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# Valence-quark distributions in the pion

## I Introduction

The cross section for deep inelastic lepton-hadron scattering can be interpreted in terms of the momentum-fraction probability distributions of quarks and gluons (partons) in the hadronic target, and since the pion is a two-body bound state with only $`u`$\- and $`d`$-valence-quarks it is, in some respects, the simplest hadron and therefore represents the least complicated, nontrivial system for which these distribution functions can be calculated. In a theorist’s ideal world, stable pion targets would then facilitate a comparison between these calculations and the parton distribution functions measured in deep inelastic scattering. However, pion targets are not abundant, and therefore these functions have primarily been inferred from Drell-Yan and direct photon production in pion-nucleon and pion-nucleus collisions: an approach that can only be successful if the nucleon’s parton distributions are well known. More recently, semi-inclusive e p $``$ e$`NX`$ reactions, $`N=p,n`$, have also been employed, a method which assumes that small-virtuality pions dominate leading nucleon production. These experiments are challenging but high-statistics data exist.

The theoretical situation is arguably poorer: the systematic tool provided by perturbative QCD does not admit the calculation of the distribution functions but only of their evolution from one large spacelike-$`q^2`$ to another; and numerical simulations of lattice-QCD are currently restricted to the quenched approximation and only yield moments of the distributions, not the distributions themselves. Furthermore, the fact that the pion is both a bound state and the Goldstone mode associated with dynamical chiral symmetry breaking complicates the calculation of the pion’s distribution functions and places additional constraints on any framework applied to the task. Considerations of chiral symmetry have led some to adopt the Nambu–Jona-Lasinio model as a basis for their calculations but a number of the difficulties with this approach, among them a marked sensitivity to the regularisation procedure in this non-renormalisable model, are emphasised and discussed in Refs.. Constituent quark models have also been employed, with difficulties encountered in such studies considered in Ref.; and so has an instanton-liquid model.

The Dyson-Schwinger equations (DSEs) provide an approach well-suited to the calculation of pion observables. Since a chiral symmetry preserving truncation scheme exists, they easily capture the dichotomous bound-state/Goldstone-mode character of the pion. Furthermore, because perturbation theory is recovered in the weak coupling limit, they combine; e.g., a description of low-energy $`\pi `$-$`\pi `$ scattering with a calculation of the electromagnetic pion form factor, $`F_\pi (q^2)`$, that yields: the $`1/q^2`$-behaviour expected from perturbative analyses at large spacelike-$`q^2`$ and a calculated evolution to the $`\rho `$-meson pole in the timelike region. These and other features of contemporary applications are described in Refs..

Herein we employ a phenomenological DSE model, used previously in a description of a wide range of electron-nucleon and meson-nucleon form factors, in a calculation of the pion’s valence-quark distribution. The framework is Poincaré covariant and exhibits, in a simplified form, the features of renormalisability and asymptotic freedom characteristic of QCD. Another important aspect of our study is a description of the pion as a bound state of a dressed-quark and -antiquark through its momentum-dependent Bethe-Salpeter amplitude, with the dressed-quark propagator exhibiting that momentum-dependence characteristic of DSE studies and recently confirmed in simulations of lattice-QCD.

Our article is organised thus: Sec. II recapitulates the calculation of the hadronic tensor for lepton-pion scattering; Sec. III describes the DSE elements necessary in the calculation of the distribution functions – dressed-propagators, Bethe-Salpeter amplitudes, etc.; Sec. IV reports and discusses the results; and Sec. V is an epilogue.

## II Lepton-Pion Scattering

Deep inelastic scattering from a pion target can be studied via the diagrams in Fig. 1, which describe virtual photon-pion forward Compton scattering and are the only impulse approximation contributions to survive in the Bjorken limit:***We use a Euclidean metric convention, in which $`ab:=a_\mu b_\nu \delta _{\mu \nu }:=_{i=1}^4a_ib_i,`$ so that a spacelike vector, $`Q_\mu `$, has $`Q^2>0`$ and an on-shell pion is described by $`P^2=m_\pi ^2`$. Our Dirac matrices are Hermitian and are defined by the algebra $`\{\gamma _\mu ,\gamma _\nu \}=2\delta _{\mu \nu }`$.

$$q^2\mathrm{},Pq\mathrm{}\text{but}x:=\frac{q^2}{2Pq}\text{fixed.}$$
(1)
The upper diagram represents the renormalised matrix element

$`T_{\mu \nu }^+(q,P)=`$ (4)
$`\mathrm{tr}{\displaystyle \frac{d^4k}{(2\pi )^4}\tau _{}\overline{\mathrm{\Gamma }}_\pi (k_\mathrm{\Gamma };P)S(k_t)ieQ\mathrm{\Gamma }_\nu (k_t,k)}`$
$`\times S(k)ieQ\mathrm{\Gamma }_\mu (k,k_t)S(k_t)\tau _+\mathrm{\Gamma }_\pi (k_\mathrm{\Gamma };P)S(k_s),`$
where: $`\mathrm{\Gamma }_\pi (\mathrm{};P)`$ is the pion’s Bethe-Salpeter amplitude and

$$\overline{\mathrm{\Gamma }}_\pi (\mathrm{};P)=C^{}\mathrm{\Gamma }_\pi (\mathrm{};P)^\mathrm{T}C,$$
(5)
with $`\tau _\pm =\frac{1}{2}(\tau _1\pm i\tau _2)`$, $`C=\gamma _2\gamma _4`$, the charge conjugation matrix, and $`()^\mathrm{T}`$ denoting matrix transpose; $`𝒮(\mathrm{})=\mathrm{diag}[S_u(\mathrm{}),S_d(\mathrm{})]`$ is the dressed-quark propagator and we assume $`S_u=S_d=S`$ throughout (isospin symmetry of the strong interaction); $`\mathrm{\Gamma }_\mu (\mathrm{}_1,\mathrm{}_2)`$ is the dressed-quark-photon vertex, with $`Q=\mathrm{diag}(2/3,1/3)`$ the quark-charge matrix; $`k_\mathrm{\Gamma }=kqP/2`$, $`k_t=kq`$, $`k_s=kqP`$; and the trace is over colour, flavour and Dirac indices. (In Eq. 4, since the renormalised matrix element is finite in our DSE model, as in QCD, we have not made explicit the usual translationally invariant regularisation scheme.) The matrix element represented by the lower diagram is the crossing partner of Eq. (4) and is obvious by analogy.

The hadronic tensor relevant to inclusive deep inelastic lepton-pion scattering can be obtained from the forward Compton process via the optical theorem:

$$W_{\mu \nu }(q;P)=\frac{1}{2\pi }\mathrm{𝖨𝗆}\left[T_{\mu \nu }^+(q;P)+T_{\mu \nu }^{}(q;P)\right],$$
(6)
and because of current conservation it may be expressed in terms of only two invariant structure functions:

$$W_{\mu \nu }(q;P)=W_1(q^2,Pq)t_{\mu \nu }\frac{W_2(q^2,Pq)}{Pq}P_\mu ^tP_\nu ^t,$$
(7)
with $`t_{\mu \nu }=\delta _{\mu \nu }q_\mu q_\nu /q^2`$ and $`P_\mu ^t=P_\mu q_\mu Pq/q^2`$.

To proceed it is useful to express the dressed-quark propagator as

$`S(k)`$ $`=`$ $`\mathrm{\Delta }(k^2)𝒩(k),`$ (8)
$`\mathrm{\Delta }(k^2)`$ $`=`$ $`1/[k^2+M^2(k^2)],`$ (9)
$`𝒩(k)`$ $`=`$ $`Z(k^2)\left[i\gamma k+M(k^2)\right],`$ (10)
where $`Z(k^2)`$ is the dressed-quark wave-function renormalisation and $`M(k^2)`$ is the dressed-quark mass function. Using Eq. (8) and evaluating the colour and flavour traces, Eq. (4) assumes the form

$`T_{\mu \nu }^+(q,P)=`$ (12)
$`e^2{\displaystyle \frac{4}{9}}N_c{\displaystyle \frac{d^4k}{(2\pi )^4}\mathrm{\Delta }(k^2)\mathrm{\Delta }(k_s^2)𝒯_{\mu \nu }^+(k,q,P)},`$
where

$`𝒯_{\mu \nu }^+=\mathrm{tr}_D[\overline{\mathrm{\Gamma }}_\pi (k_\mathrm{\Gamma };P)S(k_t)i\mathrm{\Gamma }_\nu (k_t,k)`$ (13)
$`\times `$ $`𝒩(k)i\mathrm{\Gamma }_\mu (k,k_t)S(k_t)\mathrm{\Gamma }_\pi (k_\mathrm{\Gamma };P)𝒩(k_s)]`$ (14)
and the trace is now, of course, only over Dirac indices. In this form it is easy to adapt the procedure of Ref.  and isolate the pinch singularities that yield the imaginary part in Eq. (6).

Introducing the integration variable transformations:

$$k=\kappa +yq+zP,\kappa q=0=\kappa P,$$
(15)
which has Jacobian $`J=Pq`$ in the Bjorken limit, Eq. (1), and subsequently

$$y=1+\frac{w}{2Pq}\frac{zP^2}{2Pq},$$
(16)
one finds

$$k^2=2Pq(zx)+\mathrm{O}((Pq)^0)$$
(17)
so that on the domain relevant to inclusive deep inelastic scattering

$$\mathrm{\Delta }(k^2)\frac{1}{2Pq}\frac{1}{zx}\frac{i\pi }{2Pq}\delta (zx)$$
(18)
and the contribution of $`T^+`$ to $`W_{\mu \nu }`$ can be written

$`W_{\mu \nu }^+(q;P)={\displaystyle \frac{1}{2\pi }}{\displaystyle \frac{1}{4Pq}}e^2{\displaystyle \frac{4}{9}}N_c`$ (19)
$`\times `$ $`{\displaystyle \frac{\pi }{(2\pi )^4}}{\displaystyle 𝑑wd^2\kappa \mathrm{𝖨𝗆}\left[\mathrm{\Delta }(k_s^2)𝒯_{\mu \nu }^+(k,q,P)\right]}|_{z=x}.`$ (20)
This shows that in the Bjorken limit the struck parton carries a fraction $`x`$ of the pion’s momentum.

The integrand can now be simplified further by using Eqs. (15) and (16) to express

$$s:=k_s^2=(x1)[wP^2+\kappa ^2/(x1)]$$
(21)
and hence

$$\mathrm{\Delta }(s)=\frac{1}{1x}\frac{1}{wP^2[\kappa ^2+M^2(s)]/(1x)}$$
(22)
so that

$`W_{\mu \nu }^+(q;P)={\displaystyle \frac{1}{Pq}}{\displaystyle \frac{1}{1x}}`$ (23)
$`\times `$ $`e^2{\displaystyle \frac{4}{9}}N_c{\displaystyle \frac{\pi }{(2\pi )^4}}{\displaystyle d^2\kappa \frac{1}{4}\left[𝒯_{\mu \nu }^+(k,q,P)\right]}|_{z=x}^{w=w(\kappa )},`$ (24)
with $`w(\kappa )=P^2+(\kappa ^2+\stackrel{ˇ}{M}^2)/(1x)`$, where the valence-quark mass is obtained as the solution of $`\stackrel{ˇ}{M}=M(\stackrel{ˇ}{M}^2)`$.

The momentum of the remaining dressed-quark line also simplifies:

$$\mu :=k_t^2=\kappa ^2+xw,$$
(25)
which illustrates that the integrand depends only on $`\kappa ^2`$ as an integration variable. Another shift of variables is now useful: $`d^2\kappa =\pi 𝑑\kappa ^2`$,

$`\kappa ^2`$ $`=`$ $`(1x)(\mu \mu _{\mathrm{min}}),`$ (26)
$`\mu _{\mathrm{min}}`$ $`=`$ $`x[P^2+\stackrel{ˇ}{M}^2/(1x)],`$ (27)
and hence

$`W_{\mu \nu }^+(q;P)={\displaystyle \frac{1}{2}}e^2{\displaystyle \frac{4}{9}}N_c`$ (28)
$`\times `$ $`{\displaystyle \frac{1}{(4\pi )^2}}{\displaystyle _{\mu _{\mathrm{min}}}^{\mathrm{}}}𝑑\mu {\displaystyle \frac{1}{4Pq}}\left[𝒯_{\mu \nu }^+(k,q,P)\right]|_{z=x}^{w=w(\mu )},`$ (29)
with $`w(\mu )=\mu +\mu _{\mathrm{min}}(1x)/x`$.

