergo quantum fluctuations, at fixed x. Each $`x^{}`$ is then convoluted with the payoff function and an average is performed. Finally, this procedure is repeated for several x values, so to obtaint the option price at time to maturity $`\tau `$.

Figs. 1, 2 and 3, illustrate some simple results obtained by the monte carlo mehtod. For illustrative purposes, we show the behaviour of the Black-Scholes model. Fig. 1 shows a typical thermalized path, generated from a given initial value x (at current time $`t=\tau `$) assuming a maturity of 300 days, while in Fig. 2 we have plotted several path for different starting values x of the stock at current time $`\tau `$. We have chosen an interest rate $`r=0.05`$ and a 12 percent volatility $`\sigma `$. Finally, in Fig. 3 we compare the analytical and the numerical evaluation of the Black-Scholes option price with a low resolution for (16), in order to separate the two curves, which otherwise would overlap completely, in order to illustrate the convergence of the Metropolis algorithm.

Barrier options can be analized similarly, equivalently, by this method or by the Langevin method. We show in Fig. 4 the evaluation of the price of the option using the Langevin method in the presence of a step potential sitting at a value of the stock price given by $`x_0=\mathrm{log}(S_o)`$, with $`S_0=100`$. Compared to the Black-Scholes now the price has been discounted.

Applications of the method to the determination of various pricing kernels is underway. More details will be given elsewhere .

## 5 Acknowledgements

C.C. thanks R. Parwani for hospitality; the National Univ. of Singapore, University Scholars Program, for financial support and L. Cosmai for previous discussions.


text:
# Tight-binding model for strongly modulated two-dimensional superlattices

## 1 Model for Zero Magnetic Field: Semiclassics

Since the potential in our system is separable, zero magnetic field band structure is an effectively one–dimensional problem. Motion along the wires ($`x`$ direction) is free and motion across the wires ($`y`$ direction) can be described by a Kronig–Penney model. For the structure studied in , we find that the lowest band of the one–dimensional band structure in the $`y`$ direction is narrow ($`4|t|3.8\mathrm{meV}`$ wide), has nearly a cosine form and is well separated from the higher bands ($`60\mathrm{meV}`$). Regarding the experimentally accessible concentrations of electrons the Fermi level $`E_F`$ lies always well below the second band (that means naturally also deep below $`V_b`$, the potential of barriers in the superlattice) and thus, from now on, we will discard all but the lowest modulation band. Note that this considerable simplification is rendered by the shortness of the modulation period (which introduces large modulation band gaps). The zero field band structure is therefore (see Fig. 2)

$$E(k_x,k_y)=\frac{\mathrm{}^2k_x^2}{2m}2|t|\mathrm{cos}k_yd.$$
(1)
Let us now examine the SC model of a system with such a band structure. The real space trajectory of an electron subject to a perpendicular magnetic field $`B`$ will be the Fermi contour $`E_F=E(k_x,k_y)`$ scaled by $`\mathrm{}^2=\mathrm{}/eB`$ and rotated by $`90^{}`$. Evidently, this is a closed trajectory for $`2|t|<E_F<2|t|`$ (resembling circular orbits of electrons moving in a plane, i.e. 2D–like behaviour) and an open trajectory for $`E>2|t|`$ (corresponding to motion along the wires, i.e. 1D–like behaviour). Shubnikov–de Haas oscillations of the magnetoresistance are predicted for the former case (through the SC quantization condition: real space trajectory must enclose integer multiple of magnetic flux quanta $`\mathrm{\Phi }_0=h/e`$, ). In contrast, the magnetoresistance is expected to be non-oscillatory in the latter case (there is no quantization condition for open trajectories).

This model, however, does not always agree with the experiments : $`1/B`$–periodic oscillations were observed even for $`E_F>2|t|`$ (see Fig. 5) being referred to as magnetic breakdown. Since the type of periodicity is the same as for $`2|t|<E_F<2|t|`$ we can extend the SC model and claim that electrons tunnel between the open trajectories and, thus, form loops for which the usual quantization condition is to be fulfilled. This is however an assumption strange to classical theories and we may ask how many such ad hoc assumptions we need in order to reconcile theory and experiment while pretending that electrons in such systems always obey classical and not quantum mechanical laws.

As it was mentioned above this situation occurs owing to the strong modulation (i.e. width of the lowest modulation band is as low as the Fermi level, $`E_F4|t|`$) and the shortness of the modulation period ($`d^23h^2/(2|t|m)`$).

## 2 Quantum Mechanical Model

The system is described by the Hamiltonian

$$H=\frac{1}{2m}(p_x+eBy)^2+\frac{1}{2m}p_y^2+V(y)$$
(2)
in the Landau gauge $`\stackrel{}{A}=(By,0,0)`$ (we set $`e=|e|`$). The restriction to the lowest modulation band is equivalent to the tight–binding ansatz (used also by Wulf et al. )

$$\mathrm{\Psi }(x,y)=\frac{1}{\sqrt{2\pi }}\mathrm{exp}(ikx)\psi _{k,n}(y)=\frac{1}{\sqrt{2\pi }}\mathrm{exp}(ikx)\underset{j}{}a_j(k)\phi (yjd),$$

$$\phi _i|H_y|\phi _j=|t|\delta _{i,j\pm 1}$$

where $`\phi (yjd)`$ or $`|\phi _j`$ denotes the ground state (more precisely Wannier state) in the $`j`$-th well of the modulation potential and $`n`$ is Landau band index. Moreover, we assume that $`t`$ does not change with magnetic field. This is plausible unless the magnetic field is extremely strong ($`\mathrm{}^2k_Fd`$, $`k_F`$ is the Fermi wavevector; in such a case a 2DES is formed inside one quantum wire).

The Hamiltonian can be now written as a matrix

$`H_{jl}(k)`$ $`=`$ $`|t|\left[\alpha ^2\left((k/K)+j\right)^2\delta _{j,l}\delta _{j,l\pm 1}\right],`$
$`\alpha ^2={\displaystyle \frac{e^2B^2}{m}}{\displaystyle \frac{d^2}{2|t|}}=\left({\displaystyle \frac{\mathrm{}\omega _{\mathrm{eff}}}{2|t|}}\right)^2,K=d{\displaystyle \frac{eB}{\mathrm{}}}`$
which depends (up to the scaling of $`k`$ and energy) on a single dimensionless parameter $`\alpha `$.

If the system is infinite in the $`y`$ direction, the spectrum is $`K`$–periodic in $`k`$ (due to invariance to magnetic translations) and its spectrum coincides with the one of a fictitious 1D particle in a periodic cosine potential (Mathieu equation)

$$\frac{\mathrm{}^2}{2m}\chi ^{\prime \prime }(\xi )\chi (\xi )2|t|\mathrm{cos}K\xi =E\chi (\xi ).$$
(4)
Note, that the cosine potential changes with magnetic field (via $`K`$). This allows for an easy notion of what the spectrum looks like for different values of $`\alpha `$ (see Fig. 3). For instance, if the period of the cosine potential is large (it means small $`K`$, more precisely $`\alpha 1`$), each of the periods contains a broad potential well: near the bottom it may be approximated by a quadratic potential and we thus obtain almost equidistantly spaced levels. Since these cosine wells are only weakly coupled to each other (barriers between them are thick), the band structure will comprise of narrow bands (Fig 3 left). On contrary, states with an energy $`E>2|t|`$ high above the top of the cosine potential (but still under the second modulation band, i.e. deep under $`V_b`$, see Fig. 1) will percept this potential only as a perturbation: the spectrum will be almost as of a free 1D particle (parabolic) and with small gaps opening at $`k=\pm \frac{1}{2}K`$ due to the underlying potential perturbation.

Plotting the density of states (DOS) at the Fermi level as a function of magnetic field we can see that our model reproduces very precisely the magnetoresistance oscillations for various electron concentrations (Fig. 4).

