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# BPS States of Strings in 3-Form Flux

## I Introduction

In recent years, following the realization of Randall:1999ee ; Randall:1999vf  that “warped product” compactifications can lead to a solution of the hierarchy problem, string and M theory compactifications with nonvanishing fluxes on the internal manifold Becker:1996gj  have garnered much interest Mayr:2000zd ; Gukov:1999ya ; Dasgupta:1999ss ; Greene:2000gh  (see therein for related references). Of particular interest is the type IIB version of Becker:1996gj  (discussed from the point of view of supersymmetry in Grana:2000jj ; Gubser:2000vg ), which has been applied to Calabi-Yau compactifications with orientifolds Giddings:2001yu ; Becker:2002nn . In these compactifications, the 3-form $`G=F\tau H`$ (with $`\tau =C+i/g_s`$) must be imaginary self-dual on the internal manifold, $`_6G=iG`$.

The simplest examples of the warped Calabi-Yau compactifications are the $`T^6/𝐙_2`$ form studied in Verlinde:1999fy ; Kachru:2002he ; Frey:2002hf , where, with different 3-form backgrounds, it is possible to have any degree of supersymmetry up to $`𝒩=4`$ ($`𝒩=4`$ corresponds to no 3-form flux). For smaller degrees of SUSY, the low energy physics is described by the superHiggs effect in supergravity Frey:2002hf ; Andrianopoli:2002rm ; Andrianopoli:2002mf ; Andrianopoli:2002aq ; D'Auria:2002tc ; Ferrara:2002bt , so the SUSY breaking is necessarily accompanied by gauge symmetry breaking.

Frey and Polchinski Frey:2002hf  studied the U-dualities of the $`𝒩=3`$ string theory compactifications and found a dilemma related to the superHiggs effect, as follows. D5- and NS5-branes wrapped on the torus carry magnetic charges for the broken vectors and are confined; the minimal unbroken magnetic charges are therefore bound states of the two types of 5-branes. On the other hand, the minimal electric charges are individual D- and F-strings, so there appear to be twice as many electric BPS multiplets as magnetic for each unbroken symmetry. In such a case, it would appear difficult to have the usual electric-magnetic duality transformation for an effective 4D gauge theory. One suggested resolution is that the combined number of BPS states of the two strings is equal to the number of BPS states of the 5-brane bound state.

In this paper, we carry out the first steps needed to compare the number of electric and magnetic BPS states by carrying out the ground state quantization of a D-string in 3-form flux. To that end, we find the action for the D-string in background fluxes from the known supersymmetric and $`\kappa `$-symmetric Born-Infeld and Wess Zumino actions Cederwall:1997ri ; Bergshoeff:1997tu , expanded to second order in the bosonic and fermionic world-volume coordinates. For simplicity, we will focus on the $`𝒩=3`$ background discussed in Frey:2002hf , but the techniques we use are readily generalizable to the other models described in Giddings:2001yu ; Kachru:2002he . Also, because of the RR flux and the finite fixed value of the string coupling, little is known about such compactifications beyond the low energy supergravity. This calculation sheds a little light on the stringy additions to the spectrum.

The paper is organized as follows. In section II, we review the simple example of a superparticle on a $`T^2/𝐙_2`$ orbifold, and in section III we describe our supergravity background and find the action and Hamiltonian of a D-string in that background. We then find the supercharges of the quantum mechanics on the string in section IV, followed by counting the BPS ground states in section V. Finally, we comment on states isolated at singularites, bound states, and the number of BPS states of an F-string in section VI, and section VII gives a concluding discussion. Some conventions are given in appendix A, and the size of the corrections to our model are shown in appendix B.

## II Example of particle on $`T^2`$

The counting of the spectrum of BPS states for the D-string on the $`T^6/𝐙_2`$ orientifold with constant fluxes will turn out to be very similar to the case of spin 1/2 particle on a torus subject to a constant perpendicular magnetic field, so in this section we review the latter, simpler, case (cf. Fradkin:1991nr  and references therein). We work in the context of supersymmetric quantum mechanics and calculate a Witten index Witten:1982df .

The supersymmetric Lagrangian for a spin 1/2 particle with mass $`m`$ and charge $`e`$ is

$$=\frac{m}{2}\dot{\stackrel{}{x}}^2+e\stackrel{}{A}\dot{\stackrel{}{x}}+\frac{i}{2}\psi _1\dot{\psi _1}+\frac{i}{2}\psi _2\dot{\psi _2}i\frac{e}{m}\psi _1\psi _2B$$
(1)
where $`\psi _1`$ and $`\psi _2`$ are two real Grassman variables, obeying

$$\{\psi _i,\psi _j\}=\delta _{ij}.$$
(2)
We should note here that we are using conventions such that $`(\psi \varphi )^{}=\varphi ^{}\psi ^{}`$, leading to the real anticommutator (2).111The anticommutator follows from the theory of systems with constraints, as detailed in Casalbuoni:1976tz ; this is important for the D-string, since it gives constants in the anticommutator. Note especially that the Dirac quantization does not give a factor of $`1/2`$ in the anticommutator. The Lagrangian (1) is invariant under the supersymmetry transformation

$$\delta x^i=i\psi _iϵ\delta \psi _i=m\dot{x}^iϵ$$
(3)
up to a total derivative, as can be verified by a simple calculation.

We find it convenient to work in the operator formalism, with Hamiltonian

$$H=\frac{1}{2m}\left(\stackrel{}{p}e\stackrel{}{A}\right)^2+i\frac{e}{m}\psi _1\psi _2B.$$
(4)
Then the supersymmetry (3) is generated by the supercharge operator

$$Q=i\left(\stackrel{}{p}e\stackrel{}{A}\right)\psi $$
(5)
satisfying $`Q^2=mH`$.

In terms of the complex combinations

$$z=\frac{1}{2}(x^1+ix^2),\psi _\pm =\frac{1}{2}(\psi _1\pm i\psi _2),$$
(6)
the supercharge (5) can be rewritten as

$$Q=i(peA)_z\psi _++i(peA)_{\overline{z}}\psi _{}.$$
(7)
Supersymmetric ground states should be annihilated by the supercharge. If we start with a state $`|`$ that is annihilated by $`\psi _{}`$, then, from (7), supersymmetric wave functions obey

$$(peA)_z\varphi _{}=0.$$
(8)
Let’s use a gauge for the potential in which

$$A_1=\frac{1}{2}Bx^2,A_2=\frac{1}{2}Bx^1A_z=iB\overline{z}.$$
(9)
This is periodic up to a gauge transformation,

$$A_i(x^1+2\pi R,x^2)=A_i(x^1,x^2)+_i\lambda _1,A_i(x^1,x^2+2\pi R)=A_i(x^1,x^2)+_i\lambda _2$$
(10)
with $`\lambda _1=B\pi Rx^2`$ and $`\lambda _2=B\pi Rx^1`$. When going around the torus, the wave function picks up a phase determined by these gauge transformations,

$$\varphi (x^1+2\pi R,x^2)=e^{ie\lambda _1}\varphi (x^1,x^2),\varphi (x^1,x^2+2\pi R)=e^{ie\lambda _2}\varphi (x^1,x^2).$$
(11)
Single-valuedness of the wavefunction implies that the magnetic field is quantized,

$$B=\frac{n}{2\pi eR^2}$$
(12)
where $`n𝐙`$, and $`R`$ is the radius of the square torus. If there is a $`𝐙_2`$ orbifold, any flux of the form (12) is still allowed, but some of the fixed points will carry flux, also. These special fixed points will not affect our discussion below, since the translations and reflections automatically give the wavefunction the correct boundary conditions at those fixed points. This is discussed in detail in Frey:2002hf .

¿From (8), the wave function should satisfy

$$\frac{\varphi _{}}{z}=eB\overline{z}\varphi _{}$$
(13)
whose solution is

$$\varphi _{}=e^{eB|z|^2}F(\overline{z}).$$
(14)
The periodicity conditions (11), written in complex coordinates, are

$$\varphi (z+\pi R,\overline{z}+\pi R)=e^{eB\pi (z\overline{z})}\varphi (z,\overline{z}),\varphi (\overline{z}+i\pi R,\overline{z}i\pi R)=e^{ieB\pi (z+\overline{z})}\varphi (z,\overline{z}).$$
(15)
Inserting (14), we get from the first condition in (15)

$$F(\overline{z}+\pi R)=e^{eB2\pi R\overline{z}eB\pi ^2R^2}F(\overline{z})=e^{\frac{n}{R}\overline{z}\frac{n\pi }{2}}F(\overline{z}),$$
(16)
where in the last equality we used the quantization condition (12). Defining

$$F(\overline{z})=e^{\frac{n}{\pi R^2}\overline{z}^2}G(\overline{z})$$
(17)
the condition (16) implies that $`G(\overline{z})`$ is periodic, with period $`\pi R`$. Writing $`G(\overline{z})`$ as a sum of Fourier modes, we get for the wave function

$$\varphi _{}=e^{\frac{n}{2\pi R^2}|z|^2\frac{n}{2\pi R^2}\overline{z}^2}\underset{\mathrm{}}{\overset{\mathrm{}}{}}C_me^{\frac{2i}{R}m\overline{z}}.$$
(18)
The second periodicity condition in (15) implies the recursion relation

$$C_{m+n}=C_me^{\pi (n+2m)}.$$
(19)
So only $`n`$ of the coefficients $`C_m`$ are free. With this recursion relation, the series in (18) converges if $`n<0`$. So, for a magnetic field in the negative $`3`$ direction, there are $`n`$ ground states.

If instead we had started with a ground state annihilated by $`\psi _+`$, then the wave function would have been

$$\varphi _+=e^{\frac{n}{2\pi R^2}|z|^2+\frac{n}{2\pi R^2}z^2}\underset{\mathrm{}}{\overset{\mathrm{}}{}}C_me^{\frac{2i}{R}mz}$$
(20)
and the constraint on the components $`C_m`$ turns out to be

$$C_{m+n}=C_me^{\pi (n+2m)},$$
(21)
so in this case the sum in (20) converges for positive $`n`$.

Let’s take a minute to note the relation of the wavefunctions to the well-known theta functions on the torus (see chapter 7 of Polchinski:1998rq  for a review). For example, with $`n>0`$, the recursion relation (21) has solution $`C_m=De^{\pi m^2/n}`$ with constant $`D`$, so the wavefunction (20) is a Gaussian times the theta function

$$\varphi _+=\underset{k=0}{\overset{n1}{}}D_k\mathrm{exp}\left[\frac{n}{2\pi R^2}|z|^2+\frac{n}{2\pi R^2}z^2\right]\vartheta \left[\begin{array}{c}k/n\\ 0\end{array}\right](\frac{nz}{\pi R},in).$$
(22)
(We use the notation of Polchinski:1998rq .) The sum now has $`n`$ independent coefficients $`D_k`$.

A spin $`1/2`$ particle in a constant perpendicular magnetic field on a torus has then a finite number of ground states, given by the number of units of magnetic flux. On a $`𝐙_2`$ orbifold, we must have $`zz`$, or $`C_m=C_m`$, which force relationships between the $`D_k`$ coefficients. Thus the number of supersymmetric ground states becomes $`(n+1)/2`$ for $`n`$ odd and $`n/2+1`$ for $`n`$ even.222It seems naively that the $`T^2/𝐙_2`$ orbifold can be smoothly deformed to $`S^2`$, but in that case an even number of flux units would give $`n/2`$ states. Apparently the orbifold limit of the sphere is singular; we leave the resolution of this problem as an exercise for the reader. If we think of the states $`|\pm `$ as respectively bosonic and fermionic, the number of ground states is therefore the Witten index $`tr(1)^F`$.