It is apparent in Eq. (29) that the only remaining functional dependence that is not obviously expressed solely in terms of $`x`$ is that arising from the nontrivial aspects of the Dirac trace in Eq. (14). Nevertheless, direct calculation; e.g., , shows that in the Bjorken limit

$$\left[𝒯_{\mu \nu }^+(k,q,P)\right]|_{z=x}^{w=w(\kappa )}Pq\left(a(x)t_{\mu \nu }+\mathrm{}\right)$$
(30)
so that one has

$$W_{\mu \nu }^+(q;P)=F_1^+(x)t_{\mu \nu }\frac{F_2^+(x)}{Pq}P_\mu ^tP_\nu ^t,$$
(31)
and the Callan-Gross relation:

$$F_2^+(x)=2xF_1^+(x).$$
(32)
At this point it is obvious that

$$F_{1,2}^+(x)0\mathrm{as}x1$$
(33)
because of the contraction of the integration domain: $`\mu _{\mathrm{min}}\mathrm{}`$ as $`x1`$. The analysis of $`W_{\mu \nu }^{}`$ follows a similar pattern and yields the same results, and $`F_{1,2}=F_{1,2}^++F_{1,2}^{}`$.

Equations (6), (14), (29) and (32) provide a model-independent starting point for calculating the valence-quark distribution functions using model input for the internal elements represented in Fig. 1; i.e., the dressed-quark propagator, pion Bethe-Salpeter amplitude and dressed-quark-photon vertex. These are valence-quark distributions because, although sea-quarks are implicitly contained in the dressing of the propagators and calculation of the dressed vertices, the “handbag” impulse approximation diagrams in Fig. 1 only admit a coupling of the photon to the propagator of the dressed-quark constituent. The internal structure of the dressed-quark is not resolved and therefore the calculation yields the distribution at a scale $`q_0`$ characteristic of the resolution: $`q_0`$ is an a priori undetermined parameter in calculations such as ours, although we anticipate $`0.3<q_0<1.0`$GeV, with the lower bound set by the Euclidean constituent-quark mass and the upper by the onset of the perturbative domain. A sea-quark distribution is generated via the renormalisation group (evolution) equations when the valence distribution is evolved to that $`q^2`$-scale appropriate to a given experiment. To generate explicit sea-quark contributions at the scale $`q_0^2`$ requires going beyond the impulse (handbag) approximation; e.g., incorporating photon couplings to the intermediate-state quark-meson-loops that can appear as a dressing of the quark propagator: $`\pi ^+=u\overline{d}(u\overline{s}s)\overline{d}=(K^+s)\overline{d}u\overline{d}=\pi ^+`$, with $`\gamma K^+sK^+s\gamma `$, etc. Such intermediate states arise as vertex corrections in the quark-DSE.

With these observations in mind then

$`F_2^+(x;q_0)`$ $`=`$ $`{\displaystyle \frac{4}{9}}xu_v(x;q_0)={\displaystyle \frac{4}{9}}x[u(x;q_0)\overline{u}(x;q_0)],`$ (34)
$`F_2^{}(x;q_0)`$ $`=`$ $`{\displaystyle \frac{1}{9}}x\overline{d}_v(x;q_0)={\displaystyle \frac{1}{9}}x[\overline{d}(x;q_0)d(x;q_0)],`$ (35)
and it is straightforward to demonstrate algebraically that

$`\overline{d}_v^{\pi ^+}(x;q_0)`$ $`=`$ $`u_v^{\pi ^+}(x;q_0)=d_v^\pi ^{}(x;q_0).`$ (37)
The calculations are required to yield

$$_0^1𝑑xu_v(x;q_0)=1=_0^1𝑑x\overline{d}_v(x;q_0);$$
(38)
i.e., to ensure that the $`\pi ^+`$ contains one, and only one, $`u`$-valence-quark and one $`\overline{d}`$-valence-quark.

We remark that $`u^{\pi ^+}(x)=\overline{d}^{\pi ^+}(x)`$ in the $`𝒢`$-parity symmetric limit. However, in this limit $`\omega \pi \pi `$ is forbidden and hence the scale of $`𝒢`$-parity symmetry violation in nature is characterised by the ratio $`\mathrm{\Gamma }_{\omega \pi \pi }/\mathrm{\Gamma }_{\rho \pi \pi }=0.1`$%. This bound on any difference between the pion’s quark distribution functions is consistent with the model estimate in Ref. .

## III Model Elements

To complete our calculation the internal lines and irreducible vertices appearing in Fig. 1 must be specified. In general these quantities can be obtained by solving the quark DSE and the appropriate inhomogeneous Bethe-Salpeter equations. However, the study of an extensive range of low- and high-energy light- and heavy-quark phenomena has yielded efficacious algebraic parametrisations, and we employ those herein.

The dressed-quark propagator is

$`S(p)`$ $`=`$ $`i\gamma p\sigma _V(p^2)+\sigma _S(p^2),`$ (39)
$`=`$ $`\left[i\gamma pA(p^2)+B(p^2)\right]^1,`$ (40)
$`\overline{\sigma }_S(x)`$ $`=`$ $`2\overline{m}(2(x+\overline{m}^2))`$ (42)
$`+(b_1x)(b_3x)\left[b_0+b_2(\epsilon x)\right],`$
$`\overline{\sigma }_V(x)`$ $`=`$ $`{\displaystyle \frac{1}{x+\overline{m}^2}}\left[1(2(x+\overline{m}^2))\right],`$ (43)
with $`(y)=(1\mathrm{e}^y)/y`$, $`x=p^2/\lambda ^2`$, $`\overline{m}`$ = $`m/\lambda `$, $`\overline{\sigma }_S(x)=\lambda \sigma _S(p^2)`$ and $`\overline{\sigma }_V(x)=\lambda ^2\sigma _V(p^2)`$. The mass-scale, $`\lambda =0.566`$GeV, and dimensionless parameter values: $`\epsilon =10^4`$ in Eq. (42) acts only to decouple the large- and intermediate-$`p^2`$ domains. The study used Landau gauge because it is a fixed point of the QCD renormalisation group and $`Z_21`$, even nonperturbatively.

$$\begin{array}{ccccc}\overline{m}& b_0& b_1& b_2& b_3\\ & & & & \\ 0.00897& 0.131& 2.90& 0.603& 0.185\end{array},$$
(44)
were fixed in a least-squares fit to light-meson observables, and the dimensionless $`u`$-current-quark mass corresponds to

$$m^{1\mathrm{GeV}}=5.1\mathrm{MeV}.$$
(45)
This algebraic parametrisation combines the effects of confinement and dynamical chiral symmetry breaking with free-particle behaviour at large spacelike $`p^2`$  and, as illustrated explicitly in Ref. , its qualitative features have recently been confirmed in simulations of lattice-QCD.

Since the quark described by Eqs. (39)-(43) is confined there is no solution of the mass-shell equation: $`s+M^2(s)=0`$. However, in calculations of observables, the Euclidean constituent-quark mass, $`M^E`$, defined as the solution of $`s=M^2(s)`$, provides a realistic estimate of the quark’s active quasi-particle mass. In the present example,

$$M^E=0.33\mathrm{GeV}.$$
(46)
The large value of the ratio: $`M^E/m^{1\mathrm{GeV}}70`$ is one signal of the effect that the dynamical chiral symmetry breaking mechanism has on light-quark propagation characteristics. Another is the value of the chiral-limit vacuum quark condensate and one advantage of using the algebraic parametrisation is that it yields the following simple expression:

$`\overline{q}q_\zeta ^0`$ $`=`$ $`\mathrm{ln}\left(\zeta ^2/\mathrm{\Lambda }_{\mathrm{QCD}}^2\right)\lambda ^3{\displaystyle \frac{3}{4\pi ^2}}{\displaystyle \frac{b_0}{b_1b_3}},`$ (47)
which makes plain the relation between the condensate and the chiral-limit coefficient of the $`1/p^4`$-term in $`\sigma _S(p)`$.

The general form of the $`\pi `$-meson Bethe-Salpeter amplitude is

$`\mathrm{\Gamma }_\pi (k;Q)`$ $`=`$ $`\gamma _5[iE_\pi (k;Q)+\gamma QF_\pi (k;Q)\text{}`$ (49)
$`+\text{}\gamma kkQG_\pi (k;Q)+\sigma _{\mu \nu }k_\mu Q_\nu H_\pi (k;Q)],`$
where the behaviour of the invariant functions is constrained to a large extent by the axial-vector Ward-Takahashi identity. That identity and numerical studies support the parametrisation

$$E_\pi (k;Q)=\frac{1}{N_\pi }B_\pi (k^2),$$
(51)
where $`B_\pi `$ is obtained from Eqs. (39)-(43), evaluated using $`\overline{m}=0`$ and

$$b_0b_0^\pi =0.19$$
(52)
with the other parameters unchanged, and:

$`F_\pi (k;Q)`$ $`=`$ $`E_\pi (k;Q)/(110f_\pi );`$ (53)
$`G_\pi (k;Q)`$ $`=`$ $`2F_\pi (k;Q)/[k^2+M_{\mathrm{UV}}^2],`$ (54)
$`M_{\mathrm{UV}}=10\mathrm{\Lambda }_{\mathrm{QCD}}`$; and $`H_\pi (k;Q)0`$. The amplitude is normalised canonically and consistent with the impulse approximation $`(k_\pm =k\pm Q/2)`$:

$`Q_\mu ={\displaystyle }{\displaystyle \frac{d^4k}{(2\pi )^4}}\{\text{}\mathrm{tr}_{\mathit{}}\left[\overline{\mathrm{\Gamma }}_\pi (k;Q){\displaystyle \frac{S(k_+)}{Q_\mu }}\mathrm{\Gamma }_\pi (k;Q)S(k_{})\right]`$ (56)
$`+\mathrm{tr}_{\mathit{}}\left[\overline{\mathrm{\Gamma }}_\pi (k;Q)S(k_+)\mathrm{\Gamma }_\pi (k;Q){\displaystyle \frac{S(k_{})}{Q_\mu }}\right]\text{}\},`$
with the trace over flavour indices omitted, and this fixes $`N_\pi `$. The often-neglected pseudovector elements: $`F_\pi `$, $`G_\pi `$, are crucial to recovering the $`1/q^2`$ behaviour of the electromagnetic pion form factor at large spacelike-$`q^2`$ exhibited in perturbative QCD analyses. However, models efficacious for low pion-energy can be constructed without them.

In Ref.  a pseudoscalar meson mass formula was derived that, in the limit of small current-quark masses, reproduces what is commonly known as the Gell-Mann–Oakes–Renner relation, and also has an important corollary applicable to mesons containing heavy-quarks. In the case of the pion it gives

$$f_\pi ^2m_\pi ^2=2m^\zeta \overline{q}q_\zeta ^\pi ,$$
(58)
with the parametrisations yielding an algebraic expression for the “in-pion” condensate:

$$\overline{q}q_\zeta ^\pi =\mathrm{ln}\left(\zeta ^2/\mathrm{\Lambda }_{\mathrm{QCD}}^2\right)\lambda ^3\frac{3}{4\pi ^2}\frac{b_0^\pi }{b_1b_3},$$
(59)
and where the leptonic decay constant is obtained from

$`f_\pi Q_\mu =N_c\mathrm{tr}_D{\displaystyle \frac{d^4k}{(2\pi )^4}\gamma _5\gamma _\mu S(k_+)\mathrm{\Gamma }_\pi (k;Q)S(k_{})}.`$ (60)
It remains to specify the dressed-quark-photon vertex. The manner in which an Abelian gauge boson couples to a dressed-fermion has been much studied and a range of qualitative constraints have been elucidated. This research supports an Ansatz

$`i\mathrm{\Gamma }_\mu (\mathrm{}_1,\mathrm{}_2)=i\mathrm{\Sigma }_A(\mathrm{}_1^2,\mathrm{}_2^2)\gamma _\mu `$ (62)
$`+(\mathrm{}_1+\mathrm{}_2)_\mu \left[\frac{1}{2}i\gamma (\mathrm{}_1+\mathrm{}_2)\mathrm{\Delta }_A(\mathrm{}_1^2,\mathrm{}_2^2)+\mathrm{\Delta }_B(\mathrm{}_1^2,\mathrm{}_2^2)\right];`$
$`\mathrm{\Sigma }_F(\mathrm{}_1^2,\mathrm{}_2^2)=\frac{1}{2}[F(\mathrm{}_1^2)+F(\mathrm{}_2^2)],`$ (65)
$`\mathrm{\Delta }_F(\mathrm{}_1^2,\mathrm{}_2^2)={\displaystyle \frac{F(\mathrm{}_1^2)F(\mathrm{}_2^2)}{\mathrm{}_1^2\mathrm{}_2^2}},`$
where $`F=A,B`$ are the scalar functions in Eq. (39), which preserves many of the constraints, important among them the vector Ward-Takahashi identity, and is expressed solely in terms of the dressed-quark propagator. In concert with the algebraic parametrisations described above, it has been widely used in the study of electromagnetic processes and is phenomenologically efficacious; e.g., providing for the parameter-independent realisation of “anomalous” photon-hadron couplings. For these reasons, we employ Eq. (LABEL:bcvtx) herein. Nevertheless, significant progress has recently been made with the direct calculation of $`\mathrm{\Gamma }_\mu `$ in DSE models of QCD and those studies will provide the basis for improved Ansätze in the future.

