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# The spatial distribution of O-B5 stars in the solar neighborhood as measured by HipparcosBased on data from the Hipparcos astrometry satellite.

## 1 INTRODUCTION

Studies based on the spatial distribution of massive stars (Blaauw, 1960) and interstellar hydrogen (Gum et al., 1960) established some time ago that the Sun is located above the galactic plane. This has been confirmed using a variety of tracers (see Humphreys & Larsen 1995 for a review) with somewhat incompatible values of $`z_{\mathrm{}}`$, the Sun’s distance above the galactic plane, ranging from 9.5 pc to 42 pc. Some of the discrepancies may be due to real differences in the vertical distribution of different stellar or gaseous components but others must be due to observational errors, since they appear among studies of the same type of objects. This is seen in Table 1, where the results on early-type stars are shown. The use of early-type stars to determine $`z_{\mathrm{}}`$ has the advantage that their scale height with respect to the galactic plane, $`h`$, is of the same order of magnitude as $`z_{\mathrm{}}`$, which makes the determination simpler than for objects with larger scale heights (e.g. late-type stars). However, early-type stars are scarce and to obtain a statistically-reliable sample previous studies had to resort to objects close to the galactic plane, where extinction can introduce severe biases.

The measurement of $`z_{\mathrm{}}`$ using early-type stars is closely related to the vertical distribution of the number density of those stars, $`\rho (z)`$. We consider here two scenarios. First, if the analyzed sample consists of a single population which is responsible for the gravity field in which the stars are moving we have a a single component, self-gravitating, isothermal disk (e.g. King 1996), which can be described by:

$$\rho (z)=\rho _\mathrm{o}\mathrm{sech}^2\left(\frac{z+z_{\mathrm{}}}{2h_s}\right),$$
(1)
where $`z`$ is the vertical coordinate (with its origin at the Sun’s position), $`h_s`$ is the corresponding scale height, and $`\rho _\mathrm{o}`$ is the density at the galactic plane. The factor of 2 is introduced in order to have $`\rho \mathrm{exp}(|z+z_{\mathrm{}}|/h_s)`$ for $`|z+z_{\mathrm{}}|h_s`$. A second possible scenario can be introduced by assuming the same conditions as before but now establishing that the gravity field is caused by a different population (e.g. low-mass stars or dark matter) with constant density. In that case we have a Gaussian vertical distribution:

$$\rho (z)=\rho _\mathrm{o}\mathrm{exp}\left(\frac{1}{2}\left(\frac{z+z_{\mathrm{}}}{h_g}\right)^2\right),$$
(2)
where $`h_g`$ is the Gaussian half-width.

The stellar surface density, $`\sigma _{}`$, can be obtained by integrating $`\rho (z)`$ from $`\mathrm{}`$ to $`+\mathrm{}`$ and for the models described by Eqs. 1 and 2 the results are $`4h_s\rho _\mathrm{o}`$ and $`\sqrt{2\pi }h_g\rho _\mathrm{o}`$, respectively. Measured values of $`h`$ and $`\sigma _{}`$ have been included in Table 1. In each case it is indicated whether the model used is that of Eq. 1 or an exponential one: $`\rho (z)=\rho _\mathrm{o}\mathrm{exp}(|z+z_{\mathrm{}}|/h_e)`$, in which case $`\sigma _{}=2h_e\rho _\mathrm{o}`$.

The profiles defined by Eqs. 1 or 2 are actually not extremely different from one another and either one of them is expected to be a reasonably good approximation to the vertical profile of the disk population of early-type stars. However, we must bear in mind that there are also early-type stars in the halo (see, e.g. Rolleston et al. 1999 and references therein) which are expected to dominate the O-B5 population at distances larger than several hundred pc from the galactic plane and, thus, add another component to the observed disk population. Most of these objects are runaway stars (Rolleston et al., 1999; Hoogerwerf et al., 2000) but some appear to have been formed in situ (Conlon et al., 1992).