## III D-string quantum mechanics

In this section, we find the Lagrangian and Hamiltonian for a D-string extended along one direction of a $`T^6/𝐙_2`$ orientifold in imaginary self-dual 3-form flux, including the fermionic degrees of freedom.

### III.1 Supergravity background

We start by describing the supergravity background, which was given in Kachru:2002he ; Frey:2002hf . In this section, we use Greek indices for spacetime coordinates and Latin for torus coordinates. For a general amount of SUSY up to $`𝒩=4`$ ($`𝒩=4`$ corresponding to $`G_3=0`$), the fields have the form

$`ds^2`$ $`=`$ $`Z^{1/2}\eta _{\mu \nu }dx^\mu dx^\nu +Z^{1/2}d\widehat{s}_6^2,`$ (23)
$`\tau `$ $`=`$ $`C+{\displaystyle \frac{i}{g_s}}=constant`$ (24)
$`\stackrel{~}{F}_5`$ $`=`$ $`(1+)d\chi _4,\chi _4={\displaystyle \frac{1}{Zg_s}}dx^0dx^1dx^2dx^3`$ (25)
$`_6G_3`$ $`=`$ $`iG_3`$ (26)
$`\widehat{}^2Z`$ $`=`$ $`(2\pi )^4\alpha ^{}{}_{}{}^{2}g_{s}^{}\widehat{\rho }_3+{\displaystyle \frac{g_s}{2}}|\widehat{G}|^2.`$ (27)
Here, $`d\widehat{s}^2=g_{m\overline{n}}dy^md\overline{y}^{\overline{n}}`$ ($`m,n=4,\mathrm{}9`$) is the unwarped metric on the torus, which we describe with the complex pairs $`y^m=(x^m+t^{mn}x^n)/2`$, with here $`m=4,5,6`$, $`n=7,8,9`$. The Kähler moduli $`g_{m\overline{n}}`$ are free, so we choose them to give the unit metric for simplicity. The complex structure is given by the period matrix $`t`$ Kachru:2002he , which will be fixed by the 3-forms; we will consider a case with $`t^{mn}=i\delta ^{m+3,n}`$. We will find it convenient to have the proper radii implicit in the coordinates: $`x^{4,7}x^{4,7}+2\pi R_1`$, $`x^{5,8}x^{5,8}+2\pi R_2`$, $`x^{6,9}x^{6,9}+2\pi R_3`$. Additionally, the dilaton-axion is fixed by the fluxes, and we will study cases with vanishing RR scalar. We should note also that (27) implies that $`Z=1+𝒪(\alpha ^{}{}_{}{}^{2}/R^4)`$ in the large radius limit.

As in Frey:2002hf , these values for the fixed moduli are consistent with constant 3-forms

$$H_{mnp}=\frac{\alpha ^{}}{2\pi R_1R_2R_3}h_{mnp},F_{mnp}=\frac{\alpha ^{}}{2\pi R_1R_2R_3}f_{mnp},h_{mnp},f_{mnp}𝐙$$
(28)
given by

$`h_1`$ $`=`$ $`h_{456}=h_{489}=h_{759}=h_{786},`$
$`h_2`$ $`=`$ $`h_{789}=h_{756}=h_{486}=h_{459},`$
$`f_1`$ $`=`$ $`f_{456}=f_{489}=f_{759}=f_{786},`$
$`f_2`$ $`=`$ $`f_{789}=f_{756}=f_{486}=f_{459}.`$ (29)
As in the case of the superparticle, these integers can be odd, as long as some of the orientifold fixed planes carry flux. These will not affect the quantization of the string Frey:2002hf . With vanishing RR scalar, imaginary self-duality gives

$$f_2=\frac{h_1}{g_s},f_1=\frac{h_2}{g_s}.$$
(30)
This background has 4D $`𝒩=3`$ supersymmetry. In this background, a D-string and orthogonal F-string carry the same central charge (for example, a D-string wrapped on $`x^4`$ and an F-string on $`x^7`$) and fall in short multiplets of the $`𝒩=3`$ theory. These preserve 4 of the 12 supercharges preserved by the background and have 16 states; we will be counting the number of multiplets associated with each string. We should caution the reader that it is impossible to be certain that these BPS states are truly D- or F-strings, since we are working at $`g_s1`$, but we see in this paper that the physics of D-strings appears to make sense even at this strong coupling.

### III.2 Action and Hamiltonian

Here we find the supersymmetric action for a D-string wrapped (without loss of generality) on $`x^4`$ in the self-dual 3-form flux described in section III.1. Because the number of BPS states is stable under small perturbations (in the 4D $`𝒩=3`$ case we consider, for example, a long multiplet is 4 times the size of the BPS multiplet), we will work in the large radius limit of the compactification and ignore the warp factor. Also, because motion along the string is quantized by the compactification, we will set those derivatives to zero. Finally, our D-string will not intersect any D3-branes, so we ignore states associated with 1-3 strings. We will estimate the corrections to our simple model in appendix B. Because we are studying only one type of electric charge in the 4D theory, the D-string will not be wound in any other direction or carry any dissolved F-strings.

The supersymmetric action for a D1-brane in background fluxes was worked out in Cederwall:1997ri ; Bergshoeff:1997tu . It looks like the bosonic Dirac-Born-Infeld and Wess-Zumino actions, but the spacetime fields live in superspace.

$$S=\frac{1}{2\pi \alpha ^{}}d^2\zeta e^𝚽\sqrt{det\left(𝒈_{\mu \nu }+𝓕_{\mu \nu }\right)}+\frac{1}{2\pi \alpha ^{}}e^𝓕𝑪.$$
(31)
The fields in boldface are superfields; as usual,

$$𝓕=2\pi \alpha ^{}F𝑩,and𝑪=_n𝑪_{(n)}$$
(32)
is the collection of all RR potentials pulled back to the world-volume. The expansions of the superfields in terms of components fields was developed in deWit:1998tk , Millar:2000ib , and Grana:2002tu  for 11-dimensional, IIA, and IIB supergravities respectively, using a method known as gauge completion. The expansions of the fields that we will need, as well as our conventions, are listed in appendix A.

Without getting into algebraic details, the action (31) for a D-string in our background is

$`S`$ $`=`$ $`{\displaystyle \frac{1}{2\pi \alpha ^{}g_s}}{\displaystyle }d^2\zeta [(1_{04}^2)^{1/2}{\displaystyle \frac{1}{2}}(1_{04}^2)^{1/2}(\dot{x}^m)^2g_sC_{m4}\dot{x}^m`$ (33)
$`+i{\displaystyle \frac{g_s^{1/2}}{2}}\overline{\mathrm{\Theta }}\mathrm{\Gamma }^0\dot{\mathrm{\Theta }}+i{\displaystyle \frac{g_s^{3/2}}{16}}\overline{\mathrm{\Theta }}\mathrm{\Gamma }_0{}_{}{}^{mn}\mathrm{\Theta }F_{4mn}+i{\displaystyle \frac{g_s^{1/2}}{48}}\overline{\mathrm{\Theta }}\mathrm{\Gamma }^{mnp}\mathrm{\Theta }H_{mnp}i{\displaystyle \frac{g_s^{1/2}}{16}}\overline{\mathrm{\Theta }}\mathrm{\Gamma }^{4mn}\mathrm{\Theta }H_{4mn}]`$
where we work to second order in the world-volume coordinates and fermions.333$`F_{4mn}`$ in the second fermionic term would be $`F_{4mn}^{}=F_{4mn}CH_{4mn}`$, and also the Chern-Simons term would couple the velocity $`\dot{x}^m`$ to $`C_{m4}+C_{m4}`$, if the RR scalar is nonvanishing. As noted above, there are corrections to this action, arising from the expansion of the D-brane action; we consider these in appendix B.

As discussed in appendix A, the fermion $`\mathrm{\Theta }`$ is a 10D (Majorana-Weyl) superspace coordinate; let us now expand it in terms of 2D spinors. We do so by noting that the 10-dimensional gamma matrices can be decomposed into $`SO(1,1)SO(8)`$ pieces as

$$\mathrm{\Gamma }^{}=\gamma ^{}1,\mathrm{\Gamma }^{}=\gamma _{(2)}\gamma ^{},$$
(34)
where “$``$” and “$``$” mean along the D-string and perpendicular to it; $`\mathrm{\Gamma }`$ is a 32x32 Dirac matrix, $`\gamma ^{}`$ and $`\gamma ^{}`$ are its 2x2 and 16x16 blocks, and $`\gamma _{(2)}`$ is the chirality matrix in $`SO(1,1)`$. Therefore, a Majorana-Weyl spinor $`\mathrm{\Theta }`$ can be decomposed into

$$\mathrm{\Theta }=|\psi ^\alpha u_\alpha |+\varphi ^{\dot{\alpha }}v_{\dot{\alpha }},$$
(35)
where $`|+`$ and $`|`$ are the eigenfunctions of $`\gamma _{(2)}`$, and $`\alpha `$ and $`\dot{\alpha }`$ are indices in the $`\mathrm{𝟖}`$ and $`\mathrm{𝟖}^{}`$ representations of $`SO(8)`$. The $`\psi `$s and $`\varphi `$s are 2D Majorana-Weyl fermions. The spin raising (lowering) gamma matrices are the (anti)holomorphic gamma matrices defined with respect to the coordinates

$`z^{0\pm }={\displaystyle \frac{1}{2}}(\pm x^0+x^4)`$ , $`z^1={\displaystyle \frac{1}{2}}(x^1+ix^2),z^2={\displaystyle \frac{1}{2}}(x^3+ix^7),`$
$`z^3={\displaystyle \frac{1}{2}}(x^5+ix^8)`$ , $`z^4={\displaystyle \frac{1}{2}}(x^6+ix^9).`$ (36)
We will label the complex coordinates 1,2,3,4 with indices $`i,j,\mathrm{}`$.

Using the basis (73) for the Majorana-Weyl spinors and integrating along the string, the fermionic Lagrangian from eq (33) can be written

$`L_f`$ $`=`$ $`i{\displaystyle \frac{R_1}{2\alpha ^{}g_s^{1/2}}}[\psi ^\alpha \dot{\psi }^\alpha +\varphi ^{\dot{\alpha }}\dot{\varphi }^{\dot{\alpha }}`$ (37)
$`+{\displaystyle \frac{\alpha ^{}}{2\pi R_1R_2R_3}}h_1\left(\psi ^1\psi ^4+\psi ^2\psi ^3+\varphi ^4\varphi ^1+\varphi ^3\varphi ^2+\psi ^1\varphi ^3+\varphi ^4\psi ^2+\varphi ^1\psi ^3+\psi ^4\varphi ^2\right)`$
$`+{\displaystyle \frac{\alpha ^{}}{2\pi R_1R_2R_3}}h_2(\psi ^3\psi ^1+\psi ^2\psi ^4+\varphi ^1\varphi ^3+\varphi ^4\varphi ^2+\psi ^1\varphi 4+\psi ^2\varphi ^3+\varphi ^2\psi ^3+\varphi ^1\psi ^4)].`$
As well as some algebraic simplification, arriving at this result requires 3-form self-duality to relate the NSNS and RR fluxes as in (30). We should note that the fermions $`\psi ^\alpha `$ and $`\varphi ^{\dot{\alpha }}`$ with $`\alpha ,\dot{\alpha }=5,6,7,8`$ enter only through their kinetic terms.

