text:
# Value distribution and spectral theory of Schrödinger operators with 𝐿²-sparse potentials

## 1. Introduction

A real valued, locally integrable function $`V`$, defined on the half-line $`0x<\mathrm{}`$, is said to be a $`L^2`$-sparse potential if, given arbitrary $`\delta ,N>0`$, there exists a subinterval $`(a,b)`$ of $`[0,\mathrm{})`$ such that $`ba=N`$ and $`_a^b\left(V(x)\right)^2𝑑x<\delta `$. In other words, if $`V`$ is $`L^2`$-sparse then one can find arbitrarily long intervals on which the $`L^2`$ norm of $`V`$ is arbitrarily small. Given an $`L^2`$-sparse potential, we can define a Schrödinger operator $`T=\frac{d^2}{dx^2}+V(x)`$ acting in $`L^2(0,\mathrm{})`$ and subject to Dirichlet boundary condition at $`x=0`$. By considering an appropriate sequence of approximate eigenfunctions (see for example \[G\], Theorem 22) one may verify that the Weyl spectrum of $`T`$ contains the whole of $`^+`$. It follows that we have the limit point case at infinity, so that $`T`$ can be uniquely defined as a self-adjoint operator, subject to the single boundary condition at $`x=0`$.

Any $`L^2`$-sparse potential is a sum $`V_1+V_2`$, where $`V_1`$ is a sparse potential and $`V_2L^2(0,\mathrm{})`$; here a potential $`V`$ is said to be sparse if arbitrarily long intervals exist on which $`V`$ is identically zero. There is a considerable literature on sparse potentials and their perturbations, in particular establishing conditions for the existence of absolutely continuous and singular continuous spectra. For recent results in this field, see \[KLS, R, SS\] and references therein.

Spectral theory for the Schrödinger operator $`T`$ can be closely linked to the theory of value distribution for real-valued functions, and in particular value distribution for functions which are defined as boundary values of Herglotz functions. (A Herglotz or Nevanlinna function is a function of a complex variable, analytic in the upper half-plane with positive imaginary part.)

For a measurable function $`F_+:`$, the value distribution may be described by means of a map $`:(A,S)(A,S)\left\{\mathrm{}\right\}`$, called the value distribution function of $`F_+`$, and defined for Borel subsets $`A,S`$ of $``$ by

$$(A,S)=\left|AF_+^1(S)\right|.$$
(1)
Here $`||`$ stands for Lebesgue measure. Thus $`(A,S)`$ is the Lebesgue measure of the set of $`\lambda A`$ for which $`F_+(\lambda )S`$. In the particular case that $`F_+`$ is the almost everywhere boundary value of a Herglotz function, i.e.

$$F_+(\lambda )=\underset{d0^+}{lim}F(\lambda +id),\text{(almost all }\lambda \text{)},$$

we can write (see \[BP1\])

$$(A,S)=\underset{d0^+}{lim}\frac{1}{\pi }_A\theta (F(\lambda +id),S)𝑑\lambda ,$$
(2)
where $`\theta (z,S)`$ denotes the angle subtended at a point $`z`$ by the Borel subset $`S`$ of the real line. (For $`\lambda `$, we define $`\theta (\lambda ,S)`$ to be $`\pi \chi _S(\lambda )`$, where $`\chi _S`$ is the characteristic function of the set $`S`$.) In fact, given $`A`$ and $`S`$ with $`\left|A\right|<\mathrm{}`$, the limit in (2) will exist for *any* Herglotz function $`F`$ (whether or not $`F`$ has real boundary values a.e.) and may be used to define the value distribution function $``$ associated with an arbitrary Herglotz function. In general $``$ may not describe the value distribution of any single real-valued function $`F_+(\lambda )`$, but there will always be sequences $`\{F^{(n)}\}`$ of real-valued functions for which $``$ describes the limiting value distribution.

Value distribution for boundary values of Herglotz functions is also closely connected with the geometric properties of the upper half-plane, regarded as a hyperbolic space \[BP1, BP2\]. Given two points $`z_1,z_2^+`$, we define a measure of separation

$$\gamma (z_1,z_2)=\frac{\left|z_1z_2\right|}{\sqrt{\mathrm{Im}z_1}\sqrt{\mathrm{Im}z_2}},$$
(3)
which is related to the hyperbolic distance $`D(z_1,z_2)`$ by the equation

$$\gamma (z_1,z_2)=2\mathrm{sinh}\left(\frac{1}{2}D(z_1,z_2)\right).$$

The relevance of hyperbolic distance to estimates of value distribution comes from the fact that if $`F_1`$ and $`F_2`$ are two Herglotz functions satisfying the estimate

$$\gamma (F_1(z),F_2(z))<ϵ,$$

for all $`z`$ such that $`\mathrm{Im}z=d`$ and $`\mathrm{Re}zA`$, then the value distribution $`_2(A,S)`$ associated with $`F_2`$ is a good approximation to the value distribution $`_1(A,S)`$ associated with $`F_1`$, in the sense that

$$\left|_1(A,S)_2(A,S)\right|ϵ\left|A\right|+2E_A(d).$$
(4)
Here $`E_A(d)`$ is an error estimate which is an increasing function of $`d`$, and which converges to zero in the limit $`d0`$, for fixed Borel set $`A`$. For details of this and related results, see \[BP1, BP2\]. Estimates such as (4) imply that if $`\{F^{(n)}\}_{n=1,2,3,\mathrm{}}`$ is a sequence of Herglotz functions converging uniformly to $`F(z)`$ for $`z`$ lying in any fixed compact subset of $`^+`$, then the value distribution associated with $`F^{(n)}`$ will converge in the limit $`n\mathrm{}`$ to the value distribution associated with $`F`$.

The main purpose of this paper is to apply the above analysis to the spectral asymptotics of the Schrödinger operator with $`L^2`$-sparse potential, as described by solutions $`f(x,\lambda )`$ of the Schrödinger equation at real spectral parameter $`\lambda `$. Herglotz functions of particular interest in this context are the Weyl $`m`$-function $`m(z)`$ for the operator $`\frac{d^2}{dx^2}+V`$ in $`L^2(0,\mathrm{})`$ with Dirichlet boundary condition at $`x=0`$, and the Weyl $`m`$-function $`m^N(z)`$ for $`\frac{d^2}{dx^2}+V`$ regarded as operating in $`L^2(N,\mathrm{})`$ for some fixed $`N>0`$, with Dirichlet boundary condition at $`x=N`$. Estimates of both of these $`m`$-functions may be carried out, for $`z`$ in some fixed compact subset of $`^+`$, in terms of the logarithmic derivative $`f^{}(x,z)/f(x,z)`$, for asymptotically large $`x`$, of particular solutions $`f(,z)`$ of the Schrödinger equation at *complex* spectral parameter $`z`$. The main general results of the paper are presented in Theorems 1 and 2. Theorem 1 provides an estimate of the large $`x`$ asymptotics of $`f^{}/f`$, based on an $`L^2`$ bound for the potential across a finite interval. Theorem 2 is an analysis of asymptotic value distribution in the case of $`L^2`$-sparse potential, linking this to the asymptotics of $`m^N`$.

Finally, we indicate some consequences of the analysis for spectral theory of $`L^2`$-sparse potentials, implying in particular the absence of absolutely continuous spectrum at negative $`\lambda `$.

## 2. Asymptotics of $`v^{}/v`$

We consider the differential expression $`\tau =\frac{d^2}{dx^2}+V(x)`$ on the half-line $`0x<\mathrm{}`$, where the potential function $`V`$ is assumed to be real valued and integrable over any finite subinterval of $`[0,\mathrm{})`$. Assume limit-point case at infinity, implying that a self-adjoint operator $`T=\frac{d^2}{dx^2}+V(x)`$ can be defined, acting in $`L^2(0,\mathrm{})`$ and subject to a Dirichlet boundary condition at $`x=0`$.

The Weyl $`m`$-function $`m(z;V)`$ may be defined in terms of solutions $`f(,z)`$ of the Schrödinger equation at complex spectral parameter $`z`$, namely

$$\frac{d^2}{dx^2}f(x,z)+V(x)f(x,z)=zf(x,z)(\mathrm{Im}z>0,0x<\mathrm{}).$$
(5)
First define two solutions $`u(x,z),v(x,z)`$ of (5), subject respectively to initial conditions

$`u(0,z)=1,`$ $`u^{}(0,z)=0,`$ (6a)
$`v(0,z)=0,`$ $`v^{}(0,z)=1,`$ (6b)
where prime denotes differentiation with respect to $`x`$. (Solutions of (5) and (6) with $`z`$ replaced by a real spectral parameter $`\lambda `$ will be denoted by $`u(x,\lambda ),v(x,\lambda )`$ respectively and, for fixed $`x`$, are the boundary values of $`u(x,z)`$, $`v(x,z)`$ as $`z`$ approaches the real axis.)

Then (in the limit-point case at infinity) we define $`m(z;V)`$ uniquely by the condition that

$$u(,z)+m(z;V)v(,z)L^2(0,\mathrm{}).$$

An alternative characterisation of the Weyl function is that if $`f(,z)`$ is any (non-trivial) $`L^2(0,\mathrm{})`$ solution of (5), then

$$m(z;V)=\frac{f^{}(0,z)}{f(0,z)}.$$
(7)
It follows from the limit point/limit circle theory \[CL\] that $`m(z;V)`$ is an analytic function of $`z`$ for $`\mathrm{Im}z>0`$. In addition $`\mathrm{Im}m(z;V)>0`$ for $`\mathrm{Im}z>0`$, so that $`m(z;V)`$ is a Herglotz function (analytic in the upper half-plane with positive imaginary part).

Given any $`N>0`$, we can also define the Dirichlet $`m`$-function $`m^N(z;V)`$ for the truncated problem on the interval $`Nx<\mathrm{}`$, and an analysis of the large $`N`$ asymptotics of $`m^N`$ will play an important role in this paper. Here we are strongly motivated by the recent results of Deift and Killip \[DK\] for $`L^2`$ potentials.

Since, according to equation (7), the $`m`$-function is dependent on the logarithmic derivative of a solution $`f(,z)`$ of equation (5), a first step in our analysis will be to carry out a comparison between logarithmic derivatives of solutions of equation (5) as the potential is varied. We begin with the logarithmic derivative of the solution $`v(,z)`$ subject to the initial conditions (6b). Here it is $`v^{}/v`$ rather than $`v^{}/v`$ that is a Herglotz function for $`x>0`$. The following elementary estimate provides a bound for the $`\gamma `$-separation of the logarithmic derivative as the potential is varied.

###### Lemma 1.

Let $`v(x,z),\stackrel{~}{v}(x,z)`$ be solutions of equation (5) with potentials $`V(x)`$, $`\stackrel{~}{V}(x)`$ respectively, and subject to initial conditions

$$v(0,z)=\stackrel{~}{v}(0,z)=0,v^{}(0,z)=\stackrel{~}{v}^{}(0,z)=1.$$

Then, for any $`x>0`$,

$$\gamma (\frac{v^{}(x,z)}{v(x,z)},\frac{\stackrel{~}{v}^{}(x,z)}{\stackrel{~}{v}(x,z)})\left(\mathrm{Im}z\right)^1\frac{\left(_0^x\left(V(t)\stackrel{~}{V}(t)\right)^2\left|\stackrel{~}{v}(t,z)\right|^2𝑑t\right)^{1/2}}{\left(_0^x\left|\stackrel{~}{v}(t,z)\right|^2𝑑t\right)^{1/2}}$$
(8)
###### Proof.

Abbreviating the notation for simplicity, we have

$$\gamma (\frac{v^{}}{v},\frac{\stackrel{~}{v}^{}}{\stackrel{~}{v}})=\frac{\left|\frac{v^{}}{v}\frac{\stackrel{~}{v}^{}}{\stackrel{~}{v}}\right|}{\sqrt{\mathrm{Im}\left(\frac{v^{}}{v}\right)\mathrm{Im}\left(\frac{\stackrel{~}{v}^{}}{\stackrel{~}{v}}\right)}},$$
(9)
where

$$\left|\frac{v^{}}{v}\frac{\stackrel{~}{v}^{}}{\stackrel{~}{v}}\right|=\frac{\left|\stackrel{~}{v}v^{}v\stackrel{~}{v}^{}\right|}{\left|v\stackrel{~}{v}\right|}.$$
(10)
Using the Schrödinger equation $`v^{\prime \prime }+Vv=zv`$, and similarly for $`\stackrel{~}{v}`$, we have

$$\frac{d}{dx}\left(\stackrel{~}{v}v^{}v\stackrel{~}{v}^{}\right)=\stackrel{~}{v}v^{\prime \prime }v\stackrel{~}{v}^{\prime \prime }=\left(V\stackrel{~}{V}\right)v\stackrel{~}{v},$$

which, with the initial conditions, gives

$$\stackrel{~}{v}v^{}v\stackrel{~}{v}^{}=_0^x\left(V(t)\stackrel{~}{V}(t)\right)v(t)\stackrel{~}{v}(t)𝑑t.$$

We also have

$$\mathrm{Im}\left(\frac{v^{}}{v}\right)=\frac{1}{2i}\left(\frac{\overline{v}^{}}{\overline{v}}\frac{v^{}}{v}\right)=\frac{1}{2i|v|^2}\left(v\overline{v}^{}\overline{v}v^{}\right),$$

which again on considering $`\frac{d}{dx}\left(v\overline{v}^{}\overline{v}v^{}\right)`$ gives

$$\mathrm{Im}\left(\frac{v^{}}{v}\right)=\frac{\mathrm{Im}z}{|v|^2}_0^x\left|v(t)\right|^2𝑑t,$$

with a similar equation for $`\stackrel{~}{v}`$. Using (9) and (10), and substituting for $`\mathrm{Im}\left(v^{}/v\right)`$, $`\mathrm{Im}\left(\stackrel{~}{v}^{}/\stackrel{~}{v}\right)`$ and $`\left(\stackrel{~}{v}v^{}v\stackrel{~}{v}^{}\right)`$ results in the bound

$$\gamma (\frac{v^{}}{v},\frac{\stackrel{~}{v}^{}}{\stackrel{~}{v}})=\frac{\left|_0^x\left(V(t)\stackrel{~}{V}(t)\right)v(t)\stackrel{~}{v}(t)𝑑t\right|}{\left(\mathrm{Im}z\right)\left(_0^x\left|v(t)\right|^2𝑑t_0^x\left|\stackrel{~}{v}(t)\right|^2𝑑t\right)^{1/2}},$$

from which (8) follows on applying Schwarz’s inequality to the integral in the numerator. ∎

If both potentials $`V,\stackrel{~}{V}`$ are bounded, we can use the result of Lemma 1 to derive simple bounds for the separation $`\gamma `$ between the two logarithmic derivatives. For example we have, from (8), for any $`L>0`$,

$$\gamma (\frac{v^{}}{v},\frac{\stackrel{~}{v}^{}}{\stackrel{~}{v}})|_{x=L}\frac{1}{\mathrm{Im}z}\underset{t[0,L]}{sup}\left|V(t)\stackrel{~}{V}(t)\right|.$$

In particular, we see that any *uniformly* convergent sequence $`V_n`$ of potentials will result in a corresponding sequence $`v_n^{}/v_n`$ which will converge uniformly in $`\gamma `$-separation (and hence also uniformly in the hyperbolic metric).