The elements described herein yield the following calculated values for a selected, illustrative range of light-hadron observables:

$`\begin{array}{ccc}& \mathrm{Calc}.\hfill & \mathrm{Obs}.\hfill \\ & & \multicolumn{-1}{c}{}\\ f_\pi (\mathrm{GeV})& 0.090\hfill & 0.092\text{[26]}\hfill \\ m_\pi & 0.139\hfill & 0.138\text{[26]}\hfill \\ (\overline{q}q_\zeta ^0)^{1/3}& 0.221\hfill & 0.236\text{[40]}\hfill \\ (\overline{q}q_\zeta ^\pi )^{1/3}& 0.250\hfill & 0.245\text{[16]}\hfill \\ r_\pi (\mathrm{fm})& 0.56\hfill & 0.663\text{[41]}\hfill \\ r_p\text{[23]}& 0.78\hfill & 0.87\hfill \\ r_n^2(\mathrm{fm}^2)\text{[23]}& (0.33)^2\hfill & (0.34)^2\hfill \end{array}`$ (74)
(75)
with $`r_\pi `$ calculated in impulse approximation (see, e.g., Refs. ) and the condensates evaluated at $`\zeta =1`$GeV using a $`3`$-flavour value of $`\mathrm{\Lambda }_{\mathrm{QCD}}=0.242`$GeV.

## IV Calculated Distribution Functions

We can now proceed with the evaluation of the one-dimensional integral that yields $`u_v(x)`$ via Eqs. (29) and (LABEL:uvx). That calculation requires a determination of the valence-quark mass, $`\stackrel{ˇ}{M}`$. The parametrisation of the dressed-quark propagator is confining and does not admit a solution of $`\stackrel{ˇ}{M}=M(\stackrel{ˇ}{M}^2)`$. However, in inclusive deep inelastic scattering, confinement is recovered through incoherent hadronisation after the dissolution of the bound state and we introduce that aspect herein by adopting a quasiparticle representation: $`\mathrm{\Delta }(k^2)=1/[k^2+\stackrel{ˇ}{M}^2]`$ in Eq. (8), with $`\stackrel{ˇ}{M}`$ determined by requiring that Eq. (38) is satisfied. It is valence-quarks of this mass that populate the pion. This is an internally consistent prescription if $`\stackrel{ˇ}{M}M^E`$.

Our calculated form of $`u_v(x;q_0)`$ is depicted in Fig. 2. It vanishes at $`x=1`$, in accordance with the kinematic constraint expressed in Eq. (27), and corresponds to a finite value of $`F_1(x=0)`$, which is a signal of the absence of sea-quark contamination. Furthermore $`u_v(x=0;q_0)0`$, which is as it should be since there is no constraint that requires it to vanish at this point. Unsurprisingly for a light bound state of heavy constituents, the shape of the distribution is characteristic of a strongly bound system: cf. for a weakly bound system $`u_v(x)\delta (x\frac{1}{2})`$.

The area under each of the curves in Fig. 2 is one and requiring that for $`u_v(x;q_0)`$ yields a calculated valence-quark mass of

$$\stackrel{ˇ}{M}=0.30\mathrm{GeV},$$
(76)
which is within 10% of this model’s Euclidean constituent-quark mass, Eq. (46). The value of $`\stackrel{ˇ}{M}`$ affects the position of the peak in $`xu_v(x)`$: increasing $`\stackrel{ˇ}{M}`$ shifts the peak to lower $`x`$.

The average momentum-fraction carried by the valence-quarks at this resolving scale is

$$_0^1𝑑xx[u_v(x;q_0)+\overline{d}_v(x;q_0)]=0.71,$$
(77)
with the remainder carried by the gluons that effect the binding of the pion bound state, which are invisible to the electromagnetic probe. The second and third moments of the distribution are

$`x^2_{q_0}=0.18,`$ $`x^3_{q_0}=0.10.`$ (78)
To determine the resolving scale, $`q_0`$, we employ the $`3`$-flavour, leading-order, nonsinglet renormalisation group (evolution) equations (see, e.g., Ref. ) to evolve the distribution in Fig. 2 up to $`q=2`$GeV, and require agreement between the first and second moments of our evolved distribution and those calculated from the phenomenological fits of Ref. . With

$$q_0=0.54\mathrm{GeV}=1/(0.37\mathrm{fm})$$
(79)
we obtain at $`q=2`$GeV

$$\begin{array}{cccc}& x_q\hfill & x^2_q\hfill & x^3_q\hfill \\ & & & \\ \mathrm{Calc}.\hfill & 0.24\hfill & 0.098\hfill & 0.049\hfill \\ \mathrm{Fit}\text{[4]}\hfill & 0.24\pm 0.01\hfill & 0.10\pm 0.01\hfill & 0.058\pm 0.004\hfill \\ \mathrm{Latt}.\text{[6]}\hfill & 0.27\pm 0.01\hfill & 0.11\pm 0.3\hfill & 0.048\pm 0.020\hfill \end{array}$$
(80)
at which point the valence-quarks carry a momentum-fraction of $`0.49`$. At $`q_0`$, $`\alpha _s/(2\pi )=0.13`$: this is the combination that appears in the evolution equation. (NB. At $`0.5q_0`$, $`\alpha _s/(2\pi )=0.68`$.)

The original and evolved distributions are depicted in Fig. 3. The evident accentuation via evolution of the convex-up behaviour of the distribution near $`x=1`$ is characteristic of the renormalisation group equations, which populate the sea-quark distribution at small-$`x`$ at the expense of large-$`x`$ valence-quarks.

A fit to $`xu_v(x;q)`$, adequate for the rapid estimation of moments, is provided by the simple data fitting form employed in Refs. :

$$xu_v^{\mathrm{mom}}(x;q)=x^\alpha (1x)^\beta \frac{\mathrm{\Gamma }(1+\alpha +\beta )}{\mathrm{\Gamma }(\alpha )\mathrm{\Gamma }(1+\beta )},$$
(81)
with in our case

$$\begin{array}{cccc}q(\mathrm{GeV})& 0.57\hfill & 2.0\hfill & 4.05\hfill \\ & & & \\ \alpha & 1.34\hfill & 0.92\hfill & 0.84\hfill \\ \beta & 1.31\hfill & 1.80\hfill & 1.98.\hfill \end{array}$$
(82)
The moments of $`u_v^{\mathrm{mom}}(x;q)`$ are given by

$$x^n_q=\underset{i=1}{\overset{n}{}}\frac{i+\alpha 1}{i+\alpha +\beta }.$$
(83)
We emphasise, as is evident in Fig. 3, that Eq. (81) is not a good pointwise approximation to our calculated form of $`xu_v(x;q_0)`$ and, furthermore, Eq. (81) divided-by $`x`$ provides a very poor pointwise approximation to $`u_v(x;q_0)`$ for $`x<0.5`$.

An alternative parametrisation has also been employed in fitting data:

$$xu_v^{\mathrm{cu}}(x)=A_ux^{\eta _1}(1x)^{\eta _2}(1ϵ_u\sqrt{x}+\gamma _ux),$$
(84)
with $`A_u`$ fixed by Eq. (38). This, with the parameter values:

$$\begin{array}{cccc}q(\mathrm{GeV})& \hfill 0.57& \hfill 2.0& 4.05\hfill \\ & & & \\ A_u& \hfill 11.24& \hfill 4.25& 3.56\hfill \\ \eta _1& \hfill 1.43& \hfill 0.97& 0.89\hfill \\ \eta _2& \hfill 1.90& \hfill 2.43& 2.61\hfill \\ ϵ_u& \hfill 2.44& \hfill 1.82& 1.62\hfill \\ \gamma _u& \hfill 2.54& \hfill 2.46& 2.30,\hfill \end{array}$$
(85)
provides a pointwise accurate interpolation of the calculated forms of $`xu_v(x)`$ depicted in Fig. 3: on the scale of this figure, the fit and our calculation are barely distinguishable. Furthermore, for $`x0.2`$, $`u_v^{\mathrm{cu}}(x;q_0)`$ obtained from Eq. (84) even provides a good pointwise approximation to $`u_v(x;q_0)`$ in Fig. 2. The difference between Eqs. (81) and (84) is the improved capacity of the latter to accommodate convexity in the parton distributions, which is a signal feature of our calculation.

Particular regularisations of the Nambu–Jona-Lasinio model yield a distribution with the functional form $`u_v^\theta (x;q_0^{\mathrm{NJL}})=\theta (x)\theta (1x)`$, which corresponds to valence-quarks carrying each and every fraction of the pion’s momentum with equal probability. That result is an artefact, arising from the representation of the pion bound state by a momentum-independent Bethe-Salpeter amplitude; i.e., from representing the pion as a point-particle, which is a necessary consequence of the model’s momentum-independent interaction. In this case, beginning at $`q_0^{\mathrm{NJL}}=0.35`$, for which $`\alpha /(2\pi )=0.31`$, $`xu_v^\theta (x;q_0^{\mathrm{NJL}})`$ evolved to $`q=2`$GeV is pointwise very well described by Eq. (81) with $`\alpha =0.67`$, $`\beta =1.13`$, cf. the values in Ref. : $`\alpha =0.64\pm 0.03`$, $`\beta =1.15\pm 0.02`$.

We infer from this result and the discussion above that the fitting form in Eq. (81) is inadequate: it is continuously connected to a distribution that lacks dynamical content and is unable to represent that structure in the distributions which characterises dynamics. These observations yield insight into the efficacy of the updated fitting form in Eq. (84).

## V Epilogue

We calculated the valence-quark distribution in the pion using a Dyson-Schwinger equation (DSE) model that provides a good description of a wide range of hadron observables: Figs. 2 and 3 summarise our new results. The DSE model describes valence-quarks with an active mass $`\stackrel{ˇ}{M}=0.30`$GeV at a resolving scale $`q_0=0.54`$GeV$`=1/(0.37\mathrm{fm})`$, and with this value of $`q_0`$ the evolution to values of the momentum scale relevant to contemporary experiments yields a distribution whose low moments agree with the values obtained in lattice simulations and from a phenomenological fit.

There is a pointwise difference between our calculated distribution and the form used hitherto in parametrising pion data, as evident in Fig. 3. That discrepancy can also be observed in related covariant calculations. From the information currently available, its origin does not appear to lie in model details, and we note that any assumed fitting form with little or no convexity in the vicinity of $`x=1`$, which is adapted to a body of data at a given scale, $`q_0^2`$, will necessarily become convex-up under evolution to an higher scale, $`q^2>q_0^2`$. Part or all of this discrepancy may therefore be attributable to the restricted function space used thus far in parametrising pion data. That possibility is supported by the capacity of an updated fitting form, used for the proton, to accommodate the structure evident in our calculations. However, we cannot rule out the possibility that the discrepancy may point to an as yet overlooked shortcoming in the application of models to the calculation of distribution functions.

Our calculation is a prototype. It can be improved; e.g., by using direct numerical solutions of the quark-DSE and meson Bethe-Salpeter equations, as in recent calculations of the light-meson electromagnetic form factors, and/or incorporating sea-quark contributions at the soft-scale, $`q_0`$. It can also be extended to more robust “targets,” such as the nucleon, using models like those of Refs. .

## Acknowledgments

We acknowedge constructive conversations with J.C.R. Bloch, A. Drago and R.J. Holt. C.D.R. is grateful for the support and hospitality of the Erwin Schrödinger Institute for Mathematical Physics, Vienna, where part of this work was completed, and S.M.S. acknowledges financial support from the A.v. Humboldt foundation. This work was supported by the US Department of Energy, Nuclear Physics Division, under contract no. W-31-109-ENG-38, the National Science Foundation, under grant no. INT-9603385, and benefited from the resources of the National Energy Research Scientific Computing Center.


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# Dyson–Schwinger calculations of meson form factors

## 1 The Dyson–Schwinger Equations

Our aim is to obtain the hadron spectrum and observables such as coupling constants and form factors from the underlying theory, QCD111Supported by NSF grant No. PHY97-22429 and computer resources from NERSC.. The set of Dyson–Schwinger equations \[DSEs\] form a useful tool for this purpose . In rainbow-ladder truncation, they have been successfully applied to calculate the masses and decay constants of light pseudoscalar and vector mesons . The dressed-quark propagator, as obtained from its DSE, together with the Bethe–Salpeter amplitude and the $`qq\gamma `$ vertex as obtained from the homogeneous and inhomogeneous Bethe–Salpeter equations \[BSE\] respectively, form the necessary elements for form factor calculations in impulse approximation .

