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# Fokker-Planck and Langevin Equations from Forward–Backward Path Integral

## I Introduction

In 1963, Feynman and Vernon  set up a path integral for the study of a point particle in a thermal bath of harmonic oscillators. If the particle has a mass $`M`$, moves in a potential $`V(x)`$, and is coupled linearly to a large number of oscillators $`X_i(t)`$ of mass $`M_i`$ and frequency $`\mathrm{\Omega }_i`$, the probability to run from the spacetime point $`x_at_a`$ to $`x_bt_b`$ is given by the forward–backward path

$$|(x_bt_b|x_at_a)|^2=𝒟x_+𝒟x_{}\mathrm{exp}\left\{\frac{i}{\mathrm{}}_{t_a}^{t_b}[\frac{M}{2}(x_+^2x_{}^2)V(x_+)+V(x_{})x_+\underset{i}{}c_iX_+^i+x_{}\underset{i}{}c_iX_{}^i]\right\},$$
(1)
where $`c_i`$ are coupling strengths. The bath oscillators are supposed to be in thermal equilibrium at a temperature $`T`$. This is taken into account by forming the thermal average of the bath oscillators. For a single oscillator, this is done by considering $`c_ix_\pm `$ as external currents $`j_\pm `$ coupled to $`X_\pm `$, and calculating the Gaussian integral

$`Z_0[j_+,j_{}]={\displaystyle 𝑑X_b𝑑X_a(X_b\mathrm{}\beta |X_a0)_\mathrm{\Omega }(X_bt_b|X_at_a)_\mathrm{\Omega }^{j+}(X_bt_b|X_at_a)_\mathrm{\Omega }^j_{}}.`$ (2)
where $`(X_b\mathrm{}\beta |X_a0)_\mathrm{\Omega }`$ is the imaginary-time amplitude

$`(X_b\mathrm{}\beta |X_a0)`$ $`=`$ $`{\displaystyle \frac{1}{\sqrt{2\pi \mathrm{}/M}}}\sqrt{{\displaystyle \frac{\mathrm{\Omega }}{\mathrm{sinh}\mathrm{}\beta }}}\mathrm{exp}\left\{{\displaystyle \frac{1}{2\mathrm{}}}{\displaystyle \frac{M\mathrm{\Omega }}{\mathrm{sinh}\mathrm{}\beta \mathrm{\Omega }}}[(X_b^2+X_a^2)\mathrm{cosh}\mathrm{}\beta \mathrm{\Omega }2X_bX_a]\right\},`$ (3)
and $`(X_bt_b|X_at_a)_\mathrm{\Omega }^j`$ the path integral over the bath oscillator

$`(X_bt_b|X_at_a)_\mathrm{\Omega }^j`$ $`=`$ $`{\displaystyle 𝒟X(t)\mathrm{exp}\left\{\frac{i}{\mathrm{}}_{t_a}^{t_b}𝑑t\left[\frac{M}{2}(\dot{X}^2\mathrm{\Omega }^2X^2)+jX\right]\right\}}`$ (4)
$`=`$ $`e^{(i/\mathrm{})𝒜_{\mathrm{cl},j}}F_{\mathrm{\Omega },j}(t_b,t_a).`$ (5)
with a total classical action

$`𝒜_{\mathrm{cl},j}`$ $`=`$ $`{\displaystyle \frac{1}{2}}{\displaystyle \frac{M\mathrm{\Omega }}{\mathrm{sin}\mathrm{\Omega }(t_bt_a)}}\left[(X_b^2+X_a^2)\mathrm{cos}\mathrm{\Omega }(t_bt_a)2X_bX_a\right]`$ (6)
$`+`$ $`{\displaystyle \frac{1}{\mathrm{sin}\mathrm{\Omega }(t_bt_a)}}{\displaystyle _{t_a}^{t_b}}𝑑t[X_a\mathrm{sin}\mathrm{\Omega }(t_bt)+X_b\mathrm{sin}\mathrm{\Omega }(tt_a)]j(t),`$ (7)
and the fluctuation factor

$`F_{\mathrm{\Omega },j}(t_b,t_a)`$ $`=`$ $`{\displaystyle \frac{1}{\sqrt{2\pi i\mathrm{}/M}}}\sqrt{{\displaystyle \frac{\mathrm{\Omega }}{\mathrm{sin}\mathrm{\Omega }(t_bt_a)}}}`$ (8)
$`\times `$ $`\mathrm{exp}\{{\displaystyle \frac{i}{\mathrm{}M\mathrm{\Omega }\mathrm{sin}\mathrm{\Omega }(t_bt_a)}}{\displaystyle _{t_a}^{t_b}}𝑑t{\displaystyle _{t_a}^t}𝑑t^{}\mathrm{sin}\mathrm{\Omega }(t_bt)\mathrm{sin}\mathrm{\Omega }(t^{}t_a)j(t)j(t^{})\}.`$ (9)
The result of the thermal average in Eq. (2) is

$`Z_0[j_+,j_{}]=\mathrm{exp}\{{\displaystyle \frac{1}{2\mathrm{}}}{\displaystyle }dt{\displaystyle }dt^{}\mathrm{\Theta }(tt^{})`$ (10)
$`\times [(j_+j_{})(t)G^R(t,t^{})(j_++j_{})(t^{})+(j_+j_{})(t)A(t,t^{})(j_+j_{})(t^{})],\}`$ (11)
where $`A(t,t^{})`$ and $`G^R(t,t^{})`$ are the expectation values $`\{\widehat{X}(t),\widehat{X}(t^{})\}`$ and $`\mathrm{\Theta }(tt^{})\widehat{[}\widehat{X}(t),\widehat{X}(t^{})]`$ in operator language. The are real and imaginary parts of the time-ordered Green function and $`G(t,t^{})=\mathrm{\Theta }(tt^{})\widehat{T}\widehat{X}(t),\widehat{X}(t^{})`$:

$$G(t,t^{})=A(t,t^{})+G^R(t,t^{})=\frac{\mathrm{}}{2M\mathrm{\Omega }}\frac{\mathrm{cosh}{\displaystyle \frac{\mathrm{\Omega }}{2}}\left[\mathrm{}\beta i(tt^{})\right]}{\mathrm{sinh}{\displaystyle \frac{\mathrm{}\mathrm{\Omega }\beta }{2}}},t>t^{}..$$
(12)
which is the analytic continuation of the periodic imaginary-time Green function to $`\tau =it`$.

The thermal average of the probability (1) is then given by the forward–backward path integral

$`|(x_bt_b|x_at_a)|^2`$ $`=`$ $`{\displaystyle 𝒟x_+(t)𝒟x_{}(t)}`$ (13)
$`\times `$ $`\mathrm{exp}\left\{{\displaystyle \frac{i}{\mathrm{}}}{\displaystyle _{t_a}^{t_b}}𝑑t\left[{\displaystyle \frac{M}{2}}(\dot{x}_{+}^{}{}_{}{}^{2}\dot{x}_{}^{}{}_{}{}^{2})(V(x_+)V(x_{}))\right]+{\displaystyle \frac{i}{\mathrm{}}}𝒜^{\mathrm{FV}}[x_+,x_{}]\right\}.`$ (14)
where $`\mathrm{exp}i𝒜^{\mathrm{FV}}[x_+,x_{}]/\mathrm{}`$ is the Feynman-Vernon influence functional defined by

$`Z_0^\mathrm{b}[x_+,x_{}]\mathrm{exp}\left\{i𝒜^{\mathrm{FV}}[x_+,x_{}]/\mathrm{}\right\}\mathrm{exp}\left\{i𝒜_D^{\mathrm{FV}}[x_+,x_{}]/\mathrm{}+i𝒜_F^{\mathrm{FV}}[x_+,x_{}]/\mathrm{}\right\}`$ (15)
$`=`$ $`\mathrm{exp}\left\{{\displaystyle \frac{1}{2\mathrm{}}}{\displaystyle 𝑑t𝑑t^{}\mathrm{\Theta }(tt^{})\left[(x_+x_{})(t)G_\mathrm{b}^A(t,t^{})(x_++x_{})(t^{})+(x_+x_{})(t)A_\mathrm{b}(t,t^{})(x_+x_{})(t^{})\right]}\right\}.`$ (16)
with $`G_\mathrm{b}^A(t,t^{})`$ and $`A_\mathrm{b}(t,t^{})`$ being commutator and anticommutator functions of the bath. The first and second parts of the exponents have been distinguished as dissipative and fluctuating parts $`𝒜_D^{\mathrm{FV}}[x_+,x_{}]`$ and $`𝒜_F^{\mathrm{FV}}[x_+,x_{}]`$ of of the effective influence action $`𝒜^{\mathrm{FV}}[x_+,x_{}]`$.

The bath functions $`G_\mathrm{b}^A(t,t^{})`$ and $`A_\mathrm{b}(t,t^{})`$ are sums of correlation functions of the individual oscillators of mass $`M_i`$ frequency $`\mathrm{\Omega }_i`$, each contributing with a weight $`c_i^2`$. Thus we may write

$`G_\mathrm{b}^A(t,t^{})`$ $`=`$ $`\mathrm{\Theta }(t^{}t){\displaystyle \underset{i}{}}c_i^2[\widehat{X}_i(t),\widehat{X}_i(t^{})]_\rho =\mathrm{}{\displaystyle _{\mathrm{}}^{\mathrm{}}}{\displaystyle \frac{d\omega ^{}}{2\pi }}\sigma _\mathrm{b}(\omega ^{})i\mathrm{sin}\omega ^{}(tt^{}),`$ (17)
$`A_\mathrm{b}(t,t^{})`$ $`=`$ $`{\displaystyle \underset{i}{}}c_i^2\{\widehat{X}_i(t),\widehat{X}_i(t^{})\}_\rho =\mathrm{}{\displaystyle _{\mathrm{}}^{\mathrm{}}}{\displaystyle \frac{d\omega }{2\pi }}\sigma _\mathrm{b}(\omega ^{})\mathrm{coth}{\displaystyle \frac{\mathrm{}\omega ^{}}{2k_BT}}\mathrm{cos}\omega ^{}(tt^{}),`$ (18)
where $`\sigma _\mathrm{b}(\omega ^{})`$ is the spectral density of the bath

$$\sigma _\mathrm{b}(\omega ^{})2\pi \underset{i}{}\frac{c_i^2}{2M_i\mathrm{\Omega }_i}[\delta (\omega ^{}\mathrm{\Omega }_i)\delta (\omega ^{}+\mathrm{\Omega }_i)]$$
(19)
For a discussion of the properties of the influence functional, we introduce an auxiliary retarded function

$$\gamma (tt^{})\mathrm{\Theta }(tt^{})\frac{1}{M}_{\mathrm{}}^{\mathrm{}}\frac{d\omega }{2\pi }\frac{\sigma (\omega )}{\omega }e^{i\omega (tt^{})},$$
(20)
and write

$$G_\mathrm{b}^R(t,t^{})=i\mathrm{}M\dot{\gamma }(tt^{})+i\mathrm{\Delta }\omega ^2\delta (tt^{})$$
(21)
with

$$M\mathrm{\Delta }\omega ^2_{\mathrm{}}^{\mathrm{}}\frac{d\omega ^{}}{2\pi }\frac{\sigma _\mathrm{b}(\omega ^{})}{\omega ^{}}=\underset{i}{}\frac{c_i^2}{M_i\omega _i^2}.$$
(22)
Inserting the first term in the decomposition (21) into (16), the dissipative part of the influence functional can be integrated by parts in $`t^{}`$ and becomes

$`𝒜_D^{\mathrm{FV}}[x_+,x_{}]`$ $`=`$ $`{\displaystyle \frac{M}{2}}{\displaystyle _{t_a}^{t_b}}𝑑t{\displaystyle _{t_a}^{t_b}}𝑑t^{}(x_+x_{})(t)\gamma (t^{}t)(\dot{x}_++\dot{x}_{})(t^{})`$ (24)
$`+{\displaystyle \frac{M}{2}}{\displaystyle _{t_a}^{t_b}}𝑑t(x_+x_{})(t)\gamma (t_bt)(x_++x_{})(t_a).`$
The $`\delta `$-function in (21) contributes to $`𝒜_C^{\mathrm{FV}}[x_+,x_{}]`$ a term

$`\mathrm{\Delta }𝒜_{\mathrm{loc}}[x_+,x_{}]={\displaystyle \frac{M}{2}}{\displaystyle _{t_a}^{t_b}}𝑑t\mathrm{\Delta }\omega ^2(x_+^2x_{}^2)(t),`$ (25)
which may simply be absorbed into the potential terms in the path integral (14) renormalizing them to

$`{\displaystyle \frac{i}{\mathrm{}}}{\displaystyle _{t_a}^{t_b}}𝑑t\left[V_{\mathrm{ren}}(x_+)V_{\mathrm{ren}}(x_{})\right],`$ (26)
The odd bath function $`\sigma _\mathrm{b}(\omega ^{})`$ can be expanded in a power series with only odd powers of $`\omega ^{}`$. The lowest approximation

$$\sigma _\mathrm{b}(\omega ^{})2M\gamma \omega ^{},$$
(27)
describes Ohmic dissipation with some friction constant $`\gamma `$. For frequencies much larger than the atomic relaxation rates, the friction goes to zero. This behavior is modeled by the Drude form of the spectral function

$$\sigma (\omega ^{})2M\gamma \omega ^{}\frac{\omega _D^2}{\omega _D^2+\omega ^{}^2}.$$
(28)
Inserting this into Eq. (20), we obtain the Drude form of the function $`\gamma (t)`$:

$$\gamma _D^R(t)\mathrm{\Theta }(t)\gamma \omega _De^{\omega _D|t|}.$$
(29)
The superscript emphasizes the retarded nature. This can also be written as a Fourier integral

$$\gamma _D(t)=_i\mathrm{}^{\mathrm{}}\frac{d\omega }{2\pi }\gamma _D(\omega )e^{i\omega t},$$
(30)
with the Fourier components

$$\gamma _D^R(\omega ^{})=\gamma \frac{i\omega _D}{\omega ^{}+i\omega _D}.$$
(31)
The position of the pole in the lower half-plane ensures the retarded nature of the friction term by producing the Heaviside function in (29).