We turn now to the case of a potential subject to an $`L^2`$-type condition, for which we take in the first instance the comparison potential to be $`\stackrel{~}{V}(x)=0`$. Let $`v(x,z)`$ be defined as before to be the solution of equation (5) with potential $`V(x)`$ and subject to $`v(0,z)=0,v^{}(0,z)=1`$, and let $`v_0(x,z)`$ satisfy the equation

$$\frac{d^2v_0(x,z)}{dx^2}=zv_0(x,z)$$

with the same initial conditions. Again we take $`\mathrm{Im}z>0`$, and write $`\sqrt{z}=a+ib`$ with $`a,b`$ real and $`a,b>0`$. An explicit expression for $`v_0`$ is then

$$v_0(x,z)=\left(2i\sqrt{z}\right)^1\left(\mathrm{e}^{ix\sqrt{z}}\mathrm{e}^{ix\sqrt{z}}\right)=\left(2\left(bia\right)\right)^1\left(\mathrm{e}^{iax}\mathrm{e}^{bx}\mathrm{e}^{iax}\mathrm{e}^{bx}\right),$$

so that

$$\left|v_0(x,z)\right|^2=\left(2\left(a^2+b^2\right)\right)^1\left(\mathrm{cosh}2bx\mathrm{cos}2ax\right),$$

and, from (8), we have

$$\gamma (\frac{v^{}}{v},\frac{v_0^{}}{v_0})|_{x=L}\frac{\left(_0^LV(t)^2\left(\mathrm{cosh}2bt\mathrm{cos}2at\right)𝑑t\right)^{1/2}}{\mathrm{Im}z\left(_0^L\left(\mathrm{cosh}2bt\mathrm{cos}2at\right)𝑑t\right)^{1/2}}.$$
(11)
Here the integral in the numerator may be written

$`{\displaystyle _0^L}\left\{\left(\mathrm{cosh}2bt\mathrm{cos}2at\right){\displaystyle \frac{d}{dt}}{\displaystyle _t^L}V(s)^2𝑑s\right\}𝑑t`$ $`={\displaystyle _0^L}\left\{\left(2b\mathrm{sinh}2bt+2a\mathrm{sin}2at\right){\displaystyle _t^L}V(s)^2𝑑s\right\}𝑑t`$
$`{\displaystyle _0^L}\left\{\left(2b\mathrm{sinh}2bt+2a\right){\displaystyle _0^L}V(s)^2𝑑s\right\}𝑑t`$
$`=\left(2aL+\mathrm{cosh}2bL1\right){\displaystyle _0^L}V(s)^2𝑑s`$ (12)
To complete the estimate of (11), we need a lower bound for the denominator integral, which comes to

$$\frac{\mathrm{sinh}2bL}{2b}\frac{\mathrm{sin}2aL}{2a}.$$

We shall make the assumption $`L1/\sqrt{|z|}`$. Such a condition, with $`\sqrt{z}=a+ib`$, implies that either $`L1/\left(\sqrt{2}a\right)`$ or $`L1/\left(\sqrt{2}b\right)`$. (If $`L<1/\left(\sqrt{2}a\right)`$ and $`L<1/\left(\sqrt{2}b\right)`$ then $`|z|=a^2+b^2<\frac{1}{2L^2}+\frac{1}{2L^2}=\frac{1}{L^2}`$, which contradicts the assumption.)

We consider the two possibilities in turn:

Case 1 : $`L\frac{1}{\sqrt{2}a}`$ From the bound $`\mathrm{sinh}x/x>1`$ for $`x>0`$, we have

$$\frac{\mathrm{sinh}2bL}{2b}>L,$$

whereas

$$\left|\frac{\mathrm{sin}2aL}{2a}\right|\frac{1}{2a}\frac{L}{\sqrt{2}},$$

so that

$$\left|\frac{\mathrm{sin}2aL}{2a}\right|<\frac{1}{\sqrt{2}}\frac{\mathrm{sinh}2bL}{2b},$$

and it follows that

$$\frac{\mathrm{sinh}2bL}{2b}\frac{\mathrm{sin}2aL}{2a}>\left(1\frac{1}{\sqrt{2}}\right)\frac{\mathrm{sinh}2bL}{2b}.$$
(13)
Case 2 : $`L\frac{1}{\sqrt{2}b}`$ Since the function $`\mathrm{sinh}x/x`$ is increasing for $`x0`$, we then have

$$\frac{\mathrm{sinh}2bL}{2b}\frac{L\mathrm{sinh}\sqrt{2}}{\sqrt{2}},$$

whereas

$$\left|\frac{\mathrm{sin}2aL}{2a}\right|<L.$$

Hence in this case we find

$$\left|\frac{\mathrm{sin}2aL}{2a}\right|<\frac{\sqrt{2}}{\mathrm{sinh}\sqrt{2}}\left(\frac{\mathrm{sinh}2bL}{2b}\right),$$

so that

$$\frac{\mathrm{sinh}2bL}{2b}\frac{\mathrm{sin}2aL}{2a}>\left(1\frac{\sqrt{2}}{\mathrm{sinh}\sqrt{2}}\right)\frac{\mathrm{sinh}2bL}{2b}.$$
(14)
Noting that $`\mathrm{sinh}\sqrt{2}<2`$, we see that the bound (14) holds both in case 1 and in case 2.

Using (12) and (14) as upper and lower bounds for the numerator and denominator respectively of (11), we have, now, for $`L1/\sqrt{|z|}`$, the estimate

$`\gamma ({\displaystyle \frac{v^{}(L,z)}{v(L,z)}},{\displaystyle \frac{v_0^{}(L,z)}{v_0(L,z)}})`$ $`{\displaystyle \frac{1}{\mathrm{Im}z}}\left({\displaystyle \frac{\left(2aL+\mathrm{cosh}2bL1\right)_0^LV(s)^2𝑑s}{\left(1\frac{\sqrt{2}}{\mathrm{sinh}\sqrt{2}}\right)\frac{\mathrm{sinh}2bL}{2b}}}\right)^{1/2}`$
$`={\displaystyle \frac{1}{\mathrm{Im}z}}\left(1{\displaystyle \frac{\sqrt{2}}{\mathrm{sinh}\sqrt{2}}}\right)^{1/2}\left(2a\left({\displaystyle \frac{2bL}{\mathrm{sinh}2bL}}\right)+2b\left({\displaystyle \frac{\mathrm{cosh}2bL1}{\mathrm{sinh}2bL}}\right)\right)^{1/2}`$
$`\times \left({\displaystyle _0^L}V(s)^2𝑑s\right)^{1/2}`$
Noting that

$$\frac{2bL}{\mathrm{sinh}2bL}<1$$

and that

$$\frac{\mathrm{cosh}2bL1}{\mathrm{sinh}2bL}=\mathrm{tanh}bL<1,$$

we can use the estimate $`\left(a+b\right)^{1/2}\left(2\left(a^2+b^2\right)\right)^{1/4}=\left(2|z|\right)^{1/4}`$ to obtain the following result.

###### Lemma 2.

Define $`v(x,z)`$ as in Lemma 1, and let $`v_0(x,z)`$ be the corresponding solution of (5) with zero potential. Then, for any $`L1/\sqrt{|z|}`$, we have the bound

$$\gamma (\frac{v^{}(L,z)}{v(L,z)},\frac{v_0^{}(L,z)}{v_0(L,z)})\frac{C|z|^{1/4}}{\mathrm{Im}z}\left(_0^LV(s)^2𝑑s\right)^{1/2},$$
(15)
where $`C`$ is a positive constant. (In fact we can take $`C=\sqrt{2}\left(\frac{1}{\sqrt{2}}\frac{1}{\mathrm{sinh}\sqrt{2}}\right)^{1/2}`$ in which case $`C<3.3`$.)

Notice that Lemma 2 provides a simple bound for the hyperbolic distance between $`v^{}/v`$ and $`v_0^{}/v_0`$ at $`x=L`$, in terms of the $`L^2`$ norm of the potential $`V`$ across the interval $`[0,L]`$.

Since, as is easily verified, we have

$$\underset{L\mathrm{}}{lim}\frac{v_0^{}(L,z)}{v_0(L,z)}=i\sqrt{z},$$

we can make a comparison, for large $`L`$, of $`v_0^{}/v_0`$ with its asymptotic limit, leading to the following result.

###### Lemma 3.

With $`v_0(x,z)`$ defined as in Lemma 2, for any $`L1/\sqrt{\left|z\right|}`$ we have the bound

$$\gamma (\frac{v_0^{}(L,z)}{v_0(L,z)},i\sqrt{z})C^{}\frac{\left(1+\left(\frac{b}{a}\right)^2\right)^{1/2}}{\left(\mathrm{e}^{4bL}1\right)^{1/2}},$$
(16)
where $`C^{}`$ is a positive constant. (In fact we can take $`C^{}=2^{1/4}C`$, where $`C`$ is the constant defined in Lemma 2, in which case $`C^{}<3.9`$.)

###### Proof.

Explicitly, we have

$$\frac{v_0^{}}{v_0}=\frac{\left(iab\right)\left(\mathrm{e}^{iax}\mathrm{e}^{bx}+\mathrm{e}^{iax}\mathrm{e}^{bx}\right)}{\mathrm{e}^{iax}\mathrm{e}^{bx}\mathrm{e}^{iax}\mathrm{e}^{bx}},$$

and multiplying numerator and denominator by the complex conjugate of the denominator gives

$$\mathrm{Im}\left(\frac{v_0^{}}{v_0}\right)=\frac{2a\mathrm{sinh}2bx2b\mathrm{sin}2ax}{\left|\mathrm{e}^{iax}\mathrm{e}^{bx}\mathrm{e}^{iax}\mathrm{e}^{bx}\right|^2},$$

Moreover,

$$\left|\frac{v_0^{}}{v_0}i\sqrt{z}\right|=\left|\frac{v_0^{}}{v_0}+bia\right|=\frac{2\sqrt{a^2+b^2}\mathrm{e}^{bx}}{\left|\mathrm{e}^{iax}\mathrm{e}^{bx}\mathrm{e}^{iax}\mathrm{e}^{bx}\right|}.$$

Putting these results together we find, at $`x=L`$,

$$\gamma (\frac{v_0^{}}{v_0},i\sqrt{z})|_{x=L}=\left(\frac{2\left(a^2+b^2\right)}{a}\right)^{1/2}\frac{\mathrm{e}^{bL}}{\left(a\mathrm{sinh}2bLb\mathrm{sin}2aL\right)^{1/2}}.$$

Substituting in the denominator the lower bound obtained previously in (14) and simplifying, we arrive at (16). ∎

In using (16) to make precise estimates of the convergence to $`i\sqrt{z}`$ of $`v_0^{}/v_0`$, it is useful to note the inequalities:

* if $`\mathrm{Re}z0`$ then $`b/a1`$;
* $`\left(1+\left(\frac{b}{a}\right)^2\right)4\left(1+\left(\frac{\mathrm{Re}z}{\mathrm{Im}z}\right)^2\right)`$;
* $`b>\frac{\mathrm{Im}z}{2\sqrt{|z|}}`$.

These inequalities imply, in particular, that $`v_0^{}/v_0`$ converges uniformly in hyperbolic norm to $`i\sqrt{z}`$, for $`z`$ in any fixed compact subset of the upper half-plane.

## 3. Estimates of $`u`$ and $`v`$ for $`L^1`$-bounded potentials

We consider solutions $`u(x,z),v(x,z)`$ of equation (5) on a fixed interval $`0xN`$, subject to initial conditions (6) at $`x=0`$. We compare these solutions with the corresponding solutions $`u_0(x,z),v_0(x,z)`$ with zero potential, and subject to the same initial conditions as for $`u`$ and $`v`$.

###### Lemma 4.

Let $`K`$ be a fixed compact subset of $`^+`$, and let $`N>0`$ be fixed. Then, given any $`ϵ>0`$, there exists $`\delta _0>0`$ ($`\delta _0`$ depending on $`ϵ,N`$ and $`K`$) such that, for any potential function $`V`$ satisfying

$$_0^N\left|V(t)\right|𝑑t<\delta _0,$$

we have, for all $`zK`$ and for all $`x[0,N]`$,

$$\left|u(x,z)u_0(x,z)\right|<ϵ,\left|v(x,z)v_0(x,z)\right|<ϵ.$$

###### Proof.

The proof is a standard perturbation argument using the Gronwall inequality.