## 3 Transport calculations

Based on the Kubo formula (linear response to applied bias) we computed the conductivity tensor components (see ) at zero temperature (for brevity we write $`E`$ for the Fermi level)

$`\sigma _{xx}(E)`$ $`=`$ $`{\displaystyle \frac{2}{\pi \mathrm{\Gamma }d}}{\displaystyle \frac{e^2}{h}}{\displaystyle \frac{sgn(g(E))}{g(E)}}+`$
$`+{\displaystyle \frac{4\pi \mathrm{\Gamma }}{d}}(\mathrm{}\omega )^2{\displaystyle \frac{e^2}{h}}g(E){\displaystyle \underset{n^{}n}{}}\left({\displaystyle \frac{\psi (k,n^{})|\widehat{y}|\psi (k,n)}{E(k,n^{})E(k,n)}}\right)^2`$
$`\sigma _{yy}(E)`$ $`=`$ $`{\displaystyle \frac{4\pi \mathrm{\Gamma }}{d}}{\displaystyle \frac{e^2}{h}}g(E){\displaystyle \underset{n^{}n}{}}\left(\psi (k,n^{})|\widehat{y}|\psi (k,n)\right)^2`$
$`\sigma _{xy}(E)`$ $`=`$ $`e{\displaystyle \frac{N(E)}{B}}+{\displaystyle \frac{4\pi \mathrm{}\omega }{d}}{\displaystyle \frac{e^2}{h}}g(E){\displaystyle \underset{n^{}n}{}}\left(\psi (k,n)|\widehat{y}|\psi (k,n^{})\right)^2,`$
including the factor two for spin. Here $`\omega =eB/m`$, $`N(E)`$ is number of states with energy less than $`E`$, $`\widehat{y}`$ is the $`y`$–coordinate operator and $`sgn(g(E))/g(E)`$ is to be understood as ’zero for $`g(E)=0`$ and $`1/g(E)`$ else’. We treated the impurity scattering within the c–number approximation for self–energy ($`\mathrm{\Gamma }`$ denotes its imaginary part); $`\mathrm{\Gamma }`$ has then the meaning of an inverse relaxation time, $`\mathrm{\Gamma }=\mathrm{}/\tau `$.

The first term of the $`xx`$–component of conductivity can be attributed to electrons moving along open orbits. If the wires in the superlattice were decoupled, the DOS would be the same as of a 1D electron gas ($`g(E)1/\sqrt{E}`$) and the first term in $`\sigma _{xx}`$ would be simply proportional to $`\sqrt{E}`$, i.e. the electron velocity. This term is proportional to the relaxation time (as may be expected). In contrast, $`\sigma _{yy}`$ (as well as the second term of $`\sigma _{xx}`$) is inversely proportional to the relaxation time: this means that conduction across the wires is due to inter–Landau–band scattering (sumation over $`n^{}n`$) introduced by impurities.

The first term in $`\sigma _{xy}`$ introduces Hall plateaus of quantized conductivity when $`E`$ lies in a gap; it vanishes in the classical limit. The second term does not depend on the relaxation time. It is proportional to $`B`$ (appearing in $`\omega `$) and resembles thus the classical Hall conductivity.

To be able to discuss the experimental data we have to address the relation between the computed conductivity components and measured resistance at last. Due to technological reasons resistivity components $`\varrho _{yy}`$ and $`\varrho _{xy}`$ could not be measured separately. We expect that the measured resistance is a mixture of these two quantities, $`c\varrho _{yy}+\varrho _{xy}`$ and this allows us to fit the experimental curves quite well with a single fitting parameter (Fig. 5) for Fermi energies $`E_F>2|t|`$. The agreement is worse but still at least qualitative for $`E_F2|t|`$.

## 4 Conclusion

We investigated a two–dimensional electron system for which the usual semiclassical approach fails to predict correct magnetoresistance behaviour. The wide gap between the lowest and second lowest modulation band was the crucial prerequisite for this to happen which in turn depends on the unusually short period of the modulation potential. The observed $`1/B`$–periodic magnetoresistance oscillations may be understood as a consequence of electron tunnelling between semiclassical orbits. We presented a simple quantum mechanical model based on a tight binding approximation which can account very well for these oscillations. Very simplistic transport calculations are in nearly quantitative agreement with the experiment for a wide range of electron concentrations. Outside this range qualitative agreement is still retained.

One of the authors (KV) would like to acknowledge discussions with Daniela Pfannkuche and Alexander Chudnovskiy. This work has been partly supported by the Grant Agency of the Czech Republic under Grants No. 202/01/0754 and No. 202/03/0431.

## 5 References


text:
# 1 Introduction

## 1 Introduction

The principle of quantum superposition is at the base both of important issues concerning the conceptual foundations of quantum mechanics  and of potential direct technological applications of quantum theory . In particular the preservation and dissapearance of these quantum superpositions play a central role in topics like the quantum-to-classical transition  and the performance of some quantum information processing tasks . Physically this decoherence has its origins in the pervasive effect of the surrounding environment. Mathematically it is expressed by means of master equations (ME hereafter), that is evolution equations for the reduced density operator of the system which are usually obtained after some careful assumptions .

By and large two main approaches can be followed to study these master equations , namely a constructive and an axiomatic approach. In the former one begins considering the joint system-environment degrees of freedom and finally pursues reasonable and manageable approximations to obtain the master equation of the system. This approach usually falls into mathematical difficulties hard to deal with, though some limit situations have been satisfactorily dealt with . On the other hand, the latter approach poses a set of reasonable and physically motivated assumptions  and then derive the general form for the master equation of systems satisfying that set of axioms. Though most of ME of practical relevance fall into this category (see e.g. ), the range of applicability of this approach is limited by definition, especially regarding one of its fundamental axioms, namely the semigroup condition (Markovianity).

In an attempt to embrace also nonMarkovian situations we have combined well-known stochastic methods jointly with common tools of functional analysis employed in quantum mechanics  to state the following result: *Any Lindblad-type evolution with selfadjoint Lindblad operators, whether Markovian or nonMarkovian, can be understood as an averaged random unitary evolution*. This result, whose fully-fledged mathematical proof is provided elsewhere , reveals the fact that the Lindblad structure of ME for the case of selfadjoint Lindblad operators is beyond the Markov approximation and can also be recovered in nonMarkovian situations.

Here we exploit the mathematical advantages of this approach to study the loss of coherence described by the phase-damping ME and identify different types of environments using the linear entropy as a figure of merit.

## 2 The Phase-Damping Master Equation as an Averaged Random Evolution

The generalized phase-damping ME reads

$$\frac{d\rho (t)}{dt}=i[H,\rho (t)]\frac{\dot{\lambda }(t)}{2}[H,[H,\rho (t)]]$$
(1)
where $`H`$ denotes the Hamiltonian of the system and we have allowed $`\dot{\lambda }(t)`$ to be any nonnegative real function. In general eq. (1) denotes a nonMarkovian evolution reducing to a Markovian one only when $`\dot{\lambda }(t)=\lambda \text{const}`$. Eq. (1) is a Lindblad-type ME with selfadjoint Lindblad operators and consequently following the result stated above can be obtained as an averaged random unitary evolution. The proof for this case is straighforward. Let $`U(t)=e^{itH}`$ $`(\mathrm{}=1)`$ be the unitary evolution operator of the quantum system under study. Let us now define the random unitary evolution operator $`U_{st}(t)=e^{itHiH_0^t\sigma (s)𝑑_s}`$, where $`\sigma (t)`$ denotes an arbitrary real function and $`_t`$ denotes standard real Brownian motion , thus $`_0^t\sigma (s)𝑑_s`$ will denote the well-known Ito integration. Now let the density operator $`\rho (t)`$ be defined as

$$\rho (t)=𝔼[U_{st}(t)\rho (0)U_{st}^{}(t)]$$
(2)
where $`𝔼`$ denotes expectation value with respect to the probability measure of $`_t`$. Then after making some calculations one can see that $`\rho (t)`$ satisfies the ME (1) with $`\dot{\lambda }(t)=\sigma ^2(t)`$.

## 3 Interference Damping for Plane Waves

One of the immediate consequences of the above procedure arises by realizing that the solutions to the ME (1) can be obtained by performing the substitution $`tt+_0^t\sigma (s)𝑑_s`$ in the unitary solutions and then taking the stochastic expectation value.