The DSE for the renormalized quark propagator in Euclidean space is

$$S(p)^1=iZ_2/p+Z_4m(\mu )+Z_1\frac{d^4q}{(2\pi )^4}g^2D_{\mu \nu }(k)\frac{\lambda ^a}{2}\gamma _\mu S(q)\mathrm{\Gamma }_\nu ^a(q,p),$$
(1)
where $`D_{\mu \nu }(k)`$ is the dressed-gluon propagator, $`\mathrm{\Gamma }_\nu ^a(q;p)`$ the dressed-quark-gluon vertex, and $`k=pq`$. The most general solution of Eq. (1) has the form $`S(p)^1=i/pA(p^2)+B(p^2)`$ and is renormalized at spacelike $`\mu ^2`$ according to $`A(\mu ^2)=1`$ and $`B(\mu ^2)=m(\mu )`$ with $`m(\mu )`$ the current quark mass.

The DSE for the $`qq\gamma `$ vertex $`\mathrm{\Gamma }_\mu (p_+,p_{})`$ is the inhomogeneous BSE

$$\mathrm{\Gamma }_\mu (p_+,p_{})=Z_2\gamma _\mu +\frac{d^4q}{(2\pi )^4}K(p,q;Q)S(q_+)\mathrm{\Gamma }_\mu (q_+,q_{})S(q_{}),$$
(2)
where $`p_\pm =p\pm \frac{1}{2}Q`$ are the incoming and outgoing quark momenta, and similarly for $`q_\pm `$. The kernel $`K`$ is the renormalized, amputated $`\overline{q}q`$ scattering kernel that is irreducible with respect to a pair of $`\overline{q}q`$ lines. Solutions of the homogeneous version of Eq. (2) define vector meson bound states at timelike photon momenta $`Q^2=m_\mathrm{v}^2`$. It follows that $`\mathrm{\Gamma }_\mu (p_+,p_{})`$ has poles at those locations. Pseudoscalar solutions $`\mathrm{\Gamma }_{\mathrm{ps}}(p_+,p_{};Q)`$ of the homogeneous BSE define bound states such as pions and kaons. Together with the canonical normalization condition for $`q\overline{q}`$ bound states, Eqs. (1) and (2) completely determine all elements needed for form factor calculations in impulse approximation.

To solve the BSE, we use a ladder truncation, with an effective quark-antiquark interaction that reduces to the perturbative running coupling at large momenta . In conjunction with the rainbow truncation for the quark DSE, the ladder truncation preserves both the vector Ward–Takahashi identity \[WTI\] for the quark-photon vertex and the axial-vector WTI. This ensures the existence of massless pseudoscalar mesons connected with dynamical chiral symmetry breaking . In combination with impulse approximation, it also guarantees current conservation . Our model preserves the one-loop renormalization group behavior of QCD and reproduces perturbative results in the ultraviolet region. As long as the interaction is sufficiently strong in the infrared region, it leads to chiral symmetry breaking and confinement. The model gives a good description of the $`\pi `$, $`\rho `$, $`K`$, $`K^{}`$ and $`\varphi `$ masses and electroweak decay constants , with only two parameters in the effective interaction fitted to $`f_\pi `$ and the condensate, and realistic current quark masses fitted to $`m_\pi `$ and $`m_K`$.

## 2 Results for meson electromagnetic form factors

Meson form factors in impulse approximation are described by two diagrams, with the photon coupled to the quark and to the antiquark respectively. We can define a form factor for each of these diagrams, e.g.

$`2P_\nu F_{a\overline{b}\overline{b}}(Q^2)`$ $`=`$ $`N_c{\displaystyle }{\displaystyle \frac{d^4q}{(2\pi )^4}}\mathrm{Tr}[S^a(q)\mathrm{\Gamma }_{\mathrm{ps}}^{a\overline{b}}(q,q_+;P_{})`$ (3)
$`\times S^b(q_+)i\mathrm{\Gamma }_\nu ^b(q_+,q_{})S^b(q_{})\overline{\mathrm{\Gamma }}_{\mathrm{ps}}^{a\overline{b}}(q_{},q;P_+)],`$
where $`q=k+\frac{1}{2}P`$, $`q_\pm =k\frac{1}{2}P\pm \frac{1}{2}Q`$, $`P_\pm =P\pm \frac{1}{2}Q`$. We work in the isospin symmetry limit, so for the pion form factor we have $`F_\pi (Q^2)=F_{u\overline{u}u}(Q^2)`$. The charged and neutral kaon form factors are given by $`F_{K^+}=\frac{2}{3}F_{u\overline{s}u}+\frac{1}{3}F_{u\overline{s}\overline{s}}`$ and $`F_{K^0}=\frac{1}{3}F_{d\overline{s}d}+\frac{1}{3}F_{d\overline{s}\overline{s}}`$ respectively. Our results for $`Q^2F_\pi `$, $`Q^2F_{K^+}`$, and $`Q^2F_{K^0}`$ are shown in Fig. 1, together with the corresponding charge radii.

The impulse approximation for the $`\gamma ^{}\pi \gamma `$ vertex with $`\gamma ^{}`$ momentum $`Q`$ is

$`\mathrm{\Lambda }_{\mu \nu }(P,Q)=i{\displaystyle \frac{\alpha }{\pi f_\pi }}ϵ_{\mu \nu \alpha \beta }P_\alpha Q_\beta g_{\pi \gamma \gamma }F_{\gamma ^{}\pi \gamma }(Q^2)`$
$`={\displaystyle \frac{N_c}{3}}{\displaystyle \frac{d^4q}{(2\pi )^4}\mathrm{Tr}\left[S(q)i\mathrm{\Gamma }_\nu (q,q^{})S(q^{})i\mathrm{\Gamma }_\mu (q^{},q^{\prime \prime })S(q^{\prime \prime })\mathrm{\Gamma }_\pi (q^{\prime \prime },q;P)\right]}.`$
where the momenta follow from momentum conservation. In the chiral limit, the value at $`Q^2=0`$, corresponding to the decay $`\pi ^0\gamma \gamma `$, is given by the axial anomaly and its value $`g_{\pi \gamma \gamma }^0=\frac{1}{2}`$ is a direct consequence of only gauge invariance and chiral symmetry; this value is reproduced by our calculations and corresponds well with the experimental width of $`7.7\mathrm{eV}`$. In Fig. 2 we show our results with realistic quark masses, normalized to the experimental $`g_{\pi \gamma \gamma }`$.

All our form factor results are remarkably close to the data, without any readjustment of the parameters. Up to about $`Q^2=3\mathrm{GeV}^2`$, they can be fitted quite well by monopoles. Asymptotically, our calculated form factors behave like $`Q^2F(Q^2)c`$ up to logarithmic corrections. However, numerical limitations prevent us from accurately determining these constants. Around $`Q^2=3\mathrm{GeV}^2`$, our result for $`Q^2F_\pi `$ is well above the pQCD result $`16\pi f_\pi ^2\alpha _s(Q^2)`$ , and clearly not yet asymptotic; $`F_{\gamma ^{}\pi \gamma }`$ lies in between monopoles fitted to the Brodsky–Lepage asymptotic limit, $`8\pi ^2f_\pi ^2`$ , and to the DSE limit, $`\frac{16}{3}\pi ^2f_\pi ^2`$ .


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# Power, Levy, Exponential and Gaussian Regimes in Autocatalytic Financial Systems

## 1 Introduction

It was realized since a very long time that the fluctuations $`r(t)`$ of stochastic systems made of many degrees of freedom are not generically distributed by Gaussian probability distributions Mandelbrot63 ; Stanley95 . On the theoretical side, P. Levy Levy37  discovered at the beginning of this century that the central limit theorem allows for a family of distributions which decay at infinity as a power law:

$$P(r)r^{1\alpha }\mathrm{with}0<\alpha <2$$
(1)
These distributions can be thought as the limit distributions for random walks with steps of sizes $`s_i`$ distributed by a power law

$$P(s)s^{1\alpha }.$$

Such processes were named Levy flights Schlesinger95 .

In nature, the situation turns out to be more complicated: many of the measurements produced probability distribution functions which look like Levy distributions for a certain range of the stochastic variable but are cut off. That is, they change their character above a certain threshold, e.g., by becoming exponentials or changing to a power decay with $`\alpha >2`$ as found for the returns of stock market data Stanley95 ; Lux96 ; Gopikrishnan99 ; Huang00 . Particular examples of such distributions were studied under the name of truncated Levy flight Mantegna94 . As required by the central limit theorem, for very large time intervals $`t`$, these distributions cross-over into a quite Gaussian behavior.

Recently, both the power law probability distribution of the individual steps and the truncated Levy distribution of the fluctuations were explained generically by a series of Generalized Lotka-Volterra (GLV) models Solomon96 ; Solomon98 ; Biham98 ; Malcai99 . These models represent realistic financial, biological and social systems composed of many autocatalytic and competing stochastic subsystems Solomon98 .

In this paper we study the exact nature of the cut-off region and the details of the cross-over process in the framework of the GLV models. We especially describe the emergence of the tail distribution with $`\alpha 3`$ power law and the exponential cut-off. The theoretical analysis below yields well defined quantitative predictions on the various temporal and geometric properties of the probability distribution functions, which are verified by the numerical simulations and compared with the actual measurements of the Hong Kong stock market. Most of the results extend however to other models too.

## 2 Theoretical analysis

### 2.1 Autocatalytic systems and power law

The analysis here applies to a large range of dynamical models Solomon98 . For definiteness we consider a specific system $`W(t)`$ formed of subsystems $`w_i(t)`$, $`i=1,2,\mathrm{},N`$:

$$W(t)=w_1(t)+w_2(t)+\mathrm{}+w_N(t)$$
(2)
distributed by a power law cumulative distribution function:

$$P(>w)=[w/w_{min}(t)]^\alpha $$
(3)
with the corresponding density $`P(w)w^{1\alpha }`$, where $`w_{min}`$ is some lower cut-off

$$w_{min}(t)=q\overline{w}(t),$$
(4)
i.e., usually given in terms of a fraction $`q`$ of the average $`\overline{w}(t)=W(t)/N`$.

Such distributions emerge naturally in autocatalytic systems Solomon96 ; Solomon98 ; Biham98 ; Malcai99  of the generic form:

$$w_i(t+1)=\lambda (t)w_i(t)+a\overline{w}(t)bw_i(t)\overline{w}(t).$$
(5)
For the purpose of this paper we describe them by a simple dynamics Solomon96 ; Malcai99  which consists in choosing randomly at each time step for updating one of the $`w_i`$’s and multiplying it by a random factor $`\lambda (t)`$ extracted at each time from a probability distribution $`\rho (\lambda )`$:

$$w_i(t+1)=\lambda (t)w_i(t),$$
(6)
with the lower cut-off

$$w_i(t+1)q\overline{w}(t).$$
(7)
That is, the updated variable $`w_i(t+1)`$ is constrained to be not smaller than a lower bound $`q\overline{w}(t)`$, i.e.,

$$w_i(t+1)=\mathrm{max}\{w_i(t+1),q\overline{w}(t)\},$$

where $`\overline{w}(t)`$ is the average value calculated at earlier time $`t`$. Note that all the $`w_i`$’s are strictly positive and therefore

$$w_i(t)<W(t)=N\overline{w}(t).$$
(8)
In systems of the type Eqs. (6) and (7), it has been shown Solomon96 ; Malcai99  that even if the system is not stationary the power law Eq. (3) holds, and for given $`N`$ and $`q`$ in the range $`1>q1/\mathrm{ln}N`$, the exponent $`\alpha `$ is given by the relation:

$$\alpha =1/(1q)$$
(9)
Usually in financial applications $`q1/3`$, and then the exponent $`\alpha 1.5`$ within the stable Levy regime.

During our analysis of this section we will take the distribution $`\rho (\lambda )`$ centered around 1:

$$\lambda (t)=1+g(t),$$
(10)
and consisting of just 2 equally probable values

$$g(t)=\pm M.$$
(11)
The conclusions of our analysis are not changed if one assumes an arbitrary distribution $`\rho (\lambda )`$ with finite strictly positive support.

Here we are interested in the distribution of the ”returns” :

$$r(\tau )=[W(t+\tau )W(t)]/W(t)$$
(12)
as a function of the time interval $`\tau `$. The use of the term ”return” in (12) as a measure of the fluctuation in the system is borrowed from the financial applications where $`W(t)`$ is the stock market index and $`r(\tau )`$ is the relative gain/loss one incurs after a time lapse $`\tau `$.