Let $`M`$ be the $`2\times 2`$ transfer matrix given by

$$M=M(x,z)=\left(\begin{array}{cc}u& v\\ u^{}& v^{}\end{array}\right),$$

and let

$$M_0=\left(\begin{array}{cc}u_0& v_0\\ u_0^{}& v_0^{}\end{array}\right).$$

Then

$$\frac{dM}{dx}=\left(\begin{array}{cc}0& 1\\ Vz& 0\end{array}\right)M,\frac{dM_0}{dx}=\left(\begin{array}{cc}0& 1\\ z& 0\end{array}\right)M_0,$$

and we have

$$\frac{d}{dx}\left(M_0^1M\right)=VA\left(M_0^1M\right),$$

where

$$A=A(x,z)=(v_0,u_0)^T(u_0,v_0)$$

and $`V=V(x)`$. Hence

$$\left(M_0^1M\right)(x)=I+_0^xV(t)A(t)\left(M_0^1M\right)(t)𝑑t,$$

where $`I`$ is the $`2\times 2`$ identity matrix and, for notational convenience, we have suppressed the dependence on $`z`$. If $`A`$ denotes operator norm of the matrix $`A`$ in the two-dimensional space $`l_2`$, we have, for $`x0`$,

$$\left(M_0^1M\right)(x)I_0^x\left|V(t)\right|A(t)𝑑t+_0^x\left|V(t)\right|A(t)\left(M_0^1M\right)(t)I𝑑t.$$

An application of the Gronwall inequality now leads to the bound, valid for all $`x[0,N]`$,

$`M(x)M_0(x)`$ $`M_0(x)\left(M_0^1M\right)(x)I`$
$`M_0(x)\left\{\mathrm{exp}\left({\displaystyle _0^N}\left|V(t)\right|A(t)𝑑t\right)1\right\}.`$ (17)
Noting that

$$M_0(x)\left(|u_0|^2+|v_0|^2+|u_0^{}|^2+|v_0^{}|^2\right)^{1/2},$$

and

$$A=|u_0|^2+|v_0|^2,$$

we see that both $`M_0(x,z)`$ and $`A(t,z)`$ are bounded for $`x,t[0,N]`$ and $`zK`$.

The result of the Lemma now follows from (17) and the observation that

$$\left|uu_0\right|MM_0,\left|vv_0\right|MM_0.$$

The following Corollary is a straightforward consequence of the Lemma.

###### Corollary 1.

Let $`K`$ be a fixed compact subset of $`^+`$, and let $`N>0`$ be fixed. Define $`u,v,u_0,v_0`$ as in Lemma 4. Then given any $`ϵ>0`$, there exists $`\delta _0>0`$ ($`\delta _0`$ depending on $`ϵ,N`$ and $`K`$) such that, for all potential functions $`V`$ satisfying $`_0^N\left|V(t)\right|𝑑t<\delta _0`$, we have, for all $`zK`$,

$$\left|_0^N\mathrm{Im}\left(\overline{u}(t,z)v(t,z)\right)𝑑t_0^N\mathrm{Im}\left(\overline{u_0}(t,z)v_0(t,z)\right)𝑑t\right|<ϵ.$$
(18)
## 4. Estimate of $`f^{}/f`$ for potentials subject to an $`L^2`$-type condition

We can now state an estimate of convergence of $`f^{}/f`$ to $`i\sqrt{z}`$ based on an $`L^2`$-type condition on the potential.

###### Theorem 1.

Let $`f(x,z)`$ be any solution for $`x[0,\mathrm{})`$ of the Schrödinger equation (5) at complex spectral parameter $`z`$ ($`\mathrm{Im}z>0`$) which satisfies the condition

$$\mathrm{Im}\left(\frac{f^{}(0,z)}{f(0,z)}\right)>0.$$

Let $`K`$ be any fixed compact subset of $`^+`$.

Then, given any $`ϵ>0`$, there exist $`\delta ,N>0`$ ($`\delta ,N`$ depending on $`ϵ`$ and $`K`$) such that, for all $`LN`$ and for all potential functions $`V`$ satisfying the $`L^2`$ bound

$$_0^L\left|V(t)\right|^2𝑑t<\delta ,$$

the estimate

$$\gamma (\frac{f^{}(L,z)}{f(L,z)},i\sqrt{z})<ϵ$$
(19)
holds for all $`zK`$.

###### Proof.

In using the $`\gamma `$ measure of separation to carry out the estimate (19), it should be noted that, unlike the hyperbolic metric which is a function of $`\gamma `$, the separation $`\gamma (z_1,z_2)`$ between two points $`z_1,z_2^+`$ does not satisfy the triangle inequality. However, the following result can be useful as a substitute for the triangle inequality:

If $`z_1,z_2,z_3^+`$ and it is given that

$$\gamma (z_1,z_2)<\alpha ,\gamma (z_2,z_3)<\beta ,\text{ with }0<\alpha ,\beta 2,$$

then it follows that $`\gamma (z_1,z_3)<\sqrt{2}\left(\alpha +\beta \right)`$. (To verify this result, note that if $`0<\alpha ,\beta 2`$ and

$$\gamma (z_1,z_2)=2\mathrm{sinh}\left(\frac{D(z_1,z_2)}{2}\right)<\alpha ,\gamma (z_2,z_3)=2\mathrm{sinh}\left(\frac{D(z_2,z_3)}{2}\right)<\beta ,$$

then

$`\gamma (z_1,z_3)`$ $`=2\mathrm{sinh}\left({\displaystyle \frac{D(z_1,z_3)}{2}}\right)`$
$`2\mathrm{sinh}\left({\displaystyle \frac{D(z_1,z_2)}{2}}+{\displaystyle \frac{D(z_2,z_3)}{2}}\right)`$
$`=2\mathrm{sinh}\left({\displaystyle \frac{D(z_1,z_2)}{2}}\right)\mathrm{cosh}\left({\displaystyle \frac{D(z_2,z_3)}{2}}\right)+2\mathrm{sinh}\left({\displaystyle \frac{D(z_2,z_3)}{2}}\right)\mathrm{cosh}\left({\displaystyle \frac{D(z_1,z_2)}{2}}\right)`$
$`\alpha \sqrt{1+{\displaystyle \frac{\beta ^2}{4}}}+\beta \sqrt{1+{\displaystyle \frac{\alpha ^2}{4}}}`$
$`\left(\alpha +\beta \right)\sqrt{2}`$
as required.) As a simple consequence of this result, the three inequalities $`\gamma (z_1,z_2)<\frac{ϵ}{6},\gamma (z_2,z_3)<\frac{ϵ}{6},\gamma (z_3,z_4)<\frac{ϵ}{6}`$, with $`0<ϵ<1`$, together imply that $`\gamma (z_1,z_4)<ϵ`$.

If, then, we define $`u,v,u_0,v_0`$ as in the proofs of the previous Lemmas, it will be sufficient, to verify (19), to show that if $`zK`$ then we have the three inequalities, at $`x=L`$,

$$\gamma (\frac{f^{}}{f},\frac{v^{}}{v})<\frac{ϵ}{6},\gamma (\frac{v^{}}{v},\frac{v_0^{}}{v_0})<\frac{ϵ}{6},\gamma (\frac{v_0^{}}{v_0},i\sqrt{z})<\frac{ϵ}{6}.$$
(20)
We begin by fixing the value of $`N`$. Given $`ϵ>0`$ and a compact subset $`K`$ of $`^+`$, we take $`N=N(ϵ,K)`$ to satisfy, for all $`zK`$, the three inequalities

$`{\displaystyle _0^N}\mathrm{Im}\left(\overline{u_0}v_0\right)𝑑t`$ $`>{\displaystyle \frac{12}{ϵ\mathrm{Im}z}},`$ (21a)
$`{\displaystyle \frac{C^{}\left(1+\left(\frac{b}{a}\right)^2\right)^{1/2}}{\left(\mathrm{e}^{4bN}1\right)^{1/2}}}`$ $`<{\displaystyle \frac{ϵ}{6}},`$ (21b)
$`N`$ $`>{\displaystyle \frac{1}{\sqrt{|z|}}}.`$ (21c)
That $`N`$ may be chosen to satisfy the first of these inequalities for $`zK`$ follows from the fact that $`_0^{\mathrm{}}\mathrm{Im}\left(\overline{u_0}v_0\right)𝑑t=\mathrm{}`$ and that, for fixed $`N`$, the integral $`_0^N\mathrm{Im}\left(\overline{u_0}v_0\right)𝑑t`$ depends continuously on $`z`$ for $`\mathrm{Im}z>0`$. In the second inequality we have $`\sqrt{z}=a+ib`$, where both $`b`$ and $`b/a`$ are bounded for $`zK`$; the constant $`C^{}`$ is defined in the proof of Lemma 3. Note also that $`1/\sqrt{|z|}`$ is bounded for $`zK`$ in the third inequality.

From the Corollary to Lemma 4 we know that, for $`zK`$, the integral $`_0^N\mathrm{Im}(\overline{u}v)𝑑t`$ is close to $`_0^N\mathrm{Im}\left(\overline{u_0}v_0\right)𝑑t`$ provided that $`_0^N\left|V(t)\right|𝑑t`$ is sufficiently small. In particular, the inequality (21a) implies that there exists $`\delta _0=\delta _0(ϵ,K)>0`$ such that, for all $`zK`$, we have

$$_0^N\left|V(t)\right|𝑑t<\delta _0_0^N\mathrm{Im}\left(\overline{u}v\right)𝑑t>\frac{6}{ϵ\mathrm{Im}z}.$$
(22)
Having fixed the values of $`N`$ and $`\delta _0`$, now define $`\delta =\delta (ϵ,K)`$ to satisfy the two inequalities

* $`N\delta <\delta _0^2`$;
* $`\frac{C|z|^{1/4}}{\mathrm{Im}z}\sqrt{\delta }<\frac{ϵ}{6}`$ for all $`zK`$.

Here the constant $`C`$ has been defined in the statement of Lemma 2. Now suppose that $`LN`$ and $`_0^L\left|V(t)\right|^2𝑑t<\delta `$. By the Schwarz inequality we then have

$$_0^N\left|V(t)\right|𝑑t\left(N_0^N\left|V(t)\right|^2𝑑t\right)^{1/2}<\left(\delta N\right)^{1/2}<\delta _0,$$

by inequality (i). Hence, (22) implies that

$$_0^N\mathrm{Im}\left(\overline{u}v\right)𝑑t>\frac{6}{ϵ\mathrm{Im}z}.$$

By Lemma 3 of \[BP1\] (see also Lemma 2 of \[BP2\]) we have, for any solution $`f`$ of (5) satisfying $`\mathrm{Im}\left(f^{}(0,z)/f(0,z)\right)>0`$,

$$\gamma (\frac{f^{}}{f},\frac{v^{}}{v})|_{x=L}\frac{1}{\mathrm{Im}z_0^L\mathrm{Im}\left(\overline{u}v\right)𝑑t}<\frac{ϵ}{6}.$$

Thus we have derived the first inequality in (20). The second inequality in (20) follows from (15) and (ii) above, using $`_0^L\left|V(t)\right|^2𝑑t<\delta `$. We can also use Lemma 3 with the inequality (21b) to complete the proof of (20), which also completes the proof of the Theorem. ∎

We now explore some consequences of Theorem 1 in the case of $`L^2`$-sparse potentials. Let $`V`$ be an $`L^2`$-sparse potential. Then a sequence of subintervals $`\{(a_k,b_k)\}`$ ($`k=1,2,3,\mathrm{}`$) of $`^+`$ can be found such that, with $`L_k=b_ka_k`$,

$$\underset{k\mathrm{}}{lim}L_k=\mathrm{}\text{and}\underset{k\mathrm{}}{lim}_{a_k}^{b_k}\left(V(t)\right)^2𝑑t=0.$$

Given a fixed, bounded, measurable subset $`A`$ of $``$, having closure $`\overline{A}`$, and given any $`ϵ>0`$, we first of all find $`d>0`$ ($`d`$ depending on $`ϵ`$ and $`A`$) such that $`E_A(d)<ϵ\left|A\right|/2`$. Here $`E_A()`$ is the error estimate on the right hand side of (4), and from (4) we deduce that

$$\left|_1(A,S)_2(A,S)\right|<2ϵ\left|A\right|,$$
(23)
provided $`\gamma (F_1(z),F_2(z))<ϵ`$ for all $`zK`$, where $`K`$ is the compact subset of $`^+`$ defined by the conditions $`\mathrm{Im}z=d,\mathrm{Re}z\overline{A}`$.

Now use Theorem 1 to define $`\delta `$ and $`N`$ such that, for all $`LN`$ and for all potentials $`V`$ satisfying the bound $`_0^L\left|V(t)\right|^2𝑑t<\delta `$ we have

$$\gamma (\frac{f^{}(L,z)}{f(L,z)},i\sqrt{z})<ϵ.$$
(24)
Here $`f(,z)`$ is a solution of the Schrödinger equation (5) for which

$$\mathrm{Im}\left(\frac{f^{}(0,z)}{f(0,z)}\right)>0.$$

We take $`k`$ sufficiently large (say $`k>k_0`$) so that $`L_kN`$ and such that the bound $`_{a_k}^{b_k}\left|V(t)\right|^2𝑑t<\delta `$ is satisfied by our sparse potential $`V`$.