Now to convert to the Hamiltonian formalism, we start by finding the canonical momentum for the world-volume gauge field $`F=dA`$. Following the discussion in Witten:1982df , the Wilson lines are periodic variables, so the momentum

$$p_A=\frac{2\pi R_1}{g_s}\frac{_{04}}{[1_{04}^2]^{1/2}}$$
(38)
is quantized in units of $`2\pi R_1`$. Further, it is this canonical momentum (up to constants) which couples the D-string to $`B`$, so $`p_A`$ and therefore $``$, *not* the gauge field strength $`F`$, vanish for a D-string with no F-string charge. This issue is somewhat more complicated in the presence of the RR scalar $`C`$, but we have now removed the NSNS flux from the problem.

The canonical momenta for the collective coordinates now simplify to

$$p_m=\frac{R_1}{\alpha ^{}g_s}\dot{x}_m+\frac{R_1}{\alpha ^{}}C_{m4},$$
(39)
as in the usual quantum mechanics with a gauge field proportional to $`C_{m4}`$. Thus, the total Hamiltonian is a constant mass $`m=R_1/\alpha ^{}g_s`$ and a dynamical Hamiltonian

$`H`$ $`=`$ $`{\displaystyle \frac{1}{2m}}(\stackrel{}{p}\stackrel{}{A})^2+i{\displaystyle \frac{C}{2}}h_1\left(\psi ^1\psi ^4+\psi ^2\psi ^3+\varphi ^4\varphi ^1+\varphi ^3\varphi ^2+\psi ^1\varphi ^3+\varphi ^4\psi ^2+\varphi ^1\psi ^3+\psi ^4\varphi ^2\right)`$ (40)
$`+i{\displaystyle \frac{C}{2}}h_2\left(\psi ^3\psi ^1+\psi ^2\psi ^4+\varphi ^1\varphi ^3+\varphi ^4\varphi ^2+\psi ^1\varphi 4+\psi ^2\varphi ^3+\varphi ^2\psi ^3+\varphi ^1\psi ^4\right)`$
with $`C=(2\pi R_2R_3g_s^{1/2})^1`$. The gauge field is defined as $`A_m=(R_1/\alpha ^{})C_{m4}`$.

## IV Supercharges

In this section, we demonstrate that the Hamiltonian (40) is, in fact, supersymmetric, and we identify the 4 supercharges that belong to the unbroken supersymmetries of the $`𝒩=3`$ 4D effective theory. We will proceed by first finding the spacetime supersymmetries that leave both the background (see section III.1) and the BPS states of the string invariant by starting with the 10D theory. We will then relate those to world-volume supercharges, which should be of the form given in eq. (5), $`Qi(pA)\psi `$. Finally, we will check that these do actually commute with the Hamiltonian.

In the IIB string theory, the supercharges are Majorana-Weyl spinors with positive chirality, one coming from each side of the string, and the superalgebra contains NSNS and RR charges as tensorial central charges (see Polchinski:1998rr ). In this notation, the supercharges preserved by a BPS state are given by $`\overline{\epsilon }_1Q+\overline{\epsilon }_2\stackrel{~}{Q}`$ ($`\epsilon _{1,2}`$ have negative chirality), where

$$\{\left[\begin{array}{c}Q\\ \stackrel{~}{Q}\end{array}\right],\left[\begin{array}{cc}\overline{Q}& \overline{\stackrel{~}{Q}}\end{array}\right]\}\left[\begin{array}{c}\epsilon _1\\ \epsilon _2\end{array}\right]=0.$$
(41)
In contrast, the supercharges of supergravity backgrounds (as in Grana:2000jj ; Gubser:2000vg ) are denoted following the conventions of Schwarz:1983wa ; Schwarz:1983qr . In this form, the supersymmetry parameters are given by a single negative chirality Weyl spinor, so that the preserved supercharges are given by $`\overline{\epsilon }𝒬+\overline{\epsilon }^{}𝒬^{}`$. To relate these two formalisms, we consider the supersymmetries preserved by a D3-brane in flat spacetime. In the form of (41), it is easy to see that $`\epsilon _2=i\gamma _{(4)}\epsilon _1`$, whereas the supergravity formalism gives $`\epsilon =\gamma _{(4)}\epsilon `$ (see, for example, Grana:2000jj ; Gubser:2000vg ), where $`\gamma _{(4)}`$ is the chirality along the D3-brane. The conventions agree if we take $`\epsilon =\epsilon _1i\epsilon _2`$ and $`𝒬=(Q+i\stackrel{~}{Q})/2`$.

The supersymmetries preserved by our background (section III.1) are expressed conveniently by $`SO(3,1)SO(6)`$ decomposition $`\epsilon ^A=\eta \chi ^A`$, where $`\chi ^A`$ are 3 of the 4 negative chirality spinors in 6D (those that don’t have the three spins parallel) Frey:2002hf . We can re-write these in the $`SO(1,1)SO(8)`$ basis (73) as

$`\epsilon ^1`$ $`=`$ $`ϵ_1^1\left[|(u_1iu_2)|+(v_1iv_2)\right]+ϵ_3^1\left[|(u_3iu_4)+|+(v_3iv_4)\right],`$
$`\epsilon ^2`$ $`=`$ $`ϵ_5^2\left[|(u_5iu_6)|+(v_5iv_6)\right]+ϵ_7^2\left[|(u_7+iu_8)+|+(v_7+iv_8)\right],`$
$`\epsilon ^3`$ $`=`$ $`ϵ_5^3\left[|(u_5+iu_6)+|+(v_5+iv_6)\right]+ϵ_7^3\left[|(u_7iu_8)|+(v_7iv_8)\right]`$ (42)
with complex Grassman numbers $`ϵ_\alpha ^A`$.

Now, let’s intersect these with the supersymmetries preserved by the D-string. Using the superalgebra with central charges, it is easy to find that a D-string wrapped on $`x^4`$ has supersymmetries $`\epsilon _1=\gamma _{(2)}\epsilon _2`$ Polchinski:1998rr . Then, using $`\epsilon =\epsilon _1i\epsilon _2`$, we have $`\gamma _{(2)}\epsilon =i\epsilon ^{}`$, so the coefficients of the $`u`$ spinors must satisfy $`ϵ=iϵ^{}`$ and the coefficients of $`v`$ spinors satisfy $`ϵ=iϵ^{}`$. We can obtain spinors that satisfy these constraints by taking linear combinations of the latter two spinors (42) such that $`ϵ_5^2=\pm ϵ_5^3`$ and $`ϵ_7^2=\pm ϵ_7^3`$. In the end, we find 4 different one component spinors $`\epsilon ^A`$ with

$`\epsilon ^1=ϵ^1(|u_5+i|+v_6)`$ , $`\epsilon ^2=ϵ^2(|u_6i|+v_5),`$
$`\epsilon ^3=ϵ^1(|u_7+i|+v_8)`$ , $`\epsilon ^4=ϵ^4(|u_8i|+v_7).`$ (43)
The coefficients are $`ϵ^A=ϵ^Ae^{i\pi /4}`$ with $`ϵ^A`$ real.

Now we can actually find the worldvolume supercharges. As discussed in Bergshoeff:1997kr ; Kallosh:1998ky , the worldvolume supersymmetries are not given simply by their action on the spacetime fields (including $`\mathrm{\Theta }`$ as a superspace coordinate) because that transformation would in general change the $`\kappa `$-symmetry gauge. The supersymmetry transformations of the worldvolume fields, including a $`\kappa `$ transformation to keep the same gauge, were found in Kallosh:1998ky . However, we will not follow this approach. Instead, we will take the ansatz

$$\frac{1}{\sqrt{2}}Q^Aϵ^A=i(pA)_i\overline{\mathrm{\Theta }}\mathrm{\Gamma }^iRe\left(\epsilon ^A\right)+i(pA)_{\overline{ı}}\overline{\mathrm{\Theta }}\mathrm{\Gamma }^{\overline{ı}}Re\left(\epsilon ^A\right)$$
(44)
for the supercharges. We know that the real part of the spinor should be used because the supercharges should be real (as the spacetime ones are), and we follow Bergshoeff:1997kr  in using the spacetime supersymmetry parameters. The prefactors are included for convenience.

Using this ansatz, we can write the supercharges in terms of the 2D fermions $`\psi ,\varphi `$ and complex coordinates $`z`$ as

$`Q^1`$ $`=`$ $`ip_1(i\psi _7\psi _8+\varphi _7i\varphi _8)+ip_{\overline{1}}(i\psi _7\psi _8+\varphi _7+i\varphi _8)`$
$`+ip_2(i\psi _5+\psi _6\varphi _5+i\varphi _6)+ip_{\overline{2}}(i\psi _5+\psi _6\varphi _5i\varphi _6)`$
$`+i(pA)_3(i\psi _3\psi _4\varphi _3+i\varphi _4)+i(pA)_{\overline{3}}(i\psi _3\psi _4\varphi _3i\varphi _4)`$
$`+i(pA)_4(i\psi _1+\psi _2+\varphi _1i\varphi _2)+i(pA)_{\overline{4}}(i\psi _1+\psi _2+\varphi _1+i\varphi _2),`$
$`Q^2`$ $`=`$ $`ip_1(\psi _7+i\psi _8i\varphi _7\varphi _8)+ip_{\overline{1}}(\psi _7i\psi _8+i\varphi _7\varphi _8)`$
$`+ip_2(\psi _5i\psi _6i\varphi _5\varphi _6)+ip_{\overline{2}}(\psi _5+i\psi _6+i\varphi _5\varphi _6)`$
$`+i(pA)_3(\psi _3+i\psi _4+i\varphi _3+\varphi _4)+i(pA)_{\overline{3}}(\psi _3i\psi _4i\varphi _3+\varphi _4)`$
$`+i(pA)_4(\psi _1+i\psi _2+i\varphi _1+\varphi _2)+i(pA)_{\overline{4}}(\psi _1i\psi _2i\varphi _1+\varphi _2),`$
$`Q^3`$ $`=`$ $`ip_1(i\psi _5+\psi _6\varphi _5+i\varphi _6)+ip_{\overline{1}}(i\psi _5+\psi _6\varphi _5i\varphi _6)`$
$`+ip_2(i\psi _7+\psi _8\varphi _7+i\varphi _8)+ip_{\overline{2}}(i\psi _5+\psi _8\varphi _7i\varphi _8)`$
$`+i(pA)_3(i\psi _1\psi _2\varphi _1+i\varphi _2)+i(pA)_{\overline{3}}(i\psi _1\psi _2\varphi _1i\varphi _2)`$
$`+i(pA)_4(i\psi _3\psi _4\varphi _3+i\varphi _4)+i(pA)_{\overline{4}}(i\psi _3\psi _4\varphi _3i\varphi _4),`$
$`Q^4`$ $`=`$ $`ip_1(\psi _5i\psi _6+i\varphi _5+\varphi _6)+ip_{\overline{1}}(\psi _5+i\psi _6i\varphi _5+\varphi _6)`$ (45)
$`+ip_2(\psi _7i\psi _8i\varphi _4\varphi _8)+ip_{\overline{2}}(\psi _7+i\psi _8+i\varphi _7\varphi _8)`$
$`+i(pA)_3(\psi _1i\psi _2i\varphi _1\varphi _2)+i(pA)_{\overline{3}}(\psi _1+i\psi _2+i\varphi _1\varphi _2)`$
$`+i(pA)_4(\psi _3+i\psi _4+i\varphi _3+\varphi _4)+i(pA)_{\overline{4}}(\psi _3i\psi _4i\varphi _3+\varphi _4).`$
It is a straightforward but tedious calculation to show that each of these commute with the Hamiltonian (40). We need to note that canonical quantization gives the anticommutators $`\{\psi _\alpha ,\psi _\beta \}=\{\varphi _{\dot{\alpha }},\varphi _{\dot{\beta }}\}=\delta _{\alpha \beta }/(mg_s^{1/2})`$ Casalbuoni:1976tz . The magnetic field $`F=dA`$ (where $`A`$ was defined below Eq.(40)) in the $`z`$ coordinates is also necessary:

$$F_{34}=\frac{1}{\pi R_2R_3g_s}(h_2ih_1),F_{\overline{3}\overline{4}}=\frac{1}{\pi R_2R_3g_s}(h_2+ih_1).$$
(46)
This arises in $`[Q,H]`$ from commutators $`[p,A]`$; there are no commutators mixing holomorphic and antiholomorphic indices.