In the Ohmic limit (27), the dissipative part of the influence functional simplifies. Then $`\gamma (t)`$ becomes narrowly peaked at positive $`t`$ may be expressed in terms of a left-sided $`\delta `$-function as

$$\gamma (t)2\gamma \delta ^R(t),$$
(32)
whose superscript $`R`$ indicates the retarded asymmetry of the $`\delta `$-function, which has the property that

$$𝑑t\mathrm{\Theta }(t)\delta ^R(t)=1.$$
(33)
With this, (24) becomes a local action

$`𝒜_D^{\mathrm{FV}}[x_+,x_{}]={\displaystyle \frac{M}{2}}\gamma {\displaystyle _{t_a}^{t_b}}𝑑t(x_+x_{})(\dot{x}_++\dot{x}_{})^R{\displaystyle \frac{M}{2}}\gamma (x_+^2x_{}^2)(t_a).`$ (34)
The right-sided nature of the $`\delta `$-function causes an infinitesimal negative shift in the time argument of the velocities $`(\dot{x}_++\dot{x}_{})(t)`$ with respect to the factor $`(x_+x_{})(t)`$, indicated by the superscript $`R`$. It expresses the causality of the friction forces and will be seen to be crucial in producing a probability conserving time evolution of the probability distribution.

The second term changes only the curvature of the effective potential at the initial time, and can be ignored. In the first term it is important to observe that the retarded nature of the dissipative term and of the function $`\gamma (t)`$ in (20) ensures that the velocity term $`(\dot{x}_++\dot{x}_{})(t)`$ lies before $`(x_+x_{})(t)`$ in a time-sliced path integral. This ensures the causality of the friction forces.

It is useful to incorporate the slope information (27) also into the bath correlation function $`A_\mathrm{b}(t,t^{})`$ in (18), and factorize it as

$`A_\mathrm{b}(t,t^{})=2M\gamma k_BTK(t,t^{}),`$ (35)
where

$`K(t,t^{})=K(tt^{})`$ $``$ $`{\displaystyle \frac{1}{2M\gamma k_BT}}{\displaystyle \underset{i}{}}c_i^2\{\widehat{X}_i(t),\widehat{X}_i(t^{})\}_\rho `$ (36)
$`=`$ $`{\displaystyle _{\mathrm{}}^{\mathrm{}}}{\displaystyle \frac{d\omega ^{}}{2\pi }}K(\omega ^{})e^{i\omega ^{}(tt^{})},`$ (37)
with Fourier transform

$`K(\omega ^{}){\displaystyle \frac{1}{2M\gamma }}{\displaystyle \frac{\sigma (\omega ^{})}{\omega ^{}}}{\displaystyle \frac{\mathrm{}\omega ^{}}{2k_BT}}\mathrm{coth}{\displaystyle \frac{\mathrm{}\omega ^{}}{2k_BT}},`$ (38)
which in the limit of a purely Ohmic dissipation simplifies to

$`K(\omega ^{})=K^{\mathrm{Ohm}}(\omega ^{}){\displaystyle \frac{\mathrm{}\omega ^{}}{2k_BT}}\mathrm{coth}{\displaystyle \frac{\mathrm{}\omega ^{}}{2k_BT}}.`$ (39)
The function $`K(\omega ^{})`$ has the normalization $`K(0)=1`$, giving $`K(tt^{})`$ a unit temporal area:

$$_{\mathrm{}}^{\mathrm{}}𝑑tK(tt^{})=1.$$
(40)
In the classical limit $`\mathrm{}0`$,

$$K(\omega ^{})=\frac{\omega _D^2}{\omega ^2+\omega _D^2},$$
(41)
and

$$K(tt^{})=\frac{1}{2\omega _D}e^{\omega _D(tt^{})}.$$
(42)
In the limit of Ohmic dissipation, this becomes a $`\delta `$-function. Thus $`K(tt^{})`$ may be viewed as a $`\delta `$-function broadened by quantum fluctuations and relaxation effects.

With the function $`K(t,t^{})`$, the fluctuation part of the influence functional in (15), (16), (14) becomes

$$𝒜_F^{\mathrm{FV}}[x_+,x_{}]=i\frac{M\gamma k_BT}{\mathrm{}}_{t_a}^{t_b}𝑑t_{t_a}^{t_b}𝑑t^{}(x_+x_{})(t)K(t,t^{})(x_+x_{})(t^{}).$$
(43)
Here we have used the symmetry of the function $`K(t,t^{})`$ to remove the Heaviside function $`\mathrm{\Theta }(tt^{})`$ from the integrand, extending the range of $`t^{}`$-integration to the entire interval $`(t_a,t_b)`$.

In the Ohmic limit, the probability of the particle to move from $`x_at_a`$ to $`x_bt_b`$ is given by the path integral

$`|(x_bt_b|x_at_a)|^2`$ $`=`$ $`{\displaystyle 𝒟x_+(t)𝒟x_{}(t)}`$ (44)
$`\times `$ $`\mathrm{exp}\left\{{\displaystyle \frac{i}{\mathrm{}}}{\displaystyle _{t_a}^{t_b}}𝑑t\left[{\displaystyle \frac{M}{2}}(\dot{x}_{+}^{}{}_{}{}^{2}\dot{x}_{}^{}{}_{}{}^{2})(V(x_+)V(x_{}))\right]\right\}`$ (45)
$`\times `$ $`\mathrm{exp}\{i{\displaystyle _{t_a}^{t_b}}dt{\displaystyle \frac{M\gamma }{2\mathrm{}}}(x_+x_{})(t)(\dot{x}_++\dot{x}_{})^R(t)`$ (47)
$`{\displaystyle \frac{M\gamma k_BT}{\mathrm{}^2}}{\displaystyle _{t_a}^{t_b}}dt{\displaystyle _{t_a}^{t_b}}dt^{}(x_+x_{})(t)K(t,t^{})(x_+x_{})(t^{})\}.`$
This is the closed-time path integral of a particle in contact with a thermal reservoir.

The paths $`x_+(t),x_{}(t)`$ may also be associated with a forward and a backward movement of the particle in time. For this reason, (47) is also called a forward–backward path integral. The hyphen is pronounced as minus, to emphasize the opposite signs in the partial actions.

It is now convenient to change integration variables and go over to average and relative coordinates of the two paths $`x_+`$, $`x_{}`$:

$`x`$ $``$ $`(x_++x_{})/2,`$ (48)
$`y`$ $``$ $`x_+x_{}.`$ (49)
Then (47) becomes

$`|(x_bt_b|x_at_a)|^2`$ $`=`$ $`{\displaystyle }𝒟x(t){\displaystyle }𝒟y(t)\mathrm{exp}\{{\displaystyle \frac{i}{\mathrm{}}}{\displaystyle _{t_a}^{t_b}}dt[M(\dot{y}\dot{x}+\gamma y\dot{x}^R)+V(x+{\displaystyle \frac{y}{2}})V(x{\displaystyle \frac{y}{2}})]`$ (51)
$`{\displaystyle \frac{M\gamma k_BT}{\mathrm{}^2}}{\displaystyle _{t_a}^{t_b}}dt{\displaystyle _{t_a}^{t_b}}dt^{}y(t)K(t,t^{})y(t^{})\}.`$
## II Fokker-Planck Equation

At high-temperatures, the Fourier transform of the Kernel $`K(t,t^{})`$ in Eq. (39) tends to unity such that $`K(t,t^{})`$ becomes a $`\delta `$-function, and the bath correlation function (35) becomes approximately

$`A_\mathrm{b}(t,t^{}){\displaystyle \frac{1}{\mathrm{}}}w\delta (tt^{}),`$ (52)
where we have introduced the constant proportional to the temperature:

$$w2M\gamma k_BT,$$
(53)
which is related to the so-called diffusion constant

$$Dk_BT/M\gamma $$
(54)
by

$$w=2\gamma ^2M^2D/T.$$
(55)
Then the path integral (51) for the probability distribution of a particle coupled to a thermal bath simplifies to

$`P(x_bt_b|x_at_a)|(x_bt_b|x_at_a)|^2={\displaystyle }𝒟x(t){\displaystyle }𝒟y(t)`$ (57)
$`\times \mathrm{exp}\left\{{\displaystyle \frac{i}{\mathrm{}}}{\displaystyle _{t_a}^{t_b}}𝑑ty[M\ddot{x}+M\gamma \dot{x}^R+V^{}(x)]{\displaystyle \frac{w}{2\mathrm{}^2}}{\displaystyle _{t_a}^{t_b}}𝑑ty^2\right\}.`$
The superscript $`R`$ records the infinitesimal backward shift of the time argument as in Eq. (34). The $`y`$-variable can be integrated out, and we obtain

$`P(x_bt_b|x_at_a)={\displaystyle 𝒟x(t)\mathrm{exp}\left\{\frac{1}{2w}_{t_a}^{t_b}𝑑t[M\ddot{x}+M\gamma \dot{x}^R+V^{}(x)]^2\right\}}.`$ (58)
This looks like a euclidean path integral associated with the Lagrangian

$$L_\mathrm{e}=\frac{1}{2w}[M\ddot{x}+M\gamma \dot{x}+V^{}(x)]^2.$$
(59)
The solution of such path integrals with squares of second time derivatives in the Lagrangian is given in Ref. . The result will, however, be different, due to time-ordering of the $`\dot{x}^R`$-term.

Apart from this, the Lagrangian is not of the conventional type since it involves a second time derivative. The action principle $`\delta 𝒜=0`$ now yields the Euler-Lagrange equation

$$\frac{L}{x}\frac{d}{dt}\frac{L}{\dot{x}}+\frac{d^2}{dt^2}\frac{L}{\ddot{x}}=0.$$
(60)
This equation can also be derived via the usual Lagrange formalism by considering $`x`$ and $`\dot{x}`$ as independent generalized coordinates $`x`$, $`v`$.

## III Canonical Path Integral for Probability Distribution

It is well-known that a path integral satisfies a Schrödinger type of equation. For the path integral (58) this is known as a Fokker-Planck equation. The relation is established (see the textbook ) by rewriting the path integral in canonical form. Treating $`v=\dot{x}`$ as an independent dynamical variable, the canonical momenta of $`x`$ and $`v`$ are (see Section 17.3 of the textbook Ref.)

$`p`$ $`=`$ $`i{\displaystyle \frac{L}{\dot{x}}}=i{\displaystyle \frac{M\gamma }{w}}[M\ddot{x}+M\gamma \dot{x}+V^{}(x)]`$ (62)
$`=i{\displaystyle \frac{M\gamma }{w}}[M\dot{v}+M\gamma v+V^{}(x)],`$
$`p_v`$ $`=`$ $`i{\displaystyle \frac{L}{\ddot{x}}}={\displaystyle \frac{1}{\gamma }}p.`$ (63)
The Hamiltonian is given by the Legendre transform

$`H(p,p_v,x,v)`$ $`=`$ $`L_\mathrm{e}(\dot{x},\ddot{x}){\displaystyle \underset{i=1}{\overset{2}{}}}{\displaystyle \frac{L_\mathrm{e}}{\dot{x}_i}}\dot{x}_i`$ (64)
$`=`$ $`L_\mathrm{e}(v,\dot{v})+ipv+ip_v\dot{v},`$ (65)
where $`\dot{v}`$ has to be eliminated in favor of $`p_v`$ using (63). This leads to

$$H(p,p_v,x,v)=\frac{w}{2M^2}p_v^2ip_v[\gamma v+\frac{1}{M}V^{}(x)]+ipv.$$
(66)
The the canonical path integral representation for the probability reads therefore

$`P(x_bt_b|x_at_a)={\displaystyle 𝒟x\frac{𝒟p}{2\pi }𝒟v\frac{𝒟p_v}{2\pi }}`$ (68)
$`\times \mathrm{exp}\left\{{\displaystyle _{t_a}^{t_b}}𝑑t\left[i(p\dot{x}+p_v\dot{v})H(p,p_v,x,v)\right]\right\}.`$
It is easy to verify that the path integral over $`p`$ enforces $`v\dot{x}\dot{x}`$, after which the path integral over $`p_v`$ leads back to the initial expression (58). We may keep the auxiliary variable $`v(t)`$ as an independent fluctuating quantity in all formulas and decompose the probability $`P(x_bt_b|x_at_a)`$ with respect to the content of $`v`$ as an integral

$$P(x_bt_b|x_at_a)=_{\mathrm{}}^{\mathrm{}}𝑑v_b_{\mathrm{}}^{\mathrm{}}𝑑v_aP(x_bv_bt_b|x_av_at_a).$$
(69)
The more detailed probability on the right-hand side has the path integral representation

$`P(x_bv_bt_b|x_av_at_a)=|(x_bv_bt_b|x_av_at_a)|^2={\displaystyle }𝒟x{\displaystyle }{\displaystyle \frac{𝒟p}{2\pi }}{\displaystyle }𝒟v{\displaystyle }{\displaystyle \frac{𝒟p_v}{2\pi }}`$ (70)
$`\times \mathrm{exp}\left\{{\displaystyle _{t_a}^{t_b}}𝑑t[i(p\dot{x}+p_v\dot{v})H(p,p_v,x,v)]\right\},`$ (71)
where the end points of $`v`$ are now kept fixed at $`v_b=v(t_b)`$, $`v_a=v(t_a)`$.

We now use the relation between a canonical path integral and the Schrödinger equation to conclude that the probability distribution (71) satisfies the Schrödinger-like differential equation:***See the review paper by S. Chandrasekhar, Rev. Mod. Phys. 15, 1 (1943).

$$H(\widehat{p},\widehat{p}_v,x,v)P(xvt_b|x_av_at_a)=_tP(xvt|x_av_at_a).$$
(72)
This is the Fokker-Planck equation in the presence of inertial forces.

At this place we note that when going over from the classical Hamiltonian (66) to the Hamiltonian operator in the differential equation (72) there is an operator ordering problem. When writing down Eq. (72) we do not know in which order the momentum $`p_v`$ must stand with respect to $`v`$. If we were dealing with an ordinary functional integral in (58) we would know the order. It would be found as in the case of the electromagnetic interaction to by symmetric: $`(\widehat{p}_v\widehat{v}+\widehat{v}\widehat{p}_v)/2`$.

On physical grounds, it is easy to guess the correct order The differential equation (72) has to conserve the total probability $`𝑑x𝑑vP(xvt_b|x_av_at_a)`$ for all times $`t`$. This is guaranteed if all momenta stand to the left of all coordinates in the Hamiltonian operator. Indeed, integrating the Fokker-Planck equation (72) over $`x`$ and $`v`$, only a left-hand position of the momentum operators leads to a vanishing integral, and thus to a time independent total probability. We suspect that this order must be derivable from the retarded nature of the velocity in the term $`y\dot{x}^R`$ in (57). The proof that this is so is the essential point of this paper, by which it goes beyond an earlier treatment of this subject in Ref. .