We can now apply (24) with $`L=L_k`$, where $`f`$ is a suitably chosen solution of the Schrödinger equation (5), but with potential modified by an appropriate change of $`x`$-coordinate. There are two separate cases to be considered:

Firstly, define $`f(x,z)=v(x+a_k,z)`$ (for $`0xL_k=b_ka_k`$). Then, for $`x[0,L_k]`$, $`f(,z)`$ satisfies the Schrödinger equation (5) with potential $`V(x+a_k)`$. Moreover, we have

$$_0^{L_k}\left(V(t+a_k)\right)^2𝑑t=_{a_k}^{b_k}\left(V(t)\right)^2𝑑t<\delta .$$

Hence (24) is satisfied in this case, and we have

$$\gamma (\frac{v^{}(b_k,z)}{v(b_k,z)},i\sqrt{z})<ϵ.$$

From (23) we now deduce that the respective value distributions for the Herglotz functions $`v^{}(b_k,z)/v(b_k,z)`$ and $`i\sqrt{z}`$ differ by at most $`2ϵ\left|A\right|`$, for all $`k>k_0`$.

Secondly, let $`F(,z)`$ be a (non-trivial) solution in $`L^2(0,\mathrm{})`$ of the Schrödinger equation (5), with sparse potential $`V`$. The $`m`$-function $`m^{a_k}(z)`$ for the Schrödinger operator $`\frac{d^2}{dx^2}+V`$ acting in $`L^2(a_k,\mathrm{})`$ is then given by

$$m^{a_k}(z)=\frac{F^{}(a_k,z)}{F(a_k,z)}.$$

We can now define $`f(,z)`$ by

$$f(x,z)=F(b_kx,z)(0xL_k)$$

so that $`f(,z)`$ satisfies the Schrödinger equation with potential $`V(b_kx)`$. Since $`F^{}(b_k,z)/F(b_k,z)`$ has positive imaginary part, we also have $`\mathrm{Im}\left(f^{}(0,z)/f(0,z)\right)>0`$. In this case, an application of (19) with $`L=L_k`$ results in the estimate

$$\gamma (m^{a_k}(z),i\sqrt{z})<ϵ,$$

and it follows as before that the respective value distributions for the Herglotz functions $`m^{a_k}`$ and $`i\sqrt{z}`$ differ by at most $`2ϵ\left|A\right|`$, for all $`k>k_0`$.

The following Theorem summarises the situation regarding asymptotic value distribution in the case of $`L^2`$-sparse potentials<sup>1</sup><sup>1</sup>1We are indebted to A. Pushnitski for pointing out the close connection between estimates of $`m`$-functions at complex $`z`$ and asymptotic resolvent estimates in the case of potentials with an $`L^2`$ condition.. The Theorem implies in particular, for the special case of $`L^2`$ potentials, that the value distribution of $`v^{}(N,\lambda )/v(N,\lambda )`$ approaches an asymptotic limit as $`N\mathrm{}`$.

###### Theorem 2.

Let $`v(,\lambda )`$ be the solution of the Schrödinger equation at real spectral parameter $`\lambda `$, subject to initial conditions $`v(0,\lambda )=0,v^{}(0,\lambda )=1`$, in the case of an $`L^2`$-sparse potential $`V`$.

Let $`\{(a_k,b_k)\}`$ be a sequence of subintervals of $`^+`$, for which $`lim_k\mathrm{}\left(b_ka_k\right)=\mathrm{}`$ and $`lim_k\mathrm{}_{a_k}^{b_k}\left|V(t)\right|^2𝑑t=0`$.

Then for Borel subsets $`A,S`$ of $``$, with $`\left|A\right|<\mathrm{}`$, we have

$$\underset{k\mathrm{}}{lim}\frac{1}{\pi }_A\theta (m_+^{a_k}(\lambda ),S)𝑑\lambda =\frac{1}{\pi }_A\theta (i\sqrt{\lambda },S)𝑑\lambda ,$$

$$\underset{k\mathrm{}}{lim}\left|\{\lambda A:\frac{v^{}(b_k,\lambda )}{v(b_k,\lambda )}S\}\right|=\frac{1}{\pi }_A\theta (i\sqrt{\lambda },S)𝑑\lambda .$$

The conclusion of the Theorem, which applies in the first instance in the case that $`A`$ is bounded and of finite measure, may be extended to the more general case in which $`A`$ is not necessarily bounded. (Let $`A`$ have finite measure. Given $`ϵ>0`$, fix $`N`$ sufficiently large that the complement of $`[N,N]A`$ has measure less than $`ϵ`$. Denoting by $`A_N`$ this truncated set, the theorem may be applied first of all to $`A_N`$, which is bounded. Since the integrals to be estimated are then within $`ϵ`$ of the corresponding integrals for the set $`A`$, the more general conclusion follows on letting $`ϵ`$ approach zero.)

## 5. Spectral analysis

Here we present some consequences of Theorem 2 for the spectral theory of Schrödinger operators with $`L^2`$-sparse potentials. The first result implies that absolutely continuous spectrum can occur only for $`\lambda >0`$.

###### Corollary 2.

Suppose $`V`$ is $`L^2`$-sparse. Then the support of the a.c. measure $`\mu _{ac}`$ of $`T=\frac{d^2}{dx^2}+V`$ is contained in $`^+`$.

###### Proof.

Suppose the contrary. Then if $`\mu _{ac}`$ is the a.c. part of the spectral measure, we can find a subset $`A`$ of $`^{}`$ having finite Lebesgue measure for which $`\mu _{ac}(A)>0`$. Then $`\left|A\right|>0`$, and we may also suppose that $`A`$ is a subset of an essential support of $`\mu _{ac}`$.

Now define intervals $`(a_k,b_k)`$ as in Theorem 2, and set $`N_k=\left(a_k+b_k\right)/2`$. Then $`N_k`$ may be regarded either as the left hand endpoint of an interval $`(N_k,b_k)`$, or as the right hand endpoint of an interval $`(a_k,N_k)`$. An application of Theorem 2 then implies that

$$\underset{k\mathrm{}}{lim}\frac{1}{\pi }_A\theta (m_+^{N_k}(\lambda ),S)𝑑\lambda =\frac{1}{\pi }_A\theta (i\sqrt{\lambda },S)𝑑\lambda ,$$
(25)
whereas

$$\underset{k\mathrm{}}{lim}\left|\{\lambda A:\frac{v^{}(N_k,\lambda )}{v(N_k,\lambda )}S\}\right|=\frac{1}{\pi }_A\theta (i\sqrt{\lambda },S)𝑑\lambda .$$
(26)
Since $`A`$ is a subset of an essential support of $`\mu _{ac}`$, we also have

$$\underset{k\mathrm{}}{lim}\left[\left|\{\lambda A:\frac{v^{}(N_k,\lambda )}{v(N_k,\lambda )}S\}\right|\frac{1}{\pi }_A\theta (m_+^{N_k}(\lambda ),S)𝑑\lambda \right]=0.$$
(27)
(For a proof of this result, which holds for any sequence $`N_k`$ with $`N_k\mathrm{}`$, and for arbitrary locally $`L^1`$ potentials, see \[BP1\].) Equations (25), (26) and (27) now imply that

$$_A\theta (i\sqrt{\lambda },S)𝑑\lambda =_A\theta (i\sqrt{\lambda },S)𝑑\lambda .$$
(28)
However $`i\sqrt{\lambda }^{}`$ for $`\lambda A`$, and taking $`S=^{}`$ we see that the left-hand-side of (28) is strictly positive, whereas the right-hand-side is zero.

Hence we have a contradiction, and the Corollary is proved. ∎

There are interesting applications of Corollary 2 to $`L^2`$ perturbations of slowly oscillating potentials such as $`\mathrm{cos}\sqrt{x}`$. For example, if $`V(x)=\mathrm{cos}\sqrt{x}+V_0`$ with $`V_0L^2\left(^+\right)`$, then $`V(x)1`$ is an $`L^2`$-sparse potential, and it follows from Corollary 2 that $`T=\frac{d^2}{dx^2}+V`$ has no a.c. measure for $`\lambda <1`$. (In fact, $`[1,1]`$ is contained in the singular spectrum of $`T`$; for related results on spectral theory with slowly oscillating potentials see \[S\].)

We can also consider various perturbations of $`L^2`$-sparse potentials. A typical result is the following:

###### Corollary 3.

Let $`V`$ be a $`L^2`$-sparse potential. Define intervals $`\{(a_k,b_k)\}`$, with $`N_k=\left(a_k+b_k\right)/2`$, as in the proof of Corollary 2. Then the Schrödinger operator

$$\frac{d^2}{dx^2}+V(x)+\underset{k=1}{\overset{\mathrm{}}{}}\delta \left(xN_k\right)$$

has purely singular spectral measure.

###### Proof.

The proof follows from Theorem 2, using similar arguments to those applied in \[BP1, BP2\] to the special case in which $`V`$ is a sparse rather than $`L^2`$-sparse potential. ∎

###### Acknowledgements.

This work has been partially supported by the EPSRC.


format: text

text:
# 1 Introduction

## 1 Introduction

Noncommutative and ordinary gauge theory descriptions of D–branes in a constant background B–field are equivalent perturbatively in the noncommutativity parameter $`\theta ^{\mu \nu }`$. To find evidence that this equivalence is valid even nonperturbatively, noncommutative D3–brane BIon and dyon are studied in . Noncommutative D3–brane BIon configuration is attained when open string metric satisfies $`G_{MN}=\mathrm{diag}(1,1,\mathrm{},1)`$ where $`M,N=0,1,\mathrm{},9.`$ This geometry is accomplished allowing a background B–field on D3–brane worldvolume, producing a noncommutativity parameter $`\theta ^{01}0`$ and $`\theta ^{02}=\theta ^{03}=\theta ^{ij}=0,`$ where $`i,j=1,2,3.`$ At the lowest order in the string slope parameter $`\alpha ^{}`$ and for slowly varying fields noncommutative D3–brane is described in terms of noncommutative $`U(1)`$ gauge theory. Non–vanishing $`\theta ^{01}`$ leads to noncommutative time in terms of Moyal bracket. Thus the ordinary Hamiltonian formalism of this system is obscure. However, owing to the fact that the theory is invariant under translations, an energy density is derived from Lagrangian which is utilized to write a Bogomol’nyi–Prasad–Sommerfeld (BPS) like bound.

When time is noncommuting with the spatial coordinates the usual Hamiltonian methods are not applicable. To overcome this difficulty in  a new method is developed introducing a spurious time like variable. In this approach the energy is the same as the one derived from Lagrangian path integral formalism of the original theory.

We would like to examine if one can find a Hamiltonian in an ordinary phase space for space–time noncommutative D3–brane. It would yield a well defined energy. This is possible if the Lagrangian with noncommutative time can be considered as an object derived from an original theory whose time variable is commuting. Indeed, in string theories noncommutative time parameter usually appears in the actions which are (S) dual of initial theories with commuting time. Similarly, in  noncomutative $`U(1)`$ gauge theory with the noncommutativity parameter $`\stackrel{~}{\theta }^{ij}=0,`$ $`\stackrel{~}{\theta }^{0i}0,`$ is established as the dual theory of the one whose noncommutativity parameter satisfies $`\theta ^{ij}0,`$ $`\theta ^{0i}=0.`$

Legendre transforming the Abelian gauge theory Lagrangian in terms of dual gauge field and performing path integration of the shifted action over the field strength lead to the Lagrangian formalism of the dual theory. We will show that constrained Hamiltonian structure of the shifted Abelian gauge theory action in $`d=4`$ provides us Hamiltonian formalism of the dual theory without referring to its Lagrangian. This method of bypassing Lagrangian of the dual theory to derive its phase space formalism is interesting in itself. Moreover, it may be very useful to treat the theories whose Lagrangian formalism is given in terms of (effectively) noncommuting time variable. In fact, we apply it to noncommutative $`U(1)`$ gauge theory with spatial noncommutativity and obtain phase space formulation of dual gauge theory whose time coordinate is noncommuting in terms of Moyal bracket. On the other hand the dual Lagrangian is known and it is originated from a theory with a commuting time variable. Thus, one can treat time variable as commuting, although effectively time and spatial coordinates satisfy a non–vanishing Moyal bracket. Hamiltonian and phase space constraints of the both approaches coincide. We deal only with the first order approximation in noncommutativity parameter $`\theta ^{\mu \nu }.`$

Once Hamiltonian formulation of the dual theory is achieved, noncommutative D3–brane worldvolume Hamiltonian formalism in static gauge can be written directly. We define $`\theta `$ dependent (noncommutative) fields in terms of the usual phase space fields and obtain a BPS like bound on energy. Saturation of this bound leads to equations in terms of $`\theta `$ dependent fields. These are solved when commutative fields satisfy ordinary BPS equations. This is similar to the observation that linearized and full Dirac–Born–Infeld (DBI) theories possess the same BPS states with the same energy. However, in our case energies differ.

In Section 2 we study Abelian Gauge Theory in $`d=4.`$ We show that the appropriately shifted Lagrangian can be studied as a constrained Hamiltonian system and reduced phase space method leads to Hamiltonian formulation of the dual theory. Thus, without referring to the Lagrangian we can obtain the Hamiltonian formalism of the dual theory.

In Section 3 the method illustrated in Section 2 is utilized to derive Hamiltonian formulation of the noncommutative $`U(1)`$ gauge theory whose time coordinate is noncommuting with the spatial ones in terms of Moyal bracket. We treat the gauge theory with spatial noncommutativity as the original one. Considering time as commuting in the dual theory a phase space formulation is found in terms of the usual methods. These two Hamiltonian descriptions coincide.

In Section 4 we derive the Hamiltonian for D3–brane worldvolume with a scalar field. We introduce $`\theta `$ dependent (noncommutative) fields to put this Hamiltonian in a form suitable to derive a BPS like bound on energy. Conditions to saturate this bound are discussed. It is shown that these conditions are solved when commuting fields are taken as D3–brane BIon or dyon solutions. For some specific choices of fields, charges taking part in BPS bound are shown to be topological, although $`\theta `$ dependent.