Since the variation of $`W(t)`$ at each time coincides with the variation of the individual $`w_i(t)`$ which happened to be randomly selected for updating by Eq. (6) at time $`t`$, the value of $`r(\tau )`$ as defined in Eq. (12) is the result of a random walk

$$r(\tau )=\underset{k}{}s_i(t+k),$$
(13)
with steps $`s_i(t+k)`$, $`k=0,1,\mathrm{},\tau 1`$ of sizes comment1 :

$$s_i(t+k)=[w_i(t+k+1)w_i(t+k)]/W(t),$$
(14)
which according to Eqs. (6), (10) and (11) is written as:

$$s_i(t+k)=\pm Mw_i(t+k)/W(t).$$
(15)
Therefore, the sizes of the (absolute values of the) individual steps $`s_i(t+k)`$ in the random walk/flight process $`r(\tau )`$ (Eq. (13)) have a probability distribution function similar to Eq. (3) (up to the factor $`M/W`$):

$$S(>s)=[s/s_{min}]^\alpha ,$$
(16)
where $`s_{min}=Mw_{min}/W=Mq/N`$.

### 2.2 Origin of truncation in autocatalytic systems

A crucial fact of the present paper is that the power law distribution Eq. (16) from which the individual steps Eq. (14) composing the random walk $`r(\tau )`$ through Eq. (13) are selected is truncated from above note2 .

Indeed, since $`w_i<W`$ for any $`i`$ as shown in Eq. (8), the individual steps Eq. (14) cannot be larger than the fixed value $`M`$, i.e.

$$S(>M)=0.$$
(17)
Note that this bound in the size of the individual steps of the random walk $`r(\tau )`$ does not depend on the number $`N`$ of participants in the game nor on the exponent $`\alpha `$ of the power law, nor on the lower cut-off $`w_{min}`$. One cannot therefore hope that the effects of this upper bound would somewhat become irrelevant, and as seen below (Eq. (26)), by increasing $`N`$ one can only delay the time

$$\tau _{max}=N^\alpha $$

by which these effects become dominant. Therefore, for finite time intervals $`\tau `$ and infinite $`N`$, the effect of the truncation disappears (together with the vanishing of the amplitude of elementary fluctuations $`|r(1)|<N^{1\alpha }`$ Solomon98 ). In finance, however, we are generically in the opposite limit, e.g. a finite number of traders trading for very long time intervals $`\tau `$ which allow them to perform a total number of elementary trading operations much larger than $`\tau _{max}`$.

Our goal in the sequel will be therefore to follow in detail the process by which the $`\tau =1`$ (truncated at $`r>M`$) power distribution

$$R(>r,1)=S(>r)=[r/s_{min}]^\alpha =[r/(qM/N)]^\alpha $$
(18)
evolves for increasing time interval $`\tau `$, and then approaches the infinite time ($`\tau \tau _{max}`$) Gaussian distribution. We will analyze explicitly $`R(>r,\tau )`$ only for positive $`r`$’s to avoid unnecessary complication. However, the analysis for negative $`r`$ values is very similar.

In fact, for the probability distribution function of returns $`R(>r,\tau )`$ one obtains a symmetric probability density $`R(r,\tau )=dR(>r,\tau )/dr`$ which for $`\tau =1`$ coincides with the $`S(s)=dS(>s)/ds`$ probability density. On a log-log scale the probability density $`\mathrm{ln}R(r,1)`$ vs. $`\mathrm{ln}r`$ is a line ending sharply around $`r=s_{min}`$. We will see that for larger $`\tau `$ values the sharp tip will erode into a flatter ”dome” and the complete/exact vanishing of the distribution at the upper cut-off $`r=M`$ will evolve into a steep but continuous decay.

### 2.3 Power law and truncation for $`\tau <\tau _{max}`$

The probability $`R(>r,\tau )`$ to reach after a $`\tau `$-steps walk a distance $`r`$ or larger is of course a result of the probabilities of the $`\tau `$ individual steps which compose the ”walking”/”traveling”/”flying” Mantegna94  process. Therefore its characteristics depend on the 3 crucial properties of the individual steps distribution $`S(>s)`$ obtained from Eqs. (16)–(18):

1. The great majority of the individual steps $`s_i`$ are of order $`s_{mean}`$ (the average of $`s_i`$) and less, i.e., in the range:

$$s_{min}=qs_{mean}=qM/N<s<2s_{mean}=2M/N.$$
(19)
2. The steps of larger sizes (say larger than $`2s_{mean}`$) are very rare:

$$R(>2M/N,1)(q/2)^\alpha <0.07$$
(20)
(We take $`\alpha 1.5`$ as in real wealth distribution Levy97 ).
3. There are no individual steps in $`r(\tau )`$ of size larger than $`M`$:

$$R(>M,1)=0.$$
(21)

Due to those properties, as one increases the time interval $`\tau `$ from $`1`$, the initial (truncated) power law distribution Eq. (18) $`R(>r,1)=S(>r)`$ is not significantly affected for most of the $`r`$ range. For small $`\tau `$’s, the corrections to the power law are in fact limited only to the lower and upper cut-off regions and are analyzed below.

#### 2.3.1 The low $`r`$ ”dome”-like region

The low $`r`$ region in $`R(>r,\tau )`$ is affected even for small $`\tau >1`$ because there is a large probability that all of the $`\tau `$ steps are of the order $`s_{mean}`$ and lower. Consequently, the probability $`R(>r,\tau )`$ for values $`r<\tau s_{mean}=\tau M/N`$ is not given anymore by the probability $`R(>r,1)=S(>r)`$ of obtaining it through a single step, but rather by a combinatoric sum of probabilities of having $`\tau `$ (small, positive and negative) steps summing up to $`r`$. This is of course very similar to the way one estimates (through Poisson/Binomial expansion) the probability of a distance $`r`$ after a $`\tau `$ steps Gaussian walk. The consequence is a smoothening of the sharp end at $`R(r=0,\tau )`$. This concretizes in the appearance of a ”dome”-like shape in the central region (around $`r=0`$) of the $`R(r,\tau )`$ probability density.

To estimate (the time dependence of) the extent of the ”dome”-like region, we demand that the probability of achieving distances $`r`$ through $`2`$ or more steps is larger than the probability of achieving it through one step. Since $`(\tau S(r/2))^2`$ is the probability of having during $`\tau `$ steps at least $`2`$ steps of sizes at least $`r/2`$, and $`\tau S(r)`$ is the probability of having at least one of the $`\tau `$ steps of size at least $`r`$, the condition describing the ”dome”-like region is:

$$(\tau S(r/2))^2>\tau S(r),$$

which by substituting the power law Eq. (16) for $`S(>s)`$ becomes:

$$\{\tau [r/(2s_{min})]^\alpha \}^2>\tau (r/s_{min})^\alpha ,$$

gives the central dome region:

$$r<4s_{min}\tau ^{1/\alpha }=4qM/N\tau ^{1/\alpha }.$$
(22)
since $`q`$ is in (finance markets) practice not far from $`1/4`$ we denote

$$r_{dome}=s_{mean}\tau ^{1/\alpha }=M/N\tau ^{1/\alpha }$$
(23)
and with this notation, the condition Eq. (22) becomes

$$r<r_{dome}.$$
(24)
Thus, the power law Eq. (18) remains unchanged in the range

$$r_{dome}<r<M,$$
(25)
and the power law region disappears completely when the upper and lower limits of this interval coincide:

$$r_{dome}=M,$$

i.e. (cf Eq. (23) by the time that

$$\tau ^{1/\alpha }M/N=M$$

holds. This gives the maximal time for which one still has a power-like region:

$$\tau _{max}=N^\alpha .$$
(26)
Since the power law region is the crucial feature of the (truncated) Levy distribution, $`\tau _{max}`$ is essentially the maximal time interval for which the returns (12) still maintain a Levy-like probability distribution. Note that this value for $`\tau _{max}`$ agrees with the early estimations of Ref. Mantegna94  based on the scaling $`R(0,\tau )\tau ^{1/\alpha }`$ of the probability distribution peak.

#### 2.3.2 The extremely large $`r>M`$ region

In the upper cut-off region $`r>M`$ the probability distribution function $`R(>r,\tau )`$ is affected by increasing $`\tau `$ from $`1`$ to larger values. Indeed, while values $`r>M`$ are completely disallowed for $`\tau =1`$ because of the truncation Eq. (21), for $`\tau >1`$ one can have $`r`$’s in the range $`M<r<\tau M`$. The probability of obtaining such values of $`r`$ corresponds to the probability of selecting repeatedly for updating (by Eq. (6)) the largest $`w_i`$’s. For instance, the probability of obtaining a value $`r>KM`$ (with $`K`$ a small integer) is roughly the probability of extracting out of the $`\tau `$ steps at least $`2K`$ times steps of size at least $`M/2`$. For $`K<<\tau `$ this is basically the probability of at least one step of size at least $`M/2`$ multiplied by $`\tau `$ and risen at the power $`2K`$:

$`R(>r=KM,\tau )`$ $``$ $`[\tau S(>M/2)]^{2K}`$
$``$ $`[\tau (M/(2s_{min}))^\alpha ]^{2K},`$
which can also be written as

$$R(>r,\tau )\left[\left(\frac{N}{(2q)^\alpha \tau }\right)^2\right]^{r/M},$$
(27)
i.e., $`R(>r,\tau )`$ decays exponentially with $`r`$. Values larger than $`KM`$ are still rigorously disallowed.

To sum up the results for small and moderate intervals $`\tau <\tau _{max}`$: except for the central dome region $`|r|<r_{dome}`$ and the extremely large $`|r|>M`$ region, the probability distribution function $`R(>r,\tau )`$ is similar to the single step probability $`R(>r,1)=S(>r)`$ (Eq. (18)). This is intuitively explained by the fact that the probability to arrive after $`\tau `$ random steps at large (but less than $`M`$) $`r`$ values is dominated by the probability of having a single step of order $`r`$.

The 3 regions above: central dome region $`r<r_{dome}`$, the Levy-like power law region, and the extremely large $`r>M`$ exponential region are the main features of the distribution $`R(>r,\tau )`$ for intervals $`\tau <\tau _{max}`$.

### 2.4 Cross-over for $`\tau >\tau _{max}`$

The time evolution of the $`R(>r,\tau )`$ shape depends on the fact that while the upper cut-off region (beyond which the power law fails) $`r>M`$ is fixed, the ”dome” region expands with $`\tau `$ according to Eq. (23). (Intuitively this is because, as one increases the number of time steps $`\tau `$, one can reach larger values of their sum $`r(\tau )`$ even if each of the individual steps is of order $`\overline{w}`$ or less). As seen above, this leads for intervals $`\tau >\tau _{max}`$ (Eq. (26)) to the disappearance of the intermediate Levy-like power law region in the $`R(>r,\tau )`$ distribution. After this time, the central dome will keep expanding on the expense of the $`r>M`$ cut-off region.

As it expands, the dome will assume a shape closer and closer to a Gaussian. This will be consistent with the central limit theorem as the involved elementary steps will be ultimately distributed on a finite support $`s_{min}<s<M`$ of quite limited extent compared with the $`rM`$ range of values probed by the dome for very large times.

Indeed, for time intervals $`\tau \tau _{max}`$, the probability of many steps of size close to $`M`$ is not negligible. Thus the dynamics consists in a random walk of individual steps of size distributed within the finite support between $`0`$ and $`M`$. The distribution becomes a Gaussian whose expansion is dominated by the largest steps $`M`$. Since there will be roughly one step of size $`M`$ per $`\tau _{max}=N^\alpha `$ interval, the Gaussian width will expand as

$$\sigma (\tau )=M(\tau /\tau _{max})^{1/2}=MN^{\alpha /2}\tau ^{1/2}.$$
(28)
For returns much larger than this, i.e., $`r>\sigma (\tau )`$, the exponential regime Eq. (27) will still survive.

The above results can be verified by the numerical simulations shown below. Moreover, for time interval $`\tau >\tau _{max}`$ but not too large, the power law distribution of returns with exponent well outside the stable Levy regime of $`\alpha <2`$ can be obtained in the simulations, with the exponential cut-off effect.

## 3 Numerical simulations

We have performed the computer simulations of autocatalytic system described by Eqs. (6) and (7), where the random factor $`\lambda `$ is set to uniformly distribute in the range $`0.9<\lambda <1.1`$. In our simulations the number of subsystems $`N=500`$, and the lower bound factor $`q=0.3`$. Thus, according to relation (9), the exponent $`\alpha `$ of the power law distribution of $`w`$ is about $`1.4`$, which has been verified by previous simulations Malcai99 .

Here we numerically study the distribution of the fluctuations or ”returns”

$$r(\tau )=\mathrm{ln}W(t+\tau )\mathrm{ln}W(t)$$
(29)
for different time intervals $`\tau `$, to compare with the above analytic results. Note that in Eq. (29) we use the logarithmic difference for the definition of return, as in usual financial applications, which is approximately the relative change Eq. (12) if the change is small. Note that due to the lower bound $`q\overline{w}`$ (Eq. (7)), in this system $`W(t)`$ has an increasing trend, which makes the return (29) more possible to be positive, especially for large $`\tau `$. Thus, in our simulation results shown below, a maximum at positive finite $`r`$ is obtained for large $`\tau `$ distribution. In general, one could normalize $`W(t)`$ ($`w_i(t)`$) by a value $`\mathrm{exp}(\kappa t/N)`$ with $`\kappa `$ constant, for detrending, and then Eq. (29) would change by a constant: $`r(\tau )r(\tau )\kappa \tau /N`$, which does not influence the statistical properties.