## IV Solving the Operator Ordering Problem

Since the ordering problem in the Hamiltonian operator associated with (66) does not involve the potential $`V(x)`$, we study this problem most simply by considering the free Hamiltonian

$$H_0(p,p_v,x,v)=\frac{w}{2M^2}p_v^2i\gamma p_vv+ipv.$$
(73)
which is associated with the Lagrangian path integral

$`P_0(x_bt_b|x_at_a){\displaystyle 𝒟x(t)\mathrm{exp}\left\{\frac{1}{2w}_{t_a}^{t_b}𝑑t[M\ddot{x}+M\gamma \dot{x}^R]^2\right\}}.`$ (74)
We furthermore may concentrate on the probability with $`x_b=x_a=0`$, and assume $`t_bt_a`$ to be very large. Then the frequencies of all Fourier decompositions are continuous.

Forgetting for a moment the retarded nature of the velocity $`\dot{x}`$, the Gaussian path integral can immediately be done and yields

$`P_0(0t_b|0t_a)`$ $``$ $`\mathrm{Det}^1(_t^2\gamma _t)`$ (75)
$``$ $`\mathrm{exp}[(t_bt_a){\displaystyle _{\mathrm{}}^{\mathrm{}}}{\displaystyle \frac{d\omega }{2\pi }}\mathrm{log}(\omega ^{}{}_{}{}^{2}i\gamma \omega ^{})].`$ (76)
The integral can be evaluated in analytic regularization according to the rule

$$_{\mathrm{}}^{\mathrm{}}\frac{d\omega ^{}}{2\pi }\mathrm{log}(\omega ^{}\pm i\gamma )=\frac{|\gamma |}{2},$$
(77)
which follows directly by integrating in $`\gamma `$ the symmetric decomposition of the integral $`𝑑\omega ^{}/(\omega ^2+\gamma ^2)=\pi /|\gamma |`$. Hence we obtain for the functional determinant in (76):

$`\mathrm{Det}(_t^2\gamma _t)`$ $`=`$ $`\mathrm{Det}(i_t)\mathrm{Det}(i_ti\gamma )=\mathrm{exp}\left[\mathrm{Tr}\mathrm{log}(i_t)+\mathrm{Tr}\mathrm{log}(i_ti\gamma )\right]`$ (78)
$`=`$ $`\mathrm{exp}\left[(t_bt_a){\displaystyle \frac{\gamma }{2}}\right]`$ (79)
and thus

$`P_0(0t_b|0t_a)`$ $``$ $`\mathrm{exp}\left[(t_bt_a){\displaystyle \frac{\gamma }{2}}\right],`$ (80)
This corresponds to an energy $`\gamma /2`$ and an ordering $`i\gamma (\widehat{p}_vv+v\widehat{p}_v)/2`$ in the Hamilton operator.

We now take the retarded time argument of $`\dot{x}^R`$ into account. Specifically, we replace the term $`\gamma y\dot{x}^R`$ in (74) by $`𝑑t𝑑t^{}y\gamma _D^R(tt^{})x(t)`$ containing the retarded Drude function (29) of the friction. The the frequency integral in (76) becomes

$$_{\mathrm{}}^{\mathrm{}}\frac{d\omega }{2\pi }\mathrm{log}\left(\omega ^{}{}_{}{}^{2}\gamma \frac{\omega ^{}\omega _D}{\omega ^{}+i\omega _D}\right)=_{\mathrm{}}^{\mathrm{}}\frac{d\omega }{2\pi }[\mathrm{log}(\omega ^{}+i\omega _D)+\mathrm{log}(\omega ^{}{}_{}{}^{2}+i\omega _D\gamma \omega ^{}\omega _D)],$$
(81)
where we have omitted a vanishing integral over $`\mathrm{log}\omega ^{}`$ by (77). We now use (77) to find

$$_{\mathrm{}}^{\mathrm{}}\frac{d\omega }{2\pi }[\mathrm{log}(\omega ^{}+i\omega _D)+\mathrm{log}(\omega ^{}{}_{}{}^{2}+i\omega ^{}\omega _D\gamma \omega _D)]=\frac{|\omega _D|}{2}+\frac{|\omega _1|}{2}+\frac{|\omega _2|}{2},$$
(82)
where $`i\omega _{12}`$ are the solutions of the quadratic equation

$$\omega ^{}{}_{}{}^{2}+i\omega _D\gamma \omega ^{}\omega _D=0.$$
(83)
For a large Drude frequency $`\omega _D`$, they are given by

$$\omega _1=\omega _D\gamma ,\omega _2=\gamma .$$
(84)
Inserting these into (82) we find a vanishing integral rather than $`\gamma `$ in (80), and thus a functional determinant

$$\mathrm{Det}(_t^2\gamma _t^R)=\mathrm{exp}\left[\mathrm{Tr}\mathrm{log}(_t^2\gamma _t^R)\right]=1,$$
(85)
instead of (79). The notation $`\gamma _t^R`$ symbolizes now the specific retarded functional matrix a la Drude with a large $`\omega _D`$:

$$\gamma _t^R(t,t^{})𝑑t^{\prime \prime }\gamma _D^R(tt^{\prime \prime })_{t^{\prime \prime }}\delta (t^{\prime \prime }t^{}).$$
(86)
With the determinant (85), the probability becomes a constant

$`P_0(0t_b|0t_a)=\mathrm{const},`$ (87)
This shows that the retarded nature of the friction force has subtracted an energy $`\gamma /2`$ from the energy in (80). With the ordinary path integral corresponding to a Hamilton operator with a symmetrized term $`i(\widehat{p}_v\widehat{v}+\widehat{v}\widehat{p}_v)/2`$, the subtraction of $`\gamma /2`$ has changed this to $`i\gamma \widehat{p}_v\widehat{v}`$.

Note that the opposite case of an advanced velocity term $`\dot{x}^A`$ in (74) would be approximated by a Drude function $`\gamma _D^A(t)`$ which looks just like $`\gamma _D^R(t)`$ in (31), but with negative $`\omega _D`$. The right-hand side of (82) becomes now $`2\gamma `$ rather than zero, The corresponding formula for the functional determinant is

$$\mathrm{Det}(_t^2\gamma _t^A)=\mathrm{exp}\left[\mathrm{Tr}\mathrm{log}(_t^2\gamma _t^A)\right]=\mathrm{exp}\left[(t_bt_a)\gamma \right],$$
(88)
where $`\gamma _t^A`$ stands for the advanced version of the functional matrix (86) in which $`\omega _D`$ is replaced by $`\omega _D`$. Thus we find

$`P_0(0t_b|0t_a)`$ $``$ $`\mathrm{exp}\left[(t_bt_a)\gamma \right],`$ (89)
with an additional energy $`\gamma /2`$ with respect to the ordinary formula (80). This corresponds to the opposite (unphysical) operator order $`i\gamma v\widehat{p}_v`$ in $`\widehat{H}_0`$, which would violate the probability conservation of time evolution twice as much as the symmetric order.

The above formulas for the functional determinants can easily be extended to the slightly more general case where $`V(x)`$ is the potential of a harmonic oscillator $`V(x)=M\omega _0^2x^2/2`$. Then the path integral (58) for the probability becomes

$`P_0(x_bt_b|x_at_a){\displaystyle 𝒟x(t)\mathrm{exp}\left\{\frac{1}{2w}_{t_a}^{t_b}𝑑t[M\ddot{x}+M\gamma \dot{x}^R+\omega _0^2x]^2\right\}},`$ (90)
which we evaluate at $`x_b=x_a=0`$, where it is given by the properly retarded expression

$`P_0(0t_b|0t_a)`$ $``$ $`\mathrm{Det}^1(_t^2\gamma _t+\omega _0^2)`$ (91)
$``$ $`\mathrm{exp}[(t_bt_a){\displaystyle _{\mathrm{}}^{\mathrm{}}}{\displaystyle \frac{d\omega }{2\pi }}\mathrm{log}(\omega ^{}{}_{}{}^{2}i\gamma \omega ^{}\omega _0^2)].`$ (92)
The roots of the argument of the logarithm lie now at $`i\omega _{12}`$ with

$$\omega _{12}=\frac{\gamma }{2}\left(1\pm \sqrt{1\frac{4\omega _0^2}{\gamma ^2}}\right).$$
(93)
Using the analytically regularized formula (77), the integral in (92) yields simply $`\gamma `$, and we obtain the generalization of formula (79)

$$\mathrm{Det}(_t^2\gamma _t\omega _0^2)=\mathrm{exp}\left[\mathrm{Tr}\mathrm{log}(_t^2\gamma _t\omega _0^2)\right]=\mathrm{exp}\left[(t_bt_a)\frac{\gamma }{2}\right].$$
(94)
The frequency $`\omega _0`$ has no influence upon the result. This formula can be generalized further to time-dependent coefficients

$$\mathrm{Det}\left[_t^2\gamma (t)_t\mathrm{\Omega }^2(t)\right]=\mathrm{exp}\left\{\mathrm{Tr}\mathrm{log}\left[_t^2\gamma _t\mathrm{\Omega }^2(t)\right]\right\}=\mathrm{exp}\left[_{t_a}^{t_b}𝑑t\frac{\gamma (t)}{2}\right].$$
(95)
This follows from the factorization

$$\mathrm{Det}\left[_t^2\gamma (t)_t\mathrm{\Omega }^2(t)\right]=\mathrm{Det}\left[_t+\mathrm{\Omega }_1(t)\right]\mathrm{Det}\left[_t+\mathrm{\Omega }_2(t)\right]$$
(96)
with

$$\mathrm{\Omega }_1(t)+\mathrm{\Omega }_2(t)=\gamma (t),_t\mathrm{\Omega }_2(t)+\mathrm{\Omega }_1(t)\mathrm{\Omega }_2(t)=\mathrm{\Omega }^2(t),$$
(97)
using the formula

$$\mathrm{Det}\left[_t+\gamma (t)\right]=\mathrm{exp}\left[\frac{1}{2}_{t_a}^{t_b}𝑑t\gamma (t)\right].$$
(98)
The probability of the general path integral (58) without retardation of the velocity term is therefore

$`P_0(0t_b|0t_a)`$ $``$ $`\mathrm{exp}\left[{\displaystyle \frac{1}{2}}(t_bt_a)\gamma \right],`$ (99)
as in (80).

Let us now introduce retardation of the velocity term by using the $`\omega ^{}`$-dependent Drude expression (31) for the friction coefficient. First we consider again the harmonic path integral (90), for which (92) becomes

$`P_0(0t_b|0t_a)\mathrm{exp}\{(t_bt_a){\displaystyle _{\mathrm{}}^{\mathrm{}}}{\displaystyle \frac{d\omega }{2\pi }}\mathrm{log}[\omega ^{}{}_{}{}^{2}i\gamma _D^R(\omega )\omega ^{}\omega _0^2]\}.`$ (100)
For a large Drude frequency $`\omega _D\gamma `$ the roots are now

$`\omega _{12}={\displaystyle \frac{\gamma }{2}}\left(1\pm \sqrt{1{\displaystyle \frac{4m_0^2}{\gamma }}}\right),\omega _3=\omega _D\gamma .`$ (101)
Using once more formula (77), we see that $`\gamma `$ and the $`m_0`$-terms disappear, and we remain with

$`P_0(0t_b|0t_a)`$ $`=`$ $`\mathrm{const}.`$ (102)
This implies a unit functional determinant

$$\mathrm{Det}(_t^2+i\gamma _t^R+\omega _0^2)=1,$$
(103)
in contrast to the unretarded determinant (94). By analogy with (96), the also the general retarded determinant is independent of $`\gamma (t)`$ and $`\mathrm{\Omega }(t)`$.

$$\mathrm{Det}\left[_t^2\gamma (t)_t^R\mathrm{\Omega }^2(t)\right]=1.$$
(104)
In the advanced case, we would find similarly

$$\mathrm{Det}\left[_t^2\gamma (t)_t^A\mathrm{\Omega }^2(t)\right]=\mathrm{exp}\left[𝑑t\gamma (t)\right].$$
(105)
All three determinants are correct also for finite time intervals, due to the solvability of the first-order differential equation by means of an integrating factor.

Note that the retardation prescription can be avoided by a trivial additive change of the Lagrangian (59) to

$$L_\mathrm{e}(x,\dot{x})=\frac{1}{2w}\left[\ddot{x}+M\gamma \dot{x}+V^{}(x)\right]^2\frac{\gamma }{2}.$$
(106)
From this the path integral can be calculated with the usual time slicing.

## V Strong Damping

For $`\gamma V^{\prime \prime }(x)/M`$, the dynamics is dominated by dissipation, and the Lagrangian (59) takes a more conventional form in which only $`x`$ and $`\dot{x}`$ appear:

$$L_\mathrm{e}(x,\dot{x})=\frac{1}{2w}\left[M\gamma \dot{x}^R+V^{}(x)\right]^2=\frac{1}{4D}\left[\dot{x}^R+\frac{1}{M\gamma }V^{}(x)\right]^2,$$
(107)
where $`\dot{x}^R`$ lies slightly before $`V^{}(x(t))`$. The probability

$$P(x_bt_b|x_at_a)=𝒟x\mathrm{exp}\left[_{t_a}^{t_b}𝑑tL_\mathrm{e}(x,\dot{x}^R)\right]$$
(108)
looks like an ordinary euclidean path integral for the density matrix of a particle of mass $`M=1/2D`$. As such it obeys a differential equation of the Schrödinger type. Forgetting a moment about the subtleties of the retardation, we introduce an auxiliary momentum integration and go over to the canonical representation of (108):

$$P(x_bt_b|x_at_a)=𝒟x\frac{𝒟p}{2\pi }\mathrm{exp}\left\{_{t_a}^{t_b}𝑑t\left[ip\dot{x}2D\frac{p^2}{2}+ip\frac{1}{M\gamma }V^{}(x)\right]\right\}.$$
(109)
This probability distribution satisfies therefore the Schrödinger type of equation

$$H(\widehat{p}_b,x_b)P(x_bt_b|x_at_a)=_{t_b}P(x_bt_b|x_at_a)$$
(110)
with the Hamiltonian operator

$$H(\widehat{p},x)2D\frac{\widehat{p}^2}{2}i\widehat{p}\frac{1}{M\gamma }V^{}(x).$$
(111)
In order to conserve probability, the momentum operator has to stand to the left of the potential term. Only then does the integral over $`x_b`$ of Eq. (110) vanish. Equation (110) is the overdamped or ordinary .