The availability of the Hipparcos catalog (ESA, 1997) has revolutionized the quality of astrometric data and has produced for the first time good-quality trigonometric parallaxes for a large sample of early-type stars. However, even with these data one has to take into account a fundamental problem in the use of trigonometric parallaxes for the determination of distances discovered by Lutz & Kelker (1973). Assuming a uniform spatial distribution of stars and a Gaussian distribution of observed parallaxes $`\pi _\mathrm{o}`$ about the true parallax $`\pi `$ with a width $`\sigma _\pi `$, they discovered that the distribution of true distances $`r=1/\pi `$ about the observed one $`r_\mathrm{o}=1/\pi _\mathrm{o}`$ was asymmetrical and even divergent for $`r\mathrm{}`$. The effect is caused by the inverse relationship between $`\pi `$ and $`r`$ and by the fact that the available volume between $`r`$ and $`r+dr`$ is proportional to $`r^2`$. The effect is unimportant for parallaxes with small relative errors ($`\epsilon _\pi \sigma _\pi /\pi _\mathrm{o}0.05`$) and can be corrected for cases with $`\epsilon _\pi 0.100.15`$ but for values with $`\epsilon _\pi 0.175`$ it becomes so large that an individual trigonometric parallax by itself provides little information about the distance to the object unless it is combined with additional information (e.g. the spectroscopic parallax). Lutz & Kelker (1973) provided a table to correct the effect of the bias for $`\epsilon _\pi <0.175`$ (see Smith (1987); Kovalevsky (1998) for updated analyses) but for larger values no simple meaningful correction exists.

A large fraction of the Hipparcos trigonometric parallaxes have $`\epsilon _\pi >0.175`$ and a non-negligible number have negative parallaxes. Those values cannot be discarded when statistical studies of distances are undertaken without introducing severe biases. One approach to the problem is that of Ratnatunga & Casertano (1991), who use spectroscopic parallaxes to constrain the possible range of distances without discarding any stars with large values of $`\epsilon _\pi `$ or negative ones of $`\pi _\mathrm{o}`$. Another approach is that followed by Feast & Catchpole (1997) to evaluate the zero-point of the Cepheid period-luminosity relation. Those authors combine trigonometric parallaxes with $`\epsilon _\pi `$ up to $`1.0`$ with the apparent magnitude and period of the stars to reduce all Cepheids to a single distance and produce an equivalent parallax with $`\epsilon _\pi 0.05`$.

In this paper we introduce a new method to correct for Lutz-Kelker-type biases (section 2) and apply it to a sample of stars obtained from the Hipparcos catalog (section 3) in order to derive the parameters which determine the vertical distribution of O-B5 stars in the solar neighborhood (section 4).

## 2 DESCRIPTION OF THE METHOD

The number of stars per unit distance $`n_{,r}`$ between $`r`$ and $`r+dr`$ inside a solid angle $`\mathrm{\Omega }`$, $`n_{,r}dr`$, is given by:

$$n_{,r}dr=\rho (r)\mathrm{\Omega }r^2dr,$$
(3)
where $`\rho (r)`$ is the star number density. The equivalent expression per unit parallax is:

$$n_{,\pi }d\pi =\rho (1/\pi )\mathrm{\Omega }\pi {}_{}{}^{4}d\pi .$$
(4)
If we assume that the distribution of $`\pi _\mathrm{o}`$ about $`\pi `$ is Gaussian with a width $`\sigma _\pi `$, then the distribution of observed parallaxes will be the convolution of the two functions:

$$f(\pi _\mathrm{o})=_0^{\mathrm{}}Ae^{\frac{1}{2}\left(\frac{\pi \pi _\mathrm{o}}{\sigma _\pi }\right)^2}\rho (1/\pi )\mathrm{\Omega }\pi {}_{}{}^{4}d\pi ,$$
(5)
where $`A`$ is a normalizing factor. Note that Eq. 4 may be singular at $`\pi =0`$ for some choices of $`\rho (r)`$ and that this may cause Eq. 5 to be non-normalizable. This is the reason why no simple correction can be obtained for the standard case of Lutz-Kelker bias (which has $`\rho (r)=\rho _\mathrm{o}`$) when $`\epsilon _\pi 0.175`$. A generalization of that standard case can be achieved by allowing for non-constant density profiles, as previously suggested by Hanson (1979). This is motivated by the finite size of the Galaxy, which forces the introduction of a cutoff in any choice of $`\rho (r)`$ based on a realistic model. Such a cutoff would eliminate any convergence problems in Eq. 5 and allow for finite Lutz-Kelker-type corrections111Note, however, that such corrections will depend on $`\rho (r)`$ itself and that, for a non-spherically symmetric density distribution (as expected for a galactic disk), $`\rho (r)`$ will be different for each direction. Thus, a tabulated version of Lutz-Kelker-type corrections becomes clearly impractical due to the increase in the number of degrees of freedom and the best strategy to estimate the distance is to compute an individual correction for each star..