With $`N=500`$ and $`\alpha 1.4`$, we have $`\tau _{max}=N^\alpha 6000`$ from Eq. (26), and the behaviors obtained for small and large $`\tau `$ are different, as shown in Fig. 1 for $`\tau =1`$, $`500`$, and $`12000`$. With the increase of time interval $`\tau `$, the sharp peak of the distribution curve is smeared out into a dome-like shape, similar to the empirical findings of financial markets Gopikrishnan99 .

### 3.1 $`\tau <\tau _{max}`$

The numerical results of probability density $`R(r,\tau )`$ for time intervals $`\tau =1`$ (pluses), $`50`$ (circles), $`200`$ (diamonds) and $`500`$ (stars) are presented in Fig. 2. The measurement was performed after $`t=10^5N`$ updatings, and averaged over $`100`$ runs for $`\tau =1`$ and $`800`$ runs for $`\tau 50`$. The results for $`\tau =1`$ are just what we derive in Sec. 2.2, i.e., a straight line in log-log plot with sharp end, obeying Eq. (18) with $`\alpha `$ about $`1.5`$, and a cut-off for large $`r`$.

For intervals larger than $`1`$, the 3 regions obtained analytically in Sec. 2.3 are clearly shown in the log-log plots of Fig. 2. The first one is the central ”dome”-like region for small $`r`$, with larger extent for larger $`\tau `$, as predicted in Eq. (23). For small interval $`\tau =50`$, the derivative at small $`r`$ is not close to zero, that is, the sharp end persists, while it flattens into the dome for larger intervals of $`200`$ and $`500`$. In the intermediate $`r`$ range, the power law behavior similar to Eq. (18) is presented. For small values of $`\tau `$ ($`200`$ in Fig. 2), the exponent $`\alpha `$ is within the stable Levy regime, that is, $`0<\alpha <2`$, however, for larger $`\tau `$ (say $`500`$) one can obtain the exponent $`\alpha >2`$, which is similar to the phenomenon shown below for $`\tau >\tau _{max}`$.

When the return $`r`$ is large, the deviation from the straight line and the curvature in log-log plot can be observed (see Fig. 2), which is just the cut-off effect described above, that is, the exponential decay for far tail distribution (similar to Eq. (27)).

### 3.2 $`\tau >\tau _{max}`$

The crucial results of this paper are for large time interval $`\tau `$, which corresponds to realistic time scale observed in nature (e.g., financial markets). These results are the consequences of the truncation in this autocatalytic system, as discussed analytically above, and can be compared with those of the real market data.

We have calculated the return distribution for large $`\tau `$: $`12000`$, $`25000`$, and $`50000`$ (averaged over $`1000`$ runs), as shown in Fig. 3. Besides the dome-like shape for small $`r`$, what interests us is the power law region for intermediate and large returns. In this region the exponent $`\alpha `$ is about $`3`$, well beyond the stable Levy regime, but in agreement with the recent observations in real stock market Lux96 ; Gopikrishnan99 .

However, for extremely large returns, i.e., the far tail of the distribution, the exponential cut-off effect still remains, as shown in the bent of the log-log plots in Fig. 3. To see more clearly, we replot Fig. 3 on a semi-log scale to Fig. 4, where the tail of return distribution looks like a straight line, indicating an exponential-type behavior. This exponentially asymptotic decay was not detected in the empirical findings of Lux96  and Gopikrishnan99 , but agrees with the most recent observation in Hong Kong stock market Huang00  as shown in Sec. 4 below.

To see whether this phenomenon of $`\alpha =3`$ power law and exponential cut-off is related to finite size effect or is intrinsic, we perform the simulations for $`N=50`$, and present the result of $`\tau =2500`$ in Fig. 3. The range of power law behavior ($`\alpha 4.5`$ for $`N=50`$) may be slightly shorter than that of the larger system $`N=500`$. Thus, the power law region before the exponential cut-off is expected to extend for large system size ($`N`$), which has been verified by simulations for $`N=5000`$.

For very large $`\tau `$, i.e., $`\tau \tau _{max}`$, the distribution of returns is to approach Gaussian based on the central limit theorem (also expected in Sec. 2.4), which has been found in reality Gopikrishnan99 . In Fig. 3 the result for $`\tau =500000`$ is also shown with the Gaussian-like behavior for not too large $`r`$ value, which exhibits as a parabola in semi-log plot (Fig. 4) note3 . The exponential-type decay is still found in Fig. 4 for extremely large $`r`$ as expected.

## 4 Discussion and conclusion

In finance, the tradings of the various investors $`w_i`$ are performed independently. Therefore, the natural time measure is not the number of operations but the number of operations divided by the number of components $`N`$:

$$T=\tau /N.$$
(30)
Thus, for the power law behavior of large $`\tau `$ ($`500`$, $`12000`$, $`25000`$, and $`50000`$) shown in Figs. 2 and 3 with exponent well outside the Levy regime, the corresponding $`T`$ values are $`1`$, $`24`$, $`50`$, and $`100`$ (for $`N=500`$ in our simulations). Although in real market the time interval between transactions of stocks is irregular, one could estimate from the market transaction data Plerou99  that the unit scale $`T=1`$ here approximately corresponds to several minutes of real time.

It is interesting to compare the results of this autocatalytic system with actual measurements of the stock markets. The power law behavior with exponent $`\alpha `$ about $`3`$ was observed in recent empirical studies on S&P 500 Gopikrishnan99  and German DAX Lux96 , consistent with the results shown in Fig. 3 for intermediate and large returns, but not the exponential cut-off. However, very recently it has been found from the Hang Seng Index (HSI) of Hong Kong Huang00  that the index fluctuations for the first few minutes of daily opening behave very differently from those of the other times, due to much higher influences of exogenous factors at the opening. As shown in Fig. 5, if we skip the data in the first $`20`$ minutes of each trading day, the distribution for 1 minute time interval index move (defined as $`\mathrm{index}(t+\tau )\mathrm{index}(t)`$, with the statistical properties very similar to that of Eq. (29) for the high-frequency regime, e.g., interval $`\tau =1`$ min) exhibits the phenomenon of exponential-type decay Tang00  after the transient $`\alpha =3`$ power law region, in agreement with our simulation results of Figs. 4 and 2 ($`\tau =500`$). Moreover, real markets show the tendency of a crossover towards a Gaussian for long enough times Gopikrishnan99 , which has also been found in our system (see Figs. 3 and 4 for very large interval $`\tau =500000`$ and intermediate $`r`$).

In order to account for the experimentally observed volatility correlations, one may follow Ref. Solomon98  and feed back the absolute market returns (Eq. (29)) into the individual gain factor (6). A possible form is using:

$$\lambda (t)=\mathrm{exp}[r+\eta (r^2r^2)^{1/2}]$$

where the angle brakets indicate averages over the last $`\tau `$ steps and $`\eta `$ is a Gaussian random number of zero mean and unit variance. The numerical results for these more realistic simulations will be presented elsewhere.

In summary, we have shown that the simple random multiplicative model of Ref. Solomon96 , with a lower cut-off, gives many of the properties found in reality and in more complicated models, like e.g. the percolation model Cont00 : power law with effective exponent $`\alpha `$ near 3, rounding of the singularity at zero returns, crossover to Gaussian for long times. We still have to work on implementing volatility clustering, multifractality, lack of up-down and time reversal symmetry, and correlation between traded volume and volatility. Only the original random walk model of Bachelier seems to us simpler than the present model but of the above properties it has only a Gaussian distribution.

###### Acknowledgements.

We thank Dietrich Stauffer for very helpful discussions and comments. Z.F.H. acknowledges the financial support of SFB 341 and computer support of German-Israeli Foundation. One of us (S.S.) would like to acknowledge many discussions over the last years and common research on the subject with O. Biham and O. Malcai.


text:
# Brownian Dynamics of a Sphere Between Parallel Walls

## Abstract

We describe direct imaging measurements of a colloidal sphere’s diffusion between two parallel surfaces. The dynamics of this deceptively simple hydrodynamically coupled system have proved difficult to analyze. Comparison with approximate formulations of a confined sphere’s hydrodynamic mobility reveals good agreement with both a leading-order superposition approximation as well as a more general all-images stokeslet analysis.

Stationary surfaces modify the flow field set up by a moving particle, thereby increasing the particle’s hydrodynamic drag. Calculating this influence remains a vexing problem in all but the simplest geometries because complicated boundary conditions usually render the problem intractible. For example, Faxén derived a single sphere’s hydrodynamic coupling to a rigid planar surface  as early as 1924. Adding a second parallel wall, however, is so much more challenging that a definitive formulation is not yet available. This is particularly unsatisfactory in that many biologically and industrially relevant processes are governed by particles’ dynamics in confined geometries.

This Letter describes measurements of a single colloidal sphere’s diffusion through water in a slit pore formed by two parallel glass surfaces. We use optical tweezers  to position the sphere reproducibly within the sample volume, a slow steady Poisseuille flow to establish its position between the walls, and high-resolution digital video microscopy  to track its motions in the plane. By positioning a test sphere at selected heights within a slit pore, releasing it and tracking its motions, we are able to measure its height-dependent hydrodynamic coupling to parallel bounding surfaces. These measurements agree quantitatively with predictions based on the stokeslet approximation, a tool which is particularly useful for describing many-body hydrodynamic interactions in colloidal suspensions .

Previous imaging  and light-scattering  studies probed confined spheres’ dynamics averaged over the slit pore’s thickness and only indirectly addressed how a sphere’s mobility changes as it moves relative to confining walls. A very recent study combined digital video microscopy with optical tweezer manipulation to measure a sphere’s mobility near the midplane of a slit pore as a function of the slit pore’s width . Its results cast serious doubt on a recently proposed theory for confined Brownian motion , but left open questions regarding a sphere’s dynamics at other, less symmetric configurations.

The present measurements were performed on a single polystyrene sulfate microsphere from a suspension of spheres $`a=1.006\pm 0.010`$ $`\mu \mathrm{m}`$ in radius (Catalog No. 4204A, Duke Scientific) dispersed in an aqueous solution of 2 mM NaCl at $`T=300.66\pm 0.07^{}`$K. The sample was cleaned before resuspension by extensive dialysis against deionized water and then infiltrated into a slit pore of area $`2\mathrm{cm}\times 1\mathrm{cm}`$ and thickness $`H=8`$ $`\mu \mathrm{m}`$ created by sealing the edges of a #1 coverslip to a glass microscope slide with uv cured adhesive (Norland Type 88). Access to the sample volume was provided by two glass tubes bonded to holes drilled through the slide at either end of the longest dimension. All glass surfaces were cleaned thoroughly before assembly to ensure uniform surface properties . Although both the sphere and the glass walls develop large surface charges when immersed in water, the suspension’s high ionic strength reduced the Debye-Hückel screening length to 7 nm and thus minimized electrostatic interactions. Surface separations were always large enough that van der Waals attractions were negligible .

The sample was mounted on the stage of an Olympus IMT-2 inverted optical microscope and imaged with a $`100\times `$ NA 1.4 oil immersion objective lens. Images captured with an attached CCD camera were recorded on a JVC BRU-S822DXU computer-controlled SVHS video deck before being digitized with a MuTech MV-1350 frame grabber. Computerized analysis  of the resulting sequence of digitized images yielded measurements of the colloidal sphere’s position in the microscope’s focal plane with 20 nm spatial resolution at 1/60 sec intervals .

A colloidal sphere diffuses through a Newtonian fluid according to

$$\mathrm{\Delta }r_i^2(\tau )=2D_i(\stackrel{}{r})\tau ,$$
(1)
where $`\mathrm{\Delta }r_i(\tau )`$ is its displacement in the $`i`$-th dimension over time $`\tau `$ and $`D_i(\stackrel{}{r})`$ is the associated diffusion coefficient. Angle brackets indicate an ensemble average. The fluctuation-dissipation theorem relates $`D_i(\stackrel{}{r})`$ to the drag force, $`\gamma _i(\stackrel{}{r})v_i`$, the sphere experiences as it moves past point $`\stackrel{}{r}`$ with speed $`v_i`$: $`D_i(\stackrel{}{r})=k_BT/\gamma _i(\stackrel{}{r})`$. The drag coefficient, $`\gamma _i`$, emerges from the solution to the Stokes equation describing flow at low Reynolds numbers, subject to the surfaces’ no-slip boundary conditions.