Without the retardation on $`\dot{x}`$ in (108), the path integral would certainly give a symmetrized operator $`i[\widehat{p}V^{}(x)+V^{}(x)\widehat{p}]/2`$ in $`\widehat{H}`$. This follows from the fact that the coupling $`(1/2DM\gamma )\dot{x}V^{}(x)`$ looks precisely like the coupling of a particle to a magnetic field with a “vector potential” $`A(x)=(1/2DM\gamma )V^{}(x)`$. In this case we can also perform immediately the path integral (108)

$`P_0(x_bt_b|x_at_a){\displaystyle 𝒟x(t)\mathrm{exp}\left\{\frac{1}{2w}_{t_a}^{t_b}𝑑t[M\gamma \dot{x}+V^{}(x)]^2\right\}}`$ (112)
at $`x_b=x_a=0`$, which is given by

$`P_0(0t_b|0t_a)`$ $``$ $`\mathrm{Det}^1\left[_t+V^{}(x)/M\gamma \right],`$ (113)
where from formula (98)

$$\mathrm{Det}\left[_t+V^{\prime \prime }(x)/M\gamma \right]=\mathrm{exp}\left[𝑑tV^{\prime \prime }(x)/2M\gamma \right].$$
(114)
The effect of retardation of the velocity in (107) is obvious since the trivial retarded determinant (104) is independent of the strength of the damping:

$$\mathrm{Det}\left[_t^R+V^{\prime \prime }(x)/M\gamma \right]=1.$$
(115)
In the advanced case one would have

$$\mathrm{Det}\left[_t^A+V^{\prime \prime }(x)/M\gamma \right]=\mathrm{exp}\left[𝑑tV^{\prime \prime }(x)/M\gamma \right].$$
(116)
For the differential equation (110), the difference between the ordinary and the retarded results (114) and (115) implies that the initially symmetric operator order $`i[\widehat{p}V^{}(x)+V^{}(x)\widehat{p}]/2`$ in $`\widehat{H}`$ is changes into $`i[\widehat{p}V^{}(x)+V^{}(x)\widehat{p}]/2V^{\prime \prime }(x)/2i\widehat{p}V^{}(x)`$, as necessary for conservation of probability.

As in Eq. (106) we can avoid the retardation of the velocity by adding to the Lagrangian (107) a term containing the second derivative of the potential:

$$L_\mathrm{e}(x,\dot{x})=\frac{1}{4D}\left[\dot{x}+\frac{1}{M\gamma }V^{}(x)\right]^2\frac{1}{2M\gamma }V^{\prime \prime }(x).$$
(117)
From this the path integral can be calculated with the same slicing as for the gauge-invariant coupling of a magnetic vector potential (see Sections 10.6 and 11.3 in the textbook )

$`P_0(x_bt_b|x_at_a){\displaystyle 𝒟x(t)\mathrm{exp}\left[\frac{1}{4D}_{t_a}^{t_b}𝑑t\{\frac{1}{4D}\left[\dot{x}+\frac{V^{}(x)}{M\gamma }\right]^2\frac{V^{\prime \prime }(x)}{2M\gamma }\}\right]}.`$ (118)
## VI Langevin Equations

For for high $`\gamma T`$. the forward–backward path integral (51) has only small fluctuations of $`y`$, and $`K(t,t^{})`$ becomes a $`\delta `$-function. Then we can expand

$$V\left(x+\frac{y}{2}\right)V\left(x\frac{y}{2}\right)yV^{}(x)+\frac{y^3}{24}V^{\prime \prime \prime }(x)+\mathrm{},$$
(119)
keeping only the first term. We further introduce an auxiliary quantity $`\eta (t)`$ by

$$\eta (t)M\ddot{x}^R(t)+M\gamma \dot{x}(t)+V^{}(x(t)).$$
(120)
With this, the exponential function in (51) becomes after a partial integration of the first term using the endpoint properties $`y(t_b)=y(t_a)=0`$:

$$\mathrm{exp}\left\{\frac{i}{\mathrm{}}_{t_a}^{t_b}𝑑ty\eta \frac{w}{2\mathrm{}^2}_{t_a}^{t_b}𝑑ty^2(t)\right\},$$
(121)
where $`w`$ is the constant (53). The variable $`y`$ can obviously be integrated out and we find a probability distribution

$$P[\eta ]\mathrm{exp}\left\{\frac{1}{2w}_{t_a}^{t_b}𝑑t\eta ^2(t)\right\},$$
(122)
The expectation value of an arbitrary functional of $`F[x]`$ can be calculated from the path integral

$`F[x]_\eta 𝒩{\displaystyle 𝒟xP[\eta ]F[x]},`$ (123)
where the normalization factor $`𝒩`$ is fixed by the condition $`\mathrm{\hspace{0.17em}1}=1`$. By a change of integration variables from $`x(t)`$ to $`\eta (t)`$, the expectation value (123) can be rewritten as a functional integral

$`F[x]_\eta 𝒩{\displaystyle 𝒟\eta P[\eta ]F[x]},`$ (124)
In principle, the integrand contains a factor $`J^1[x]`$, where $`J[x]`$ is the functional Jacobian

$$J[x]\mathrm{Det}[\delta \eta (t)/\delta x(t^{})]=det[M_t^2+M\gamma _t^R+V^{\prime \prime }(x(t))].$$
(125)
However, in Eq. (104) we have seen that the retarded determinant is unity, thus justifying its omission in (124).

The path integral (124) may be interpreted as an expectation value with respect to the solutions of a stochastic differential equation (120) driven by a Gaussian random noise variable $`\eta (t)`$ with a correlation function

$$\eta (t)\eta (t^{})_T=wK(tt^{}),$$
(126)
The stochastic differential equation (120) has thus been derived from the forward–backward path integral at high temperatures.

In the overdamped limit, the classical Langevin equation with inertia (120) reduced to the overdamped Langevin equation:The stochastic movement is now a so-called Wiener process.

$$\eta (t)M\gamma \dot{x}(t)+V^{}(x(t)).$$
(127)
The noise average is formed as in (124).

## VII Supersymmetry

Recalling the origin (114) of the extra last term in the exponent of the path integral (118), this can be rewritten in a slightly more implicit but useful way as

$`P_0(x_bt_b|x_at_a){\displaystyle 𝒟x(t)\mathrm{Det}\left[_t+\frac{V^{\prime \prime }(x)}{M\gamma }\right]\mathrm{exp}\left\{\frac{1}{4D}_{t_a}^{t_b}𝑑t\frac{1}{4D}\left[\dot{x}+\frac{V^{}(x)}{M\gamma }\right]^2\right\}}`$ (128)
(129)
In the form (129), the time ordering of the velocity term is arbitrary. It may be quantum mechanical, but equally well retarded or advanced, as long as it appears in the same way in both the Lagrangian and determinant. An interesting structural observation is possible by generating the determinant with the help of an auxiliary fermion field $`c(t)`$ from a path integral over $`c(t)`$:

$$det[_t+V^{\prime \prime }(x(t))/M\gamma ]𝒟c𝒟\overline{c}e^{{\scriptscriptstyle 𝑑t\overline{c}(t)\left[M\gamma _t+V^{\prime \prime }(x(t))\right]c(t)}}.$$
(130)
In quantum field theory, such auxiliary fermionic fields are referred to as ghost fields. With these we can rewrite the path integral (108) for the probability as an ordinary path integral

$$P(x_bt_b|x_at_a)=𝒟x𝒟c𝒟\overline{c}\mathrm{exp}\left\{𝒜_{\mathrm{PS}}[x,c,\overline{c}]\right\}.$$
(131)
where $`𝒜_{\mathrm{PS}}`$ is the euclidean action

$$𝒜_{\mathrm{PS}}=\frac{1}{2DM^2\gamma ^2}_{t_a}^{t_b}𝑑t\left\{\frac{1}{2}\left[M\gamma \dot{x}+V^{}(x)\right]^2+\overline{c}(t)\left[M\gamma _t+V^{\prime \prime }(x(t))\right]c(t)\right\},$$
(132)
first written down by Parisi and Sourlas.G. Parisi and N. Sourlas, Phys. Rev. Lett. 43, 744 (1979); Nucl. Phys. B 206, 321 (1982). This action has a particular property: If we denote the expression in the first brackets by

$$U_xM\gamma _tx+V^{}(x),$$
(133)
the operator between the Grassmann variables in (132) is simply the functional derivative of $`U_x`$:

$$U_{xy}\frac{\delta U_x}{\delta y}=M\gamma _t+V^{\prime \prime }(x).$$
(134)
Thus we may write

$$𝒜_{\mathrm{PS}}=\frac{1}{2D}_{t_a}^{t_b}𝑑t\left[\frac{1}{2}U_x^2+\overline{c}(t)U_{xy}c(t)\right],$$
(135)
where $`U_{xy}c(t)`$ is the usual short notation for the functional matrix multiplication $`𝑑t^{}U_{xy}(t,t^{})c(t^{})`$. The relation between the two terms makes this action supersymmetric. It is invariant under transformations which mix the Fermi and Bose degrees of freedom. Denoting by $`\epsilon `$ a small anticommuting Grassmann variable, the action is invariant under the field transformations

$`\delta x(t)`$ $`=`$ $`\overline{\epsilon }c(t)+\overline{c}(t)\epsilon ,`$ (136)
$`\delta \overline{c}(t)`$ $`=`$ $`\overline{\epsilon }U_x,`$ (137)
$`\delta c(t)`$ $`=`$ $`U_x\epsilon .`$ (138)
The invariance follows immediately after observing that

$$\delta U_x=\overline{\epsilon }U_{xy}c(t)+\overline{c}(t)U_{xy}\epsilon .$$
(139)
Formally, a similar construction is also possible for a particle with inertia in the path integral (58), which is an ordinary path integral involving the Lagrangian (106). Here we can write

$`P(x_bt_b|x_at_a)=𝒩{\displaystyle 𝒟x(t)J[x]\mathrm{exp}\left\{\frac{1}{2w}_{t_a}^{t_b}𝑑t[M\ddot{x}+M\gamma \dot{x}+V^{}(x)]^2\right\}}.`$ (140)
where $`J[x]`$ abbreviates the determinant

$$J[x]=det[M_t^2+M\gamma _t+V^{\prime \prime }(x(t))]$$
(141)
which is known from formula (95). The path integral (140) is valid for any ordering of the velocity term, as long as it is the same in the exponent and the functional determinant.

We may now express the functional determinant as a path integral over fermionic ghost fields

$$J[x]=det[M_t^2+M\gamma _t+V^{\prime \prime }(x(t))]𝒟c𝒟\overline{c}e^{{\scriptscriptstyle 𝑑t\overline{c}(t)\left[M_t^2+M\gamma _t+V^{\prime \prime }(x(t))\right]c(t)}},$$
(142)
and rewrite the probability $`P(x_bt_b|x_at_a)`$ as an ordinary path integral

$`P(x_bt_b|x_at_a){\displaystyle 𝒟x(t)𝒟c𝒟\overline{c}\mathrm{exp}\{𝒜^{\mathrm{KS}}[x,\text{}\overline{c}]\}},`$ (143)
where $`𝒜[x,\text{}\overline{c}]`$ is the euclidean action

$`𝒜^{\mathrm{KS}}[x,\text{}\overline{c}]{\displaystyle _{t_a}^{t_b}}𝑑t\left\{{\displaystyle \frac{1}{2w}}[M\ddot{x}+M\gamma \dot{x}+V^{}(x)]^2+\overline{c}(t)\left[M_t^2+M\gamma _t+V^{\prime \prime }(x(t))\right]c(t)\right\}.`$ (144)
(145)
This formal expression contains subtleties arising from the boundary conditions when calculating the Jacobian (142) from the functional integral on the right-hand side. It is necessary to factorize the second-order operator in the functional determinant and express each factor as a determinant as in (142). At the end, the action is again supersymmetric, but there are twice as many auxiliary Fermi fields .

## VIII Stochastic Quantum Liouville Equation

At lower temperatures, where quantum fluctuations become important, the forward–backward path integral (51) does not allow us to derive a Schrödinger-like differential equation for the probability distribution $`P(xvt|x_av_at_t)`$. To see the obstacle, we go over to the canonical representation of (51):

$`|(x_bt_b|x_at_a)|^2={\displaystyle }𝒟x(t)𝒟y(t){\displaystyle }{\displaystyle \frac{𝒟p(t)}{2\pi }}{\displaystyle \frac{𝒟p_y(t)}{2\pi }}\mathrm{exp}\left\{{\displaystyle \frac{i}{\mathrm{}}}{\displaystyle _{t_a}^{t_b}}dt[p\dot{x}+p_y\dot{y}H_T]\right\},`$ (146)
(147)
where

$$H_T=\frac{1}{M}p_yp_x+\gamma p_yy+V(x+y/2)V(xy/2)i\frac{w}{2\mathrm{}}y\widehat{K}y$$
(148)
plays the role of a Hamiltonian. Here $`\widehat{K}y(t)`$ denotes the product of the functional matrix $`\widehat{K}(t,t^{})`$ with the functional vector $`y(t^{})`$ defined by $`\widehat{K}y(t)𝑑t^{}K(t,t^{})y(t^{})`$. After omitting the $`y`$-integrations at the endpoints, we obtain a path integral representation for the product of amplitudes

$$\rho (x_by_bt_b|x_ay_at_a)(x_b+y_b/2t_b|x_a+y_a/2t_a)(x_by_b/2t_b|x_ay_a/2t_a)^{}.$$
(149)
The Fourier transform of the diagonal elements of this with respect to $`y`$ is the Wigner function

$$W(x,p,t)\frac{1}{2\pi \mathrm{}}_{\mathrm{}}^{\mathrm{}}e^{ipy_b/\mathrm{}}\rho (xyt|xy\mathrm{\hspace{0.17em}0}).$$
(150)
When considering the change of $`\rho (xyt|x_ay_at_a)`$ over a small time interval $`ϵ`$, the momentum variables $`p`$ and $`p_y`$ have the same effect as differential operators $`i_{x_b}`$ and $`i_{y_b}`$, respectively. The last term in $`H_T`$, however, is nonlocal in time, thus preventing a derivation of a Schrödinger-like differential equation.