We will illustrate these ideas with the study of the interference pattern between two equally-weighted plane waves with momentum $`k_1`$ and $`k_2`$ respectively evolving under the ME (1). The unitary solution can be obtained elementarily either by solving the Schrödinger equation for the state vector or by solving the Liouville-von Neumann equation for the density operator or by resorting to the Wigner characteristic function  $`\chi (\lambda ,\mu )=\text{Tr}[\rho (t)e^{i(\mu p+\lambda q)}]`$ where $`q`$ and $`p`$ are the position and momentum operators (cf. also ). The interference pattern is provided by the well-known expression

$$I(x,t)=1+\mathrm{cos}[(k_1k_2)x\frac{k_1^2k_2^2}{2m}t]$$
(3)
This pattern is changed when the initial superposition evolves under eq. (1) and accordingly the solution is more involved. One can again resort to the Wigner characteristic function $`\chi (\lambda ,\mu )`$ to obtain the solution , but using our previous result one can immediately arrive at the desired expression:

$$I(x,t)\overline{I}(x,t)=𝔼[I(x,t+_0^t\sigma (s)𝑑_s)]$$
(4)
Then knowing that (cf. appendix)

$`𝔼\left[\mathrm{cos}\left[{\displaystyle \frac{k_1^2k_2^2}{2m}}\left(t+{\displaystyle _0^t}\sigma (s)𝑑_s\right)\right]\right]`$ $`=`$ $`e^{\frac{1}{2}\left(\frac{k_1^2k_2^2}{2m}\right)^2_0^t\sigma ^2(s)𝑑s}\mathrm{cos}\left[{\displaystyle \frac{k_1^2k_2^2}{2m}}t\right]`$
$`𝔼\left[\mathrm{sin}\left[{\displaystyle \frac{k_1^2k_2^2}{2m}}\left(t+{\displaystyle _0^t}\sigma (s)𝑑_s\right)\right]\right]`$ $`=`$ $`e^{\frac{1}{2}\left(\frac{k_1^2k_2^2}{2m}\right)^2_0^t\sigma ^2(s)𝑑s}\mathrm{sin}\left[{\displaystyle \frac{k_1^2k_2^2}{2m}}t\right]`$
we get

$$\overline{I}(x,t)=1+e^{\frac{1}{2}\left(\frac{k_1^2k_2^2}{2m}\right)^2_0^t\sigma ^2(s)𝑑s}\mathrm{cos}[(k_1k_2)x\frac{k_1^2k_2^2}{2m}t]$$
(6)
Different interference patterns are obtained corresponding to different types of environments. Note that since the Markovian approximation is not assumed, we have now gained some generality.

## 4 Different Types of Environment

We will investigate the time evolution of the linear entropy in order to study the progressive loss of coherence of systems driven by the ME (1). To avoid mathematical nuisances because of the lack of normalizability of plane waves, let us focus upon an initial gaussian wave packet

$$\psi (x,0)=\frac{1}{(2\pi \sigma _0^2)^{1/4}}e^{\frac{x^2}{4\sigma _0^2}}$$

Under equation (1) the linear entropy $`S_{lin}(t)`$ of the system can be calculated:

$$S_{lin}(t)=1\frac{1}{\sqrt{16\pi }}\frac{4m\sigma _0^2}{\lambda ^{1/2}(t)}_0^{\mathrm{}}\frac{dy}{y}e^{\frac{4m\sigma _0^2}{\lambda ^{1/2}(t)}y}\text{erf}(y)𝑑y$$
(7)
where $`\lambda (t)=_0^t\sigma ^2(s)𝑑s`$. Note that the previous integral exists for all possible choices of $`\sigma (t)`$ since the integrand ($`g(y,t)`$) is continuous in $`^+`$ and

$`\underset{y0}{lim}g(y,t)`$ $`=`$ $`{\displaystyle \frac{2}{\sqrt{\pi }}}`$
$`\underset{y\mathrm{}}{lim}g(y,t)`$ $`=`$ $`0`$
$`g(y,t)`$ $``$ $`{\displaystyle \frac{e^{\frac{4m\sigma _0^2}{\lambda ^{1/2}(t)}y}}{y}}y1`$
Also notice that the second term in (7) $`(I(t))`$ is bounded from above and from below:

$$0I(t)10S_{lin}(t)1$$
(8)
In particular $`S_{lin}(t)=0`$ if and only if $`\lambda (t)=0`$, i.e. one always obtains a decohering process. Immediately one can distinguish four different kinds of situations:

* $`\lambda (t)=\lambda t`$. This is the usual Markovian approximation. In this case (cf. also )

$$S_{lin}(t)\stackrel{t\mathrm{}}{}1$$
(9)
* $`\lambda (t)\stackrel{t\mathrm{}}{}\lambda _0`$. Let us call it SubMarkovian regime. Now the linear entropy reaches a maximum value $`S_0<1`$, thus the initial coherence is partially preserved.
* $`\lambda (t)\stackrel{t\mathrm{}}{}\mathrm{}`$ but $`\frac{\lambda (t)}{t}\stackrel{t\mathrm{}}{}0`$. Let us call it type-I SuperMarkovian regime. Now as in the Markovian case $`S_{lin}(t)1`$ but at a slower pace. This allows the system to preserve a higher degree of coherence at a given time.
* $`\lambda (t)\stackrel{t\mathrm{}}{}\mathrm{}`$ and $`\frac{\lambda (t)}{t}\stackrel{t\mathrm{}}{}\mathrm{}`$. Let us call it type-II SuperMarkovian regime. This is the most destructive case since $`S_{lin}(t)1`$, that is coherence is completely lost and even faster than in the usual Markovian case.

The four situations are qualitatively represented in Fig. 1.

## 5 Conclusions

We have derived the phase-damping master equation using stochastic calculus and subsequently solve it using the advantages of this procedure. These advantages run from embracing under the same mathematical formalism both Markovian and nonMarkovian evolutions (thus allowing us to deal with more general physical situations) to providing a new method to solve this equation. The great advantage of this procedure comes out from the fact that you only need to solve the *unitary* evolution equation, which can be done for the state vector instead of dealing with the density operator. This represents a computational advantage. Once the unitary solution is known all one has to do is to find the stochastic expectation value of this solution after modifying it with the appropiate random factor (see above).

Using then the linear entropy as a figure of merit we have found four types of environments according to the rate of loss of coherence they induce upon the system. In particular it may be concluded that what we have called SubMarkovian and Type-I SuperMarkovian regimes appear as better choices to perform quantum-informational and quantum-computational tasks than the usual Markovian environment. Now the physical conditions should be provided to properly identify what these kinds of environment are.

It should be noticed that as a by-product of this approach, independently of the function $`\sigma (t)`$ used to describe the system-environment response, a positive and nondecreasing rate of decoherence is always obtained, which indicates that it is an *irreversible* process. Thus under the conditions in which the phase-damping master equation is valid to describe the evolution of a system, coherence can never be recovered from the environment, whether this is Markovian or nonMarkovian.

## Appendix A Some Computational Notes

In order to compute the expectation values (LABEL:ExpValCos) and (LABEL:ExpValSin) it is necesarry to know the nth order moments of the real-valued stochastic process $`X_t=t+_0^t\sigma (s)𝑑_s`$. It is simple to find $`\beta _n(t)𝔼[X_t^n]`$ using Ito’s formula  upon $`\varphi (X_t)=X_t^n`$:

$`d\varphi (X_t)`$ $`=`$ $`(nX_t^{n1}+{\displaystyle \frac{n(n1)}{2}}X_t^{n2}\sigma ^2(t))dt+nX_t^{n1}\sigma (t)d_t`$
$`{\displaystyle \frac{d\beta _n(t)}{dt}}`$ $`=`$ $`n\beta _{n1}(t)+{\displaystyle \frac{n(n1)}{2}}\beta _{n2}(t)\sigma ^2(t)n2`$ (10)
Since $`\beta _0(t)=1`$ and $`\beta _1(t)=0`$ it is straighforward to recursively arrive at

$`\beta _{2n}(t)`$ $`=`$ $`{\displaystyle \frac{(2n)!}{2^nn!}}\lambda ^n(t)`$ (11a)
$`\beta _{2n+1}(t)`$ $`=`$ $`0`$ (11b)
where $`\lambda (t)_0^t\sigma ^2(s)𝑑s`$.