## V Supersymmetric ground states

To find the states annihilated by the supercharges (45), it’s easier to work in the complex basis

$$w^1=\frac{1}{2}(\stackrel{~}{x}^5+i\stackrel{~}{x}^6),w^2=\frac{1}{2}(\stackrel{~}{x}^8+i\stackrel{~}{x}^9)$$
(47)
where

$`\stackrel{~}{x}^5={\displaystyle \frac{1}{\sqrt{2h(hh_2)}}}\left(h_1x^5+(hh_2)x^8\right)`$ , $`\stackrel{~}{x}^6={\displaystyle \frac{1}{\sqrt{2h(hh_2)}}}\left(h_1x^6+(hh_2)x^9\right)`$
$`\stackrel{~}{x}^8={\displaystyle \frac{1}{\sqrt{2h(hh_2)}}}\left((hh_2)x^5h_1x^8\right)`$ , $`\stackrel{~}{x}^9={\displaystyle \frac{1}{\sqrt{2h(hh_2)}}}\left((hh_2)x^6h_1x^9\right)`$ (48)
and $`h=\sqrt{h_1^2+h_2^2}`$. In the basis (47), the nonzero components of the magnetic field are

$$F_{w^1\overline{w}^1}=\frac{1}{\pi R_2R_3}\frac{ih}{g_s},F_{w^2\overline{w}^2}=\frac{1}{\pi R_2R_3}\frac{ih}{g_s}$$
(49)
We can use a gauge where the potential is

$`A_{w^1}={\displaystyle \frac{1}{2\pi R_2R_3}}{\displaystyle \frac{ih}{g_s}}\overline{w}^1`$ , $`A_{\overline{w}^1}={\displaystyle \frac{1}{2\pi R_2R_3}}{\displaystyle \frac{ih}{g_s}}w^1`$
$`A_{w^2}={\displaystyle \frac{1}{2\pi R_2R_3}}{\displaystyle \frac{ih}{g_s}}\overline{w}^2`$ , $`A_{\overline{w}^2}={\displaystyle \frac{1}{2\pi R_2R_3}}{\displaystyle \frac{ih}{g_s}}w^2.`$ (50)
The supercharges (45) can be rewritten (up to sign)

$`Q^1`$ $`=`$ $`(pA)_{w^1}(\lambda _1\lambda _4)+(pA)_{\overline{w}^1}(\overline{\lambda }_1+\overline{\lambda }_4)`$
$`+(pA)_{w^2}(\lambda _2+\lambda _3)+(pA)_{\overline{w}^2}(\overline{\lambda }_2+\overline{\lambda }_3)+\mathrm{}`$
$`Q^2`$ $`=`$ $`(pA)_{w^1}(\overline{\lambda }_2+\overline{\lambda }_3)+(pA)_{\overline{w}^1}(\lambda _2\lambda _3)`$ (51)
$`+(pA)_{w^2}(\overline{\lambda }_1+\overline{\lambda }_4)+(pA)_{\overline{w}^2}(\lambda _1\lambda _4)+\mathrm{}`$
$`Q^3`$ $`=`$ $`i(pA)_{w^1}(\lambda _1+\lambda _4)+i(pA)_{\overline{w}^1}(\overline{\lambda }_1+\overline{\lambda }_4)`$
$`+i(pA)_{w^2}(\lambda _2+\lambda _3)+i(pA)_{\overline{w}^2}(\overline{\lambda }_2\overline{\lambda }_3)+\mathrm{}`$
$`Q^4`$ $`=`$ $`i(pA)_{w^1}(\overline{\lambda }_2\overline{\lambda }_3)+i(pA)_{\overline{w}^1}(\lambda _2\lambda _3)`$ (52)
$`+i(pA)_{w^2}(\overline{\lambda }_1\overline{\lambda }_4)+i(pA)_{\overline{w}^2}(\lambda _1\lambda _4)+\mathrm{}`$
where $`+\mathrm{}`$ are terms involving momenta in the noncompact and $`x^7`$ directions, which will give zero when acting on the ground state wave-functions. The fermions $`\lambda _\alpha `$ in (52) are defined in terms of the fermions in (35) as

$`\lambda _1`$ $`=`$ $`{\displaystyle \frac{1}{\sqrt{2h(hh_2)}}}\left(h_1(\psi _2+i\psi _4)+(hh_2)(\psi _1+i\psi _3)\right)`$
$`\lambda _2`$ $`=`$ $`{\displaystyle \frac{1}{\sqrt{2h(hh_2)}}}\left((hh_2)(\psi _2+i\psi _4)h_1(\psi _1+i\psi _3)\right)`$
$`\lambda _3`$ $`=`$ $`{\displaystyle \frac{1}{\sqrt{2h(hh_2)}}}\left(h_1(\varphi _2+i\varphi _4)+(hh_2)(\varphi _1+i\varphi _3)\right)`$
$`\lambda _4`$ $`=`$ $`{\displaystyle \frac{1}{\sqrt{2h(hh_2)}}}\left((hh_2)(\varphi _2+i\varphi _4)h_1(\varphi _1+i\varphi _3)\right).`$ (53)
These spinors satisfy the oscillator algebra

$$\{\lambda _\alpha ,\lambda _\beta \}=\{\overline{\lambda }_\alpha ,\overline{\lambda _\beta }\}=0,\{\lambda _\alpha ,\overline{\lambda }_\beta \}=k\delta _{\alpha \beta }$$
(54)
where $`k`$ is a real constant that can be absorbed in the definition of the spinors. So $`\lambda `$, $`\overline{\lambda }`$ are raising and lowering operators.

As in the $`T^2`$ example, to build the wave functions, we start with a state that is annihilated by half of the fermionic operators appearing in the supercharges (52). There are only two possible states, $`|+`$ and $`|`$, satisfying

$`\overline{\lambda }_1|+=\overline{\lambda }_4|+=\lambda _2|+=\lambda _3|+`$ $`=`$ $`0,`$
$`\lambda _1|=\lambda _4|=\overline{\lambda }_2|=\overline{\lambda }_3|`$ $`=`$ $`0.`$ (55)
It turns out that it is impossible for any other spin choices to preserve all four supersymmetries; the wave function would have to satisfy incompatible differential equations. From the quantum mechanics superalgebra, partial supersymmetry breaking is not allowed Witten:1982df .

¿From (52), the wave function corresponding to the first state must satisfy

$$(pA)_{w^1}\varphi _+=(pA)_{\overline{w}^2}\varphi _+=0.$$
(56)
Using (50) for the potential, the solution is

$$\varphi _+=e^{\frac{1}{2\pi R_2R_3}\frac{h}{g_s}\left(|w^1|^2+|w^2|^2\right)}F(\overline{w}^1,w^2).$$
(57)
As in the $`T^2`$ example, when going around the torus, the wave function picks up a phase given by the gauge transformations (cf. Eqs (10) and (11)). When $`x^5x^5+2\pi R_2`$, we get the following condition on the function $`F(\overline{w}^1,w^2)`$

$$F(\overline{w}^1+\frac{h_1}{\sqrt{2h(hh_2)}}\pi R_2,w^2+\frac{hh_2}{\sqrt{2h(hh_2)}}\pi R_2)=e^{\frac{v}{R_3}\frac{h}{g_s}\frac{\pi R_2}{2R_3}\frac{h}{g_s}}F(\overline{w}^1,w^2)$$
(58)
where

$$v=\frac{1}{\sqrt{2h(hh_2)}}\left(h_1\overline{w}^1+(hh_2)w^2\right),u=\frac{1}{\sqrt{2h(hh_2)}}\left((hh_2)\overline{w}^1h_1w^2\right)$$
(59)
(we defined $`u`$ for future use).

In a similar fashion to the $`T^2`$ example, we define the function $`G`$ as

$$F(\overline{w}^1,w^2)=e^{\frac{1}{2\pi R_2R_3}\frac{h}{g_s}((\overline{w}^1)^2+(w^2)^2)}G(\overline{w}^1,w^2)$$
(60)
which should be periodic when $`\overline{w}^1w^1+\frac{h_1}{\sqrt{2h(hh_2)}}\pi R_2`$ and $`w^2\frac{(hh_2}{\sqrt{2h(hh_2)}}\pi R_2`$, or, using the variables $`u`$ and $`v`$ in (59), $`vv+\pi R_2`$ and $`uu`$. So we can decompose $`G`$ in terms of Fourier modes. Putting everything together, our wave function is

$$\varphi _+=e^{\frac{1}{2\pi R_2R_3}\frac{h}{g_s}\left(|w^1|^2+|w^2|^2\right)+\frac{1}{2\pi R_2R_3}\frac{h}{g_s}((\overline{w}^1)^2+(w^2)^2)}\underset{m}{}e^{2im\frac{v}{R_2}}g_m(u)$$
(61)
where $`g_m(u)`$ is to be determined from the other periodicity conditions.

When going around the torus in the $`x^8`$ direction, i.e. when $`x^8x^8+2\pi R_2`$, the condition on the wave function forces $`g_m(u)`$ to have periodicity $`\pi R_2`$. So our Fourier mode decomposition in (61) is a double sum, i.e.

$$\varphi _+=e^{\frac{1}{2\pi R_2R_3}\frac{h}{g_s}\left(|w^1|^2+|w^2|^2\right)+\frac{1}{2\pi R_2R_3}\frac{h}{g_s}((\overline{w}^1)^2+(w^2)^2)}\underset{m,n}{}C_{m,n}e^{2i\frac{(mv+nu)}{R_2}}$$
(62)
Finally, similar to the $`T^2`$ case, going around the torus in the $`x^6`$ and $`x^9`$ gives us two recursive relations for the coefficients $`C_{m,n}`$, of the form

$`C_{m+\frac{h_2}{g_s},n+\frac{h_1}{g_s}}=C_{m,n}e^{\pi \frac{R_3}{R_2}\frac{h}{g_s}2\pi \frac{R_3}{R_2}\frac{(h_2m+h_1n)}{h}}`$
$`C_{m+\frac{h_1}{g_s},n\frac{h_2}{g_s}}=C_{m,n}e^{\pi \frac{R_3}{R_2}\frac{h}{g_s}2\pi \frac{R_3}{R_2}\frac{(h_1mh_2n)}{h}}.`$ (63)
The series defined by these recursive relations converges for any sign of $`h_1`$ and $`h_2`$ and factorizes into theta functions as

$`\varphi _+`$ $`=`$ $`{\displaystyle \underset{k,l}{}}D_{k,l}\mathrm{exp}\left[{\displaystyle \frac{1}{2\pi R_2R_3}}{\displaystyle \frac{h}{g_s}}\left(|w^1|^2+|w^2|^2(\overline{w}^1)^2(w^2)^2\right)\right]`$ (68)
$`\times \vartheta \left[\begin{array}{c}\frac{g_s(h_2k+h_1l)}{h^2}\\ 0\end{array}\right]({\displaystyle \frac{h_2v+h_1u}{\pi R_2g_s}},{\displaystyle \frac{ihR_3}{2R_2g_s}})\vartheta \left[\begin{array}{c}\frac{g_s(h_1kh_2l)}{h^2}\\ 0\end{array}\right]({\displaystyle \frac{h_1vh_2u}{\pi R_2g_s}},{\displaystyle \frac{ihR_3}{2R_2g_s}})`$
after solving the recursion, where the sum on $`k,l`$ is over points in the unit cell for $`m,n`$ as in (62) (see figure 1).