The locality problem can be removed by introducing a noise variable $`\eta (t)`$ with the correlations function

$$\eta (t)\eta (t^{})_\eta =\frac{w}{2}K^1(t,t^{}).$$
(151)
Then we can define a temporally local $`\eta `$-dependent Hamilton operator

$$\widehat{H}_\eta \frac{1}{M}\left(\widehat{p}_x+\gamma y\right)\widehat{p}_y+V(x+y/2)V(xy/2)y\eta $$
(152)
which governs the evolution of $`\eta `$-dependent versions of the amplitude products (149) via the stochastic Schrödinger equation

$$i\mathrm{}_t\rho _\eta (xyt|x_ay_at_a)=\widehat{H}_\eta \rho _\eta (xyt|x_ay_at_a).$$
(153)
Averaging this equation over $`\eta `$ using (151) yields for $`y_a=y_b=0`$ the same probability distribution as the forward–backward path integral (51):

$$|(x_bt_b|x_at_a)|^2=\rho (x_b\mathrm{\hspace{0.17em}0}t_b|x_a\mathrm{\hspace{0.17em}0}t_a)\rho (x_b\mathrm{\hspace{0.17em}0}t_b|x_ay_at_a)_\eta $$
(154)
At high temperatures, the noise averaged stochastic Schrödinger equation (153) takes the form

$`i\mathrm{}_t\rho (xyt|x_ay_at_a)=\widehat{\overline{H}}\rho (xyt|x_ay_at_a),`$ (155)
where $`\widehat{\overline{H}}`$ is the Hamiltonian associated with the Lagrangian in the forward–backward path integral (51):

$$\widehat{\overline{H}}\frac{1}{M}\widehat{p}_y\widehat{p}_x+\gamma y\widehat{p}_y+V(x+y/2)V(xy/2)i\frac{w}{2\mathrm{}}y^2.$$
(156)
In terms of the separate path positions $`x_\pm =x\pm y/2`$ where $`p_x=_++_{}`$ and $`p_y=(_+_{})/2`$, this takes the more familiar form

$$\widehat{\overline{H}}\frac{1}{2M}\left(\widehat{p}_+^2\widehat{p}_{}^2\right)+V(x_+)V(x_{})+\frac{\gamma }{2}(x_+x_{})(\widehat{p}_+\widehat{p}_{})i\mathrm{}\mathrm{\Lambda }(x_+x_{})^2.$$
(157)
In the last term we have introduced a useful quantity, the so-called decoherence rate per square distance

$$\mathrm{\Lambda }\frac{w}{2\mathrm{}^2}=\frac{M\gamma k_BT}{\mathrm{}^2}.$$
(158)
It is composed of the damping rate $`\gamma `$ and the squared thermal length

$$l_\mathrm{e}(\mathrm{}\beta )\sqrt{2\pi \mathrm{}^2\beta /M}$$
(159)
as

$$\mathrm{\Lambda }=\frac{2\pi \gamma }{l_\mathrm{e}^2(\mathrm{}\beta )},$$
(160)
and controls the rate of decay of interference peaks.§§§See the collection of articles D. Giulini, E. Joos, C. Kiefer, J. Kupsch, I.O. Stamatescu, H.D. Zeh, Decoherence and the Appearance of a Classical World in Quantum Theory, Springer, Berlin, 1996.

Note that the order of the operators in the mixed term of the form $`y\widehat{p}_y`$ in Eq. (156) is opposite to the mixed term $`i\widehat{p}_vv`$ in the differential operator (66) of the Fokker-Planck equation. This order is necessary to guarantee the conservation of probability. Indeed, multiplying the time evolution equation (155) by $`\delta (y)`$, and integrating both sides over $`x`$ and $`y`$, the left-hand side vanishes.

The correctness of this order can be verified by calculating the fluctuation determinant of the path integral for the product of amplitudes (149) in the Lagrangian form, which looks just like (51), except that the difference between forward and backward trajectories $`y(t)=x_+(t)x_{}(t)`$ is nonzero at the endpoints. For the fluctuation which vanish at the end points, this is irrelevant. As explained before, the order is a short-time issue, and we can take $`t_bt_a\mathrm{}`$. Moreover, since the order is independent of the potential, we may consider only the free case $`V(x\pm y/2)0`$. The relevant fluctuation determinant was calculated in formula (79). In the Hamiltonian operator (156), this implies an additional energy $`i\gamma /2`$ with respect to the symmetrically ordered term $`\gamma \{y,\widehat{p}_y\}/2`$, which brings it to $`\gamma y\widehat{p}_y`$, and thus the order in (157).

## IX Conclusion

With the help of analytic regularization we have shown that the forward–backward path integral of a point particle in a thermal bath of harmonic oscillators yields, at large temperature, a probability distribution obeying a Fokker-Planck equation with the correct operator ordering which ensures probability conservation. By the same token, they yield the correct Langevin equations with and without inertia.


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# SPECTRAL THEORY OF PSEUDO-ERGODIC OPERATORS

## 1 Introduction

Recent papers have obtained some striking results concerning the spectral properties of the non-self-adjoint (nsa) Anderson model, which models the growth of bacteria in an inhomogeneous environment, . To be more precise the authors have determined the asymptotic limit of the spectrum of a nsa random finite periodic chain almost surely as the length of the chain increases to infinity. In a later paper the author considered the same random operator $`H`$ acting on $`l^2(𝐙)`$, and found that the spectrum is very different from that obtained by the cited authors, . The reason for this is that the spectral properties of nsa operators are highly unstable, and infinite volume limits should be examined using pseudospectral ideas, . More specifically if $`\lambda `$ lies in the spectrum of the infinite volume nsa Anderson model, it need not be close to the spectrum of the finite volume periodic Anderson model; one expects rather that the norm of the resolvent operator $`(H\lambda )^1`$ of the finite volume model will diverge as the volume increases. These pseudospectral ideas have been worked out in detail for a random bidiagonal model, which is in a certain sense exactly soluble, . Our results may therefore be interpreted as finding the region in the complex plane for which the finite volume nsa periodic Anderson model has very large resolvent norm.

In the present paper we reconsider such problems in a more general context, in which the probabilistic aspects have been eliminated in favour of what we call pseudo-ergodic ideas. As well as making the subject more accessible to those without a probabilistic training, this emphasizes the fact that the spectral matters which we consider depend only on the support of the relevant probability measure. On the other hand the asymptotics of the spectrum of the finite volume periodic nsa Anderson model does depend on the probability measure. We finally carry out a more detailed spectral analysis of the infinite volume nsa Anderson operator, and find precise conditions under which zero almost surely lies in the spectrum. We also obtain further results on the location of the spectrum, which come close to a complete determination in many cases. In the final section we consider the possibility that there may be constraints on the pair of values of the potential at two neighbouring points which are absolute rather than just probabilistic.

## 2 The general context

The operators which we consider act on the Hilbert space $`l^2(X,𝒦)l^2(X)𝒦`$, where $`X`$ is a countable set on which a group $`\mathrm{\Gamma }`$ acts by permutations. The simplest choice of the auxiliary Hilbert space $`𝒦`$ is $`𝐂`$, but other choices are needed in some applications; see the end of Section 3. Many of the results presented here apply to $`l^p(X,𝒦)`$ with $`p2`$ without modification (the case $`p=1`$ is of probabilistic importance), but this does not apply to those involving numerical ranges. We define the unitary operators $`U_\gamma `$ for $`\gamma \mathrm{\Gamma }`$ by $`U_\gamma f(x)=f(\gamma ^1x)`$. The bounded operators which we study are of the form $`H=H_0I+V`$. Here $`H_0`$ acts on $`l^2(X)`$ and commutes with the action of $`\mathrm{\Gamma }`$ in the sense that $`H_0U_\gamma =U_\gamma H_0`$ for all $`\gamma \mathrm{\Gamma }`$, or equivalently

$$H_0(\gamma x,\gamma y)=H_0(x,y)$$

for all $`\gamma \mathrm{\Gamma }`$ and all $`x,yX`$, where $`H_0(x,y)`$ is the infinite matrix associated with $`H_0`$. We assume that the spectrum $`E`$ of $`H_0`$ is known. From this point onwards we write $`H_0`$ for $`H_0I`$.

Given a norm closed, bounded set $`(𝒦)`$, we assume that the operator $`V`$ is of the form

$$(Vf)(x)=V(x)f(x)$$

where $`V(x)`$ for all $`xX`$. We say that $`V`$ is $`(\mathrm{\Gamma },)`$ pseudo-ergodic if its set of spatial translates is dense in the following sense. For every $`\epsilon >0`$, every finite subset $`FX`$ and every $`W:F`$, there exists $`\gamma \mathrm{\Gamma }`$ such that

$$W(x)V(\gamma x)<\epsilon $$

for all $`xF`$. It is well known that a large class of suitably defined random potentials have this property almost surely, but we consider a single potential, and do not need to introduce any probabilistic ideas. The same class of pseudo-ergodic potentials is applicable to a variety of different random models, as we explain in more detail in the final section.

The above definition suffices for our purposes, but it does not capture the full sense of random behaviour and may be refined as follows. We define a direction $`U`$ to be an infinite subset of $`X`$ such that for every finite $`FX`$ there exists $`\gamma \mathrm{\Gamma }`$ such that $`\gamma FU`$. We then say that $`V`$ is $`(\mathrm{\Gamma },)`$ pseudo-ergodic in the direction $`U`$ if for every $`\epsilon >0`$, every finite subset $`FX`$ and every $`W:F`$, there exists $`\gamma \mathrm{\Gamma }`$ such that $`\gamma FU`$ and

$$W(x)V(\gamma x)<\epsilon $$

for all $`xF`$. Suitably defined random potentials have this property for every choice of direction almost surely, and therefore have the property simultaneously for any countable set of directions almost surely. The property itself, however, is defined for a single potential and makes no mention of probability.

The following theorem is an adaptation of a well-known result of Pastur for random potentials. We will use it to approximate $`\mathrm{Spec}(H)`$ from inside by making suitable choices of $`W`$.

###### Theorem 1

If $`H=H_0+V`$ where $`V`$ is $`(\mathrm{\Gamma },)`$ pseudo-ergodic and $`K=H_0+W`$ where $`W:X`$ is arbitrary, then

$$\mathrm{Spec}(K)\mathrm{Spec}(H).$$

In particular if $`V,W`$ are both $`(\mathrm{\Gamma },)`$ pseudo-ergodic then they have the same spectrum.

Proof If $`\lambda \mathrm{Spec}(K)`$ then there exists a sequence $`f_nl^2(X,𝒦)`$ with $`f_n=1`$ and either $`Kf_n\lambda f_n0`$ or $`K^{}f_n\overline{\lambda }f_n0`$; we consider only the former case, the latter being similar. Given $`\epsilon >0`$ a truncation procedure shows that there exists $`f`$ with finite support $`F`$ in $`X`$ such that $`f=1`$ and $`Kf\lambda f<\epsilon /2`$. Since $`V`$ is pseudo-ergodic there exists $`\gamma \mathrm{\Gamma }`$ such that $`H_\gamma fKf<\epsilon /2`$, where

$$H_\gamma =U_\gamma ^1HU_\gamma =H_0+V(\gamma ).$$

Putting $`f_\epsilon =U_\gamma f`$ we deduce that

$$Hf_\epsilon \lambda f_\epsilon =U_\gamma ^1HU_\gamma f\lambda f<\epsilon $$

and the arbitrariness of $`\epsilon >0`$ implies that $`\lambda \mathrm{Spec}(H)`$.

###### Corollary 2

If $`H=H_0+V`$ where $`V`$ is $`(\mathrm{\Gamma },)`$ pseudo-ergodic then

$$\mathrm{Spec}(H)=\{\mathrm{Spec}(H_0+W):W^X\}.$$

If also $`\stackrel{~}{H}=H_0+\stackrel{~}{V}`$ where $`\stackrel{~}{V}`$ is $`(\mathrm{\Gamma },\stackrel{~}{})`$ pseudo-ergodic with $`\stackrel{~}{}`$ then

$$\mathrm{Spec}(H)\mathrm{Spec}(\stackrel{~}{H}).$$

From this point we assume that $`H=H_0+V`$ where $`V`$ is $`(\mathrm{\Gamma },)`$ pseudo-ergodic. We put

$$\mathrm{Spec}()=\overline{\underset{A}{}\mathrm{Spec}(A)}$$

and

$$\mathrm{Num}()=\overline{\underset{A}{}\mathrm{Num}(A)}$$

where $`\mathrm{Num}`$ denotes the closure of the numerical range.

###### Theorem 3

The spectrum of $`H`$ satisfies

$$E+\mathrm{Spec}()\mathrm{Spec}(H)\mathrm{Num}(H_0)+\mathrm{Conv}(\mathrm{Num}())$$

where $`\mathrm{Conv}`$ denotes the closed convex hull. If $`H_0`$ is normal and $`A`$ is normal for every $`A`$ then

$$\mathrm{Spec}(H)\mathrm{Conv}(E)+\mathrm{Conv}(\mathrm{Spec}())$$
(1)
Proof Theorem 1 implies that for each $`A`$

$$E+\mathrm{Spec}(A)=\mathrm{Spec}(H_0I+IA)\mathrm{Spec}(H)$$

and this yields the first inclusion. The second depends on use of the numerical range to give

$`\mathrm{Spec}(H)`$ $``$ $`\mathrm{Num}(H)`$
$``$ $`\mathrm{Num}(H_0)+\mathrm{Num}(V).`$
Now $`z`$ lies in the numerical range of $`V`$ if and only if there exists $`fl^2(X,𝒦)`$ of norm $`1`$ such that $`z=Vf,f`$. Putting $`g_x=f(x)/f(x)`$, provided this is non-zero, and $`\mu _x=f(x)^2`$, we see that $`\mu `$ is a probability measure on $`X`$ and that

$$z=\underset{xX}{}\mu _xV_xg_x,g_x\mathrm{Conv}(\mathrm{Num}(M)).$$

Hence $`\mathrm{Num}(V)\mathrm{Conv}(\mathrm{Num}(M))`$, and the first statement of the theorem follows. The second statement is a consequence of the fact that $`\mathrm{Num}(B)`$ equals $`\mathrm{Conv}(\mathrm{Spec}(B))`$ for any normal operator $`B`$.

Let $`B(x,r)`$ denote the closed ball $`\{y:|xy|r\}`$. The next theorem complements Theorem 3.

###### Theorem 4

If $`A`$ is normal for every $`A`$ then the spectrum of $`H`$ satisfies

$$\mathrm{Spec}(H)\mathrm{Spec}()+B(0,e)$$
(2)
where $`e=H_0`$. If $`H_0`$ is normal then

$$\mathrm{Spec}(H)E+B(0,\mu )$$
(3)
where $`\mu =max\{A:A\}`$.