To arrive at (7) the following integral is needed which can be obtained by means of already tabulated integrals :

$$_0^\pi e^{z\mathrm{cos}^2\theta }𝑑\theta =\sqrt{\frac{\pi }{z}}\text{erf}(\sqrt{z})$$
(12)
## Acknowledgements

One of us (D.S.) acknowledges financial support from Madrid Education Council through grant no. BOCAM-20/08/99.


text:
# 1 Introduction

## 1 Introduction

PP-waves are known to be an interesting class of supersymmetric solutions of type IIB supergravity, with wide applications to gauge theories. For these applications, such solutions are considered in the “Penrose” limit of strings in $`AdS_p\times S^p`$ background. In several cases, PP-waves are also known to be maximally supersymmetric solutions of supergravities in various dimensions, and are known to give rise to solvable string theories from worldsheet point of view as well. The particular case of $`AdS_5\times S^5`$ is of special interest, with applications to $`N=4`$, $`D=4`$ gauge theories in the limit of large conformal dimensions and R-charges. Interestingly, the $`D`$-branes of string theories also have an appropriate representation in such gauge theories, in terms of operators corresponding to ‘giant gravitons’ and ‘defects’.

In this paper, we continue the search for explicit $`D`$-brane supergravity solutions in string theories in PP-wave background. Our study will be mainly concentrated to the NS-NS and R-R PP-waves arising out of $`AdS_3\times S^3`$ geometry . We, however, also present branes in other PP-waves such as the ones in ‘little’ string theories etc.. Explicit supergravity solution of $`D`$-branes, along with open string spectrum, has been studied in . Our new result includes a set of solutions corresponding to the brane systems of the type: $`DpDp^{}`$ in both IIA and IIB theories, as well as explicit worldsheet construction in these cases. We would like to mention that $`Dp`$-branes from worldsheet point of view have already been obtained in NS-NS PP-wave background earlier . Our result gives realization of such $`D`$-branes from the supergravity point of view. We also find it interesting to note that, unlike the case of $`AdS_5\times S^5`$ PP-wave, in our case we are able to obtain several ‘localized’ $`D`$-brane solutions. $`Dp`$-branes in R-R PP-wave background are obtained by applying a set of $`S`$ and $`T`$-duality transformations on the brane solutions in NS-NS background. Such background PP-wave configurations were already discussed in the context of $`D7`$-branes in . The worldsheet construction of these branes then follows from the results in , and will also be discussed below. We, however, point out that there is a crucial difference between the solutions presented in this paper and those in . In the present case, only light-cone directions of the PP-wave are along the branes, the remaining four are always transverse to them. On the other hand, for the solutions in  the directions transverse to the brane are flat.

The rest of the paper is organised as follows. In section-2, new (supersymmetric) $`Dp`$ as well as $`DpDp^{}`$ branes are presented in both NS-NS and R-R PP-wave backgrounds. Supersymmetry properties of these branes have been examined in detail in section-3 and it is shown that they preserve some amount of unbroken supersymmetry. Open string constructions of branes is discussed in section-4. Section-5 is devoted to the branes in ‘little string theory’ background. We conclude in section-6 with some general remarks.

## 2 Supergravity Solutions

### 2.1 $`D`$-Branes in NS-NS PP-wave background

We now start by writing down the $`D`$-string solutions in the PP-wave background originating from the Penrose limit of NS-NS $`AdS_3\times S^3\times R^4`$ . The supergravity solution of a system of $`N`$ $`D`$-strings in such a background is given by:

$`ds^2`$ $`=`$ $`f_1^{\frac{1}{2}}(2dx^+dx^{}\mu ^2{\displaystyle \underset{i=1}{\overset{4}{}}}x_i^2(dx^+)^2)+f_1^{\frac{1}{2}}{\displaystyle \underset{a=1}{\overset{8}{}}}(dx^a)^2`$ (2.1)
$`e^{2\varphi }`$ $`=`$ $`f_1,H_{+12}=H_{+34}=2\mu ,`$ (2.3)
$`F_{+a}`$ $`=`$ $`_af_1^1,f_1=1+{\displaystyle \frac{Ng_sl_s^6}{r^6}},`$ (2.5)
with $`f_1`$ satisfying the Green function equation in the 8-dimensional transverse space. We have explicitly verified that the solution presented in (2.5) satisfy the type IIB field equations (see e.g.). One notices that in this case, constant NS-NS 3-forms along the PP-wave direction are required precisely to cancel the $`\mu `$-dependent part of $`R_{++}`$ equation of motion.

Starting from the $`D`$-string solution in eqn. (2.5), one can write down all the $`Dp`$-brane solutions ($`p=1,..,5`$) in NS-NS PP-wave background by applying succesive T-dualities along $`x^5,..,x^8`$. As is known, this procedure also involves smearing of the brane along these directions. For example, a $`D3`$-brane solution has a form:

$`ds^2`$ $`=`$ $`f_3^{\frac{1}{2}}(2dx^+dx^{}\mu ^2{\displaystyle \underset{i=1}{\overset{4}{}}}x_i^2(dx^+)^2+(dx_5)^2+(dx_6)^2)`$ (2.6)
$`+`$ $`f_3^{\frac{1}{2}}{\displaystyle \underset{a=\mathrm{1..4},7,8}{}}(dx_a)^2`$ (2.8)
$`H_{+12}`$ $`=`$ $`H_{+34}=2\mu ,`$ (2.10)
$`F_{+56a}`$ $`=`$ $`_af_{3}^{}{}_{}{}^{1},e^{2\varphi }=1,`$ (2.12)
with $`f_3`$ being the harmonic function in the transverse space of the $`D3`$-brane.

Now we present the supergravity solution of intersecting ($`DpDp^{}`$)-brane system in PP-wave background. These solutions are described as ‘branes lying within branes’. In particular for $`D1D5`$ case, the solution is given by:

$`ds^2`$ $`=`$ $`(f_1f_5)^{\frac{1}{2}}(2dx^+dx^{}\mu ^2{\displaystyle \underset{i=1}{\overset{4}{}}}x_i^2(dx^+)^2)+\left({\displaystyle \frac{f_1}{f_5}}\right)^{\frac{1}{2}}{\displaystyle \underset{a=5}{\overset{8}{}}}(dx^a)^2`$ (2.13)
$`+`$ $`(f_1f_5)^{\frac{1}{2}}{\displaystyle \underset{i=1}{\overset{4}{}}}(dx_i)^2,`$ (2.15)
$`e^{2\varphi }`$ $`=`$ $`{\displaystyle \frac{f_1}{f_5,}}`$ (2.17)
$`H_{+12}`$ $`=`$ $`H_{+34}=2\mu ,`$ (2.19)
$`F_{+i}`$ $`=`$ $`_if_{1}^{}{}_{}{}^{1},F_{mnp}=ϵ_{mnpl}_lf_5,`$ (2.21)
with $`f_1`$ and $`f_5`$ satisfying the Green function equations for $`D1`$ and $`D5`$-branes respectively. Eqn. (2.21) provides one of the main result of our paper and shows that, as in the flat space, intersecting brane solutions are possible in the PP-wave background as well. We have once again checked that the solution presented above do satisfy type IIB field equations of motion.

One can now apply T-duality transformations to generate more intersecting brane solutions starting from the one given in eqn. (2.21) . Note that the directions $`x^5,..,x^8`$ are transverse to the $`D`$-string in eqn. (2.21), whereas they lie along the longitudinal directions of $`D5`$. As a result, one can easily obtain solutions of the type $`D2D4`$ as well as $`D3D3^{}`$ in this PP-wave background. These solutions will give a PP-wave generalization of the intersecting solutions given in . We however skip the details of this analysis.

### 2.2 $`pp^{}`$ Branes in R-R PP-Wave Background

In this section, we will present the $`Dp`$ as well as $`(DpDp^{})`$-branes in R-R PP-wave of $`AdS_3\times S^3\times R^4`$. These backgrounds can be obtained from the solutions given in the last subsection by applying $`S`$ and $`T`$-duality transformations in several steps. For example, from the $`D3`$-brane solution in NS-NS PP-wave background (2.12), one gets a $`D3`$-brane in RR PP-wave background under $`S`$-duality transformation. Now applying $`T`$-duality along the directions ($`x^5,x^6`$), we can generate a $`D`$-string solution. On the other hand, by applying $`T`$-duality along two transverse directions, $`(x^7,x^8)`$, of the $`D3`$-brane, one gets a $`D5`$-brane lying along $`(x^+,x^{},x^5,..,x^8)`$ directions. Supergravity solution of a system of $`N`$ $`D`$-strings is then given explicitly by:

$`ds^2`$ $`=`$ $`f_1^{\frac{1}{2}}(2dx^+dx^{}\mu ^2{\displaystyle \underset{i=1}{\overset{4}{}}}x_i^2(dx^+)^2)+f_1^{\frac{1}{2}}{\displaystyle \underset{a=1}{\overset{8}{}}}(dx^a)^2`$ (2.22)
$`e^{2\varphi }`$ $`=`$ $`f_1,F_{+1256}=F_{+3456}=2\mu ,`$ (2.24)
$`F_{+a}`$ $`=`$ $`_af_1^1,f_1=1+{\displaystyle \frac{Ng_sl_s^6}{r^6}},`$ (2.26)
with $`f_1`$ satisfying the Green function in $`8`$-dimensional transverse space. One notices that the solution has a constant $`5`$\- form field strength.