If instead of working with the first choice of ground state in (55) we start with the second possibility, we get a similar solution to (62), but the recursive relations are such that the series doesn’t converge for any sign of $`h_1`$ and $`h_2`$. At first glance, the fact that the $`|+`$ state is normalizable for any magnetic field, while the $`|`$ is not, appears contradictory with the results for a particle on $`T^2`$. Physically, we expect that, as in the particle case, a change of sign of the magnetic field would be compensated by a change of spin. This is indeed still the case in the current scenario; our change of basis (53) reverses the physical spin of the string (given by the $`\psi `$ and $`\varphi `$ variables) as the field is reversed.

The number of ground states is given by the number of independent coefficients. This number is equal to $`\frac{h^2}{g_s^2}=\frac{h_1^2+h_2^2}{g_s^2}=f_2^2+f_1^2`$, as can be seen from figure 1.

The orientifold projection forces $`C_{m,n}=C_{m,n}`$. Then, some of the elements in the fundamental lattice are related to one another. For the case $`\frac{h_1}{g_s}=2`$, $`\frac{h_2}{g_s}=3`$, we indicate in figure 2 all those coefficients that are related after the orientifold projection and a translation along the lattice basis vectors. In this case, the number of independent coefficients is $`7`$ ($`6`$ interior points, plus the origin).

There is no general formula for the number of ground states that survive after the projection, but nevertheless there are only a finite number of cases to consider in the string compactification. The 3-form flux carries D3-brane charge, as can be seen from the equation for the warp factor (27). Tadpole cancellation then imposes conditions on this flux of the form Frey:2002hf  $`g_s(f_1^2+f_2^2)8`$. Besides, the self duality condition on the 3-form flux requires $`g_s\frac{1}{minf_{1,2}}`$, leaving only the possibilities considered in table 1 (the number of ground states for the pair $`(\frac{h_1}{g_s},\frac{h_2}{g_s})=(1,0)`$, for example, is equal to that for $`(\frac{h_1}{g_s},\frac{h_2}{g_s})=(0,1)`$).

There is one final issue to consider; in some cases, a point $`(m,n)`$ maps to itself under the $`𝐙_2`$ projection followed by several recursion relations among the Fourier coefficients. In order to verify that those points truly survive the orientifold, we should check that the necessary recursion relations truly give $`C_{m,n}=C_{m,n}`$. First, we note that, in this case, $`\pm (m,n)`$ are separated by integer numbers of the recursion shift vectors:

$$(m,n)q(h_2/g_s,h_1/g_s)p(h_1/g_s,h_2/g_s)=(m,n),p,q𝐙.$$
(69)
Since the recursion relations (63) are independent of position along the orthogonal shift vector, we have then

$`C_{m,n}`$ $`=`$ $`\mathrm{exp}\{{\displaystyle \frac{\pi R_3}{R_2}}[(p+q){\displaystyle \frac{h}{g_s}}{\displaystyle \frac{2h_2}{h}}{\displaystyle \underset{i=0}{\overset{q1}{}}}(mi{\displaystyle \frac{h_2}{g_s}}){\displaystyle \frac{2h_1}{h}}{\displaystyle \underset{i=0}{\overset{q1}{}}}(ni{\displaystyle \frac{h_1}{g_s}})`$ (70)
$`{\displaystyle \frac{2h_1}{h}}{\displaystyle \underset{j=0}{\overset{p1}{}}}(mj{\displaystyle \frac{h_1}{g_s}})+{\displaystyle \frac{2h_2}{h}}{\displaystyle \underset{j=0}{\overset{p1}{}}}(n+j{\displaystyle \frac{h_2}{g_s}})]\}C_{m,n}.`$
Carrying out the arithmetic sums and using (69) shows easily that the exponent indeed vanishes.

## VI Other BPS States

There are other BPS states that we can consider. In this section, we will find BPS states localized at singularities of the D-string moduli space, show how to count the states of F-strings, and discuss briefly the problem of threshhold bound states.444We are grateful to our referee for comments that led to the analysis in sections VI.1 and VI.3.

### VI.1 Singularities in Moduli Space

As the D-string moves on the torus, it encounters two types of singularities. First, at $`x^5=\mathrm{}=x^9=0`$, it passes through two orientifold planes and doubles back on itself. (Note that the D-string does not end on an O3-plane; this is because, with vanishing flux, it is T-dual to a type I D5-brane, which always has 2 CP indices.) Also, if tadpole cancellation so requires, the string could intersect a D3-brane (which we specifically ignored in our calculation). These are direct analogs of the singularities in the moduli space of type I and heterotic 5-branes mentioned in Witten:1996gx .

To count states localized at the singularities, we should be able to ignore the 3-form background. The reason is the localized states do not have zero modes that can move through the fluxes. Therefore, the counting should be the same as without 3-forms, which is dual to the $`SO(32)`$ heterotic 5-brane.555For an $`E_8`$ application, see Keurentjes:2002dc . Translating the results of Porrati:1996vj ; Sethi:1997kj  to IIB language, we find that there are no localized states at the O3-planes and that there is one BPS multiplet attached to each D3-brane.

### VI.2 Counting for an F-string

We can obtain the number of BPS states for an F-string by starting with the Green-Schwarz action for superstrings and accounting for the background fields; because of supersymmetry, we expect it to suffice for the calculation of our index. However, it is easier to proceed by applying S-duality and rotating the background fields, and then using the results from the previous section. We want to find the number of BPS states for an F-string wrapped in the 7-direction, so we will S-dualize the background, and then rotate in the 4-7 plane.

Under an $`SL(2,𝐙)`$ transformation,

$$\tau \frac{a\tau +b}{c\tau +d},\left(\begin{array}{c}H_{(3)}\\ F_{(3)}\end{array}\right)\left(\begin{array}{cc}d& c\\ b& a\end{array}\right)\left(\begin{array}{c}H_{(3)}\\ F_{(3)}\end{array}\right).$$
(71)
An S-duality is $`\tau \frac{1}{\tau }`$. Then, $`H_{(3)}F_{(3)}`$ and $`F_{(3)}H_{(3)}`$. So $`h_1`$ and $`h_2`$ from the previous sections get mapped to $`f_1`$ and $`f_2`$ respectively. Using the duality condition on the 3-form flux (30), the action of S-duality is $`h_1\frac{h_2}{g_s}`$ and $`h_2\frac{h_1}{g_s}`$.

A rotation in the 4-7 plane interchanges $`h_1`$ with $`h_2`$ again. From (29), we see that a rotation of $`\pi /2`$ gives $`h_1h_2`$ and $`h_2h_1`$. A rotation of $`\pi /2`$ does the same thing with opposite signs.

Then, the combined action of an S-duality and a rotation, gives $`h_{1,2}\frac{h_{1,2}}{g_s}`$ in one case and $`h_{1,2}\frac{h_{1,2}}{g_s}`$ for the opposite rotation. Then, the number of BPS states of the rotated F-string is just $`h_1^2+h_2^2`$ plus one state at each D3-brane. (In the D-string, the number of states is $`f_1^2+f_2^2`$ plus one for each D3-brane.) So the total number of BPS multiplets for a given BPS charge should be $`f_1^2+f_2^2+h_1^2+h_2^2+2N_{D3}.`$

### VI.3 Bound States

So far we have considered only states of one D- or F-string at a time, which are the states of minimal BPS electric charge. However, it would be very interesting to consider the BPS spectrum of multiple strings, since there could be threshhold bound states. We will largely leave this question for the future, but we can make some comments.

Consider, for example, the case of two BPS charges. If they are widely separated in the noncompact dimensions, then the spectrum should just be the direct product of the spectra of the individual charges (appropriately symmetrized). As the two charges become coincident, we expect that there would, in addition, be BPS multiplets associated with threshhold bound states. The counting of multiplets breaks down according to the nature of the strings. A bound state of two D-strings, for example, would have twice the charge but would be otherwise identical to our previous analysis, so there would be four times as many nonlocalized states. A bound state of a D-string and F-string seems more complicated in that the two strings feel different fluxes.

Another question that we leave to future work is the nature of the bound states. For two D-strings, we really should take into account the non-Abelian nature of the worldvolume theory; we can do this using the D-brane action of Myers:1999ps , and supersymmetrizing. It is possible that the bound state is a “polarized” configuration, or it is possible that there are polarized and unpolarized bound states. We should also mention that we could start with, instead of the action of Myers:1999ps , super-Yang-Mills with a superpotential due to the 3-forms along with the appropriate velocity coupling to the vector potential. The problem is to guess how the superpotential depends on the 3-form flux.

## VII Conclusions

We were able to count the number of short multiplets for both a D- and an F-string wrapped on a compact direction of a $`T^6/𝐙_2`$ orientifold, on a background containing constant 3-form fluxes. We showed that the number of states is proportional to the square of the units of 3-form flux enclosed on $`T^3`$ cycles inside the $`T^6`$. Modulo algebraic complications, the counting of ground states follows two copies of that of a superparticle on a torus with constant perpendicular magnetic field.

This is a nice result obtained from the $`\kappa `$-symmetric action for a D1-brane in background fluxes, which was our starting point. We showed that the Hamiltonian obtained from this action preserved the amount of supersymmetries expected, and from the supercharges we obtained the supersymmetric ground states. By S-duality, we were able to find the corresponding number of states for the F-string case.

One of the motivations of this work was the mismatch found in Frey:2002hf  between the number of states carrying minimal electric (D- and F-strings) versus magnetic (bound state of D5- and NS5-brane) charges in the $`𝒩=3`$ theory. It was then conjectured that the sum of the BPS states of the D- and F-string should be equal to those of the bound state of 5-branes. In this paper we computed the former, while the latter is left for future work.

It is our hope that we have introduced a useful piece of technology for the study of string and D-brane physics in flux backgrounds.

###### Acknowledgements.

We are greatly indebted to J. Polchinski for guidance throughout this project. We would like to thank also E. D’Hoker for useful discussions and our referee for very helpful comments. This work was supported by NSF grant PHY97-22022.

## Appendix A Conventions

In the following, Greek indices refer to $`0,1,2,3`$ directions, while Roman indices $`m,n,..`$ refer to $`4`$ to $`9`$ directions.

There are two spacetime Majorana-Weyl spinors $`\mathrm{\Theta }^1`$ and $`\mathrm{\Theta }^2`$ in the $`\kappa `$-symmetric action. The $`\kappa `$-symmetry can be used to fix a gauge, keeping only 16 of those 32 degrees of freedom. We used the gauge $`\mathrm{\Theta }^2=0`$.