Proof If $`V`$ is normal then using $`\mathrm{Spec}(V)\mathrm{Spec}()`$ we see that

$$(VzI)^1=\mathrm{dist}(z,\mathrm{Spec}(V))^1\mathrm{dist}(z,\mathrm{Spec}())^1$$

for all $`z`$. Since $`z+B(0,e)`$ is equivalent to $`\mathrm{dist}\{z,\mathrm{Spec}()\}>H_0`$, it implies

$$H_0(VzI)^1<1$$

and the resolvent expansion for $`(H_0+VzI)^1`$ is norm convergent. The proof of the second part of the theorem is similar.

We also wish to classify the spectrum of nsa operators acting on $`l^2(X,𝒦)`$, and for this purpose we assume that $`X`$ is provided with a metric $`d`$ such that every ball $`B(x,r)=\{yX:d(x,y)r)\}`$ is finite and such that $`\mathrm{\Gamma }`$ acts as a group of isometries of $`X`$. Given a function $`f:X𝒦`$ with $`f_2=1`$ we define its variance by

$$\mathrm{var}(f)=\underset{yX}{\mathrm{min}}\underset{xX}{}d(x,y)^2|f(x)|^2$$

and its expectation to be any of the points in $`X`$ at which the minimum is achieved. The following theorems have analogues in which the variance is replaced by higher order moments, or suitable subexponential weights.

###### Lemma 5

If $`f_2=1`$ and

$$v(x)=\underset{yX}{}d(x,y)^2|f(y)|^2$$

is finite for some $`xX`$ then it is finite for every $`xX`$ and $`v(x)`$ increases indefinitely as $`x\mathrm{}`$. Thus the minimum of $`v()`$ is achieved at a finite number of points only. If $`x_i`$, $`i=1,2`$, are points at which $`v`$ has the same minimum value $`s`$ then $`d(x_1,x_2)2s^{1/2}`$.

Proof If $`v(x)<\mathrm{}`$ then for any $`uX`$ we have

$$v(u)2\underset{yX}{}\{d(x,y)^2+d(x,u)^2\}|f(y)|^2=2\{v(x)+d(x,u)^2\}<\mathrm{}.$$

by the triangle inequality. If the finite set $`F`$ satisfies

$$\underset{yF}{}|f(y)|^2\frac{1}{2}$$

then

$$v(x)\underset{yF}{}d(x,y)^2|f(y)|^2\frac{1}{2}d(x,F)^2$$

which increases indefinitely as $`x\mathrm{}`$ because of our assumption that all balls of finite radius contain only a finite number of points.

Now suppose that $`s=\mathrm{min}\{v(x):xX\}`$ and that $`v(x_1)=v(x_2)=s`$. Then by the triangle inequality

$`2s`$ $`=`$ $`{\displaystyle \underset{yX}{}}\{d(x_1,y)^2+d(x_2,y)^2\}|f(y)|^2`$
$``$ $`{\displaystyle \frac{1}{2}}{\displaystyle \underset{yX}{}}d(x_1,x_2)^2|f(y)|^2`$
$`=`$ $`{\displaystyle \frac{1}{2}}d(x_1,x_2)^2`$
which implies the second statement of the lemma.

Following  we define the localized spectrum $`\sigma _{\mathrm{loc}}(A)`$ of any bounded operator $`A`$ on $`l^2(X,𝒦)`$ to be the set of all $`\lambda 𝐂`$ such that there exists a sequence $`f_nl^2(X,𝒦)`$ of unit vectors such that $`Af_n\lambda f_n0`$ while $`\mathrm{var}(f_n)`$ remains uniformly bounded. If $`\lambda `$ is an eigenvalue then one would expect its corresponding eigenfunction to decrease rapidly at infinity and hence to have finite variance, in which case $`\lambda `$ would lie in $`\sigma _{\mathrm{loc}}(A)`$. What is more surprising is that $`\sigma _{\mathrm{loc}}(A)`$ can be much larger than the set of eigenvalues of $`A`$.

###### Theorem 6

If $`H=H_0+V`$ where $`V`$ is $`(\mathrm{\Gamma },)`$ pseudo-ergodic and $`K=H_0+W`$ where $`W:X`$ is arbitrary, then

$$\sigma _{\mathrm{loc}}(K)\sigma _{\mathrm{loc}}(H).$$

Thus every eigenvalue of $`K`$ lies in the localized spectrum of $`H`$. Moreover if $`V,W`$ are both $`(\mathrm{\Gamma },)`$ pseudo-ergodic then they have the same localized spectrum.

Proof First note that if $`fl^2(X,𝒦)`$ has unit norm and $`\gamma \mathrm{\Gamma }`$ then $`g=U_\gamma f`$ has the same variance as $`f`$ because $`\mathrm{\Gamma }`$ acts as a group of isometries of $`X`$. It is a consequence of the definition of pseudo-ergodicity that there exists a sequence $`\gamma (n)\mathrm{\Gamma }`$ such that $`H_n=U_{\gamma (n)}^1HU_{\gamma (n)}`$ converges strongly to $`K`$. Now let $`f_m=1`$, $`\mathrm{var}(f_m)s`$ and $`Kf_m\lambda f_m<\frac{1}{m}`$ for all $`m𝐙^+`$. Given $`m`$

$`H(U_{\gamma (n)}f_m)\lambda (U_{\gamma (n)}f_m)`$ $`=`$ $`U_{\gamma (n)}^1HU_{\gamma (n)}f_m\lambda f_m`$
$`=`$ $`H_nf_m\lambda f_m`$
$``$ $`Kf_m\lambda f_m<{\displaystyle \frac{1}{m}}`$
as $`n\mathrm{}`$. Therefore there exists $`n(m)`$ such that $`g_m=U_{\gamma (n(m))}f_m`$ satisfies

$$Hg_m\lambda g_m<\frac{1}{m}$$

for all $`m𝐙^+`$. Since $`\mathrm{var}(g_m)s`$ for all $`m`$ it follows that $`\lambda \sigma _{\mathrm{loc}}(H)`$.

We next turn to the essential spectrum. We say that $`z`$ lies in the essential spectrum of a bounded operator $`A`$ if $`AzI`$ is not a Fredholm operator. We will need the following known result.

###### Proposition 7

Suppose that $`z𝐂`$ and for all $`\epsilon >0`$ and all finite $`N`$ there exists an orthonormal set $`f_1,\mathrm{},f_N`$ such that $`Af_nzf_n<\epsilon `$ for all $`1nN`$. Then $`z`$ lies in the essential spectrum of $`A`$.

Proof Suppose that $`z𝐂`$ satisfies the conditions of the proposition. If $`\mathrm{ker}(AzI)`$ is infinite dimensional then $`AzI`$ is obviously not Fredholm, so let $`dim(\mathrm{ker}(AzI))<N`$ where $`N`$ is finite. The assumption implies that for all $`\epsilon >0`$ there exists an $`N`$-dimensional subspace $`L`$ such that $`fL`$ implies

$$Afzf<\epsilon f.$$
(4)
Because $`dim(L)>dim(\mathrm{ker}(AzI))`$ there exists $`f\mathrm{ker}(AzI)`$ such that (4) holds. Since $`\epsilon >0`$ is arbitrary, $`AzI`$ cannot be Fredholm.

###### Lemma 8

Suppose that there exists a $`(\mathrm{\Gamma },)`$ pseudo-ergodic potential $`V`$ on $`X`$ where $`(𝒦)`$ contains more than one point. Then for any finite subset $`F`$ of $`X`$ and any finite $`N`$ there exist $`\gamma _1,\mathrm{},\gamma _N\mathrm{\Gamma }`$ such that $`\{\gamma _nF\}_{n=1}^N`$ are pairwise disjoint.

Proof Let us first put $`N=2`$. Let $`m_1,m_2`$ and $`m_1m_2=2\delta >0`$. Also let $`W:F(𝒦)`$ satisfy $`W(x)=m_i`$ for all $`xF`$. Since $`V`$ is $`(\mathrm{\Gamma },)`$ pseudo-ergodic there exist $`\gamma _i\mathrm{\Gamma }`$ such that $`V(\gamma _ix)m_i<\delta `$ for all $`xF`$, or equivalently $`V(y)m_i<\delta `$ for all $`y\gamma _iF`$. This implies that $`\gamma _1F\gamma _2F=\mathrm{}`$.

We next prove that if the lemma holds for $`N`$ then it holds for $`2N`$; we can then complete the proof by the use of induction. We put $`\stackrel{~}{F}=_{j=1}^N\gamma _jF`$ and let $`\beta _1,\beta _2\mathrm{\Gamma }`$ be such that $`\beta _1\stackrel{~}{F}\beta _2\stackrel{~}{F}=\mathrm{}`$. This yields the statement of the lemma for the sets $`\beta _i\gamma _jF`$ where $`i=1,2`$ and $`1jN`$.

###### Theorem 9

If $`H=H_0+V`$ where $`V`$ is $`(\mathrm{\Gamma },)`$ pseudo-ergodic and $``$ contains more than one point, then $`H`$ has no inessential spectrum.

Proof If $`\lambda \mathrm{Spec}(H)`$ then either (i) for every $`\epsilon >0`$ there exists $`fl^2(X,𝒦)`$ such that $`f=1`$ and $`Hf\lambda f<\epsilon `$, or (ii) for every $`\epsilon >0`$ there exists $`fl^2(X,𝒦)`$ such that $`f=1`$ and $`H^{}f\overline{\lambda }f<\epsilon `$. We assume (i), the proof for (ii) being similar. By approximation we may assume that each $`f`$ has finite support $`F`$. Now for any $`\epsilon >0`$ and any finite $`N`$ let $`\gamma _1,\mathrm{},\gamma _N\mathrm{\Gamma }`$ be such that $`\gamma _iF`$ are pairwise disjoint. Put $`\stackrel{~}{F}=_{i=1}^N\gamma _iF`$ and define $`W:\stackrel{~}{F}M`$ by $`W(\gamma _ix)=V(x)`$ for all $`xF`$. Since $`V`$ is $`(\mathrm{\Gamma },)`$ pseudo-ergodic there exists $`\gamma \mathrm{\Gamma }`$ such that

$$V(\gamma y)W(y)<\epsilon $$

for all $`y\stackrel{~}{F}`$. Thus

$$V(\gamma \gamma _ix)V(x)<\epsilon $$
(5)
for all $`xF`$ and $`1iN`$.

We now put $`f_i(x)=f(\gamma _i^1\gamma ^1x)`$ for all $`xX`$ and observe that $`f_i`$ have supports within $`\gamma \gamma _iF`$, which are disjoint, so $`\{f_i\}_{i=1}^N`$ form an orthonormal set. It follows from condition (i) and (5) that

$$Hf_i\lambda f_i<2\epsilon $$

for all $`1iN`$. This implies that $`\lambda `$ lies in the essential spectrum of $`H`$ by Proposition 7.

## 3 The nsa Anderson model

In this section we apply the above ideas to an example of physical and biological importance. We first consider the one-dimensional nsa Anderson operator

$$Hf_n=\mathrm{e}^gf_{n1}+\mathrm{e}^gf_{n+1}+V_nf_n$$
(6)
acting on $`l^2(𝐙)`$ (so that $`𝒦=𝐂`$), where $`g>0`$ and $`V`$ is a $`(\mathrm{\Gamma },M)`$ pseudo-ergodic potential, $`\mathrm{\Gamma }`$ being the group of all translations of $`𝐙`$ and $`M`$ being a compact subset of $`𝐂`$. The potential $`V`$ may be generated by assuming that its values at different points are independent and identically distributed according to a probability law which has compact support $`M`$.

Fourier analysis quickly establishes that $`H_0`$ is normal with spectrum the ellipse

$$E=\{\mathrm{e}^{g+i\theta }+\mathrm{e}^{gi\theta }:\theta [0,2\pi ]\}$$
(7)
following which Theorem 3 implies that

$$E+M\mathrm{Spec}(H)\mathrm{Conv}(E)+\mathrm{Conv}(M).$$
(8)
A more precise determination of $`\mathrm{Spec}(H)`$ depends upon the size of $`g`$, the choice of $`M`$ and the use of Theorem 6, extending what we already proved in . Given any finite sequence $`\alpha =(\alpha _0,\alpha _1,\mathrm{},\alpha _{n1})M^n`$ let $`W_\alpha `$ be the periodic potential such that $`W_{\alpha ,m}=\alpha _r`$ if $`m=r\mathrm{mod}n`$. The eigenvalue equation

$$\mathrm{e}^gf_{m1}+W_{\alpha ,m}f_m+\mathrm{e}^gf_{m+1}=\lambda f_m$$
(9)
may be rewritten in terms of $`w_m=(f_{m1},f_m)𝐂^2`$ as $`w_{m+1}=w_mA_m`$ where

$$A_m=\left[\begin{array}{cc}0& \mathrm{e}^{2g}\\ 1& \mathrm{e}^g(\lambda W_{\alpha ,m})\end{array}\right].$$

Thus

$$w_{n(r+1)}=w_{nr}B$$

for all $`r𝐙`$ where $`B`$ is the transfer matrix

$$B=A_0A_1\mathrm{}A_{n1}.$$

Since

$$det(B)=\underset{r=0}{\overset{n1}{}}det(A_r)=\mathrm{e}^{2ng}$$

it follows that at least one of the two eigenvalues $`\mu _1,\mu _2`$ of $`B`$ satisfies $`|\mu _i|<1`$. If we write

$$B=\left[\begin{array}{cc}b_{11}(\lambda )& b_{12}(\lambda )\\ b_{21}(\lambda )& b_{22}(\lambda )\end{array}\right]$$

then one may prove by induction that $`b_{22}(\lambda )`$ is a polynomial of degree $`n`$ in $`\lambda `$ while the other coefficients are of lower degree.

The solution $`f`$ of (9) corresponding to an eigenvalue $`\mu `$ of $`B`$ is exponentially increasing or decreasing on $`𝐙`$ according to whether $`|\mu |>1`$ or $`|\mu |<1`$ respectively.