The supergravity solution of $`D5`$-brane is given by:

$`ds^2`$ $`=`$ $`f_5^{\frac{1}{2}}(2dx^+dx^{}\mu ^2{\displaystyle \underset{i=1}{\overset{4}{}}}x_i^2(dx^+)^2+{\displaystyle \underset{a=5}{\overset{8}{}}}(dx^a)^2)+f_5^{\frac{1}{2}}{\displaystyle \underset{i=1}{\overset{4}{}}}(dx^i)^2`$ (2.27)
$`e^{2\varphi }`$ $`=`$ $`f_5^1,F_{+1256}=F_{+3456}=F_{+1278}=F_{+3478}=2\mu ,`$ (2.29)
$`F_{mnp}`$ $`=`$ $`ϵ_{mnpq}_qf_5,f_5=1+{\displaystyle \frac{Ng_sl_s^2}{r^2}},`$ (2.31)
with $`f_5`$ satisfying the Green function in the tranverse directions $`(x^1,\mathrm{},x^4)`$. Now we will present the $`(DpDp^{})`$-brane solutions in RR PP-wave background. In particular, to write down the supergravity solution of a $`(D1D5)`$ system, we made an ansatz which combines the $`D`$-string of eqn. (2.26) and $`D5`$-brane given in eqn. (2.31). The final configuration is as follows:

$`ds^2`$ $`=`$ $`(f_1f_5)^{\frac{1}{2}}(2dx^+dx^{}\mu ^2{\displaystyle \underset{i=1}{\overset{4}{}}}x_i^2(dx^+)^2)+\left({\displaystyle \frac{f_1}{f_5}}\right)^{\frac{1}{2}}{\displaystyle \underset{a=5}{\overset{8}{}}}(dx^a)^2`$ (2.32)
$`+`$ $`(f_1f_5)^{\frac{1}{2}}{\displaystyle \underset{i=1}{\overset{4}{}}}(dx_i)^2,`$ (2.34)
$`e^{2\varphi }`$ $`=`$ $`{\displaystyle \frac{f_1}{f_5,}}`$ (2.36)
$`F_{+1256}`$ $`=`$ $`F_{+3456}=F_{+1278}=F_{+3478}=2\mu ,`$ (2.38)
$`F_{+i}`$ $`=`$ $`_if_{1}^{}{}_{}{}^{1},F_{mnp}=ϵ_{mnpl}_lf_5,`$ (2.40)
with $`f_1`$ and $`f_5`$ being the Green function in the common tranversee space. One can check that the solution presented above do satisfy the type IIB field equations. Once again, more $`pp^{}`$ branes can be obtained from the $`D1D5`$ solution in (2.40) by applying $`T`$-dualities.

One may also attempt to find a $`(D1D5)`$ solution by taking a decoupling limit, followed by the Penrose scaling, of the solution presented in in a similar way as the $`D5`$-brane solution in. The starting solution along which one would take the Penrose limit is as follows:

$`ds^2`$ $`=`$ $`{\displaystyle \frac{1}{(H_1^{}H_5^{})^{1/2}}}[{\displaystyle \frac{r^2}{R_1^2}}(dt^2+dx^2)]+\left({\displaystyle \frac{H_1^{}}{H_5^{}}}\right)^{1/2}{\displaystyle \frac{R_1^2}{r^2}}dr^2`$ (2.41)
$`+`$ $`\left({\displaystyle \frac{H_1^{}}{H_5^{}}}\right)^{1/2}(d\psi ^2+\mathrm{sin}^2\psi d\mathrm{\Omega }_2^2)+(H_1^{}H_5^{})^{1/2}(dy^2+y^2d\mathrm{\Omega }_3^2),`$ (2.43)
where

$$H_1=1+\frac{R_1^2}{x^2},H_5=1+\frac{R_5^2}{x^2},H_1^{}=1+\frac{R_{}^{}{}_{1}{}^{2}}{y^2},H_5^{}=1+\frac{R_{}^{}{}_{5}{}^{2}}{y^2}.$$
(2.44)
One however notices that different terms in the metric above come with different powers of $`H_1^{}`$, leading to difficulty in choosing a ‘null geodesic’ to define an appropriate Penrose limit and find brane solutions.

## 3 Supersymmetry Analysis

### 3.1 NS-NS PP-wave

In this section we will present the supersymmetry of the solutions described earlier in section-(2.1). The supersymmetry variation of dilatino and gravitino fields of type IIB supergravity in ten dimension, in string frame, is given by:

$`\delta \lambda _\pm `$ $`=`$ $`{\displaystyle \frac{1}{2}}(\mathrm{\Gamma }^\mu _\mu \varphi {\displaystyle \frac{1}{12}}\mathrm{\Gamma }^{\mu \nu \rho }H_{\mu \nu \rho })ϵ_\pm +{\displaystyle \frac{1}{2}}e^\varphi (\pm \mathrm{\Gamma }^MF_M^{(1)}+{\displaystyle \frac{1}{12}}\mathrm{\Gamma }^{\mu \nu \rho }F_{\mu \nu \rho }^{(3)})ϵ_{},`$ (3.1)
$`\delta \mathrm{\Psi }_\mu ^\pm `$ $`=`$ $`\left[_\mu +{\displaystyle \frac{1}{4}}(w_{\mu \widehat{a}\widehat{b}}{\displaystyle \frac{1}{2}}H_{\mu \widehat{a}\widehat{b}})\mathrm{\Gamma }^{\widehat{a}\widehat{b}}\right]ϵ_\pm `$ (3.2)
$`+`$ $`{\displaystyle \frac{1}{8}}e^\varphi \left[\mathrm{\Gamma }^\mu F_\mu ^{(1)}{\displaystyle \frac{1}{3!}}\mathrm{\Gamma }^{\mu \nu \rho }F_{\mu \nu \rho }^{(3)}{\displaystyle \frac{1}{2.5!}}\mathrm{\Gamma }^{\mu \nu \rho \alpha \beta }F_{\mu \nu \rho \alpha \beta }^{(5)}\right]\mathrm{\Gamma }_\mu ϵ_{},`$ (3.4)
where we have used $`(\mu ,\nu ,\rho )`$ to describe the ten dimensional space-time indices, and hat’s represent the corresponding tangent space indices. Solving the above two equations for the solution describing a D-string as given in eqn. (2.5), we get several conditions. First, the dilatino variation gives:

$`\mathrm{\Gamma }^{\widehat{a}}ϵ_\pm \mathrm{\Gamma }^{\widehat{+}\widehat{}\widehat{a}}ϵ_{}=0,`$ (3.5)
$`(\mathrm{\Gamma }^{\widehat{+}\widehat{1}\widehat{2}}+\mathrm{\Gamma }^{\widehat{+}\widehat{3}\widehat{4}})ϵ_{}=0.`$ (3.6)
In fact, both the conditions (3.5) and (3.6), are required for satisfying dilatino variation condition. Gravitino variation gives the following conditions on the spinors:

$`\delta \psi _+^\pm `$ $``$ $`_+ϵ_\pm {\displaystyle \frac{\mu }{2}}f_1^{\frac{1}{2}}(\mathrm{\Gamma }^{\widehat{1}\widehat{2}}+\mathrm{\Gamma }^{\widehat{3}\widehat{4}})\mathrm{\Gamma }^\widehat{}ϵ_\pm =0,\delta \psi _{}^\pm _{}ϵ_\pm =0,`$ (3.7)
$`\delta \psi _a^\pm `$ $``$ $`_aϵ_\pm ={\displaystyle \frac{1}{8}}{\displaystyle \frac{f_{1,a}}{f_1}}ϵ_\pm ,\delta \psi _i^\pm _iϵ_\pm ={\displaystyle \frac{1}{8}}{\displaystyle \frac{f_{1,i}}{f_1}}ϵ_\pm .`$ (3.9)
In writing the above set of equations, we have also imposed a necessary condition:

$`\mathrm{\Gamma }^{\widehat{+}}ϵ_\pm =0,`$ (3.10)
in addition to (3.5). Further, by using

$`(1\mathrm{\Gamma }^{\widehat{1}\widehat{2}\widehat{3}\widehat{4}})ϵ_\pm =0,`$ (3.11)
all the supersymmetry conditions are solved by spinors: $`ϵ_\pm =exp(\frac{1}{8}lnf_1)ϵ_\pm ^0`$, with $`ϵ_\pm ^0`$ being a constant spinor. $`D`$-string solution in eqn. (2.5) therefore preserves $`1/8`$ supersymmetry. All other $`Dp`$-branes ($`p=1,..,5`$), obtained by applying T-dualities as discussed above, will also preserve same amount of supersymmetry.