The results obtained are discussed in the last section.

## 2 Abelian Gauge Theory

Abelian gauge theory action in $`d=4`$ with the Minkowski metric $`g_{\mu \nu }=\mathrm{diag}(1,1,1,1),`$ is

$$S_o=\frac{1}{4g^2}d^4xF_{\mu \nu }F^{\mu \nu },$$
(1)
where $`F=dA.`$ To implement duality we introduce the dual gauge field $`A_D`$ and deal with the shifted action

$$S_m=d^4x(\frac{1}{4g^2}F_{\mu \nu }F^{\mu \nu }\frac{1}{2}ϵ_{\mu \nu \rho \sigma }^\mu A_D^\nu F^{\rho \sigma }).$$
(2)
Here we treat $`F`$ as an independent variable without requiring any relation with the gauge field $`A.`$ Performing path integral over $`F`$, which is equivalent to solve the equations of motion for $`F`$ in terms of $`A_D`$ and replace it in the action, leads to the dual action

$$S_D=\frac{g^2}{4}d^4xF_{D}^{}{}_{}{}^{\mu \nu }F_{D\mu \nu }$$
(3)
where $`F_D=dA_D`$. Constraint Hamiltonian structures resulting from $`S_o`$ and $`S_D`$ are related by canonical transformations.

We would like to study canonical formulation of $`S_m`$ to demonstrate that Hamiltonian and constraints of the dual action $`S_D`$ result directly. Definition of canonical momenta

$$P_{\mu \nu }=\frac{\delta S_m}{\delta (_0F^{\mu \nu })};P_{D\mu }=\frac{\delta S_m}{\delta (_0A_D^\mu )},$$
(4)
leads to the primary constraints,

$`P_{\mu \nu }0,`$ (5)
$`P_{D0}0,`$ (6)
$`\varphi _iP_{Di}+{\displaystyle \frac{1}{2}}ϵ_{ijk}F^{jk}0,`$ (7)
where $`i,j,k=1,2,3,`$ and ‘$``$’ denotes that constraints are weakly vanishing. The related canonical Hamiltonian is

$$H_{mc}=d^3x[\frac{1}{2g^2}F^{0i}F_{0i}+\frac{1}{4g^2}F^{ij}F_{ij}\frac{1}{2}ϵ_{ijk}^iA_{D}^{}{}_{}{}^{0}F^{jk}+ϵ_{ijk}^iA_{D}^{}{}_{}{}^{j}F^{0k}].$$
(8)
By adding the primary constraints (5)–(7) to the canonical Hamiltonian, in terms of some Lagrange multipliers $`\alpha _i,\beta ,\lambda _{ij},\kappa _i,`$ one obtains the extended Hamiltonian

$$H_{me}=H_{mc}+d^3x[\alpha _iP_{0i}+\beta P_{D0}+\lambda _{ij}P_{ij}+\kappa _i\varphi _i].$$
(9)
Denote that we use the definition

$$\frac{F_{\mu \nu }}{F_{\rho \sigma }}=\delta _{\mu }^{}{}_{}{}^{\rho }\delta _{\nu }^{}{}_{}{}^{\sigma }\delta _{\mu }^{}{}_{}{}^{\sigma }\delta _{\nu }^{}{}_{}{}^{\rho },$$

to calculate Poisson brackets of the primary constraints (5)–(7) with $`H_{me},`$ which lead to the secondary constraints

$$ϵ_{ijk}^iF^{jk}0,$$
(10)
$$\frac{1}{g^2}F_{0i}+ϵ_{ijk}^jA_{D}^{}{}_{}{}^{k}0.$$
(11)
Constraints terminate here. The constraint (6) is first class and the rest (5), (7), (10), (11) are second class. In the reduced phase space, obtained by setting all the second class constraints equal to zero strongly and solving $`F,P`$ in terms of $`F_DP_D`$, the canonical Hamiltonian (8) becomes

$$H_D=d^3x[\frac{1}{2g^2}P_{Di}P_{Di}+\frac{g^2}{4}F_{Dij}F_{Dij}].$$
(12)
Moreover, there are the first class constraints

$$P_{D0}0,_iP_{Di}0.$$
(13)
Obviously this is the same with the constrained Hamiltonian formalism of the dual theory (3). Therefore we demonstrated that one can obtain constrained Hamiltonian formulation of the dual theory beginning from the shifted action (2) bypassing the dual Lagrangian (3).

## 3 Noncommutative $`U(1)`$ Gauge Theory

Noncommuting variables should be treated as operators. However, one can retain them commuting under the usual product and introduce noncommutativity in terms of the star product

$$\mathrm{exp}\frac{i\theta ^{\mu \nu }}{2}(\stackrel{}{}_\mu \stackrel{}{}_\nu \stackrel{}{}_\nu \stackrel{}{}_\mu ),$$
(14)
where $`\theta ^{\mu \nu }`$ is a constant parameter. Now, the coordinates $`x^\mu `$ satisfy the Moyal bracket

$$x^\mu x^\nu x^\nu x^\mu =\theta ^{\mu \nu }.$$
(15)
Noncommutative $`U(1)`$ gauge theory is given by the action

$$S_{nc}=\frac{1}{4g^2}d^4x\widehat{F}_{\mu \nu }\widehat{F}^{\mu \nu }$$
(16)
where we defined

$$\widehat{F}_{\mu \nu }=_\mu \widehat{A}_\nu _\nu \widehat{A}_\mu i\widehat{A}_\mu \widehat{A}_\nu +i\widehat{A}_\nu \widehat{A}_\mu .$$
(17)
Seiberg and Witten showed that noncommutative gauge fields $`\widehat{A}_\mu ,`$ noncommutative gauge parameter $`\widehat{\lambda }`$ and the commuting ones $`A_\mu ,\lambda `$ are related under the gauge transformations $`\widehat{\delta },\delta `$ as

$$\widehat{A}(A)+\widehat{\delta }_{\widehat{\lambda }}\widehat{A}(A)=\widehat{A}(A+\delta _\lambda A).$$
(18)
At the first order in $`\theta ^{\mu \nu }`$ it is solved to yield

$$\widehat{F}_{\mu \nu }=F_{\mu \nu }+\theta ^{\rho \sigma }F_{\mu \rho }F_{\nu \sigma }\theta ^{\rho \sigma }A_\rho _\sigma F_{\mu \nu }.$$
(19)
Thus the action (16) can be written at the first order in $`\theta ^{\mu \nu }`$ as

$$S_{nc}=\frac{1}{4g^2}d^4x(F_{\mu \nu }F^{\mu \nu }+2\theta ^{\mu \nu }F_{\nu \rho }F^{\rho \sigma }F_{\sigma \mu }\frac{1}{2}\theta ^{\mu \nu }F_{\nu \mu }F_{\rho \sigma }F^{\sigma \rho }).$$
(20)
To implement duality transformation deal with the shifted action

$$S=S_{nc}+\frac{1}{2}d^4xA_{D}^{}{}_{}{}^{\mu }ϵ_{\mu \nu \rho \sigma }^\nu F^{\rho \sigma }$$
(21)
where F and $`A_D`$ are taken as independent field variables.

As in the commutative case dual action can be found by solving the field equations for $`F`$ in terms of $`F_D=dA_D`$ and plugging it in the action (21) leading to

$$\stackrel{~}{S}=\frac{g^2}{4}d^4x(F_{D}^{}{}_{}{}^{\mu \nu }F_{D\mu \nu }+2\stackrel{~}{\theta }^{\mu \nu }F_{D\nu \rho }F_D^{\rho \sigma }F_{D\sigma \mu }\frac{1}{2}\stackrel{~}{\theta }^{\mu \nu }F_{D\nu \mu }F_{D\rho \sigma }F_D^{\sigma \rho })$$
(22)
where $`\stackrel{~}{\theta }^{\mu \nu }=ϵ^{\mu \nu \rho \sigma }\theta _{\rho \sigma }`$. At the first order in $`\stackrel{~}{\theta }`$ it can be derived from the action

$$\stackrel{~}{S}=\frac{g^2}{4}d^4x\widehat{F}_{D\mu \nu }\stackrel{~}{}\widehat{F}_D^{\mu \nu },$$
(23)
where $`\stackrel{~}{}`$ is given by (14) by replacing $`\theta `$ with $`\stackrel{~}{\theta }.`$ For $`\theta ^{0i}=0`$ and $`\theta ^{ij}0`$ the dual theory is a gauge theory whose time variable is noncommuting in terms of the Moyal bracket (15) with $`\stackrel{~}{},`$ because $`\stackrel{~}{\theta }^{oi}0,\stackrel{~}{\theta }^{ij}=0.`$ For a noncommuting time canonical formalism is obscure. Thus we would like to bypass the dual action (22) to obtain a phase space formulation of the dual theory using the method illustrated in Section 2.

Let $`\theta ^{ij}0`$ and $`\theta ^{i0}=0`$ in the action (21). Definition of canonical momenta

$$P_{\mu \nu }=\frac{\delta S}{\delta (_0F^{\mu \nu })}$$
(24)
$$P_{D\mu }=\frac{\delta S}{\delta (_0A_{D}^{}{}_{}{}^{\mu })}$$
(25)
leads to the primary constraints

$$P_{\mu \nu }0,$$
(26)
$$P_{D0}0,$$
(27)
$$P_{Di}+\frac{1}{2}ϵ_{ijk}F_{jk}0$$
(28)
and the canonical Hamiltonian

$`H_c`$ $`=`$ $`{\displaystyle }d^3x[{\displaystyle \frac{1}{2}}ϵ_{ijk}^iA_{D}^{}{}_{}{}^{0}F^{jk}+ϵ_{ijk}^iA_{D}^{}{}_{}{}^{j}F^{0k}+{\displaystyle \frac{1}{2g^2}}F_{0i}F^{0i}`$ (29)
$`+{\displaystyle \frac{1}{4g^2}}F_{ij}F^{ij}+{\displaystyle \frac{1}{g^2}}F^{0i}F_{ij}\theta ^{jk}F_{k0}+{\displaystyle \frac{1}{2g^2}}F^{ij}F_{jk}\theta ^{kl}F_{li}`$
$`{\displaystyle \frac{1}{4g^2}}\theta ^{ij}F_{ji}F_{0l}F^{l0}{\displaystyle \frac{1}{8g^2}}\theta ^{ij}F_{ji}F_{kl}F^{lk}].`$
Preserving the primary constraints (26)–(28) in time leads to secondary constraints

$$ϵ_{ijk}^iF^{jk}0$$
(30)
and

$`\mathrm{\Psi }_i`$ $``$ $`F^{0i}F_{ij}\theta ^{jk}F_{k0}F^{0j}F_{jk}\theta ^{ki}`$ (31)
$`{\displaystyle \frac{1}{2}}\theta ^{jk}F_{kj}F_{0i}g^2ϵ_{ijk}^jA_{D}^{}{}_{}{}^{k}0,`$
which do not yield new constraints. One can check that (27) is first class and the other constraints (26), (28), (30), (31) are second class. In the reduced phase space where second class constraints strongly vanish, the canonical Hamiltonian (29) becomes

$`H_{nD}`$ $`=`$ $`{\displaystyle }d^3x[{\displaystyle \frac{g^2}{4}}F_{Dij}^2+{\displaystyle \frac{1}{2g^2}}P_{Di}^2{\displaystyle \frac{1}{2g^2}}ϵ_{ijk}\theta ^{ij}P_D^kP_{Dl}^2`$ (32)
$`{\displaystyle \frac{g^2}{4}}ϵ_{ijk}\theta ^{ij}P_D^kF_{Dlm}^2g^2F_{Dij}P_D^j\theta ^{ik}ϵ_{klm}F_D^{lm}],`$
if we solve $`F,P`$ in terms of $`F_D`$ and $`P_D`$. Moreover, there are still the constraints

$$_iP_{Di}=0,P_{D0}=0,$$
(33)
which are first class. This Hamiltonian can be written in terms of $`\stackrel{~}{\theta }^{0i}=ϵ^{ijk}\theta _{jk}`$ as

$`H_{nD}`$ $`=`$ $`{\displaystyle }d^3x[{\displaystyle \frac{g^2}{4}}F_{Dij}^2+{\displaystyle \frac{1}{2g^2}}P_{Di}^2{\displaystyle \frac{1}{2g^2}}\stackrel{~}{\theta }_{0i}P_D^iP_{Dj}^2`$ (34)
$`{\displaystyle \frac{g^2}{4}}\stackrel{~}{\theta }_{0i}P_D^iF_{Djk}^2+g^2\stackrel{~}{\theta }^{0i}F_{Dji}F_{Djk}P_D^k]`$
On the other hand, although the dual action (23) possesses a noncommuting time variable in terms of the Moyal bracket (15) given by $`\stackrel{~}{},`$ it is originated from the action (20) whose time coordinate is commuting. We wonder what would be the phase space structure if we treat time coordinate as commuting in the action (22) written in components as

$`S_d`$ $`=`$ $`g^2{\displaystyle }d^4x[{\displaystyle \frac{1}{2}}F_{0i}F_{0i}{\displaystyle \frac{1}{4}}F_{ij}F_{ij}{\displaystyle \frac{1}{2}}\stackrel{~}{\theta }^{0i}F_{i0}F_{0j}F_{0j}\stackrel{~}{\theta }^{0i}F_{ij}F_{jk}F_{k0}`$ (35)
$`+{\displaystyle \frac{1}{4}}\stackrel{~}{\theta }^{0i}F_{i0}F_{jk}F_{kj}].`$
Definition of the spatial components of momentum

$`P_{Di}={\displaystyle \frac{\delta \stackrel{~}{S}}{\delta (_0A_{Di})}}`$ $`=`$ $`g^2[F_{D0i}{\displaystyle \frac{1}{2}}\stackrel{~}{\theta }^{0i}F_{D0j}F_{D0j}\stackrel{~}{\theta }^{0j}F_{Dj0}F_{D0i}+\stackrel{~}{\theta }^{0k}F_{Dkj}F_{Dji}`$ (36)
$`+{\displaystyle \frac{1}{4}}\stackrel{~}{\theta }^{0i}F_{Djk}F_{Dkj}]`$
can be solved to find $`_0A_{Di}`$. They lead to the same Hamiltonian (34) which was obtained using the action (21). Moreover, there are the same constraints (33).