###### Theorem 10

Let $`E^n`$ denote the ellipse

$$E^n=\{\mathrm{e}^{i\theta }+\mathrm{e}^{2ngi\theta }:\theta [\pi ,\pi ]\}$$

and let

$$E_\alpha =\{\lambda :b_{11}(\lambda )+b_{22}(\lambda )E^n\}.$$
(10)
Then $`B`$ has an eigenvalue of modulus $`1`$ if an only if $`\lambda E_\alpha `$. Moreover $`E_\alpha `$ is closed and bounded with

$$E_\alpha \mathrm{Spec}(H).$$

Proof If $`\mu _1=\mathrm{e}^{i\theta }`$ for some $`\theta [\pi ,\pi ]`$ then $`\mu _2=\mathrm{e}^{2ngi\theta }`$, and

$$b_{11}(\lambda )+b_{22}(\lambda )=\mathrm{e}^{i\theta }+\mathrm{e}^{2ngi\theta }.$$

or equivalently $`\lambda E_\alpha `$. The converse also holds. Our comments above on the degrees of $`b_{ij}(\lambda )`$ imply that $`|\mu _1+\mu _2|`$ increases indefinitely as $`|\lambda |`$ grows. Therefore one of the $`\mu _i`$ must have modulus greater than $`1`$ for large enough $`|\lambda |`$ and such $`\lambda `$ cannot lie in $`E_\alpha `$; therefore $`E_\alpha `$ must be bounded. The fact that $`E_\alpha `$ is closed follows directly from its definition.

Corresponding to any $`\lambda E_\alpha `$ there exists a solution $`f`$ of (9) such that $`f_{m+n}=\mathrm{e}^{i\theta }f_m`$ for some $`\theta 𝐑`$ and all $`m𝐙`$. This $`f`$ is bounded but its $`l^2`$ norm is infinite. If we put

$$f_{\epsilon ,m}=\mathrm{e}^{\epsilon |m|}f_m$$

then a direct and well-known calculation shows that $`f_\epsilon _2\mathrm{}`$ and

$$\frac{(H_0+W)f_\epsilon \lambda f_\epsilon _2}{f_\epsilon _2}0$$

as $`\epsilon 0`$. Applying Theorem 1 we deduce that

$$\lambda \mathrm{Spec}(H_0+W)\mathrm{Spec}(H).$$

The set $`𝐂\backslash E_\alpha `$ is the union of disjoint components and the number of eigenvalues $`\mu _j`$ of $`B`$ which have modulus less than $`1`$ cannot change within each component, because the eigenvalues depend continuously on $`\lambda `$. This number must be either $`1`$ or $`2`$, and within the unbounded component it is $`1`$. The following theorem joins the components into two sets.

###### Theorem 11

If $`\lambda `$ lies in

$$I_\alpha =\{\lambda :b_{11}(\lambda )+b_{22}(\lambda )\mathrm{int}(E^n)\}$$
(11)
then all solutions of (9) are exponentially decreasing. If, however, $`\lambda `$ lies in

$$O_\alpha =\{\lambda :b_{11}(\lambda )+b_{22}(\lambda )\mathrm{ext}(E^n)\}$$
(12)
then there is an exponentially increasing solution of (9). The three sets $`I_\alpha `$, $`O_\alpha `$ and $`E_\alpha `$ are disjoint and cover $`𝐂`$.

Proof The condition (11) holds if and only if both $`\mu _i`$ have modulus less than $`1`$, and this implies that every solution of (9) is exponentially decreasing on $`𝐙`$. Similarly The condition (12) holds if and only if one $`\mu _i`$ has modulus greater than $`1`$, and this implies that one non-zero solution of (9) is exponentially increasing on $`𝐙`$.

The explicit description of the above sets depends upon the value of $`n`$. For $`n=1`$ we have $`\alpha M`$ and

$$E_\alpha =E+\alpha .$$

If $`n=2`$ and $`\alpha =(\alpha _0,\alpha _1)M^2`$ then

$$B=\left[\begin{array}{cc}\mathrm{e}^{2g}& \mathrm{e}^{3g}(\lambda \alpha _1)\\ \mathrm{e}^g(\lambda \alpha _0)& \mathrm{e}^{2g}\{(\lambda \alpha _0)(\lambda \alpha _1)1\}\end{array}\right]$$

and $`E_\alpha `$ is the set of $`\lambda `$ such that

$$\mathrm{e}^{2g}\{(\lambda \alpha _0)(\lambda \alpha _1)2\}E^2.$$
(13)
This equation may be solved to present $`\lambda `$ explicitly as a function of $`\theta `$. For larger values of $`n`$ it is probably only practicable to find $`E_\alpha `$ numerically.

The special case $`n=p=1`$ of the following theorem was proved in . The idea owes much to the theory of block Toeplitz matrices .

###### Theorem 12

Let $`H`$ be defined by (6) where $`g>0`$ and $`V`$ is a $`(𝐙,M)`$ pseudo-ergodic potential. If $`\alpha M^n`$ and $`\beta M^p`$ then

$$I_\alpha O_\beta \sigma _{\mathrm{loc}}(H).$$

Proof We consider the operator $`K=H_0+W`$ acting on $`l^2(𝐙)`$ where

$$W_m=\{\begin{array}{cc}\alpha _r\hfill & \text{if }m0\text{ and }m=r\text{ mod }n\hfill \\ \beta _r\hfill & \text{if }m<0\text{ and }m=r\text{ mod }p.\hfill \end{array}$$

We then consider the solutions of

$$\mathrm{e}^gf_{m1}+W_mf_m+\mathrm{e}^gf_{m+1}=\lambda f_m$$

where $`\lambda I_\alpha O_\beta `$. Since $`\lambda O_\beta `$ there exists a solution $`f`$ which is exponentially growing for $`m<0`$, i.e. which decreases exponentially as $`m\mathrm{}`$. Continuing this solution to positive $`m`$ it follows from $`\lambda I_\alpha `$ that $`f`$ also decreases exponentially as $`m\mathrm{}`$. Hence $`f`$ is an eigenvector of finite variance and $`\lambda \sigma _{\mathrm{loc}}(K)\sigma _{\mathrm{loc}}(H)`$.

###### Theorem 13

If in addition to the hypotheses of the last theorem we put $`M=[\mu ,\mu ]`$ then $`\mathrm{Spec}(H)=E+[\mu ,\mu ]`$ for all $`\mu \mathrm{e}^g+\mathrm{e}^g`$. Moreover $`0\mathrm{Spec}(H)`$ if and only if $`\mu \mathrm{e}^g\mathrm{e}^g`$.

Proof The first statement only needs the observation that the two sides of (8) coincide under the given condition. If $`\mu <\mathrm{e}^g\mathrm{e}^g`$ then $`0\mathrm{Spec}(H)`$ by Theorem 4. Now $`0E_{(\mu ,\mu )}`$ if and only if $`\mathrm{e}^{2g}(\mu ^22)E^2`$ by (13), and this is equivalent to $`\mu =\mathrm{e}^g\mathrm{e}^g`$; for such $`\mu `$ one has $`0\mathrm{Spec}(H)`$ by Theorem 10. For smaller $`\mu `$ we have $`0I_{(\mu ,\mu )}`$ and for larger $`\mu `$ we have $`0O_{(\mu ,\mu )}`$. Therefore $`0I_{(0)}O_{(\mu ,\mu )}`$ for $`\mu >\mathrm{e}^g\mathrm{e}^g`$, and $`0\sigma _{\mathrm{loc}}(H)`$ by Theorem 12.

If $`M=[\mu ,\mu ]`$ the above theorems admit the possibility that there are two holes in the spectrum on either side of the origin for

$$\mathrm{e}^g\mathrm{e}^g<\mu <\mathrm{e}^g+\mathrm{e}^g.$$

We nevertheless conjecture that one has $`\mathrm{Spec}(H)=\mathrm{Conv}(E+M)`$ for all $`\mu \mathrm{e}^g\mathrm{e}^g`$.

We contrast the above with the case in which $`M=\{\pm \mu \}`$. The following theorem completely determines the real part of $`\mathrm{Spec}(H)`$ under the stated conditions.

###### Theorem 14

If $`M=\{\pm \mu \}`$ and $`\mu >\mathrm{e}^g+\mathrm{e}^g`$ then

$$(\mathrm{Conv}(E)+\mu )(\mathrm{Conv}(E)\mu )\mathrm{Spec}(H)B(\mu ,\mathrm{e}^g+\mathrm{e}^g)B(\mu ,\mathrm{e}^g+\mathrm{e}^g)$$

and

$$\mathrm{Spec}(H)\mathrm{Conv}(E)+[\mu ,\mu ].$$

Proof The first inclusion of the statement follows from the case $`n=p=1`$ of Theorem 12 as in . The second follows from the first half of Theorem 4, and the final one follows from Theorem 3.

We conjecture that the first inclusion is actually an equality.

###### Corollary 15

If $`M=\{\pm \mu \}`$ then $`0\mathrm{Spec}(H)`$ if and only if

$$\mathrm{e}^g\mathrm{e}^g\mu \mathrm{e}^g+\mathrm{e}^g.$$

Proof If $`\mu <\mathrm{e}^g\mathrm{e}^g`$ then $`0\mathrm{Spec}(H)`$ by combining Corollary 2 and Theorem 13. If $`\mu >\mathrm{e}^g+\mathrm{e}^g`$ then $`0\mathrm{Spec}(H)`$ by Theorem 14. If $`\mu =\mathrm{e}^g\mathrm{e}^g`$ then $`0E_{(\mu ,\mu )}\mathrm{Spec}(H)`$ by Theorem 10. If $`\mu =\mathrm{e}^g+\mathrm{e}^g`$ then $`0E_\mu \mathrm{Spec}(H)`$ by Theorem 10. Finally if $`\mathrm{e}^g\mathrm{e}^g<\mu <\mathrm{e}^g\mathrm{e}^g`$ then $`0O_{(\mu ,\mu )}I_\mu \mathrm{Spec}(H)`$ by Theorem 12.

We next turn to the nsa Anderson model in $`𝐙^n`$. The operator $`H`$ on $`l^2(𝐙^n)`$ is defined by

$$(Hf)(m,n)=(H_0f)(m,n)+V(m,n)f(m,n)$$

where

$$(H_0f)(m,n)=\mathrm{e}^gf(m+1,n)+\mathrm{e}^gf(m1,n)+f(m,n+1)+f(m,n1)$$

for some $`g>0`$. We assume that $`V`$ is real-valued and pseudo-ergodic with values in $`M=[\mu ,\mu ]`$. It follows by Fourier transform methods that $`H_0`$ is normal with spectrum equal to

$$\stackrel{~}{E}=E+[2(n1),2(n1)]$$

where $`E`$ is the ellipse defined by (7). This set is connected with a hole around the origin if $`n=2`$ but it may or may not have such a hole for $`n3`$. This phenomenon is a result of the particular choice of lattice used to discretize the Laplacian. If $`\mu `$ is sufficiently small the same applies to $`\mathrm{Spec}(H)`$.

###### Theorem 16

If $`\mu \mathrm{e}^g+\mathrm{e}^g2(n1)`$ then $`\mathrm{Spec}(H)`$ is the convex set

$$E+[\mu 2(n1),\mu +2(n1)].$$

Proof As in the one-dimensional case we need only observe that the two sides of (8) are equal under the hypotheses.

We next mention the same operator acting in $`l^2(X)`$ where

$$X=\{(m,n):m𝐙,1nN\}$$

subject to Dirichlet boundary conditions; the Neumann case is similar. We may carry out an analysis similar to that above if we are only concerned to determine the spectrum, but more detailed spectral information is obtained by putting $`l^2(X)=l^2(𝐙,𝒦)`$ where $`𝒦=𝐂^N`$. We then put

$$(H_0f)(m)=\mathrm{e}^gf(m+1)+\mathrm{e}^gf(m1)$$

and

$$\stackrel{~}{V}(m)(r,s)=\{\begin{array}{cc}1\hfill & \text{if }|rs|=1\hfill \\ V(m,r)\hfill & \text{if }r=s\hfill \\ 0\hfill & \text{otherwise}\hfill \end{array}$$

where $`1r,sN`$ in all cases. Note that $`H_0`$ is normal and $`\stackrel{~}{V}(m)`$ is a self-adjoint matrix for all $`m𝐙`$, so all of the theorems of Section 2 apply. Using such ideas it is possible to analyze the localized spectrum of $`H`$ as in the one-dimensional case.

We finally comment that certain random bidiagonal operators can also be treated by the methods of this paper by making the appropriate choice of $`H_0`$, as can a variety of other operators whose matrix coefficients depend only on $`mn`$ whenever $`mn`$. See , which use probabilistic rather than pseudo-ergodic methods.

## 4 Resolvent Norms

The spectral behaviour of a bounded operator $`A`$ acting on a Hilbert space $``$ can be measured in several ways. In pseudospectral theory one examines the contours of the function

$$s(A,z)=\{\begin{array}{cc}(Az)^1^1\hfill & \text{if }z\mathrm{Spec}(A)\hfill \\ 0\hfill & \text{if }z\mathrm{Spec}(A)\text{.}\hfill \end{array}$$

This function converges to zero as $`z`$ approaches the spectrum of $`A`$ because of the upper bound

$$s(A,z)\mathrm{dist}(z,\mathrm{Spec}(A))$$

and the case of most interest is when $`s(A,z)`$ is very small for $`z`$ far from the spectrum. The determination of the pseudospectra, defined as the family of sets $`\{z:s(z)<\epsilon \}`$ for all positive $`\epsilon `$, is computationally heavy, but the family carries much more information than the spectrum alone .

###### Lemma 17

The function $`s(A,)`$ satisfies the Lipschitz inequality

$$|s(A,z)s(A,w)||zw|$$

for all $`z,w𝐂`$.

The proof uses the formula

$$s(A,z)=inf\{(Az)f/f:0f\}$$
(14)
valid for all $`z\mathrm{Spec}(A)`$. Note that this may be false for $`z\mathrm{Spec}(A)`$, as one may see by considering the operator $`\widehat{A}`$ on $`l^2(𝐙^+)`$ defined by

$$\widehat{A}f(n)=\{\begin{array}{cc}0\hfill & \text{if }n=1\hfill \\ f(n1)\hfill & \text{if }n2\text{.}\hfill \end{array}$$

The next theorem provides an upper bound on $`s(A,)`$ which may be used to compute it numerically. Let $`L`$ be a finite-dimensional subspace of $``$ and let $`P`$ be the orthogonal projection onto $`L`$. We define $`B(A,L,z)`$ to be the restriction of

$$P(AzI)^{}P(AzI)P+PA^{}(IP)AP$$

to the subspace $`L`$, and $`\sigma (A,L,z)`$ to be the square root of the smallest eigenvalue of $`B(A,L,z)`$.

###### Theorem 18

If we put

$$s(A,L,z)=\mathrm{min}\{\sigma (A,L,z),\sigma (A^{},L,\overline{z})\}$$

then

$$s(A,L,z)s(A,z).$$

The functions $`s(A,L,)`$ decrease monotonically and locally uniformly to $`s(A,)`$ as the subspaces increase.