Next, we will analyze the supersymmetry properties of the intersecting branes. We will concentrate on the $`(D1D5)`$-case explicitly. The dilatino variation gives the following conditions on the spinors:

$`\mathrm{\Gamma }^{\widehat{i}}ϵ_\pm \mathrm{\Gamma }^{\widehat{+}\widehat{}\widehat{i}}ϵ_{}=0,`$ (3.12)
$`\mathrm{\Gamma }^{\widehat{i}}ϵ_\pm +{\displaystyle \frac{1}{3!}}ϵ_{\widehat{i}\widehat{j}\widehat{k}\widehat{l}}\mathrm{\Gamma }^{\widehat{j}\widehat{k}\widehat{l}}ϵ_{}=0,`$ (3.13)
$`(\mathrm{\Gamma }^{\widehat{+}\widehat{1}\widehat{2}}+\mathrm{\Gamma }^{\widehat{+}\widehat{3}\widehat{4}})ϵ_{}=0.`$ (3.14)
One needs to impose all the three conditions, specified above for the dilatino variation to vanish. On the other hand, the gravitino variation gives:

$`\delta \psi _+^\pm `$ $``$ $`_+ϵ_\pm {\displaystyle \frac{\mu }{2}}(f_1f_5)^{\frac{1}{2}}(\mathrm{\Gamma }^{\widehat{1}\widehat{2}}+\mathrm{\Gamma }^{\widehat{3}\widehat{4}})\mathrm{\Gamma }^\widehat{}ϵ_\pm =0,\delta \psi _{}^\pm _{}ϵ_\pm =0,`$ (3.15)
$`\delta \psi _i^\pm `$ $``$ $`_iϵ_\pm ={\displaystyle \frac{1}{8}}\left[{\displaystyle \frac{f_{1,a}}{f_1}}ϵ_\pm +{\displaystyle \frac{f_{5,a}}{f_5}}\right]ϵ_\pm ,\delta \psi _a^\pm _aϵ_\pm =0.`$ (3.17)
In writing down the above gravitino variations we have once again made use of the projection $`\mathrm{\Gamma }^{\widehat{+}}ϵ_\pm =0`$. The above set of equations can be solved by imposing:

$`(1\mathrm{\Gamma }^{\widehat{1}\widehat{2}\widehat{3}\widehat{4}})ϵ_\pm =0,`$ (3.18)
in addition to (3.12) and the solution is given as: $`ϵ_\pm =exp(\frac{1}{8}ln(f_1f_5))ϵ_\pm ^0`$. One therefore has $`1/8`$ supersymmetry for the $`(D1D5)`$ solution presented in eqn. (2.21).

### 3.2 R-R PP-wave

Now, we will present the supersymmetry of the $`Dp`$ as well as $`DpDp^{}`$ branes in R-R PP-wave background given in section-(2.2). First we will discuss the supersymmetry of the $`D`$-string in eqn. (2.26). The dilatino variation (3.1), gives:

$`\mathrm{\Gamma }^{\widehat{a}}ϵ_\pm \mathrm{\Gamma }^{\widehat{+}\widehat{}\widehat{a}}ϵ_{}=0.`$ (3.19)
Gravitino variation gives the following conditions on the spinors:

$`\delta \psi _+^\pm `$ $``$ $`_+ϵ_\pm {\displaystyle \frac{\mu }{8}}f_1^{\frac{1}{2}}\left((\mathrm{\Gamma }^{\widehat{+}\widehat{1}\widehat{2}\widehat{5}\widehat{6}}+\mathrm{\Gamma }^{\widehat{+}\widehat{3}\widehat{4}\widehat{5}\widehat{6}})+(\mathrm{\Gamma }^{\widehat{+}\widehat{1}\widehat{2}\widehat{7}\widehat{8}}+\mathrm{\Gamma }^{\widehat{+}\widehat{3}\widehat{4}\widehat{7}\widehat{8}})\right)\mathrm{\Gamma }^\widehat{}ϵ_\pm =0,`$ (3.20)
$`\delta \psi _{}^\pm `$ $``$ $`_{}ϵ_\pm =0,`$ (3.22)
$`\delta \psi _a^\pm `$ $``$ $`_aϵ_\pm ={\displaystyle \frac{1}{8}}{\displaystyle \frac{f_{1,i}}{f_1}}ϵ_\pm ,\delta \psi _i^\pm _iϵ_\pm ={\displaystyle \frac{1}{8}}{\displaystyle \frac{f_{1,a}}{f_1}}ϵ_\pm ,`$ (3.24)
where we have once again imposed a necessary condition: $`\mathrm{\Gamma }^{\widehat{+}}ϵ_\pm =0`$, in addition to (3.19). Further, by using the condition:

$`(1\mathrm{\Gamma }^{\widehat{1}\widehat{2}\widehat{3}\widehat{4}})=0,`$ (3.25)
all the supersymmetry conditions are satisfied, thus preserving $`1/8`$ unbroken supersymmetry.

Next, we present the supersymmetry property of the $`D1D5`$ solution written in eqn. (2.40). The dilatino variation (3.1) gives the following conditions on spinors:

$`\mathrm{\Gamma }^{\widehat{i}}ϵ_\pm \mathrm{\Gamma }^{\widehat{+}\widehat{}\widehat{i}}ϵ_{}=0,`$ (3.26)
$`\mathrm{\Gamma }^{\widehat{i}}ϵ_\pm +{\displaystyle \frac{1}{3!}}ϵ_{\widehat{i}\widehat{j}\widehat{k}\widehat{l}}\mathrm{\Gamma }^{\widehat{j}\widehat{k}\widehat{l}}ϵ_{}=0.`$ (3.27)
On the other hand, the gravitino variation (3.4), gives the following conditions:

$`\delta \psi _+^\pm `$ $``$ $`_+ϵ_\pm {\displaystyle \frac{\mu }{8}}(f_1f_5)^{\frac{1}{2}}\left((\mathrm{\Gamma }^{\widehat{+}\widehat{1}\widehat{2}\widehat{5}\widehat{6}}+\mathrm{\Gamma }^{\widehat{+}\widehat{3}\widehat{4}\widehat{5}\widehat{6}})+(\mathrm{\Gamma }^{\widehat{+}\widehat{1}\widehat{2}\widehat{7}\widehat{8}}+\mathrm{\Gamma }^{\widehat{+}\widehat{3}\widehat{4}\widehat{7}\widehat{8}})\right)\mathrm{\Gamma }^\widehat{}ϵ_\pm =0,`$ (3.28)
$`\delta \psi _{}^\pm `$ $``$ $`_{}ϵ_\pm =0,\delta \psi _a^\pm _aϵ_\pm =0,`$ (3.30)
$`\delta \psi _i^\pm `$ $``$ $`_iϵ_\pm ={\displaystyle \frac{1}{8}}\left[{\displaystyle \frac{f_{1,i}}{f_1}}+{\displaystyle \frac{f_{5,i}}{f_5}}\right]ϵ_\pm ,`$ (3.32)
where we have once again used a necessary condition: $`\mathrm{\Gamma }^{\widehat{+}}ϵ_\pm =0`$ along with the ones in (3.26) and (3.27). The above set of equations can be solved by imposing further:

$`(1\mathrm{\Gamma }^{\widehat{1}\widehat{2}\widehat{3}\widehat{4}})ϵ_\pm =0.`$ (3.33)
One therefore has $`1/8`$ supersymmetry for the $`D1D5`$ system described in eqn. (2.40) as well.