For example, a sphere of radius $`a`$ suspended in an unbounded fluid of viscosity $`\eta `$ has an isotropic and translation-invariant drag coefficient, $`\gamma _0=6\pi \eta a`$. The corresponding free self-diffusion coefficient for the spheres in the present study is $`D_0=0.259\pm 0.04\mu \mathrm{m}^2/\mathrm{sec}`$. A sphere passing between two rigid parallel walls, on the other hand, experiences a drag which depends both on its position $`z`$ in the slit and also on its direction of motion. Measuring this dependence requires the ability either to track a sphere’s motion in three dimensions, or else to position the sphere reproducibly within the slit.

We adopted the second approach, using an optical tweezer to place a single sphere in the microscope’s focal plane, releasing it for $`t=5/60`$ sec to measure its diffusivity, and then retrapping it. The optical tweezer was formed by directing a collimated beam of laser light (100 mW at 532 nm) through the objective lens’ back aperture. Optical gradient forces exerted by the tightly converging beam localized the sphere near the focal point despite radiation pressure and random thermal forces. Suddenly deflecting the beam onto a beam block with a galvanometer-driven mirror extinguished the optical trap and freed the particle to diffuse . Residual heating of roughly $`1^{}`$C due to steady-state optical absorption relaxed in a few microseconds through thermal diffusion, and did not affect the sphere’s dynamics on the time scale of our data collection . The galvanometer drive was synchronized to the video camera’s sync signal to ensure that data acquisition began at a reproducible interval after the optical trap was extinguished.

We adjusted the focal plane’s height in 1.0 $`\mu \mathrm{m}`$ increments to sample the diffusivity’s dependence on the sphere’s height in the slit pore. The resulting uncertainty in $`z`$ due to the sphere’s out-of-plane diffusion was smaller than $`\sqrt{2D_0t}=0.2`$ $`\mu \mathrm{m}`$, and so was small compared with both the sphere’s diameter and the separation between walls.

We determined the absolute positions of the glass walls by observing the influence of a steady Poisseuille flow on the particle’s motion. The advected sphere attained a height-dependent drift velocity

$$v_i(z)=\frac{4v_{0,i}}{H^2}(zz_0)(z_0+Hz).$$
(2)
where $`z_0`$ is the position of the lower wall. This drift caused the probability distribution for finding the sphere at position $`\stackrel{}{r}`$ to shift as it broadened with time:

$$P(r_i,\tau |z)=\sqrt{\frac{1}{2\pi \mathrm{\Delta }r_i^2(\tau )}}\mathrm{exp}\left(\frac{[r_ir_i(\tau )]^2}{2\mathrm{\Delta }r_i^2(\tau )}\right),$$
(3)
where $`r_i(\tau )=v_i(z)\tau `$ is the mean displacement in the $`i`$-th direction after time $`\tau `$ given the steady flow in that direction at height $`z`$.

At each tweezer height $`z`$, we collected 3,000 sequences of 5 video fields, yielding 12,000 measurements of $`P(x,\tau |z)`$ and $`P(y,\tau |z)`$ over four 1/60 second intervals. Typical examples at the midplane of the slit pore appear in Fig. 1(a). The peaks’ drifts, plotted in Fig. 1(b), yield components of the drift velocity, $`v_i(z)`$, which appear in Fig. 2. Fitting $`v_i(z)`$ to Eq. (2) for $`v_{0,i}`$, $`H`$, and $`z_0`$, yields $`H=8.16\pm 0.22`$ $`\mu \mathrm{m}`$ and fixes the lower wall’s absolute position to within $`\pm 0.13`$ $`\mu \mathrm{m}`$. Errors primarily reflect the experimental uncertainty of $`\pm 0.25`$ $`\mu \mathrm{m}`$ in the increment between tweezer locations. Without loss of generality, we set $`z_0=0`$ and measure starting heights $`h=zz_0`$ from the lower glass surface.

The evolution of the distributions’ widths over time, shown in Fig. 1(c), can be interpreted with Eq. (1) to obtain the drag-corrected self-diffusion coefficients $`D_i(h)`$ for each height. Results are summarized in Fig. 3. As expected, the in-plane diffusion coefficients measured for motions along and transverse to the imposed flow agree to within 5% at all heights. The sphere’s diffusivity is strongly suppressed near either wall, and falls well below $`D_0`$ even along the midplane.

Faxén’s result for the drag on a sphere near a single wall provides a good starting point for interpreting these observations. His result for the in-plane drag, $`\gamma _1(h)`$,

$$\frac{\gamma _0}{\gamma _1(h)}=1\frac{9}{16}\frac{a}{h}+𝒪\left(\frac{a^3}{h^3}\right)$$
(4)
has been verified to great accuracy using photonic force microscopy in a thick sample cell . Oseen suggested in 1927 that the drag due to two parallel walls could be approximated by a sum of two such single-wall contributions :

$$\gamma _2(h)\gamma _0+[\gamma _1(h)\gamma _0]+[\gamma _1(Hh)\gamma _0].$$
(5)
Even though this linear superposition approximation violates boundary conditions at both bounding surfaces, the corresponding prediction for the in-plane diffusivity, $`D_2(h)=k_BT/\gamma _2(h)`$, agrees quite well with our measurements, with no adjustable parameters, as can be seen in Fig. 3. Higher-order corrections  to $`\gamma _1(h)`$ yield negligibly small corrections to $`D_2(h)`$ and so are not presented.

Faucheux and Libchaber adopted the linear superposition approximation, averaged the resulting in-plane diffusivity over $`h`$, and obtained reasonably good agreement with $`h`$-averaged measurements for various sphere radii . Lin, Yu and Rice further demonstrated linear superposition’s accuracy at $`h=H/2`$ by measuring a sphere’s in-plane and out-of-plane diffusivity near the midplanes of slit pores of various widths .

Regardless of its empirical success, the linear superposition approximation fails to satisfy boundary conditions and so cannot yield accurate predictions under all circumstances. Lobry and Ostrowsky attempted to remedy its shortcomings by accounting for flows’ reflections off bounding surfaces . Considering such corrections up to third order, they obtained results which compare rather poorly with measurements by Lin, Yu and Rice .

Faxén managed to calculate two-wall drag coefficients for the particularly symmetric arrangements $`h=H/4`$ and $`h=H/2`$ . The in-plane results,

$$\frac{\gamma _0}{\gamma _F(h)}=\{\begin{array}{cc}10.6526\frac{a}{h}+0.1475\frac{a^3}{h^3}\hfill & \\ 0.131\frac{a^4}{h^4}0.0644\frac{a^5}{h^5},\hfill & h=\frac{H}{4}\hfill \\ 11.004\frac{a}{h}+0.418\frac{a^3}{h^3}\hfill & \\ +0.21\frac{a^4}{h^4}0.169\frac{a^5}{h^5},\hfill & h=\frac{H}{2}\hfill \end{array}$$
(6)
appear as squares in Fig. 3 and agree well with both Oseen’s approximation and also with our measurements. Unfortunately, Faxén’s method does not work for other configurations.

Another approach, due to Blake , takes advantage of an analogy between hydrodynamics and electrostatics. Rather than attempting to satisfy no-slip boundary conditions at a bounding wall directly, Blake introduced the notion of a hydrodynamic image whose flow field exactly cancels the particle’s on the boundary. Uniqueness of the Stokes equation’s solutions guarantees that the image solution also solves the original problem.

Blake’s treatment yields the Green’s function for a particle’s flow field bounded by a single surface. Accounting for a second parallel surface involves adding not only the particle’s hydrodynamic image in the new surface, but also an infinite series of images of the images. Liron and Mochon  summed this series explicitly for a point force acting on the confined fluid, derived the additional terms needed to cancel residual flows on the surfaces, and thereby obtained the Green’s function, $`G(h\widehat{z}\stackrel{}{r},H)`$, for the flow at $`\stackrel{}{r}`$ due to a disturbance a height $`h`$ above the lower wall in a slit pore of width $`H`$. Integrating their result over the sphere’s surface would yield an accurate though unwieldy expression for $`\gamma (h)`$.

A much simpler solution can be obtained when far field contributions dominate the flows at the bounding surfaces. This is the case when the sphere is much smaller than the gap between the walls, $`aH`$. In this limit, the flow field due to the sphere’s hydrodynamic images is well approximated by the image flow for a point force. Thus, the drag on a sphere centered a height $`h`$ above the lower wall may be approximated by

$$\gamma ^1(h)\gamma _0^1+[G(0,H)G_S(0)],$$
(7)
where $`G_S(0)`$ is the singular contribution due to a unit point force at the sphere’s location, so that the term in square brackets is the flow at the sphere’s location due to the images alone. More generally, $`G_S(\stackrel{}{r})`$ is the Green’s function in an unbounded fluid and is known as a stokeslet. Eq. (7), then, is an example of a stokeslet approximation. Evaluating Eq. (7) using the expressions for $`G(\stackrel{}{r})`$ and $`G_S(\stackrel{}{r})`$ in Equations (5), (15), (32) and (33) of Ref.  yields the in-plane diffusion coefficient

$$\begin{array}{c}\frac{D(h)}{D_0}=1+\frac{3}{4}\frac{a}{H}_0^{\mathrm{}}[A_0(\lambda ,\frac{h}{H})\hfill \\ \hfill \lambda ^2A_1(\lambda ,\frac{h}{H})1]d\lambda ,\end{array}$$
(8)
where

$$A_0(\lambda ,\eta )=2\frac{\mathrm{sinh}(\lambda \eta )\mathrm{sinh}[\lambda (1\eta )]}{\mathrm{sinh}(\lambda )}$$
(9)
is the contribution due to a stokeslet at the sphere’s position together with an infinite series of image stokeslets, and

$$\begin{array}{c}A_1(\lambda ,\eta )=\frac{1}{\mathrm{sinh}^2(\lambda )\lambda ^2}\times \hfill \\ \hfill \{\eta ^2\mathrm{sinh}(\lambda )\mathrm{cosh}[\lambda (12\eta )]\mathrm{sinh}(2\lambda \eta )+\\ \hfill \lambda \eta ^2\mathrm{sinh}^2[\lambda (1\eta )]+\mathrm{coth}(\lambda )\mathrm{sinh}^2(\lambda \eta )\\ \hfill \frac{\lambda }{4}\left[\frac{(2\eta )\mathrm{sinh}(\lambda \eta )\eta \mathrm{sinh}[\lambda (2\eta )]}{\mathrm{sinh}(\lambda )}\right]^2\}\end{array}$$
(10)
enforces the no-flow boundary conditions at the walls. The numerically evaluated result appears as the solid curve in Fig. 3.

Remarkably, the predictions of Eqs. (8), (9) and (10) are indistinguishable from Oseen’s superposition approximation for our experimental conditions, and both agree quantitatively with Faxén’s fifth-order results, Eq. (6). Further comparison with Eq. (6) reveals that the stokeslet approximation becomes increasingly accurate for larger wall separations, while the linear superposition approximation fares less well. For smaller separations, on the other hand, the stokeslet approximation becomes less accurate. Linear superposition performs surprisingly well at small separations, by contrast, particularly if higher order corrections to Eq. (4) are included.

Despite the apparent complexity of Eqs. (8), (9) and (10) when compared with the linear superposition approximation, stokeslet analysis has the appeal of scalability. Under conditions for which the stokeslet approximation is valid, contributions to the diffusivity tensor for a system of spheres can be combined in a straightforward manner , as in Eq. (7). We recently demonstrated this approach’s utility in the comparatively simple case of two spheres near one wall for which linear superposition yields inaccurate predictions . Further demonstrating its accuracy for the much more challenging case of two-wall confinement lends confidence in its potential for systematically treating many-body colloidal hydrodynamics.

We are grateful to Todd Squires and Michael Brenner for introducing us to stokeslet analysis in general and to Ref.  in particular. This research was supported primarily by the National Science Foundation through Award Number DMR-978031. DA was supported in part by The University of Chicago MRSEC REU Program through Award Number DMR-980595. Additional support was provided by the David and Lucile Packard Foundation.


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# Untitled Document

Endomorphisms of hypersurfaces and other manifolds

Arnaud BEAUVILLE

We prove in this note the following result:Theorem$`.`$ A smooth hypersurface $`X`$ of dimension $`n2`$ and degree $`d3`$ admits no endomorphism of degree $`>1`$.

Since the case of quadrics is treated in \[PS\], this settles the question of endomorphisms of hypersurfaces. We prove the theorem in Section 1, using a simple but efficient trick devised by Amerik, Rovinsky and Van de Ven \[ARV\]. In Section 2 we collect some general results on endomorphisms of projective manifolds; we prove in particular that ramified endomorphisms occur only on varieties of Kodaira dimension $`\mathrm{}`$. This leads naturally to ask the existence problem for Fano manifolds; we will settle this question for surfaces.

I am indebted to I. Dolgachev for bringing the problem to my attention.