Proof It follows from its definition that

$$\sigma (A,L,z)=\mathrm{min}\{(Az)f/f:0fL\}.$$

It is clear from this that $`\sigma (A,L,z)`$ decreases monotonically and pointwise to

$$\sigma (A,z)=inf\{(Az)f/f:0f\}.$$

If $`z\mathrm{Spec}(A)`$ this equals $`s(A,z)`$. Similar comments apply with $`A`$ replaced by $`A^{}`$, and we also have $`\sigma (A,z)=\sigma (A^{},\overline{z})`$ for all $`z`$.

On the other hand if $`z\mathrm{Spec}(A)`$ we have either $`\sigma (A,z)=0`$ or $`\sigma (A^{},\overline{z})=0`$, or both. This implies that $`s(A,L,z)`$ converges monotonically and pointwise to $`0`$. Since all the functions involved are Lipschitz continuous with Lipschitz constant $`1`$, the convergence must be locally uniform.

Now suppose that $``$ equals $`l^2(X,𝒦)`$ and $`L`$ is defined as the space of all functions with support in a particular finite region $`\mathrm{\Omega }`$. The above theorem is better than the mere computation of the spectrum of $`PAP`$ restricted to $`L`$ (possibly subject to certain boundary conditions on $`\mathrm{\Omega }`$) because it gives rigorous upper bounds to $`s(A,z)`$ rather than uncontrolled approximations. Another advantage is that it provides an upper bound for $`s(A,z)`$ for every extension of the operator $`A`$ beyond the subspace $`L`$. Because of its approximate nature one cannot determine the spectrum of $`A`$ exactly using the above theorem, but it may be possible to get good approximations to the pseudospectra, which are often of greater importance for such operators.

We now turn to pseudo-ergodic operators, working in the technical context of Section 2. The following theorem indicates how one may get rigorous upper bounds and approximations to the pseudospectra by selecting appropriate potentials $`W`$.

###### Theorem 19

If $`H=H_0+V`$ where $`V`$ is $`(\mathrm{\Gamma },M)`$ pseudo-ergodic and $`K=H_0+W`$ where $`W:XM`$ is arbitrary, then

$$(HzI)^1(KzI)^1$$

for all $`z𝐂`$. Therefore

$$s(H,z)=\mathrm{min}\{s(H_0+W,z):WM^X\}.$$

If $`V,W`$ are both $`(\mathrm{\Gamma },M)`$ pseudo-ergodic then the resolvent norms and hence pseudospectra of $`H`$ and $`K`$ are equal.

Proof By Theorem 1 we need only consider the case in which $`z`$ does not lie in the spectrum of either operator. If $`s(K,z)<c`$ then there exists $`fl^2(X,𝒦)`$ such that $`(Kz)f<cf`$ and by approximation we may assume that $`f`$ has finite support. Using the pseudo-ergodic property of $`H`$ there exists $`g`$ of finite support such that $`(Hz)g<cg`$ and this implies that $`s(H,z)<c`$. Hence $`s(H,z)s(K,z)`$. The remainder of the proof follows Theorem 1 or Corollary 2.

For the nsa periodic Anderson model with $`M=[\mu ,\mu ]`$ the asymptotic limit of the finite volume spectrum has been determined , and it is seen that for certain ranges of the parameter $`\mu `$ zero does not lie in the asymptotic spectrum, which is the union of a set of complex curves. On the other hand the spectrum of the same operator on any finite interval subject to Dirichlet boundary conditions is entirely real. It has been suggested in  that for periodic boundary conditions there is no pseudospectral pathology of the type which occurs for Dirichlet boundary conditions. However, our results demonstrate that spatially rare special sections of a random potential have a dominant effect on the spectrum of the infinite volume nsa Anderson operator. This should not be taken as an indication that our results are unphysical: it is well known that the behaviour of bulk materials is often radically affected by the presence of low concentrations of impurities and/or defects, and one should expect the mathematics to reflect this.

We have implemented the above ideas numerically using Matlab for the operator $`H`$ defined by (6) where $`\mathrm{e}^g=2`$ and $`V_n`$ are independent random variables uniformly distributed on $`[3,3]`$. We took $`L`$ to be the subspace of all sequences with support in $`[1,100]`$ and computed the minimum value of $`\sigma (H,L,x)`$ over $`1000`$ different choices of the potential $`V`$. We chose to study real $`x[0,6]`$, but complex values of $`x`$ in any region can be accommodated by the same method. This yielded the upper bounds $`\overline{s}(H,x)`$ as follows (the omitted values of $`\overline{s}(H,x)`$ all vanish to the given accuracy).

$$\begin{array}{cc}x& \overline{s}(H,x)\\ & \\ 0.0& 0.0283\\ 0.5& 0.0203\\ 1.0& 0.0084\\ 1.5& 0.0015\\ \mathrm{}& \mathrm{}\\ 4.5& 0.0044\\ 5.0& 0.2233\\ 5.5& 0.6259\\ 6.0& 1.0817\end{array}$$

Our general theory shows that the real part of the spectrum of this operator is $`[5.5,5.5]`$, which is consistent with the numerical conclusion that

$$(HxI)^110^2$$

for all $`1.0x4.5`$ and

$$(HxI)^110^4$$

for all $`2.0x4.0`$. (Of course the numerical calculation can also be carried out in cases in which one does not have a prior theoretical solution!) The eigenvectors of $`B(A,L,x)`$ corresponding to the smallest eigenvalues were also computed for several values of $`x`$. As expected from the theory of localized spectrum, they were all highly concentrated around some point in the interior of $`[1,100]`$, and negligible at the ends of the interval.

We finally examine the behaviour of the resolvent norm at the point $`z=0`$. To be precise we consider the nsa Anderson model with $`M=[\mu ,\mu ]`$ acting on $`l^2(𝐙)`$ for various values of $`\mu `$. Recall that Theorem 13 states that $`0\mathrm{Spec}(H)`$ if and only if $`\mu \mathrm{e}^g\mathrm{e}^g`$.

###### Theorem 20

If $`\mathrm{\hspace{0.17em}\hspace{0.17em}0}\mu <\mathrm{e}^g\mathrm{e}^g`$ then

$$H^1^1=\mathrm{e}^g\mathrm{e}^g\lambda .$$

Proof If we exhibit the $`\mu `$ dependence of $`H`$ explicitly and put $`t(\mu )=s(H_\mu ,0)`$ then it follows from (14) that

$$|t(\mu )t(\nu )||\mu \nu |$$

for any $`0\mu ,\nu <\mathrm{e}^g\mathrm{e}^g`$. Since $`t(0)=\mathrm{e}^g\mathrm{e}^g`$ and $`t(\mathrm{e}^g\mathrm{e}^g)=0`$ we conclude that

$$t(\mu )=\mathrm{e}^g\mathrm{e}^g\mu $$

for all $`0\mu <\mathrm{e}^g\mathrm{e}^g`$.

## 5 Constrained Potentials

We have avoided the use of any probabilistic methods by the introduction of the concept of pseudo-ergodicity. We now explore the variety of situations in which our ideas are applicable. The obvious possibility is to assume that $`\mu `$ is a probability measure with support equal to the set $`(𝒦)`$ and to assume that $`V_x`$ are independent random variables as $`xX`$ varies and that each is distributed according to $`\mu `$. However, even if we assume that $`V_x`$ are independent, we may permit each $`V_x`$ to be distributed according to a different probability measure $`\mu _x`$ with support equal to $``$. These measures need not even be $`\mathrm{\Gamma }`$-stationary, but they must satisfy the following condition. For every open set $`U(𝒦)`$ such that $`U\mathrm{}`$ there must exist a constant $`c_U>0`$ such that $`\mu _x(U)c_U`$ for all $`xX`$. This is sufficient to imply that $`V`$ is $`(\mathrm{\Gamma },)`$ pseudo-ergodic almost surely by the usual probabilistic argument. For all such probabilistic models the spectrum (or localized spectrum) of the operator $`H`$ is the same.

Similar remarks apply to a variety of other probabilistic models in which the values $`V_x`$ are not independent. There is one situation, however, in which changes in the spectrum may arise. We say that a potential $`V`$ satisfies the local constraints $`𝒬=(,\gamma _1,\mathrm{},\gamma _k,𝒩_1,\mathrm{},𝒩_k)`$ where $`\gamma _i\mathrm{\Gamma }`$ and $`,𝒩_i`$ are closed, bounded subsets of $`(𝒦)`$ under the following conditions. For all $`xX`$ we require that $`V_x`$ and also that

$$V_xV_{\gamma _ix}𝒩_i$$

for all $`i=1,\mathrm{},k`$. Even more general constraints can be formulated. We then say that $`V`$ is $`(\mathrm{\Gamma },𝒬)`$ pseudo-ergodic if it satisfies the constraints $`𝒬`$ and for any other potential $`W`$ which satisfies the same constraints and any finite subset $`F`$ of $`X`$ and any $`\epsilon >0`$ there exists $`\gamma \mathrm{\Gamma }`$ such that

$$V_{\gamma x}W_x<\epsilon $$

for all $`xF`$. These constraints force a relationship between the values of $`V_x`$ at neighbouring points which is stronger than a mere probabilistic correlation.

###### Lemma 21

If $`H_j=H_0+V_j`$ where $`V_1`$ is $`(\mathrm{\Gamma },)`$ pseudo-ergodic and $`H_2`$ is $`(\mathrm{\Gamma },𝒬)`$ pseudo-ergodic, then

$$\mathrm{Spec}(H_2)\mathrm{Spec}(H_1).$$

Any two $`(\mathrm{\Gamma },𝒬)`$ pseudo-ergodic operators have the same spectrum.

Proof The first statement is a consequence of Theorem 1. The second involves adapting the proof of the same theorem.

We now apply the above ideas in a simple context. We assume that $`X=𝐙`$, that $`\mathrm{\Gamma }`$ is the usual translation group acting on $`𝐙`$, and that $`𝒦=𝐂`$. We assume that $`a,b`$ are two positive constants and impose attractive constraints $`𝒬_1`$ of the form

$$aV_na,|V_nV_{n+1}|b$$

for all $`n𝐙`$. Although we are not able to prove Theorem 12 in full generality under such conditions the important special case $`n=p=1`$ is still valid.

###### Theorem 22

Let $`H`$ be defined by (6) where $`g>0`$ and $`V`$ is a $`(𝐙,𝒬_1)`$ pseudo-ergodic potential. We have

$$E+[a,a]\mathrm{Spec}(H)\mathrm{Conv}(E)+[a,a]$$

where $`E`$ is given by (7). If $`\alpha ,\beta [a,a]`$ then

$$I_\alpha O_\beta \sigma _{\mathrm{loc}}(H).$$

Proof The first statement of the theorem is proved as in Theorem 3. For the second part we follow the method of Theorem 12 but for the operator $`K=H_0+W`$ acting on $`l^2(𝐙)`$ where

$$W_n=\{\begin{array}{cc}\alpha \hfill & \text{if }n>N\hfill \\ \beta \hfill & \text{if }n<0\hfill \\ \beta +n(\alpha \beta )/N\hfill & \text{if }0nN\text{.}\hfill \end{array}$$

Here we take $`N`$ large enough to ensure that $`W`$ satisfies the constraints $`𝒬_1`$.

A more interesting variation upon our earlier theory occurs if we impose the repulsive constraint $`𝒬_2`$ defined by

$$aV_na,|V_nV_{n+1}|b$$

for all $`n𝐙`$, where $`0<b2a`$. This excludes constant potentials, thus rendering the first inclusion of Theorem 3 invalid. The range of a $`(\mathrm{\Gamma },𝒬_2)`$ pseudo-ergodic potential $`V`$ is equal to $`M=[a,ab][ba,a]`$.

The spectrum of the Anderson model (6) is easy to determine in the self-adjoint case, and we start with this.

###### Theorem 23

If $`g=0`$ and $`V`$ is $`(\mathrm{\Gamma },𝒬_2)`$ pseudo-ergodic then the spectrum of the operator $`H=H_0+V`$ defined by (6) is given by

$$\mathrm{Spec}(H)=T(T)$$

where

$$T=[ba,a\frac{b}{2}+\sqrt{\frac{b^2}{4}+4}].$$

Thus $`\mathrm{Spec}(H)`$ has a spectral gap if and only if $`a<b2a`$.

Proof Let $`W`$ be the potential $`W_n=(1)^nb/2`$, so that $`W+sI`$ satisfies the constraints $`𝒬_2`$ for all real $`s`$ such that $`|s|ab/2`$. It follows from Theorem 1 that if $`S=\mathrm{Spec}(H_0+W)`$ then

$$S+[b/2a,ab/2]\mathrm{Spec}(H).$$
(15)
Conversely $`VWab/2`$, so the perturbation theoretic argument used in Theorem 4 implies that

$$\mathrm{Spec}(H)S+[b/2a,ab/2].$$

We deduce that

$$\mathrm{Spec}(H)=S+[b/2a,ab/2]$$

and complete the proof by using a Bloch wave analysis to compute the set $`S`$.

Now let us denote the same operator by $`L_g`$ for $`g0`$. We may regard $`L_g`$ as a perturbation of $`L_0`$ and use the argument of Theorem 4 to show that

$$\mathrm{Spec}(L_g)\mathrm{Spec}(L_0)+B(0,\mathrm{e}^g1).$$

We may also use Theorem 4 as it stands to obtain an outer estimate of $`\mathrm{Spec}(L_g)`$. We may obtain inner estimates by the method of Section 3 provided we are careful to avoid the use of constant potentials.

###### Theorem 24

We have

$$S+[\frac{b}{2}a,a\frac{b}{2}]\mathrm{Spec}(L_g)$$

where

$$S=\{\pm \sqrt{\frac{b^2}{4}+2+\mathrm{e}^{2g+i\theta }+\mathrm{e}^{2gi\theta }}:\theta [\pi ,\pi ]\}.$$

Proof if we put $`\alpha _0=b/2`$ and $`\alpha _1=b/2`$ and solve (13) for $`\lambda `$ we obtain

$$E_{(b/2,b/2)}=S.$$

The remainder of the proof follows Theorem 23, using the last part of Theorem 10.

Note that for small positive $`g`$, $`S`$ consists of two closed curves on opposite sides of the $`y`$-axis, but for large $`g`$ it is a single curve enclosing the origin.

Acknowledgements I acknowledge valuable conversations with N Trefethen and I Goldsheid during the course of this work. I also thank the EPSRC for support under grant no. GR/L75443.

Department of Mathematics
King’s College
Strand
London WC2R 2LS
England

e-mail: E.Brian.Davies@kcl.ac.uk