## 4 Worldsheet Construction of $`pp^{}`$ Branes

### 4.1 NS-NS PP-wave

In this section, we will discuss the $`(D1D5)`$-brane system, constructed earlier in the paper, from the point of view of first quantized string theory in Green-Schwarz formalism, in light-cone gauge. In the present case, in flat directions $`x_\alpha (\alpha =5,\mathrm{},8)`$, we have the Dirichlet boundary condition at one end and Neumann boundary condition at the other end of the open string. Along $`x_i`$ $`(i=1,\mathrm{},4)`$ directions, one has the usual Dirichlet boundary condition. The relevant classical action to be studied in our case (after imposing the light-cone gauge conditions on fermions and bosons  ) is as follows :

$`L=L_b+L_f,`$ (4.1)
where

$`L_b`$ $`=`$ $`_+u_{}vm^2x_i^2+_+x_i_{}x_i+_+x_\alpha _{}x_\alpha `$ (4.2)
$`+`$ $`\mu {\displaystyle \underset{(i,j)=(1,2),(3,4)}{}}x^i(_+u_{}x^j_{}u_+x^j),`$ (4.4)
$`L_f=iS_R(_+mM)S_R+iS_L(_{}+mM)S_L,`$ (4.5)
with

$`m\alpha ^{}p^u\mu =2\alpha ^{}p_v\mu ,`$ (4.6)
$`M={\displaystyle \frac{1}{2}}(\gamma ^{12}+\gamma ^{34}).`$ (4.7)
Eight component real spinors $`(S_L,S_R)`$ have been obtained from 16-component Majorana-Weyl spinors in the left and the right sector after solving the light-cone gauge conditions.

The equations of motion and boundary conditions for bosons $`x^i,x^\alpha `$ in our case are as follows:

$`_+_{}x_{i_1}+m^2x_{i_1}mϵ^{i_1j_1}(_{}x^{j_1}_+x^{j_1})=0,_+_{}x_\alpha =0,`$ (4.8)
$`_\sigma x^\alpha |_{\sigma =0}=_\tau x^\alpha |_{\sigma =\pi }=0,x^i|_{\sigma =0,\pi }=constant.`$ (4.9)
The solutions to the bosonic equations of motion, with the boundary conditions specified above, is given by (defining $`X^{\widehat{1}}=\frac{1}{\sqrt{2}}(x^1+ix^2)`$ and $`X^{\widehat{2}}=\frac{1}{\sqrt{2}}(x^3+ix^4)`$)  :

$`X^\alpha (\sigma ,\tau )=i{\displaystyle \underset{r(z+\frac{1}{2})}{}}{\displaystyle \frac{1}{r}}\alpha _r^\alpha e^{ir\tau }\mathrm{cos}r\sigma ,(\alpha =5,..,8),`$ (4.10)
$`X^{\widehat{i}}(\sigma ,\tau )=e^{2im\sigma }\left[x_0+(x_1e^{2im\sigma }x_0){\displaystyle \frac{\sigma }{\pi }}+i{\displaystyle \underset{n0}{}}{\displaystyle \frac{1}{n}}\alpha _n^ie^{in\tau }\mathrm{sin}n\sigma \right].`$ (4.11)
To consider the equations of motion of fermions, we note that the matrix $`M`$ evidently breaks the $`SO(8)`$ symmetry further, and thereby splits the fermions in the $`84+4`$ way: $`S_L(\stackrel{~}{S}_L,\widehat{S}_L),S_R(\stackrel{~}{S}_R,\widehat{S}_R)`$:

$`\gamma ^{1234}\left(\begin{array}{c}\stackrel{~}{S}_{L,R}\\ \widehat{S}_{L,R}\end{array}\right)=\left(\begin{array}{c}\stackrel{~}{S}_{L,R}\\ \widehat{S}_{L,R}\end{array}\right).`$ (4.12)
In this connection, one also introduces $`4\times 4`$ matrices $`\mathrm{\Lambda }`$ and $`\mathrm{\Sigma }`$:

$`\gamma ^{12}\left(\begin{array}{c}\stackrel{~}{S}_{L,R}\\ \widehat{S}_{L,R}\end{array}\right)=\left(\begin{array}{c}\mathrm{\Lambda }\stackrel{~}{S}_{L,R}\\ \mathrm{\Sigma }\widehat{S}_{L,R}\end{array}\right),`$ (4.13)
with $`\mathrm{\Lambda }^2=\mathrm{\Sigma }^2=1`$. $`\mathrm{\Lambda }`$ and $`\mathrm{\Sigma }`$ in the above equation are $`4\times 4`$ antisymmetric matrices with eigenvalues $`\pm i`$. Using these notations, one has:

$`M\left(\begin{array}{c}\stackrel{~}{S}_{L,R}\\ \widehat{S}_{L,R}\end{array}\right)=\left(\begin{array}{c}\mathrm{\Lambda }\stackrel{~}{S}_{L,R}\\ 0\end{array}\right).`$ (4.14)
The equations of motion written in terms of $`(\stackrel{~}{S}_L,\widehat{S}_L)`$ and $`(\stackrel{~}{S}_R,\widehat{S}_R)`$ are then of the form:

$$_+(e^{2m\tau }\stackrel{~}{S}_R)=0,_{}(e^{2m\tau }\stackrel{~}{S}_L)=0,$$
(4.15)
$$_+\widehat{S}_R=0,_{}\widehat{S}_L=0.$$
(4.16)
Now we will write down the boundary conditions for the fermions in the mixed sector. As the equations of motion and the boundary condition for the components $`\widehat{S}_{L,R}`$ are identical to the ones in flat space, we only concentrate on finding explicit solution for $`\stackrel{~}{S}_{L,R}`$ below. Following, one can write down the boundary conditions for the fermions as:

$`\stackrel{~}{S_L}|_{\sigma =0}=\stackrel{~}{S_R}|_{\sigma =0},`$ (4.17)
$`\stackrel{~}{S_L}|_{\sigma =\pi }=\stackrel{~}{S_R}|_{\sigma =\pi },`$ (4.18)
$`\widehat{S_L}|_{\sigma =0,\pi }=\widehat{S_R}|_{\sigma =0,\pi }.`$ (4.19)
The solution for $`\stackrel{~}{S}_{L,R}`$ equations of motion (4.15), with the above boundary condition, can be read from , and has the following form:

$`\stackrel{~}{S}_L=e^{2m\sigma \mathrm{\Lambda }}{\displaystyle \underset{r(z+\frac{1}{2})}{}}s_re^{ir(\tau +\sigma )},`$ (4.20)
$`\stackrel{~}{S}_R=e^{2m\sigma \mathrm{\Lambda }}{\displaystyle \underset{r(z+\frac{1}{2})}{}}s_re^{ir(\tau \sigma )}.`$ (4.21)
The canonical quantization conditions as well as the worldsheet hamiltonian for the $`D1D5`$ system discussed above can also be written in a straightforward manner following the procedure in . We skip these details.

### 4.2 R-R PP-wave

Now, we present the worldsheet analysis of the $`(D1D5)`$-system discussed earlier in section-(2.2). This can be done by realizing that the PP-wave background for these solutions is given by a $`T`$-dual configuration of the ones presented in . More explicitly, in the worldsheet action in the present case:

$`L=L_B+L_F,`$ (4.22)
where

$`L_B=_+u_{}vm^2x_i^2+_+x_i_{}x_i+_+x_\alpha _{}x_\alpha ,`$ (4.23)
$`L_F=iS_R_+S_R+iS_L_+S_L2imS_LMS_R,`$ (4.24)
with

$`m\alpha ^{}p^u\mu =2\alpha ^{}p_v\mu ,`$ (4.25)
$`M={\displaystyle \frac{1}{2}}(\gamma ^{12}+\gamma ^{34})\gamma ^{56},`$ (4.26)
the terms involving fermions are easily seen to be related to the ones in  through $`T`$-dualities along $`x^5`$ and $`x^6`$. This in fact leads to the relation:

$`S_{}^{}{}_{R}{}^{}=\gamma ^{56}S_R,`$ (4.27)
and reproduces the original action in . The mode expansion for fermions as well as canonical quantization conditions can therefore be also written down in a straightforward manner. We end this section by pointing out that, since the $`D`$-brane solutions found in this paper are preserving less than $`1/2`$ supersymmetry, some of the restrictions on the brane directions, imposed using zero mode considerations do not directly apply above.