We conclude that at the first order in $`\stackrel{~}{\theta }`$ whatever the method used we obtain the same Hamiltonian (34) and the constraints (33). However, the method of obtaining Hamiltonian from the shifted action (21) seems easier: When the higher orders in $`\stackrel{~}{\theta }`$ are considered the unique change will be in the constraint (31), the other constraints (26)–(28), (30) will remain intact. Thus, finding Hamiltonian of the dual theory is reduced to find solution of a constraint.

## 4 BPS States of Non-commutative D3-brane

In the zero slope limit, $`\alpha ^{}0,`$ and considering slowly varying fields, noncommutative DBI action can be approximated as noncommutative gauge theory (34), up to constant terms. Noncommutative D3–brane worldvolume action can be extracted from 10 dimensional noncommutative gauge theory in the static gauge. The first three spatial coordinates are taken equal to brane worldvolume coordinates and the rest of the coordinates are regarded as scalar fields on the brane. We consider only one scalar field. D3–brane worldvolume Hamiltonian density resulting from (34) when $`\stackrel{~}{\theta }^{0i}0,\stackrel{~}{\theta }^{ij}=0,`$ is

$`H`$ $`=`$ $`{\displaystyle \frac{1}{2}}P_{i}^{}{}_{}{}^{2}+{\displaystyle \frac{1}{4}}F_{ij}^2{\displaystyle \frac{1}{2}}\stackrel{~}{\theta }^{0i}P_iP_j^2{\displaystyle \frac{1}{4}}\stackrel{~}{\theta }^{0i}P_iF_{jk}^2+\stackrel{~}{\theta }^{0i}F_{ij}F_{jk}P^k`$ (37)
$`+{\displaystyle \frac{1}{2}}\pi ^2+{\displaystyle \frac{1}{2}}(_i\varphi )^2{\displaystyle \frac{1}{2}}\stackrel{~}{\theta }^{0i}P_i\pi ^2+\stackrel{~}{\theta }^{0i}\pi F_{ij}_j\varphi `$
$`\stackrel{~}{\theta }^{0i}P_j_i\varphi _j\varphi +{\displaystyle \frac{1}{2}}\stackrel{~}{\theta }^{0i}P_i(_j\varphi )^2.`$
The scalar field and the corresponding canonical momentum denoted as $`\varphi `$ and $`\pi .`$ Moreover, we renamed the dual variables $`F_D,P_D`$ as $`F,P.`$ We choose $`\pi =0`$ to deal with the static case.

To discuss bounds on the value of the Hamiltonian we would like to write (37) as

$$H=\frac{1}{2}\widehat{P}_i^2+\frac{1}{2}\widehat{B}_i^2+\frac{1}{2}(\widehat{_i\varphi })^2,$$
(38)
with the restrictions

$$\widehat{P}_i|_{P=0}=0,\widehat{B}_i|_{F=0}=0,\widehat{_i\varphi }|_{\varphi =0}=0.$$

These are fulfilled by

$$\widehat{P}_i=P_ia_1\stackrel{~}{\theta }^{oi}P_j^2a_2\stackrel{~}{\theta }^{oj}P_jP_i,$$
(39)
$$\widehat{B}_i=\frac{1}{2}ϵ_{ijk}(F_{jk}\frac{1}{2}\stackrel{~}{\theta }^{0l}P_lF_{jk}+b_1\stackrel{~}{\theta }^{0l}P_kF_{jl}+b_2\stackrel{~}{\theta }^{0k}P_lF_{jl}),$$
(40)
$$\widehat{_i\varphi }=_i\varphi +\frac{1}{2}\stackrel{~}{\theta }^{0j}P_j_i\varphi c_1\stackrel{~}{\theta }^{0i}_j\varphi P_jc_2\stackrel{~}{\theta }^{0j}_j\varphi P_i,$$
(41)
where $`a_{1,2}b_{1,2}c_{1,2}`$ are constants which should satisfy

$$a_1+a_2=\frac{1}{2},b_1+b_2=2,c_1+c_2=1,$$
(42)
otherwise arbitrary. These do not correspond to the Seiberg–Witten map (19). There the fields of commutative and noncommutative gauge theories are mapped into each other by changing the gauge group from the ordinary $`U(1)`$ to noncommutative one such that (18) is satisfied. In our case gauge group is always $`U(1).`$ Although we write the Hamiltonian (38) in terms of $`\stackrel{~}{\theta }^{0i}`$ dependent (noncommutative) fields still there is the constraint

$$_iP_i=0,$$
(43)
indicating $`U(1)`$ gauge group. Seiberg–Witten map in phase space is studied in .

Now, in terms of an arbitrary angle $`\alpha `$ the Hamiltonian density (37) can be put into the form

$`H`$ $`=`$ $`{\displaystyle \frac{1}{2}}(\widehat{P}_i\mathrm{sin}\alpha \widehat{_i\varphi })^2+{\displaystyle \frac{1}{2}}(\widehat{B}_i\mathrm{cos}\alpha \widehat{_i\varphi })^2`$ (44)
$`+\mathrm{sin}\alpha \widehat{P}_i\widehat{_i\varphi }+\mathrm{cos}\alpha \widehat{B}_i\widehat{_i\varphi }.`$
Thus, we can write a bound on the total energy $`E`$ relative to the worldvolume vacuum of noncomutative D3–brane as

$$E\sqrt{\stackrel{~}{Z}_{el}^{}{}_{}{}^{2}+\stackrel{~}{Z}_{mag}^{}{}_{}{}^{2}},$$
(45)
where, we introduced

$`\stackrel{~}{Z}_{el}={\displaystyle _{D3}}d^3x\widehat{P}_i\widehat{_i\varphi },`$ (46)
$`\stackrel{~}{Z}_{mag}={\displaystyle _{D3}}d^3x\widehat{B}_i\widehat{_i\varphi }.`$ (47)
In the commutative case $`\stackrel{~}{Z}_{el}`$ and $`\stackrel{~}{Z}_{mag}`$ become topological charges due to the Gauss law and the Bianchi identity: $`_iP_i=0,_iB_i=0.`$ In the commuting case (45) is known as BPS bound,. However, in our case we do not have integrability conditions for $`\widehat{P}_i,\widehat{B}_i.`$ Nevertheless, it will be shown that $`\stackrel{~}{Z}_{el},\stackrel{~}{Z}_{mag}`$ can be topological charges for some specific configurations:

The bound (45) is saturated for

$$\widehat{P}_i=\widehat{_i\varphi },\widehat{B}_i=0,\mathrm{sin}\alpha =1.$$
(48)
This can be accomplished at the first order in $`\stackrel{~}{\theta }^{0i}`$, when

$$F_{ij}=0,P_i=_i\varphi ,$$
(49)
if we fix the parameters as

$$a_1=c_1,a_2=c_2\frac{1}{2},$$
(50)
which are consistent with (42). Because of the constraint (43), $`\varphi `$ should satisfy

$$_i^2\varphi =0.$$
(51)
For this configuration $`\stackrel{~}{Z}_{mag}`$ vanishes: $`\stackrel{~}{Z}_{mag}^{(1)}=0,`$ and $`\stackrel{~}{Z}_{el}`$ reads

$$\stackrel{~}{Z}_{el}^{(1)}=_{D3}d^3x_i(\varphi _i\varphi )_{D3}d^3x\stackrel{~}{\theta }^{0i}_i\varphi (\varphi )^2.$$
(52)
For the commutative case isolated singularities of $`\varphi `$ satisfying these conditions are called BIon. The simplest choice satisfying (51) is

$$\varphi (r)=\frac{e}{4\pi r},$$
(53)
where $`r`$ is the radial variable. In general we cannot write $`\stackrel{~}{\theta }^{0i}`$ dependent part as a surface integral. However, this choice of harmonic function (53) renders it possible. Indeed, we can write $`\stackrel{~}{Z}_{el}^{(1)}`$ as an integral over a sphere of radius $`ϵ`$ about the origin and find

$$\stackrel{~}{Z}_{el}^{(1)}=(e\frac{\stackrel{~}{\theta }e^2}{20\pi ϵ^4})\underset{ϵ0}{lim}\varphi (ϵ),$$
(54)
where $`\stackrel{~}{\theta }\sqrt{\stackrel{~}{\theta }^{0i}\stackrel{~}{\theta }^{0i}}.`$

Observe that the usual BIon solution (53) leads to a solution for the noncommutative case (48). This is similar to the fact that linearized and full DBI actions lead to the same BIon solution with the same energy. Here solutions are the same but energies differ.

When one sets $`P_i=0`$ the terms depending on the noncommutativity parameter $`\stackrel{~}{\theta }^{0i}`$ disappear. This is what we expected: Noncommutativity is only between time and space coordinates, not between spatial coordinates. Thus, when momenta vanish noncommutativity should cease to exist. For $`P_i=0,`$ the bound (45) is saturated for

$$\frac{1}{2}ϵ_{ijk}F_{jk}=_i\varphi ,\mathrm{cos}\alpha =1$$
(55)
where as before $`\varphi `$ should satisfy (51). For this commuting configuration $`\stackrel{~}{Z}_{el}`$ and $`\stackrel{~}{Z}_{mag}`$ are given as $`\stackrel{~}{Z}_{el}^{(2)}=0,`$ and

$$\stackrel{~}{Z}_{mag}^{(2)}=_{D3}d^3x_i(\varphi _i\varphi ).$$
(56)
To satisfy (55) and (51) consider a magnetic charge at the origin

$$\varphi (r)=\frac{g}{4\pi r}.$$
(57)
Let the integral be over a sphere of radius $`ϵ`$ about the origin which yields

$$\stackrel{~}{Z}_{mag}^{(2)}=g\underset{ϵ0}{lim}\varphi (ϵ).$$
(58)
There is another configuration

$$\widehat{P}_i=\mathrm{sin}\alpha \widehat{_i\varphi },\widehat{B}_i=\mathrm{cos}\alpha \widehat{_i\varphi },$$
(59)
which saturates the bound (45). The constant angle $`\alpha `$ is defined as

$$\mathrm{tan}\alpha =\frac{\stackrel{~}{Z}_{el}}{\stackrel{~}{Z}_{mag}}.$$

This can be realized if the commuting variables are fixed as

$$P_i=\mathrm{sin}\alpha _i\varphi ,\frac{1}{2}ϵ_{ijk}F_{jk}=\mathrm{cos}\alpha _i\varphi $$
(60)
and the free parameters in (39)–(41) satisfy (50) and

$$c_1=b_1/2,c_2=1b_1/2.$$
(61)
These are consistent with (42). Thus, in the hatted quantities (39)–(41) now, there is only one free constant parameter. For this configuration $`\stackrel{~}{Z}_{el}`$ and $`\stackrel{~}{Z}_{mag}`$ are given by

$`\stackrel{~}{Z}_{el}^{(3)}`$ $`=`$ $`{\displaystyle _{D3}}d^3x\mathrm{sin}\alpha _i(\varphi _i\varphi ){\displaystyle _{D3}}d^3x\stackrel{~}{\theta }^{0i}\mathrm{sin}^2\alpha _i\varphi (\varphi )^2,`$ (62)
$`\stackrel{~}{Z}_{mag}^{(3)}`$ $`=`$ $`{\displaystyle _{D3}}d^3x\mathrm{cos}\alpha _i(\varphi _i\varphi ),{\displaystyle _{D3}}d^3x\stackrel{~}{\theta }^{0i}\mathrm{cos}^2\alpha _i\varphi (\varphi )^2.`$ (63)
Similar to the other configurations, $`\varphi `$ should satisfy (51) and we consider the simplest choice

$$\varphi (r)=\frac{g}{4\pi \mathrm{cos}\alpha r}.$$
(64)
For this choice of the harmonic function (64) the integrals in (62) and (63) can be performed over a sphere of radius $`ϵ`$ about the origin. Therefore, the energy can be calculated as

$$E=\left[(e\frac{\stackrel{~}{\theta }e^2}{20\pi ϵ^4})^2+(g\frac{\stackrel{~}{\theta }g^2}{20\pi ϵ^4})^2\right]^{1/2}\underset{ϵ0}{lim}\varphi (ϵ),$$
(65)
where $`e/g=\mathrm{tan}\alpha `$. Similar to the above mentioned configurations ordinary D3–brane dyon solution (64), provide a solution of the noncommutative condition (59).

## 5 Discussions

The results which we obtained are valid at the first order in the noncommutativity parameter $`\theta .`$ In principle contributions at higher orders in $`\theta `$ can be calculated. Obviously, one of the methods is to solve $`_0A_D`$ in terms of $`P_D,F_D`$ from the generalization of (36). However, it is highly non–linear. On the other hand using the shifted action as it is illustrated here seems more manageable. We are encouraged from the fact that one should only solve a constraint similar to (31). The other constraints (26)–(28),(30) remain intact.

Noncommuting D3–brane formulation which we deal with is somehow different from the one considered in , . There, gauge group is noncommutative $`U(1)`$, in our case although Hamiltonian depends on the noncommutativity parameter $`\theta ,`$ gauge group is still $`U(1).`$ This seems to be the basic reason that the BPS solutions of ordinary case provide solutions of the noncommutative case as it happens between linearized and full DBI action.