1. Hypersurfaces

The proof of the theorem is based on the following result, which appears essentially in \[ARV\]: Proposition 1$`.`$ Let $`X`$ be a submanifold of $`𝐏^N`$, of dimension $`n`$, and let $`f:XX`$ be an endomorphism of $`X`$ such that $`f^{}𝒪_X(1)=𝒪_X(m)`$ for some integer $`m2`$. Then

$$c_n(\mathrm{\Omega }_X^1(2)2^n\mathrm{deg}(X).$$

Let us sketch the proof following \[ARV\]. We first observe that the sheaf $`\mathrm{\Omega }_{𝐏^N}^1(2)`$ is spanned by its global sections; therefore $`\mathrm{\Omega }_X^1(2)`$, which is a quotient of $`\mathrm{\Omega }_{𝐏^N}^1(2)_{|X}`$, is also spanned by its global sections. Let $`\sigma `$ be a general section of $`\mathrm{\Omega }_X^1(2)`$; then $`\sigma `$ and its pull-back $`f^{}\sigma H^0(X,\mathrm{\Omega }_X^1(2m))`$ have isolated zeroes \[ARV, lemma 1.1\]. Counting these zeroes gives

$$c_n(\mathrm{\Omega }_X^1(2m))\mathrm{deg}(f)c_n(\mathrm{\Omega }_X^1(2)).$$

Since $`\mathrm{deg}(f)=m^n`$ we get $`c_n(\mathrm{\Omega }_X^1(2))m^nc_n(\mathrm{\Omega }_X^1(2m))`$. Replacing $`f`$ by $`f^k`$ we obtain this inequality for $`m`$ arbitrarily large; therefore

$$c_n(\mathrm{\Omega }_X^1(2))\underset{m\mathrm{}}{lim}m^nc_n(\mathrm{\Omega }_X^1(2m))=2^n\mathrm{deg}(X).\text{ }$$

Proof of the Theorem : We first discuss the case $`n3`$. Then $`b_2(X)=1`$, so that the condition $`f^{}𝒪_X(1)=𝒪_X(m)`$ is automatic. In view of the Proposition we just have to prove that $`c_n(\mathrm{\Omega }_X^1(2)>2^n\mathrm{deg}(X)`$. From the exact sequences

$$\begin{array}{c}\text{ }0\mathrm{\Omega }_{𝐏^{n+1}}^1(2)_{|X}𝒪_X(1)^{n+2}𝒪_X(2)0\text{ }\hfill \\ \text{ }0𝒪_X(2d)\mathrm{\Omega }_{𝐏^{n+1}}^1(2)_{|X}\mathrm{\Omega }_X^1(2)0\text{ }\hfill \end{array}$$

we get $`c(\mathrm{\Omega }_X^1(2))=(1+h)^{n+2}(1+2h)^1(1+(2d)h)^1`$, so that

$$c_n(\mathrm{\Omega }_X^1(2))=dRes_0\omega \mathrm{with}\omega =\frac{(1+x)^{n+2}}{x^{n+1}(1+2x)(1+(2d)x)}$$

Straightforward computations give

$$Res_{\mathrm{}}\omega =\frac{1}{2(d2)}Res_{\frac{1}{2}}\omega =\frac{(1)^{n+1}}{2d}Res_{\frac{1}{d2}}\omega =\frac{(d1)^{n+2}}{d(d2)}\text{,}$$

hence, by the residue theorem,

$$c_n(\mathrm{\Omega }_X^1(2))=\frac{2(d1)^{n+2}d+(1)^n(d2)}{2(d2)}$$

Using $`(d1)^2=d(d2)+1`$ we get $`c_n(\mathrm{\Omega }_X^1(2))>d(d1)^nd\mathrm{\hspace{0.17em}2}^n`$, hence the result in this case.

For the case $`n=2`$, we observe that the result is straightforward when $`K_X`$ is ample or trivial (see Proposition 2 below); therefore it only remains to prove it for cubic surfaces. This can be easily done with the above method, but we will deduce it from the more general case of Del Pezzo surfaces (Proposition 3).

Remark$`.`$ The same method applies (with some work) to complete intersections of multidegree $`(d_1,\mathrm{},d_p)`$ in $`𝐏^{n+p}`$, provided one of the $`d_i`$ is $`3`$. On the other hand it does not work in general for complete intersection of quadrics.

2. Other manifolds

Let $`X`$ be a compact manifold, and let $`f`$ be an endomorphism of $`X`$ degree $`>1`$; by this we mean that $`f`$ is generically finite (or equivalently surjective). If $`X`$ is projective (or more generally Kähler), $`f`$ is actually finite: otherwise it contracts some curve $`C`$ to a point, so that the class of $`[C]`$ in $`H^{}(X,𝐐)`$ is mapped to $`0`$ by $`f_{}`$. This contradicts the following remark:Lemma$`\mathrm{\hspace{0.17em}1}.`$ Let $`d=\mathrm{deg}f`$. The endomorphisms $`f^{}`$ and $`d^1f_{}`$ of $`H^{}(X,𝐐)`$ are inverse of each other.

This follows from the formula $`f_{}f^{}=d\mathrm{Id}`$.

The existence of an endomorphism of degree $`>1`$ has strong implications on the Kodaira dimension of $`X`$:Proposition 2$`.`$ Let $`X`$ be a compact manifold, with an endomorphism $`f`$ of degree $`>1`$.

a) The Kodaira dimension $`\kappa (X)`$ is $`<dim(X)`$.

b) If $`\kappa (X)0`$, $`f`$ is étale.

Proof : a) follows for instance from \[KO\]; let us give the proof for completeness. Consider the pluricanonical maps $`\phi _m:X𝐏(H^0(X,mK_X)`$ associated to the linear systems $`|mK_X|(m1)`$. The pull-back map $`f^{}:H^0(X,mK_X)H^0(X,mK_X)`$ is injective, and therefore bijective; we have a commutative diagram:

$$\begin{array}{cccc}X& \stackrel{\phi _m}{}& 𝐏(H^0(X,mK_X))& \\ f& & 𝐏\left(f^{}\right)& \\ X& \stackrel{\phi _m}{}& 𝐏(H^0(X,mK_X))& .\end{array}$$

In particular, we see that $`f`$ induces an automorphism of $`\phi _m(X)`$. If $`dim\phi _m(X)=`$ $`dimX`$ this implies $`\mathrm{deg}f=1`$.

b) Let $`m`$ be a positive integer such that the linear system $`|mK_X|`$ is non-empty. Let $`F`$ be the fixed divisor of this system, and $`|M|`$ its moving part, so that $`mK_XF+M`$. The Hurwitz formula reads $`K_Xf^{}K_X+R`$, where $`R`$ is the ramification divisor of $`f`$; this gives

$$F+M(f^{}F+mR)+f^{}M.$$

In particular we have $`h^0(f^{}M)h^0(M)=h^0(mK_X)`$; since the pull-back map $`f^{}:H^0(X,M)H^0(X,f^{}M)`$ is injective, we get $`h^0(f^{}M)=h^0(mK_X)`$, which means that $`|f^{}M|`$ is the moving part of $`|mK_X|`$ and $`f^{}F+mR`$ its fixed part. Thus

$$F=f^{}F+mR$$

in the divisor group $`Div(X)`$ of $`X`$. Let $`\nu :Div(X)𝐙`$ be the homomorphism which takes the value 1 on each irreducible divisor. Since $`\nu (f^{}F)\nu (F)`$, the above equality is possible only if $`R=0`$: we conclude that $`f`$ is étale.

Every Kodaira dimension $`<dimX`$ can indeed occur, as shown by the varieties $`V\times A`$, where $`A`$ is an abelian variety. It seems possible that all examples with $`\kappa (X)0`$ are of this type, up to an étale covering and perhaps some birational transformation. We can make this precise for surfaces: Proposition 3$`.`$ Let $`S`$ be a projective surface with $`\kappa (S)0`$, admitting an endomorphism of degree $`>1`$. Then $`S`$ is an abelian surface or a quotient $`(E\times C)/G`$, where $`E`$ is an elliptic curve, $`C`$ a curve of genus $`1`$, and $`G`$ a finite group of automorphisms of $`E`$ and $`C`$ acting freely on $`E\times C`$.

Proof : We first observe that the surface $`S`$ is minimal: if $`E`$ was an exceptional curve on $`S`$, its pull back $`f^1(E)`$ would be a disjoint union of exceptional curves $`E_1,\mathrm{},E_d`$ on $`S`$, with $`d=\mathrm{deg}f`$. These curves would have different classes in $`H^2(S,𝐐)`$ mapping to the same class $`[E]`$ under $`f_{}`$, contrary to Lemma 1.

By Proposition 2, $`f`$ is étale; this implies that the topological Euler number $`e(S)`$ is zero. Also we have $`\kappa (S)=0`$ or $`1`$. In the first case, the classification of surfaces shows that $`S`$ is abelian or bielliptic – that is, of the form $`(E\times C)/G`$ with both $`E`$ and $`C`$ elliptic. If $`\kappa (S)=1`$, $`S`$ admits an elliptic fibration $`SB`$; since $`e(S)=0`$ the fibres of $`f`$ are (possibly multiple) smooth elliptic curves. It is then well-known that $`S`$ is isomorphic to a quotient $`(E\times C)/G`$ (see e.g. \[B\], chap. VI).

Let us now turn to ramified endomorphisms. By Proposition 2 we must consider manifolds with $`\kappa (X)=\mathrm{}`$; a natural place to look at is Fano manifolds. For surfaces we have a complete answer:Proposition 4$`.`$ A Del Pezzo surface $`S`$ admits an endomorphism of degree $`>1`$ if and only if $`K_S^26`$.

Proof : a) A Del Pezzo surface of degree $`6`$ is isomorphic to $`𝐏^1\times 𝐏^1`$ or $`𝐏^2`$ blown up at some of the points $`(1,0,0),(0,1,0),(0,0,1)`$. The first case is trivial; in the second case, the endomorphisms $`(X,Y,Z)(X^p,Y^p,Z^p)`$ of $`𝐏^2`$ extend to the blown up surface.

b) Let us now consider a Del Pezzo surface $`S`$ with an endomorphism $`f:SS`$ of degree $`d>1`$. Let $`E`$ be an exceptional curve on $`S`$, $`F=f(E)`$, and $`\delta `$ the degree of $`f_{|E}:EF`$. We have $`f_{}E=\delta F`$ and therefore $`f^{}F\frac{d}{\delta }E`$ (Lemma 1). Taking squares gives $`F^2=\frac{d}{\delta ^2}`$. Because of the genus formula $`C^2+C.K=2g(C)2`$, the only curves with negative square on a Del Pezzo surface are the exceptional ones. Thus $`F`$ is exceptional, $`d=\delta ^2`$ and $`f^{}F\delta E`$; since the right hand side does not move, this is an equality of divisors. It means that $`f`$ is ramified along $`E`$ with ramification index $`\delta `$. In other words, if we denote by $``$ the (finite) set of exceptional curves on $`S`$ and by $`R`$ the ramification divisor of $`f`$, we have $`R={\displaystyle \underset{E}{}}(\delta 1)E+Z`$, where $`Z`$ is an effective divisor. Intersecting with $`K_S`$ gives

$$K_SR(\delta 1)Card().$$

For each $`E`$ we have $`f^{}K_SE=K_Sf_{}E=\delta K_SF=\delta `$, and therefore $`(f^{}K_S\delta K_S)E=0`$. We can assume that $``$ spans the Picard group of $`S`$ (this holds as soon as $`K_S^27`$), thus $`f^{}K_S\delta K_S`$. Then the Hurwitz formula $`K_Sf^{}K_S+R`$ gives $`R(\delta 1)(K_S)`$, so that the above inequality becomes $`K_S^2Card()`$. This is impossible for $`K_S^25`$, as the surface $`S`$ contains then at least 10 exceptional curves.

For Fano threefolds we know the answer in the case $`b_2=1`$, as a consequence of the more general results of \[A\] and \[ARV\]: the only Fano threefold with $`b_2=1`$ admitting an endomorphism of degree $`>1`$ is $`𝐏^3`$. Their methods apply to some other Fano threefolds, but the general case seems to require new techniques.

REFERENCES

\[A\] E. AMERIK: Maps onto certain Fano threefolds. Doc. Math. 2 (1997), 195–211.

\[ARV\] E. AMERIK, M. ROVINSKY, A. VAN DE VEN: A boundedness theorem for morphisms between threefolds. Ann. Inst. Fourier 49 (1999), 405–415.

\[B\] A. BEAUVILLE: Surfaces algébriques complexes. Astérisque 54 (1978).

\[KO\] S. KOBAYASHI, T. OCHIAI: Meromorphic mappings onto compact complex spaces of general type. Invent. math. 31 (1975), 7–16.

\[PS\] K. PARANJAPE, V. SRINIVAS: Self maps of homogeneous spaces. Invent. math. 98 (1989), 425–444.

Arnaud BEAUVILLE

Laboratoire J.-A. Dieudonné

UMR 6621 du CNRS

UNIVERSITÉ DE NICE

Parc Valrose

F-06108 NICE Cedex 02