## 5 Branes in ‘Little String Theory’

### 5.1 Supergravity Backgrounds

In this section, we discuss the branes in the Penrose limit of ‘little string theory’(LST). PP-waves of non-local theories have been discussed recently in the literature. Among them, ‘little string theory’ arises on the world volume of $`NS5`$-brane when a decoupling limit, $`g_s0`$ with fixed $`\alpha ^{}`$, is taken. To construct our solution, we start with the NS5-brane solution given by the metric and dilaton:

$`ds^2`$ $`=`$ $`dt^2+dy_5^2+H(r)(dr^2+r^2d\mathrm{\Omega }_3^2),`$ (5.1)
$`e^{2\mathrm{\Phi }}`$ $`=`$ $`g_s^2H(r),`$ (5.3)
with $`H(r)=1+\frac{Nl_s^2}{r^2}`$. The near horizon limit of the above solution is the linear dilaton geometry, which in the string frame is given by,

$`ds^2=Nl_s^2\left(d\stackrel{~}{t}^2+\mathrm{cos}^2\theta d\psi ^2+d\theta ^2+\mathrm{sin}^2\theta d\varphi ^2+{\displaystyle \frac{dr^2}{r^2}}\right)+dy_5^2,`$ (5.4)
with $`t=\sqrt{N}l_s\stackrel{~}{t}`$. PP-wave background of LST is then found by applying Penrose limit to (5.4). We however consider the case after applying S-duality on eqn. (5.4). Applying S-duality transformation and then taking Penrose limit (as described in), the background solution is given by:

$`ds^2`$ $`=`$ $`4dx^+dx^{}\mu ^2\stackrel{}{z}^2dx_{}^{+}{}_{}{}^{2}+(d\stackrel{}{z})^2+dx^2+dy_5^2`$ (5.5)
$`e^{2\varphi }`$ $`=`$ $`Const,`$ (5.7)
$`F_{+12}`$ $`=`$ $`C\mu ,`$ (5.9)
where $`F_{+12}`$ is the 3-form field strength in the $`\stackrel{}{z}`$-plane. Now we proceed to analyze the existence and stability of branes in this background. The supergravity solution for a system of D5-branes in this background is given by:

$`ds^2`$ $`=`$ $`f^{\frac{1}{2}}\left(4dx^+dx^{}\mu ^2\stackrel{}{z}^2(dx^+)^2+{\displaystyle \underset{i=1}{\overset{2}{}}}(dz_i)^2+{\displaystyle \underset{p=1}{\overset{2}{}}}(dy_p)^2\right)`$ (5.10)
$`+`$ $`f^{\frac{1}{2}}{\displaystyle \underset{a=1}{\overset{4}{}}}(dx_a)^2,`$ (5.12)
$`e^{2\mathrm{\Phi }}`$ $`=`$ $`f^1,F_{+12}=2\mu ,`$ (5.14)
$`F_{mnp}`$ $`=`$ $`ϵ_{mnpr}_rf,f=1+{\displaystyle \frac{Ng_sl_s^2}{r^2}}.`$ (5.16)
One notices that the background has only one constant 3-form field strength $`(F_{+12})`$. We have once again verified that the solution presented above satisfies type IIB field equations.

One can then write down (by applying S-duality on (5.16)) the NS5-brane in a PP-wave background of the ‘little string theory’ as:

$`ds^2`$ $`=`$ $`4dx^+dx^{}\mu ^2\stackrel{}{z}^2(dx^+)^2+{\displaystyle \underset{i=1}{\overset{2}{}}}(dz_i)^2+{\displaystyle \underset{p=1}{\overset{2}{}}}(dy_p)^2+f{\displaystyle \underset{a=1}{\overset{4}{}}}(dx_a)^2`$ (5.17)
$`e^{2\mathrm{\Phi }}`$ $`=`$ $`f,H_{+12}=2\mu ,`$ (5.19)
$`H_{mnp}`$ $`=`$ $`ϵ_{mnpr}_rf,`$ (5.21)
with $`H`$’s being the NS- sector 3-form field strengths.

We will now consider the dilatino and gravitino variation of the solution presented in eqn. (5.16) to study the supersymmetry properties. The dilatino variation gives equations:

$`\mathrm{\Gamma }^{\widehat{a}}ϵ_\pm +{\displaystyle \frac{1}{3!}}ϵ_{\widehat{a}\widehat{b}\widehat{c}\widehat{d}}\mathrm{\Gamma }^{\widehat{b}\widehat{c}\widehat{d}}ϵ_{}=0,`$ (5.22)
$`\mathrm{\Gamma }^{\widehat{+}\widehat{1}\widehat{2}}ϵ_{}=0.`$ (5.23)
The gravitino variation leads to the equations:

$`\delta \mathrm{\Psi }_+^\pm _+ϵ_\pm +{\displaystyle \frac{\mu ^2z_{\widehat{i}}}{2}}\mathrm{\Gamma }^{\widehat{+}\widehat{i}}ϵ_\pm +{\displaystyle \frac{1}{16}}\mu ^2\stackrel{}{z}^2{\displaystyle \frac{f,\widehat{a}}{f^{\frac{3}{2}}}}\mathrm{\Gamma }^{\widehat{+}\widehat{a}}ϵ_\pm {\displaystyle \frac{\mu }{4}}\mathrm{\Gamma }^{\widehat{+}\widehat{1}\widehat{2}}\mathrm{\Gamma }^{}ϵ_{}=0,`$ (5.24)
$`\delta \mathrm{\Psi }_{}^\pm _{}ϵ_\pm =0,`$ (5.25)
$`\delta \mathrm{\Psi }_i^\pm _iϵ_\pm {\displaystyle \frac{\mu }{4}}\mathrm{\Gamma }^{\widehat{+}\widehat{1}\widehat{2}}\delta _{i\widehat{i}}\mathrm{\Gamma }^{\widehat{i}}ϵ_{}=0.`$ (5.26)
$`\delta \mathrm{\Psi }_p^\pm _pϵ_\pm {\displaystyle \frac{\mu }{4}}\mathrm{\Gamma }^{\widehat{+}\widehat{1}\widehat{2}}\delta _{p\widehat{p}}\mathrm{\Gamma }^{\widehat{p}}ϵ_{}=0.`$ (5.27)
$`\delta \mathrm{\Psi }_a^\pm _aϵ_\pm +{\displaystyle \frac{1}{8}}{\displaystyle \frac{f,a}{f}}ϵ_\pm {\displaystyle \frac{\mu }{4}}f^{\frac{1}{2}}\mathrm{\Gamma }^{\widehat{+}\widehat{1}\widehat{2}}\delta _{a\widehat{a}}\mathrm{\Gamma }^{\widehat{a}}ϵ_{}=0,`$ (5.28)
In writing these set of equations we have used the condition (5.22). Imposing the condition $`\mathrm{\Gamma }^{\widehat{+}}ϵ=0`$, we further reduce them to:

$`_+ϵ_\pm {\displaystyle \frac{\mu }{4}}\mathrm{\Gamma }^{\widehat{+}\widehat{1}\widehat{2}}\mathrm{\Gamma }^\widehat{}ϵ_{}=0,`$ (5.29)
$`_{}ϵ_\pm =0,_iϵ_\pm =0,_pϵ_\pm =0,_aϵ_\pm ={\displaystyle \frac{1}{8}}{\displaystyle \frac{f,a}{f}}ϵ_\pm .`$ (5.30)
Since eqns. (5.29) and (5.30) are integrable ones, hence in this case we get $`1/4`$ supersymmetry. It will also be nice to give a worldsheet construction for such $`D`$-branes.

## 6 Conclusion

In this paper we have presented several supersymmetric $`Dp`$ and $`DpDp^{}`$-brane configurations in PP-wave background and analyzed their supersymmetry properties. We have also presented $`(D1D5)`$-brane construction from the point of view of massive Green-Schwarz formalism in the light cone gauge in NS-NS and R-R PP-wave of $`AdS_3\times S^3\times R^4`$. It will be interesting to study the gauge theory duals of the branes presented in this paper by using operators such as ‘defects’. One could possibly also look at the black hole physics using the $`(D1D5)`$ system presented here in an attempt to understand their properties.

Acknowledgement We thank Rashmi R. Nayak, Koushik Ray and Sanjay for useful discussions.