Acknowledgment

We thank I. H. Duru for his kind helps.


text:
# Two Rare Magnetic Cataclysmic Variables with Extreme Cyclotron Features Identified in the Sloan Digital Sky SurveyBased in part on observations obtained with the Sloan Digital Sky Survey and with the Apache Point Observatory (APO) 3.5m telescope, which are owned and operated by the Astrophysical Research Consortium (ARC). A portion of the observations reported here were obtained at the MMT Observatory, a joint facility of the University of Arizona and the Smithsonian Institution.

## 1 Introduction

The commissioning year of the Sloan Digital Sky Survey (SDSS; York et al. 2000, Stoughton et al. 2002) showed that this survey is highly effective in finding new cataclysmic variables (Szkody et al. 2002). While previous surveys had primarily identified the brightest systems with the highest mass transfer rates, the SDSS photometry in 5 filters to well beyond 20th magnitude (Gunn et al. 1998, Fukugita et al. 1996, Hogg et al. 2001, Pier et al. 2002, Smith et al. 2002) is able to find the population of low mass transfer rate, very short orbital period systems that are predicted to exist in close binary evolution models (Howell, Rappaport & Politano 1997). Included in this latter group are some systems which contain highly magnetic white dwarfs with field strengths 6-240 MG which are termed AM Her systems, or polars (see Warner 1995 for a review of all types of cataclysmic variables).

In the polars, the high field prevents the formation of an accretion disk by directing the ballistic flow of material transferred from the late type secondary onto one or both magnetic poles of the white dwarf. Different regimes of accretion rate and magnetic field strength are predicted to result in quantitatively different accretion scenarios (Wickramasinghe & Ferrario 2000; WF2000). At the highest specific accretion rates (100 g cm-2 s-1), high density blobs carry the mass and energy below the surface of the white dwarf. At mid accretion rates (1 g cm-2 s-1), a standoff shock is formed above the surface and the gas cools primarily by 10-30 keV thermal bremsstrahlung emission. As the accretion lowers by another factor of 100, the cooling becomes dominated by cyclotron emission, until at the lowest rates, a shock does not form at all and the energy of the incoming ions is transmitted directly to the atmosphere of the white dwarf in what is termed a “bombardment solution” (Kuipers & Pringle 1982; Fischer & Beuermann 2001). The magnetic field also affects the results in that higher fields tend to produce weaker shocks and possibly more direct heating by blobs beneath the surface (Ramsay et al. 1994). Complicating this picture further is the fact that the accretion rate of polars can sporadically change. Typically, sytems in high mass-transfer states exhibit strong HeII $`\lambda `$4686 and Balmer emission lines which dominate the optical spectrum, and strong X-ray and cyclotron emission. At low states of reduced or absent mass transfer, the line emission disappears (except for some narrow Balmer emission from the irradiated secondary star), the X-ray and cyclotron emission is much reduced or absent, and the photospheres of the white dwarf and late secondary are visible.

During low states, the magnetic field may be identified through Zeeman splitting in the photospheric spectrum, but for most systems, the field is determined in high states of accretion from the presence of cyclotron harmonics in the optical and near-IR. Cyclotron opacity is a rapidly decreasing function of harmonic number, and the high harmonics are strongly angle-dependent, polarized, and broadened with increasing electron temperature (e.g. Chanmugam 1980; Meggitt & Wickramasinghe 1982). For T$`<<`$10 keV, the wavelength of the harmonic number n is simply related to the magnetic field $`B`$: $`\lambda _n=(10,700)/n)(10^8/B)`$ Å.

Within the above theoretical and empirical framework, observation of the soft and hard X-ray fluxes, and of the optical spectral and cyclotron features, can elucidate the magnetic field and accretion regime of identified polars. More than 80% of the $``$ 65 known polars were discovered in the ROSAT All Sky Survey (RASS; Voges et al. 1999), with typical count rates for 15-19th optical magnitudes in the range of 0.2-2.5 c/s (Beuermann & Burwitz 1995). The selection criteria of high X-ray count rate and strong optical emission lines resulted in the discovery of polars in the middle to high specific accretion rate regimes. Recently, the deep objective prism plates of the Hamburg Quasar survey provided the identification of 2 polars with extremely low accretion rates (WX LMi = HS 1023+3900; Reimers, Hagen & Hopp 1999, and HS 0922+1333; Reimers & Hagen 2000) and the followup of faint ROSAT sources yielded two more (RX J012851.9-233931; Schwope, Schwarz & Greiner 1999, and RX J1007.5-2016; Reinsch et al. 1999). In this paper, we describe 2 new SDSS polars which are among the most extreme cases of the intriguing cyclotron-dominated systems at the lowest accretion rates. As only a small fraction of the eventual SDSS data have been examined, the survey should discover a modest-sized sample of these previously exotic stars.

## 2 Observations

The objects SDSSJ155331.12+551614.5 and SDSSJ132411.57+032050.5 (hereafter abbreviated as SDSS1553 and SDSS1324) were automatically selected for SDSS spectroscopy since their unusual SDSS colors ($`r`$=17.43, $`ug`$=1.52, $`gr`$=1.06, $`ri`$=0.40, $`iz`$=1.00 for SDSS1553 and $`r`$=20.44, $`gr`$=1.65, $`ri`$=0.21, $`iz`$=0.83, $`ug`$1.1 for SDSS1324 with no reddening correction) fell far from the stellar locus and within the selection criteria for quasars (Richards et al. 2002). The SDSS spectra with $``$3Å resolution (Figure 1), show strong broad cyclotron features at 4600Å and 6200Å in SDSS1553 and at 5700Å in SDSS1324 together with the TiO band features of late-type main-sequence stars. Periodic photometric variability at different wavelengths (Figure 2) was used to determine the orbital periods. Observations were obtained with the United States Naval Observatory (USNO) 1m telescope using BVRI filters calibrated with Landolt standards, with the University of Washington Manastash Ridge Observatory (MRO) 0.76m telescope with a 1024$`\times `$1024 pixel Ford Aerospace CCD, using a filter similar to the Sloan $`r`$ ($`\lambda _c6230`$Å) and a Harris V filter, and with the Apache Point Observatory (APO) 3.5m using the 2048$`\times `$2048 pixel SITe CCD system SPIcam with the Sloan $`r`$ filter. Follow-up spectroscopic observations were conducted on SDSS1553, using the Double Imaging Spectrograph (DIS) on the APO 3.5m telescope at low resolution ($``$12Å) with a 1.5$`\mathrm{}`$ slit, providing flux-calibrated data from 3800-10000Å. These observations showed that the cyclotron features are highly variable throughout the orbital period (Figure 3). Finally, to confirm the suspected magnetic nature of the objects, circular polarization observations were obtained with the CCD Spectropolarimeter SPOL on the 6.5m MMT and on the Steward Observatory 2.3m telescope (Figures 4 and 5). SPOL was used with a low-resolution grating and a 1.1$`\mathrm{}`$ slit, providing spectral coverage of $``$4200$``$8400Å at a resolution of $``$15Å. Observations for both objects are summarized in Table 1.

## 3 SDSS1553

The nights of MRO and USNO photometry (Figure 2) reveal periodic, highly modulated light curves. The spectrum (Figure 1) indicates that the $`r`$, $`R`$ and $`V`$ filter passbands are dominated by the strong 6200Å harmonic, while the $`B`$ filter contains the 4600Å harmonic. The $`I`$ band shows only a 0.15 mag modulation, which may be due to a harmonic near 9200Å (see below). The best period determined from combining the 5 nights of $`r`$ data is 0.18297$`\pm `$0.00004d (4.39 hr) and Figure 2 shows the data phased on this period (with arbitrary zero phase using the first photometric data point at JD2452164.73522). The sinusoidal shape of the light curve implies we are seeing the geometrical change associated with the changing viewing angle of a magnetic pole. While the overall sinusoidal shape of the $`V`$, $`R`$ and $`r`$ light curves suggests that the pole is not self-eclipsed by the white dwarf i.e. $`i`$ (angle of rotation axis to the line of sight) + $`\beta `$ (angle between rotation axis and the magnetic pole) $`<`$90, the dip in the $`B`$ light curve at phase 0.2 might indicate cyclotron beaming so there could be a grazing eclipse of part of the accretion spot at phase 0.7.

With this period, we were able to phase the spectroscopic data into an orbital sequence (Figure 3) which shows the changing amplitude of the cyclotron features. The spacing, the large amplitudes, and the narrow and asymmetric profiles of these features are all indicative of cyclotron emission at low electron temperatures (WF2000). The hump locations are consistent with cyclotron harmonics n=3 (6200Å) and n=4 (4600Å) in a magnetic field near 58 MG. The narrow widths imply T$`{}_{e}{}^{}<`$5 keV. The circular polarization spectrum (Figure 4) confirms this conclusion by showing that the features are highly polarized and the large difference in polarization between the 6200Å and 4600Å features shows that the emission changes from marginally optically thick at n=3 to thin at n=4.

It is clear that SDSS1553 has accretion characteristics that are unlike the majority of polars (WD2000). We derived an upper limit of 0.04 c/s from the RASS, and this lack of strong X-rays supports a low accretion rate, while the lack of strong Balmer emission lines indicates a greatly reduced ionizing UV flux (Liebert et al. 1978). The weak and narrow Balmer emission may originate from the irradiated secondary, as is common in polars with low mass transfer (Schmidt et al. 1981), but time-resolved spectropolarimetry at higher spectral resolution is needed to determine the exact viewing and magnetic geometry. While the cyclotron features of most polars show maximum strength when viewed perpendicular to the field lines and maximum circular polarization when viewed along the field lines, the angle dependence of the two is expected to be more similar at low optical depth and lower harmonic number (WF2000). This is borne out, in part, in the low $`\dot{M}`$ system RX J1007.5-2016 (Reinsch et al. (1999) where the cyclotron features are at highest intensity when viewed along the field lines.

While many polars show temporary low accretion states, the cyclotron humps present during those low states still indicate high temperature and optical depth (e.g. VV Pup; Visvanathan & Wickramasinghe 1979). SDSS1553 appears to belong to a rare group of polars with extremely low accretion rates ($``$10-13M yr-1), plasma temperatures ($`<`$5 keV), and specific accretion rates (10-3 g cm-2 s-1) as described by Schwope et al. (1999). These conditions place these polars within the bombardment solution of heating by particle collisions rather than shocks. SDSS1553 and HS 0922+1333 (Reimers & Hagen 2000) appear to be the most extreme members of this group, based on their lack of X-rays and similarity of cyclotron features, while the others (WX LMi, RX J012851.9-233931, RX J1007.5-2016) have some X-ray emission and/or weaker and broader cyclotron harmonics.

Using SDSS template stars of late spectral class (Hawley et al. 2002), the TiO band strengths were used to identify an M5V star (to within one spectral class) in SDSS1553. Using the mean $`iJ`$ color of +2.73 for M5 stars in the Early Data Release together with an absolute $`J`$ magnitude of +9.38 and a measured Sloan $`i`$ of +17.2, we infer a distance modulus for SDSS1553 in Sloan $`i`$ of +5.1, or a distance of 100 pc. However, it should be noted that several studies (Friend et al. 1990, Beuermann et al. 1998, Harrison et al. 2000) have found that the secondary stars in cataclysmic variables may not be like ZAMS stars.

Subtracting the M5V secondary from the APO spectra reveals the expected n=2 cyclotron harmonic near $``$9200Å. With the secondary as well as the large cyclotron features removed, the remaining flux was matched to the flux of DA white dwarfs at various temperatures (Hubeny & Lanz 1995), with radius of 8$`\times 10^8`$ cm and distance of 100 pc. This gave an upper limit of 10,000K to the temperature of the underlying white dwarf, assuming no continuum contribution from the cyclotron emission. Polars with periods $`>`$ 3 hrs generally have white dwarfs with temperatures $``$20,000K (Sion 1999). Thus, it appears that SDSS1553 contains a very cool white dwarf or, alternatively, its radius could be unusually small ($`M0.6M_{}`$). It is interesting that HS 0922+1333, with a period of 4.1 hrs, also appears to contain a cool white dwarf (Reimers & Hagen 2000).

## 4 SDSS1324

Although SDSS1324 is a much fainter object, with greater noise in the spectrum and spectropolarimetry, it appears to present the most extreme example of a low accretion-rate system of all known so far. The spectrum (Figure 1) is dominated by a large amplitude, narrow cyclotron feature near 5700Å and a second possible feature at 4250Å. These could be the 3rd and 4th harmonics in a field near 63 MG. The spectropolarimetry (Figure 5) shows the 5700Å feature is highly circularly polarized. As in SDSS1553, the $`r`$ light curve of SDSS1324 (Figure 6) shows a sinusoidal modulation of high amplitude (1.3 mag amplitude) on roughly a 2.6 hr timescale, likely indicating a large modulation of the cyclotron feature throughout the orbit. Once again, the underlying contribution from the white dwarf must be very small. We derive an upper limit of 0.02 c/s from the RASS, even lower than SDSS1553.

## 5 Conclusions

Our photometry, spectroscopy and polarimetry of the SDSS source SDSS1553 have revealed a polar system with an orbital period of 4.39 hr. The spectrum is dominated by extreme amplitude, highly polarized cyclotron harmonics near 6200Å and 4600Å, indicating a white dwarf magnetic field strength of 58 MG, and TiO features from an M5V secondary star, indicating a distance of 100 pc. Similar cyclotron features and photometric variability in SDSS1324 indicate a polar with an orbital period near 2.6 hr. The narrowness and extreme amplitude of the cyclotron features imply that these systems are in the regime of low plasma temperature and very low specific accretion rate (the bombardment solution) where the accreting area is heated by particle collisions and the accretion luminosity appears as cyclotron radiation. The low count rates in the RASS ($`<`$0.04 c/s) support this view. With its ability to probe a wide variety of stellar systems, the SDSS is contributing to a less biased view of the conditions in polars, especially at low mass transfer rates.