The spinor $`\mathrm{\Theta }`$ in Eqs (33) and (74) below, is a Majorana-Weyl spinor in a Dirac basis:

$$\mathrm{\Theta }=\left(\begin{array}{c}0\\ \theta \end{array}\right).$$
(72)
It can be decomposed into a Majorana-Weyl spinor in $`SO(1,1)`$ and a Majorana-Weyl spinor in $`SO(8)`$ as in Eq.(35). A basis of Majorana-Weyl spinors in $`SO(8)`$, given by spins in the complex planes defined in eq. (36) is

$`u_1=|+++++|`$ , $`v_1=|+++|+`$
$`u_2=i(|++++|)`$ , $`v_2=i(|++++|+)`$
$`u_3=|++|++`$ , $`v_3=|++++|+`$
$`u_4=i(|+++|++)`$ , $`v_4=i(|+++|+)`$
$`u_5=|+++|++`$ , $`v_5=|+++|+`$
$`u_6=i(|++|++)`$ , $`v_7=i(|++++|+)`$
$`u_7=|++|++`$ , $`v_7=|+++|+`$
$`u_8=i(|++|++)`$ , $`v_8=i(|+++|+).`$ (73)
The $`u_\alpha `$ ($`v_{\dot{\alpha }}`$) form an $`\mathrm{𝟖}`$ ($`\mathrm{𝟖}^{}`$).

The expansions of the spacetime fields in terms of the world-volume spinor $`\mathrm{\Theta }`$ in the gauge $`\mathrm{\Theta }^2=0`$ are, for constant dilaton-axion Grana:2002tu

$`𝒆_m^a`$ $`=`$ $`e_m^a+{\displaystyle \frac{i}{8}}\overline{\mathrm{\Theta }}\mathrm{\Gamma }^{abc}\mathrm{\Theta }w_{mbc}{\displaystyle \frac{i}{16}}\overline{\mathrm{\Theta }}\mathrm{\Gamma }^{anp}\mathrm{\Theta }H_{mnp}`$
$`𝒆_\mu ^a`$ $`=`$ $`{\displaystyle \frac{i}{2}}(\overline{\mathrm{\Theta }}\mathrm{\Gamma }^a)_\mu `$
$`𝐞_m^\mu `$ $`=`$ $`0`$
$`𝐞_\mu ^\alpha `$ $`=`$ $`\delta _\mu ^\alpha `$
$`𝚽`$ $`=`$ $`\varphi {\displaystyle \frac{i}{48}}\overline{\mathrm{\Theta }}\mathrm{\Gamma }^{pqr}\mathrm{\Theta }H_{pqr}`$
$`𝑩_{mn}`$ $`=`$ $`B_{mn}+{\displaystyle \frac{i}{4}}\overline{\mathrm{\Theta }}\mathrm{\Gamma }_{[m}^{ab}\mathrm{\Theta }w_{n]ab}{\displaystyle \frac{i}{8}}\overline{\mathrm{\Theta }}\mathrm{\Gamma }_{[m}^{pq}\mathrm{\Theta }H_{n]pq}`$
$`𝑩_{m\mu }`$ $`=`$ $`{\displaystyle \frac{i}{2}}(\overline{\mathrm{\Theta }}\mathrm{\Gamma }_m)_\mu `$
$`𝑪_{mn}`$ $`=`$ $`C_{mn}{\displaystyle \frac{i}{8}}\overline{\mathrm{\Theta }}\mathrm{\Gamma }_{[m}^{pq}\mathrm{\Theta }F_{n]pq}^{}+CB_{mn}|_{\mathrm{\Theta }^2}`$
$`𝑪_{m\mu }`$ $`=`$ $`CB_{m\mu }`$
$`𝑪`$ $`=`$ $`C{\displaystyle \frac{i}{48}}\overline{\mathrm{\Theta }}\mathrm{\Gamma }^{pqr}\mathrm{\Theta }F_{pqr}^{}.`$ (74)
We have introduced a factor of $`i`$ in each fermion bilinear, so that the action (33) matches usual quantum field theory conventions and gives a real anticommutator.

## Appendix B Corrections to the quantum mechanics

Here we will estimate a number of possible corrections to the Hamiltonian given in section III.2 and argue that they will not change the counting of BPS states. Because a single long multiplet could only be formed from four short multiplets (of differing spins), we anticipate that it would be difficult to lift the supersymmetric states given in section V; this is essentially the argument of Witten:1982df . We will mainly here be concerned if any of the long multiplets could be made BPS by corrections to our Hamiltonian, eqn (40). We work in the framework of perturbation theory and concentrate on the bosonic terms. We take all the coordinate radii to be similar $`R`$.

First we note the structure of the Hilbert space once we include excited states. The center of mass modes considered in the text have excited states with energy of the order of the magnetic field, $`\alpha ^{}/R^3`$. Then there are modes that move around the D-string, which form a tower of supersymmetric harmonic oscillators with frequency $`1/R`$. Each oscillator has a unique supersymmetric ground state, and we don’t expect perturbations to the Hamiltonian to break the supersymmetry.666We should note that the oscillator amplitudes are not periodic, unlike center of mass modes. This is clear because these modes represent bending of the string, not position.

Just like the center of mass modes, the oscillators couple to the 3-form; we treat this as a perturbation. Because the perturbation couples different oscillators, it appears only in second order perturbation theory. Since the magnetic field is of order $`\alpha ^{}/R^3`$, the energy shift is of order $`\alpha ^{}{}_{}{}^{2}/R^5`$. The 3-form flux $`F_{mn7}`$ also couples to the oscillators; this perturbs the excited state energies by $`\alpha ^{}{}_{}{}^{3}/R^7`$. There are also higher derivative terms in the D-brane action, coming from the Born-Infeld determinant. One typical term is $`(\dot{X}_4X)^2`$. This can contribute at first order in perturbation theory, giving an energy shift $`\alpha ^{}/R^2`$ times the energy of the state.

We also briefly consider bulk supergravity effects. At large but finite radius, there is a metric warp factor; it’s lowest order contribution is $`\alpha ^{}{}_{}{}^{2}/R^4`$ times the energy of the state. The interaction with bulk modes is a little trickier to understand. The massless moduli of the compactification should not affect the BPS spectrum, since the same supercharges are preserved in the spacetime. The BPS particle mass and excited state energies will change, however. The massive scalars of the 4D effective theory, such as the dilaton, should also not change the BPS spectrum. One argument for this is that the dilaton enters into the Hamiltonian only through the mass of the BPS particle (when one takes into account the normalization of the fermions), which affects only the excited states of the center of mass modes. Another argument is that there are some cancellations among different terms in the perturbation theory for the dilaton.

Finally, we should note that the 4D gauge fields *can* change the BPS spectrum rather violently. For example, a BPS particle in the field of an oppositely charged particle should have no supersymmetric ground states.


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# Analytic study of the urn model for separation of sand

## I INTRODUCTION

A granular system exhibits extremely rich phenomena, which has recently attracted extensive studies. One of such interesting phenomena is the spatial separation of shaken sand Schlichting96 . Sand in a box separated into two equal parts by a wall that allows the transfer of sand through its narrow slit prefers to aggregate more in one side under certain conditions.

Eggers explained the emergence of symmetry breaking using a hydrodynamic approach Eggers99 . The key idea is to introduce the effective temperature taking into account the inelastic collisions for granular material.

Lipowski and Droz proposed a dynamic model to explain the essence of the phenomena Lipowski02a . The model is a certain generalization of the Ehrenfest model Ehrenfest90 . Interestingly this model shows a spontaneous symmetry breaking in contrast to other generalizations of the Ehrenfest model. They derived the master equation and found in a numerical way the phase diagram that displays a rich structure like continuous and discontinuous transitions as well as a tricritical point. They also numerically solved the first-passage problem to find exponential or algebraic divergences.

Thanks to its simplicity, the model allows analytic approaches. In this paper, we present the results of this analytic study to the master equation and the first-passage problem addressed by Lipowski and Droz. These not only confirm their numerical results but also give us some insights in the nature of the discontinuous transition in the stationary probability distribution. We also analytically derive the form of the critical probability distribution on the critical line.

The paper is organized as follows. In Sec. II we briefly review the model and its master equation. In Sec. III we present the analytic solution of the master equation in the thermodynamic limit and the analytic expression of the stationary probability distribution. The form of the stationary probability distribution on the critical line is also derived. In Sec. IV we analytically solve the first-passage problem. Detailed analysis on the behavior of the characteristic times is given in Sec. V. Section VI is devoted to conclusions and discussions.

## II MODEL AND ITS MASTER EQUATION

The model introduced by Lipowski and Droz Lipowski02a  is defined as follows. $`N`$ particles are distributed between two urns, and the number of particles in each urn is denoted as $`M`$ and $`NM`$, respectively. At each time of updates one of the $`N`$ particles is randomly chosen. Let $`n`$ be a fraction of the total number of particles in the urn that the selected particles belongs to. With probability $`\mathrm{exp}(\frac{1}{T(n)})`$ the selected particle moves to the other urn. $`T(n)`$ represents the effective temperature of an urn with particles $`nN`$ that measures the thermal fluctuations of the urn. Lipowski and Droz chose the temperature as $`T(n)=T_0+\mathrm{\Delta }(1n)`$.

It is easy to derive the master equation for the probability distribution $`p(M,t)`$ that there are $`M`$ particles in a given urn at time $`t`$ Lipowski02a

$`p(M,t+1)`$ $`=`$ $`F\left({\displaystyle \frac{NM+1}{N}}\right)p(M1,t)`$ (1)
$`+F\left({\displaystyle \frac{M+1}{N}}\right)p(M+1,t)`$
$`+\left[1F\left({\displaystyle \frac{M}{N}}\right)F\left({\displaystyle \frac{NM}{N}}\right)\right]p(M,t),`$
where $`F(n)=n\mathrm{exp}(\frac{1}{T(n)})`$ measures the flux of particles leaving the given urn. Here we introduced for convenience the notations $`p(1,t)=p(N+1,t)=0`$.

The difference in the occupancy of the urns can be represented by the particle excess $`ϵ=\frac{M}{N}\frac{1}{2}`$. The time evolution of the averaged particle excess $`e(t)=ϵ_t=_M(\frac{M}{N}\frac{1}{2})p(M,t)`$ is governed by

$$e(t+1)=e(t)+\frac{1}{N}(ϵ)_t,$$
(2)
where $`(ϵ)=F(\frac{1}{2}ϵ)F(\frac{1}{2}+ϵ)`$ measures the net flux of particles in the given urn. One conventionally takes the unit of time in such a way that there is a single update per a particle on average. Therefore we scale the time by $`N`$. Expanding Eq. (2) with respect to $`\frac{1}{N}`$, and using the mean–field approximation in evaluating the average, we get

$$\frac{d}{dt}e(t)=\left(e(t)\right).$$
(3)
Note that the stationary solution of Eq. (3) is determined by zero points of $`()`$. The stable stationary solutions are given by zero points of $`()`$ with a negative slope, which we call as the stable fixed points while the unstable ones are given by those with a positive slope, which we call as the unstable fixed points.

Detailed analysis on the existence of the stable stationary solutions of Eq. (3) was done by Lipowski and Droz Lipowski02a . We here display their phase diagram in Fig. 1 to make our paper as self-contained as possible. The stable symmetric solution ($`ϵ=0`$) exists in region I, III, and IV while the stable asymmetric solution ($`ϵ>0`$) exists in region II, III and IV.

## III THE SOLUTION OF THE MASTER EQUATION

We are mainly interested in investigating the properties of the infinite system. Consider the thermodynamic limit $`N\mathrm{}`$ with $`\frac{M}{N}=\frac{1}{2}+ϵ`$ being fixed. Representing the probability distribution by $`ϵ`$ instead of $`M`$, and expanding Eq. (1) with respect to $`\frac{1}{N}`$, and keeping the terms up to the first order, we arrive at the expression

$`p(ϵ,t+1)`$ $`=`$ $`p(ϵ,t)+{\displaystyle \frac{1}{N}}[(F^{}({\displaystyle \frac{1}{2}}+ϵ)+F^{}({\displaystyle \frac{1}{2}}ϵ))p(ϵ,t)`$ (4)
$`+(F({\displaystyle \frac{1}{2}}+ϵ)F({\displaystyle \frac{1}{2}}ϵ)){\displaystyle \frac{}{ϵ}}p(ϵ,t)].`$
Scaling again the time by $`N`$, expanding Eq. (4) with respect to $`\frac{1}{N}`$, and noting that the second term in the right-handed side can be combined into a total derivative with respect to $`ϵ`$, we finally obtain the partial differential equation

$$\frac{}{t}p(ϵ,t)+\frac{}{ϵ}\left[(ϵ)p(ϵ,t)\right]=0.$$
(5)
Note that $`()`$ is zero at a finite number of points. The solution of Eq. (5) can be found in the intervals that do not include those points. At each interval, it would be convenient to introduce a new variable

$$\lambda (ϵ)=_{ϵ_0}^ϵ\frac{dx}{(x)},$$
(6)
where $`ϵ_0`$ is a certain point in the interval. Figure 2 shows a typical behavior of the mapping. We also displayed the map for $`|ϵ|>\frac{1}{2}`$ by analytic continuation. This is necessary since the solution of Eq. (5) is of wave nature. (See Eq. (8) below.) $`\lambda `$ increases as $`ϵ`$ approaches to the stable fixed points while it decreases as $`ϵ`$ approaches to the unstable fixed points.

With the help of this parameterization and setting $`R(\lambda ,t)=(ϵ)p(ϵ,t)`$, Eq. (5) now takes the form

$$\frac{}{t}R(\lambda ,t)+\frac{}{\lambda }R(\lambda ,t)=0.$$
(7)
Note that Eq. (7) is in fact a half part of the wave equations so that its solution is written as $`R(\lambda ,t)=f(\lambda t)`$ with $`f()`$ being an arbitrary differentiable function. It represents a wave that moves to the direction of increasing $`\lambda `$ as time evolves, which means that the system moves to stable fixed points. The solution of the original partial differential equation (5) now reads

$$p(ϵ,t)=\frac{f\left(\lambda (ϵ)t\right)}{(ϵ)}.$$
(8)
From the initial probability distribution $`p_0(ϵ)=p(ϵ,0)`$ we can determine the function $`f()`$. So we get

$$p(ϵ,t)=\frac{(ϵ_t)}{(ϵ)}p_0(ϵ_t),$$
(9)
where $`ϵ_t`$ is given by the relation

$$\lambda (ϵ_t)=\lambda (ϵ)t.$$
(10)
Here it should be understood that $`ϵ_t`$ is to be chosen in the same interval where $`ϵ`$ belongs to. Furthermore $`p_0(ϵ)=0`$ for $`|ϵ|>\frac{1}{2}`$ is assumed since $`ϵ_t`$ in Eq. (9) can be larger (or smaller) than $`\frac{1}{2}`$ (-$`\frac{1}{2}`$). This happens because of the nature of the wave solution. Using the mapping from $`ϵ`$ to $`ϵ_t`$, it is straightforward to show that the total probability is conserved:

$$_{\frac{1}{2}}^{\frac{1}{2}}p(ϵ,t)𝑑ϵ=_{\frac{1}{2}}^{\frac{1}{2}}p_0(ϵ_t)𝑑ϵ_t=1.$$
(11)
The shape of the probability distribution is distorted by a ratio $`(ϵ_t)/(ϵ)`$ so that it accumulates at the nearest stable fixed points. In Eq. (9), the ratio approaches zero as time evolves unless $`ϵ`$ is on a stable fixed point. As a consequence, in the long time limit $`t\mathrm{}`$ the probability distribution becomes a sum of delta peaks at the stable fixed points $`ϵ_i`$

$$p(ϵ,\mathrm{})=\underset{i}{}p_i\delta (ϵϵ_i),$$
(12)
where $`p_i`$ are the sum of the initial probabilities in two intervals adjacent to its point $`ϵ_i`$. We would like to point out that the system is not ergodic and its dynamical phase space is decomposed into disconnected sectors. Each sector is associated with a stable fixed point and is separated by the unstable fixed points.

The fixed point condition $`(ϵ)=0`$ is equivalent to Eq. (4) in Ref. Lipowski02a , where Lipowski and Droz analyzed in detail the condition and their results are summarized in the phase diagram (See Fig. 1.). We would like to mention that in regions III and IV in Fig. 1 both the symmetric and the asymmetric solutions exist together. In fact, either solution can be realized by choosing an appropriate initial configuration. Lipowski and Droz distinguished regions III and IV according to the different behaviors of the stationary probability distribution in their numerical process of taking the limit $`N\mathrm{}`$. In region III there appear two delta peaks for the asymmetric solutions while in region IV there appears only the central delta peak for the symmetric solution. It is contradictory to our result Eq. (12) where any delta peaks for the stable fixed points can appear depending on the initial configurations.

To resolve this contradiction and understand the nature of the transition between regions III and IV, we take another limit in the master equation (1), namely take the long time limit $`t\mathrm{}`$ before we take the limit $`N\mathrm{}`$. This limit may not properly reflect the properties of the infinite system. Since the infinite system is not ergodic as we showed above, changing the order of taking limits $`N\mathrm{}`$ and $`t\mathrm{}`$ may not yield the same result. Anyway it seems that in their simulations about the stationary probability distribution, Lipowski and Droz took the limit $`t\mathrm{}`$ for a finite system size $`N`$, and then extrapolating the results to $`N\mathrm{}`$.

Let’s first take the long time limit of $`t\mathrm{}`$ in Eq. (1). In this limit we may drop off the time dependence in the probability distribution, which now takes the form

$`p(N)`$ $`=`$ $`F\left({\displaystyle \frac{1}{N}}\right)p(N1)+\left(1F(1)\right)p(N)`$
$`p(M)`$ $`=`$ $`F\left({\displaystyle \frac{NM+1}{N}}\right)p(M1)`$
$`+F\left({\displaystyle \frac{M+1}{N}}\right)p(M+1)`$
$`+\left[1F\left({\displaystyle \frac{M}{N}}\right)F\left({\displaystyle \frac{NM}{N}}\right)\right]p(M)`$
for $`M=N1,\mathrm{},2,1`$
$`p(0)`$ $`=`$ $`F\left({\displaystyle \frac{1}{N}}\right)p(1)+\left(1F(1)\right)p(0).`$ (13)
The first equation in Eq. (13) allows us to rewrite $`p(N)`$ in terms of $`p(N1)`$, which in turn allows to rewrite $`p(N1)`$ in terms of $`p(N2)`$, and so on. Therefore we find

$`p(M)`$ $`=`$ $`{\displaystyle \frac{F\left(\frac{NM+1}{N}\right)}{F\left(\frac{M}{N}\right)}}p(M1)`$ (14)
$`=`$ $`p(0){\displaystyle \underset{i=1}{\overset{M}{}}}{\displaystyle \frac{F\left(\frac{Ni+1}{N}\right)}{F\left(\frac{i}{N}\right)}}`$
for $`M=N,\mathrm{},2,1`$. $`p(0)`$ appears as an overall factor to normalize the probabilities so that we get

$$p(0)=\left[1+\underset{M=1}{\overset{N}{}}\underset{i=1}{\overset{M}{}}\frac{F\left(\frac{Ni+1}{N}\right)}{F\left(\frac{i}{N}\right)}\right]^1.$$
(15)
Now let’s take the limit $`N\mathrm{}`$. With $`\frac{M}{N}=\frac{1}{2}+ϵ`$, and $`\frac{i}{N}=\frac{1}{2}+x`$, and scaling the probability distribution by $`N`$, the stationary probability distribution for large $`N`$ now becomes

$$p_s(ϵ)\frac{e^{NG(ϵ)}}{_{\frac{1}{2}}^{\frac{1}{2}}𝑑xe^{NG(x)}},$$
(16)
where

$$G(ϵ)=_{\frac{1}{2}}^ϵ𝑑x\left[\mathrm{log}F(\frac{1}{2}x)\mathrm{log}F(\frac{1}{2}+x)\right].$$
(17)
In the limit $`N\mathrm{}`$, the main contribution to the stationary probability distribution comes only from the maximum of $`G()`$, and it becomes delta peaks. The maximum of $`G(ϵ)`$ occurs when

$$G^{}(ϵ)=\mathrm{log}F(\frac{1}{2}ϵ)\mathrm{log}F(\frac{1}{2}+ϵ)=0.$$
(18)
Since $`G^{}(ϵ)`$ is the difference of logarithms of $`F(\frac{1}{2}ϵ)`$ and $`F(\frac{1}{2}+ϵ)`$, both $`G()`$ and $`()`$ share the similar qualitative properties. For example, the maximum of both functions occurs at the same stable fixed points. Note that in region II only the two asymmetric solutions with positive and negative particle excesses are stable, and have the same maximum while in region I only the symmetric solution is stable. Therefore the stationary probability distribution has the double peaks in region II and only the central peak in region I. In region III and IV both the symmetric and the asymmetric solutions are stable so that the maximum of $`G(ϵ)`$ should be determined by comparing its values at the stable fixed points. The crossover of the maximum point occurs when both values coincide. This implies that the transition between the double peaks and the central single peak in the probability distribution is determined by the condition $`\mathrm{\Delta }G=G(ϵ_a)G(0)=0`$, where $`ϵ_a`$ is the nonzero stable fixed point. This condition yields a line that separate two regions III and IV.

It is very interesting to see that $`G()`$ resembles the free energy of the equilibrium systems, and the transition between two phases is determined by the condition that the free energies of both phases are equal. Furthermore a certain characteristic time behaves differently in two phases, as Lipowski and Droz numerically found Lipowski02a . We will show an analytic relation between them in next section.

## IV CHARACTERISTIC TIMES

Lipowski and Droz defined an averaged first-passage time $`\tau (M)`$ needed for a configuration with $`M`$ particles in an urn (and $`NM`$ particles in the other urn) to reach the symmetric configuration ($`M=\frac{N}{2}`$) Lipowski02a . They obtained the relations among the averaged characteristic times from the dynamical rules as

$`\tau (M)=F\left({\displaystyle \frac{M}{N}}\right)\left[\tau (M1)+1\right]`$
$`+F\left({\displaystyle \frac{NM}{N}}\right)\left[\tau (M+1)+1\right]`$
$`+\left[1F\left({\displaystyle \frac{M}{N}}\right)F\left({\displaystyle \frac{NM}{N}}\right)\right]\left[\tau (M)+1\right]`$ (19)
for $`M=N,N1,\mathrm{},\frac{N}{2}+1`$. Here it is understood that the term associated with $`\tau (N+1)`$ does not appear. (In fact, its coefficient $`F(0)`$ vanishes.) By definition of the characteristic times, $`\tau (\frac{N}{2})=0`$ and $`\tau (NM)=\tau (M)`$.