Funding for the creation and distribution of the SDSS Archive has been provided by the Alfred P. Sloan Foundation, the Participating Institutions, the National Aeronautics and Space Administration, the National Science Foundation, the U.S. Department of Energy, the Japanese Monbukagakusho, and the Max Planck Society. The SDSS Web site is http://www.sdss.org/. Studies of magnetic stars and stellar systems at Steward Observatory is supported by the NSF through AST 97-30792. The SDSS is managed by the Astrophysical Research Consortium (ARC) for the Participating Institutions. The Participating Institutions are The University of Chicago, Fermilab, the Institute for Advanced Study, the Japan Participation Group, The Johns Hopkins University, Los Alamos National Laboratory, the Max-Planck-Institute for Astronomy (MPIA), the Max-Planck-Institute for Astrophysics (MPA), New Mexico State University, Princeton University, the United States Naval Observatory, and the University of Washington.


text:
# References

Dynamic asset trees and portfolio analysis

J.-P. Onnela1, A. Chakraborti1, K. Kaski1 and J. Kertész1,2

1Laboratory of Computational Engineering, Helsinki University of Technology,

P.O. Box 9203, FIN-02015 HUT, Finland

2*Department of Theoretical Physics, Budapest University of Technology and Economics,*

*Budafoki út 8, H-1111, Budapest, Hungary*

Abstract

The minimum spanning tree, based on the concept of ultrametricity, is constructed from the correlation matrix of stock returns and provides a meaningful economic taxonomy of the stock market. In order to study the dynamics of this asset tree we characterize it by its normalized length and by the mean occupation layer, as measured from an appropriately chosen center. We show how the tree evolves over time, and how it shrinks particularly strongly during a stock market crisis. We then demonstrate that the assets of the optimal Markowitz portfolio lie practically at all times on the outskirts of the tree. We also show that the normalized tree length and the investment diversification potential are very strongly correlated.

Keywords: portfolio optimization, time dependency of stock correlations, minimum spanning tree.

PACS: 89.65.-s, 89.75.-k, 89.90.+n

Portfolio optimization is one of the basic tools of hedging in a risky and extremely complex financial environment. Many attempts have been made to solve this central problem starting from the classical approach of Markowitz  to more sophisticated treatments including spin glass type studies . In all of these attempts, correlations between asset prices play a crucial role. A closely related problem is that of economic taxonomy. In his recent paper , Mantegna suggested the study the clustering of companies by using the correlation matrix of asset returns such that a simple transformation of the correlations into distances produces a connected graph. In the graph the nodes are the companies and the ‘distances’ between them are obtained from the correlation coefficients and the clusters of companies are identified by means of the minimum spanning tree. It turned out that in this way the hierarchical structure of the financial market could be identified in accordance with the results obtained by an independent clustering method based on Potts super-paramagnetic transitions . In another paper by Bonanno et al. , the time evolution of stock indices was studied and significant changes in the world economy were identified by using appropriate time horizons and the minimum spanning tree clustering method. The hierarchical structure explored by the minimum spanning tree also seemed to give information about the influential power of the companies. The network of influence was recently investigated by means of a time-dependent correlation method . Some other attempts have been made to understand the structure of correlation matrices in a highly random setting using the theory of random matrices .

In this paper, we study the minimum spanning tree determined from correlations between stock returns and call it an ‘asset tree’. Although this asset tree can reveal a great deal about the taxonomy of the market at a given time, it only represents a snapshot of an evolving complex system. This evolution is a reflection of the changing power structure in the market and manifests the passing of different products and product generations, new technologies, management teams, alliances and partnerships, amongst many other things. This is why exploring the asset tree *dynamics* can provide us new insights to the market. Here, by studying the time evolution of the asset tree we show that although the structure of the tree changes with time, the companies of the optimal Markowitz portfolio are always on its outer leaves. We also study the robustness of the tree topology and the consequences of the market events on its structure. The minimum spanning tree, as a strongly pruned representative of asset correlations is found to be robust and descriptive of stock market events.

We start our analysis by assuming that there are $`N`$ assets with price $`P_i(t)`$ for asset $`i`$ at time $`t`$. Then the logarithmic return of stock $`i`$ is $`r_i(t)=\mathrm{ln}P_i(t)\mathrm{ln}P_i(t1)`$, which for a certain consecutive sequence of trading days forms the return vector $`𝒓_i`$. In order to characterize the synchronous time evolution of stocks, we use the equal time correlation coefficients between stocks $`i`$ and $`j`$ defined as

$$\rho _{ij}=\frac{𝒓_i𝒓_j𝒓_i𝒓_j}{\sqrt{[𝒓_i^2𝒓_i^2][𝒓_j^2𝒓_j^2]}},$$
(1)
where $`\mathrm{}`$ indicates a time average over the trading days included in the return vectors. These correlation coefficients forming an $`N\times N`$ matrix with $`1\rho _{ij}1`$, is then transformed to an $`N\times N`$ distance matrix with elements $`d_{ij}=\sqrt{2(1\rho _{ij})}`$, such that $`2d_{ij}0`$, respectively. The $`d_{ij}`$s fulfill the requirements of distances, even those of ultrametricity . We now use the distance matrix to determine the minimum spanning tree (MST) of the distances, denoted by $`𝐓`$, which is a simply connected graph that connects all the $`N`$ nodes of the graph with $`N1`$ edges such that the sum of all edge weights, $`_{(i,j)𝐓}d_{ij}`$, is minimum. It should be noted that in constructing the minimum spanning tree, we are effectively reducing the information space from $`N(N1)/2`$ separate correlation coefficients to $`N1`$ tree edges.

The dataset we have used in this study consists of daily closure prices for 116 stocks of the S&P 500 index , which were obtained from the Yahoo website . The time period of this data extends from the beginning of 1982 to the end of 2000 including a total of 4787 price quotes per stock, after the removal of a few days due to incomplete data. We divide this data into $`M`$ *windows* $`t=1,\mathrm{\hspace{0.17em}2},\mathrm{},M`$ of width $`T`$ corresponding to the number of daily returns included in the window. Different windows overlap with each other, the extent of which is dictated by the window step length parameter $`\delta T`$, describing the displacement between two consecutive windows, measured also by the number of trading days. The choice of the window width is a trade-off between too noisy and too smoothed data for small and large window widths, respectively. In our studies, $`T`$ was set to be typically between 500 and 1500 trading days, i.e., 2 and 6 years, and $`\delta T`$ to one month including about 21 trading days. This is in accordance with the suggestions of the Basel committee .

In order to study the temporal state of the market we define the *normalized tree length* as

$$L(t)=\frac{1}{N1}\underset{d_{ij}𝐓^t}{}d_{ij},$$
(2)
where $`t`$ denotes the time at which the tree is constructed, and $`N1`$ is the number of edges present in the MST. To characterize the position of companies in the graph, i.e., the layers on which the different nodes are located at a given time, we introduce the concept of a *central node*. Although there is arbitrariness in the choice of the central node, we propose that it is central in the sense that any change in its price strongly affects the course of events in the market on the whole. Thus the central node would be the company which is most strongly connected to its nearest neighbors in the tree. With this choice the sum of the correlation coefficients calculated for the incident edges would be maximum, and/or have the highest *vertex degree* (the number of edges which are incident with the vertex). It is also noted that one can have either a static (fixed at all times) or a dynamic (continuously updated) central node, without considerable effects on the results. In our studies, General Electric (GE) was chosen as the central node, since for about 70% of the period considered it was the most connected node. A typical asset tree is shown in Figure 1, where it is evident that companies become clustered by business sectors.

Figures 2 (a) and (b) show how the normalized tree length $`L`$ and the mean correlation coefficient, defined as $`\overline{\rho }=\frac{1}{N(N1)/2}\rho _{ij}`$, where we consider only the non-diagonal and independent $`\rho _{ij}`$, evolve with time. The two curves, indeed, look like mirror images, which is corroborated by the fact that the correlation coefficient is $`0.96`$, indicating that the minimum spanning tree is a strongly reduced representative of the whole correlation matrix and bears the essential information about asset correlations. As further evidence that the MST retains the salient features of the stock market, it is noted that the 1987 market crash can be quite accurately seen in Figure 2. The two sides of the ridge actually converge as a result of extrapolating the window width $`T0`$ . In Figure 2 (a), the mean correlation of stocks is very high during the crash. This is because the market forces act strongly on all the stocks and force the market to behave in a unified way. Figure 2 (b) also strengthens this fact: $`L(t)`$ decreases indicating that the nodes on the graph are drawn closer together. In order to characterize the spread of nodes on the graph, we introduce the quantity of *mean occupation layer* as

$$l(t)=\frac{1}{N}\underset{i=1}{\overset{N}{}}lev(v_i^t),$$
(3)
where $`lev(v_i)`$ denotes the level of vertex $`v_i`$ in relation to the central node, whose level is taken to be zero. We find that $`l(t)`$ reaches a very low value at the time of a market crisis (see Figure 3).

Next, we apply the above discussed concepts and measures to portfolio analysis. We consider a minimum risk Markowitz portfolio $`P(t)`$ with the asset weights $`w_1,w_2,\mathrm{},w_N`$. In the Markowitz portfolio optimization scheme financial assets are characterized by their average return and risk, both determined from historical price data, where risk is measured by the standard deviation of returns. The aim is to optimize the asset weights so that the overall portfolio risk is minimized for a given portfolio return . In the minimum spanning tree framework, the task is to determine how the assets are located with respect to the central node. Intuitively, we expect the weights to be distributed on the outskirts of the graph. In order to describe what happens, we define a single measure, the *weighted portfolio layer* as

$$l_P(t)=\underset{iP}{}w_ilev(v_i^t),$$
(4)
where we have the constraint $`w_i0`$ for all $`i`$, since we assume that there is no short-selling.

Figure 3 shows the behaviour of the mean layer $`l(t)`$ and the weighted minimum risk portfolio layer $`l_P(t)`$. We find that the portfolio layer is higher than the mean layer practically at all times. The difference in layers depends to a certain extent on the window width: for $`T=500`$ it is about $`0.76`$ and for $`T=1000`$ about $`0.97`$. As the stocks of the minimum risk portfolio are found on the outskirts of the graph, we expect larger graphs (higher $`L`$) to have greater *diversification potential*, i.e., the scope of the stock market to eliminate specific risk of the minimum risk portfolio. In order to look at this, we calculated the mean-variance frontiers for the ensemble of $`116`$ stocks using $`T=500`$ as the window width. In Figure 2 (c), we plot the level of portfolio risk as a function of time, and find a striking similarity between the risk curve and the curves of the mean correlation coefficient $`\overline{\rho }`$ and normalized tree length $`L`$ of Figures 2 (a) and (b). The correlation between the risk and $`\overline{\rho }`$ is $`0.82`$, while the correlation between the risk and $`L`$ is $`0.90`$. Therefore, the latter result explains the diversification potential of the market better.

Finally, in order to investigate the robustness of the minimum spanning tree topology, we define the survival ratio of tree edges (fraction of edges is found common in both graphs) at time $`t`$ as

$$\sigma _t=\frac{1}{N1}|E^tE^{t1}|.$$

In this $`E^t`$ refers to the set of edges of the graph at time $`t`$, $``$ is the intersection operator and $`|\mathrm{}|`$ gives the number of elements in the set. Under normal circumstances, the graphs at two consecutive time windows $`t`$ and $`t+1`$ (for small values of $`\delta T`$) should look very similar. Whereas some of the differences can reflect real changes in the asset taxonomy, others may simply be due to noise. We find that as $`\delta T0`$, $`\sigma _t1`$ , indicating that the graphs *are* stable in the limit, and hence our portfolio analysis is justified.

In summary, we have studied the dynamics of asset trees and applied it to portfolio analysis. We have shown that the tree evolves over time and have found that the normalized tree length decreases and remains low during a crash, thus implying the shrinking of the asset tree particularly strongly during a stock market crisis. We have also found that the mean occupation layer fluctuates as a function of time, and experiences a downfall at the time of market crisis due to topological changes in the asset tree. As for the portfolio analysis, it was found that the stocks included in the minimum risk portfolio tend to lie on the outskirts of the asset tree: on average the weighted portfolio layer is about $`1`$ level higher, or further away from the central node, than mean occupation layer for window width of four trading years. The correlation between the risk and the mean correlation was found to be quite strong, though not as strong as the correlation between the risk and the normalized tree length. Thus it can be concluded that the diversification potential of the market is very closely related to the behaviour of the normalized tree length.

Acknowledgements

J.-P. O. is grateful to European Science Foundation for the grant to visit Hungary, the Budapest University of Technology and Economics for the warm hospitality and L. Kullmann for stimulating discussions. This research was partially supported by the Academy of Finland, Research Centre for Computational Science and Engineering, project no. 44897 (Finnish Centre of Excellence Programme 2000-2005) and OTKA (T029985).

Figure Captions

Fig. 1 : A typical asset taxonomy (minimum spanning tree) graph connecting the examined 116 stocks of the S&P 500 index. The graph was produced using four-year window width and it is centered on January 1, 1998. Business sectors are indicated according to Forbes, *http://www.forbes.com*. In this graph, General Electric (GE) was used as a a central node and eight layers can be identified.

Fig. 2 : Plots of (a) the mean correlation coefficient $`\overline{\rho }`$, (b) the normalized tree length $`L`$ and (c) the risk of the minimum risk portfolio, as functions of time. The risk is determined with weight limits of zero lower bound (no short-selling) and unit upper bound (any asset may constitute the entire portfolio). For all plots the window width is $`T=500`$, i.e., two trading years.

Fig. 3 : Plots of mean occupation layer $`l`$ and weighted portfolio layer $`l_P`$ as functions of time. This plot is based on the window width $`T=1000`$, i.e., four trading years.