Defining the difference of successive characteristic times as $`\mathrm{\Delta }\tau (M)=\tau (M)\tau (M1)`$, Eq. (19) can be rewritten as

$$\mathrm{\Delta }\tau (M)=\frac{1}{F\left(\frac{M}{N}\right)}\left[1+F\left(\frac{NM}{N}\right)\mathrm{\Delta }\tau (M+1)\right].$$
(20)
By applying this relation repeatedly until $`\mathrm{\Delta }\tau (N)=\frac{1}{F(1)}`$ is reached, we get the expression

$$\mathrm{\Delta }\tau (M)=\frac{1}{F\left(\frac{M}{N}\right)}\left[1+\underset{i=1}{\overset{NM}{}}\underset{j=1}{\overset{i}{}}\frac{F\left(\frac{NMj+1}{N}\right)}{F\left(\frac{M+j}{N}\right)}\right].$$
(21)
Since $`\tau (\frac{N}{2})=0`$ by definition, we immediately get $`\tau (\frac{N}{2}+1)=\mathrm{\Delta }\tau (\frac{N}{2}+1)`$, which is given by Eq. (21) with $`M=\frac{N}{2}+1`$. By successively adding $`\mathrm{\Delta }\tau (M)`$, we get the general expression for $`\tau (M)`$ for $`M=N,N1,\mathrm{},\frac{N}{2}+1`$:

$$\tau (M)=\underset{k=\frac{N}{2}+1}{\overset{M}{}}\frac{1}{F\left(\frac{k}{N}\right)}\left[1+\underset{i=1}{\overset{Nk}{}}\underset{j=1}{\overset{i}{}}\frac{F\left(\frac{NMj+1}{N}\right)}{F\left(\frac{M+j}{N}\right)}\right].$$
(22)
We are mainly interested in the behavior of $`\tau (M)`$ as $`N`$ increases. Again we scale the characteristic times by $`N`$. With $`\frac{M}{N}=\frac{1}{2}+ϵ`$ being fixed, and introducing $`\frac{k}{N}=\frac{1}{2}+x,\frac{i}{N}=yx,\frac{j}{N}=zx`$, the summations for large $`N`$ can be replaced by integrations so that the characteristic times for $`ϵ>0`$ takes the form

$$\tau (ϵ)N_0^ϵ𝑑x_x^{\frac{1}{2}}𝑑ye^{NH(x,y)}$$
(23)
with $`H(x,y)=G(y)G(x)`$. The longest characteristic time $`\tau (N)`$ corresponds to $`\tau (ϵ=\frac{1}{2})`$. The shortest one $`\tau (\frac{N}{2}+1)`$ corresponding to $`\tau (ϵ=0`$) is, in general, smaller than $`\tau (ϵ)`$ with positive $`ϵ`$ by an order of magnitude. It is necessary to deal with it separately. We get

$$\tau (\frac{N}{2}+1)_0^{\frac{1}{2}}𝑑ye^{NH(0,y)}.$$
(24)
Since $`H(0,y)=G(y)G(0)`$, both the shortest characteristic time $`\tau (\frac{N}{2}+1)`$ and the stationary probability distribution $`p_s(ϵ)`$ have essentially the same functional dependence on $`G()`$. Therefore it is not surprising that behaviors of both quantities for large $`N`$ are closely related. However it is not clear why they are.

## V ANALYSIS OF THE CHARACTERISTIC TIMES

We first consider the behavior of $`\tau (\frac{N}{2}+1)`$, the shortest one among the characteristic times. For large $`N`$, the main contribution to $`\tau (\frac{N}{2}+1)`$ comes from the maximum point $`y_m`$ of $`H(0,y)=G(y)G(0)`$, or $`G(y)`$, which was dealt in Sec. III.

In region I and IV the maximum occurs at $`y_m=0`$ corresponding to the symmetric configuration, while in region II and III it occurs at $`y_m>0`$ corresponding to the asymmetric configurations. Therefore the maximum is zero in region I and IV while it is positive in region II and III.

When $`y_m=0`$, we may expand $`H(0,y)`$ around $`y=0`$ to get

$`H(0,y)`$ $``$ $`2\left[1{\displaystyle \frac{\mathrm{\Delta }/2}{(T_0+\mathrm{\Delta }/2)^2}}\right]y^2`$ (25)
$`{\displaystyle \frac{4}{3}}\left[1{\displaystyle \frac{3(\mathrm{\Delta }/2)^2}{(T_0+\mathrm{\Delta }/2)^4}}\right]y^4+\mathrm{}.`$
Therefore it yields $`\tau (\frac{N}{2}+1)N^{\frac{1}{2}}`$ as long as the coefficient of the first term in Eq. (25) is negative. This is the case in region I and IV. The coefficient vanishes when $`T_0=\sqrt{\frac{\mathrm{\Delta }}{2}}\frac{\mathrm{\Delta }}{2}`$, which corresponds to the critical line found by Lipowski and Droz Lipowski02a . On this line, we get

$$H(0,y)\frac{4}{3}\left(1\frac{3}{2}\mathrm{\Delta }\right)y^4\frac{32}{15}\left(1\frac{5}{4}\mathrm{\Delta }^2\right)y^6+\mathrm{},$$
(26)
which yields $`\tau (\frac{N}{2}+1)N^{\frac{1}{4}}`$ for $`\mathrm{\Delta }<\frac{2}{3}`$, and $`\tau (\frac{N}{2}+1)N^{\frac{1}{6}}`$ at $`\mathrm{\Delta }=\frac{2}{3}`$ corresponding to the tricritical point.

When $`y_m>0`$, the maximum is positive so that $`\tau (\frac{N}{2}+1)N^{\frac{1}{2}}e^{\alpha N}`$ (with $`\alpha `$ being a positive constant), that is, it diverges exponentially.

Now let’s investigate the behavior of the longest characteristic time $`\tau (N)`$ or $`\tau (ϵ=1)`$. Again the main contribution comes from the maximum point of $`H(x,y)`$ in region restricted by three lines $`y=x,x=0,y=\frac{1}{2}`$. Note that $`yx`$ in the region. Interestingly the maximum point $`(x_m,y_m)`$ is closely related with the fixed points of $`(ϵ)`$.

In region I, $`ϵ=0`$ is only the fixed point so that $`x_m=y_m=0`$, and the maximum is zero. Expanding $`H(x,y)`$ about this point, we get

$$H(x,y)2\left[1\frac{\mathrm{\Delta }/2}{(T_0+\mathrm{\Delta }/2)^2}\right](y^2x^2)+\mathrm{}.$$
(27)
The coefficient of the leading term in Eq. (27) is negative only if $`T_0>\sqrt{\frac{\mathrm{\Delta }}{2}}\frac{\mathrm{\Delta }}{2}`$, that is, above the critical line. Changing the variables $`x,y`$ to the polar coordinates $`r,\theta `$ and scaling the radial coordinate $`r`$ by $`\sqrt{N}`$, we arrive at

$`\tau (N)`$ $``$ $`{\displaystyle _0^{c\sqrt{N}}}drr{\displaystyle _{\frac{\pi }{4}}^{\frac{\pi }{2}}}d\theta \mathrm{exp}[2(1{\displaystyle \frac{\mathrm{\Delta }/2}{(T_0+\mathrm{\Delta }/2)^2}})`$ (28)
$`\times r^2\mathrm{cos}(2\theta )].`$
Here $`c`$ is a constant that gives the upper bound of the integration over $`r`$. The contribution from the neighborhood of $`\theta =\frac{\pi }{4}`$ yields a logarithmic divergence. Fig. 3 shows a typical behavior of characteristic time $`\tau (N)`$ as a function of $`N`$ for several values of $`\mathrm{\Delta }`$ with $`T_0=0.2`$. The first two uppermost lines stand for $`\tau (N)`$ in region II, and the others represent that in region I. We conclude that in region I $`\tau (N)`$ diverges logarithmically as $`N`$ increases.

As we see in Eq. (27), the leading term vanishes on the critical line. On this line we need to expand more. So

$`H(x,y)`$ $``$ $`{\displaystyle \frac{4}{3}}\left(1{\displaystyle \frac{3}{2}}\mathrm{\Delta }\right)(y^4x^4)`$ (29)
$`{\displaystyle \frac{32}{15}}\left(1{\displaystyle \frac{5}{4}}\mathrm{\Delta }^2\right)(y^6x^6)+\mathrm{}.`$
Again changing the variables $`x,y`$ to the polar coordinates and scaling the radial coordinate appropriately (by $`N^{\frac{1}{4}}`$ or $`N^{\frac{1}{6}}`$), we conclude that $`\tau (N)`$ diverges algebraically as $`N^{\frac{1}{2}}`$ on the critical line and as $`N^{\frac{2}{3}}`$ at the tricritical point.

In regions II, III, and IV there appear many fixed points among which we can always find one with $`y_m>x_m`$ and $`G(y_m)>G(x_m)`$. There, the maximum $`H(x_m,y_m)`$ is positive, and $`\tau (N)`$ diverges exponentially as $`N`$ increases. We would like to point out that the situation is different from that of $`\tau (\frac{N}{2}+1)`$. In fact, it corresponds to the case with $`x_m`$ being fixed to zero.

Finally let’s consider the behavior of $`\tau (N)`$ on the line separating two regions I and IV. As we approach this line from region IV, the nonzero fixed points merge to disappear at $`ϵ=ϵ_1>0`$. That is, we can find a positive $`ϵ_1`$ such that $`(ϵ_1)=^{}(ϵ_1)=0`$. On this line the maximum point is given by $`x_m=y_m=ϵ_1`$ so that the maximum $`H(x_m,y_m)`$ is zero. Expanding $`H(x,y)`$ around this point, we get

$$H(x,y)\frac{1}{6}G^{\prime \prime \prime }(ϵ_1)\left((yϵ_1)^3(xϵ_1)^3\right)+\mathrm{}.$$
(30)
(Here we don’t write down $`G^{\prime \prime \prime }(ϵ_1)`$ explicitly since it is not important as far as it is positive.) Note that the leading order is the third instead of the fourth as in case of the critical line. The reason is that $`G(ϵ)`$ is not symmetric about $`ϵ=ϵ_1`$ while it is symmetric about $`ϵ=0`$. Consequently $`\tau (N)`$ on this line diverges algebraically as $`N^{\frac{1}{3}}`$.

## VI CONCLUSIONS

We analytically investigate the urn model introduced by Lipowski and Droz Lipowski02a . We exactly solve the master equation of the model in the thermodynamic limit and find how the probability distribution evolves. In the long time limit, the probability distribution becomes delta peaks only at the stable fixed points. In fact the ergodicity of the dynamics is broken so that the dynamical phase space is decomposed into disconnected sectors separated by the unstable fixed points. The strength of a delta peak is equal to the sum of initial probabilities in the disconnected sector it belongs to.

We also solve exactly the stationary probability distribution where we take the long time limit before we take thermodynamic limit. Regardless of the initial probability distribution it shows double peaks or a single central peak depending on the parameters of the system. The final formula of the stationary probability distribution resembles that of the equilibrium systems, where the transition from the doubles peaks to the single peak is determined by the condition that free energies of two phases become equal.

Recently Lipowski and Droz Lipowski02b  numerically calculated Binder cumulants of the urn model to find that the critical probability distribution has the form $`p(x)e^{x^4}`$ on the critical line, and $`p(x)e^{x^6}`$ on the tricritical point, where $`x`$ is the rescaled order parameter proportional to the particle excess $`ϵ`$. As we showed, $`G(ϵ)H(0,ϵ)`$ and its behavior on the critical line (including the tricritical point) is given by Eq. (26). Therefore the critical probability distribution has the form $`p(ϵ)\mathrm{exp}[\frac{4}{3}(1\frac{3}{2}\mathrm{\Delta })ϵ^4]`$ on the critical line, and $`p(ϵ)\mathrm{exp}[\frac{128}{135}ϵ^6]`$ on the tricritical point. Our analytic result supports their numerical result.

The first-passage problem is analytically solved. Interestingly both the shortest characteristic time and the stationary probability distribution are governed by the same free energy. Therefore the behavior of the shortest characteristic time and the properties of the stationary probability distribution are closely related. The analytic results on the behavior of the characteristic times support the numerical results of Lipowski and Droz Lipowski02a .

Finally it would be very interesting to understand why both the stationary probability distribution and the shortest characteristic time are governed by the same free energy. It would also be of interest to extend our analytic study to many-urn models and other types of urn models.