We consider one such model based on a self-gravitating isothermal vertical distribution (Eq. 1) and which for early-type stars should be valid for large absolute values of the galactic latitude $`b`$, where the main limitation imposed on sample completeness is distance (as opposed to extinction):

$$\rho (1/\pi )=\rho _\mathrm{o}\mathrm{sech}^2\left(\frac{\mathrm{sin}b/\pi +z_{\mathrm{}}}{2h_s}\right)=\rho _\mathrm{o}\mathrm{sech}^2\left(\frac{1/\pi \pm z_{\mathrm{}}^{}{}_{}{}^{}}{2h_s^{}}\right),$$
(6)
where $`h_s^{}=h_s|\mathrm{csc}b|`$ and $`z_{\mathrm{}}`$$`{}_{}{}^{}=z_{\mathrm{}}|\mathrm{csc}b|`$, and the sign in the last expression is positive for $`b>0`$ and negative for $`b<0`$. A least-squares fit to the observed distribution of parallaxes using Eqs. 5 and 6 should then yield the three free parameters $`h_s`$, $`z_{\mathrm{}}`$, and $`\sigma _{}`$ (which is a function of the constants in the two equations). Unfortunately, two problems exist when this is attempted. First, a large range in $`b`$ needs to be used in order to have a large enough sample, which implies that a mean value of $`|\mathrm{csc}b|`$ will have to be obtained in order to derive $`h_s`$ and $`z_{\mathrm{}}`$ from $`h_s^{}`$ and $`z_{\mathrm{}}`$. However, for $`|b|25\mathrm{°}`$ and reasonable values of $`h_s`$ and $`z_{\mathrm{}}`$, $`|\mathrm{csc}b|`$ becomes so large that we are forced to go to distances larger than 1 kpc in order to have reasonably complete samples, and this is beyond the volume well-sampled by Hipparcos. Therefore, this method cannot be applied to the data currently available. The second problem is more subtle: Suppose we analyze all the stars contained within a double cone defined by $`|b|>b_{\mathrm{min}}`$ and that the vertical spatial distribution of early-type stars is given by the sum of either Eq. 1 or Eq. 2 and a halo component which is unimportant near the galactic plane but dominates at high $`|z|`$. Then, since the sampled volume is proportional to $`z^2`$, the halo component will be overrepresented in our sample and a strong bias could be introduced in our measurements of $`h_s`$ and $`z_{\mathrm{}}`$ unless the proper linear combination of $`\rho _{\mathrm{disk}}`$ and $`\rho _{\mathrm{halo}}`$ is used.

An alternative method which avoids these two problems can be designed in the following way. Suppose we can make an educated guess for the parameters that describe the O-B5 disk population (using either Eq. 1 or Eq. 2) and that we also have a reasonably good approximation for the halo population (which is expected to be only a small contaminant in our sample if we avoid the bias mentioned in the previous paragraph). Then, for a single star with measured $`\pi _\mathrm{o}`$, $`\sigma _\pi `$, and $`b`$ we can calculate the probability distribution as a function of distance as:

$$p(r)=Ar^2e^{\frac{1}{2}\left(\frac{1r\pi _\mathrm{o}}{r\sigma _\pi }\right)^2}\rho (r),$$
(7)
where $`A`$ is a normalizing factor and the latitude dependence is embedded in $`\rho (r)=\rho _{\mathrm{disk}}(r)+\rho _{\mathrm{halo}}(r)`$. We can now project $`p(r)`$ into the vertical coordinate to obtain $`p(z)`$ and sum over all observed stars to obtain $`f(z)`$, the distribution of stars as a function of the vertical coordinate. Doing a least-squares fit of $`f(z)`$ with a vertical profile leads to a new estimate of the parameters. The process is then repeated until convergence is achieved.

Several precautions have to be taken to insure the correctness of this iterative process. First, a maximum distance to the Sun vertical line, $`\varpi _{\mathrm{max}}`$, has to be specified in order to insure completeness and to avoid the halo-disk bias previuosly discussed. This can be achieved by truncating each individual $`f(z)`$ at $`z_{\mathrm{max}}=\varpi _{\mathrm{max}}\mathrm{tan}b`$. Second, stars at very low galactic latitudes ($`|b|<b_{\mathrm{min}}`$) have to be excluded from the sample since for lines of sight close to the galactic equator the spatial structure is dominated by radial (not vertical) variations and extinction. In order not to induce any biases due to this exclusion, the fit to the vertical profile should not include the range $`(\varpi _{\mathrm{max}}\mathrm{tan}b_{\mathrm{min}},\varpi _{\mathrm{max}}\mathrm{tan}b_{\mathrm{min}})`$. As shown in Fig. 1, the resulting volume which will be used for our fit to the vertical profile is a double semi-infinite cylinder. For any given star with $`|b|>b_{\mathrm{min}}`$, three regions are then defined: $`0<|z|<\varpi _{\mathrm{max}}\mathrm{tan}b_{\mathrm{min}}`$, $`\varpi _{\mathrm{max}}\mathrm{tan}b_{\mathrm{min}}|z|\varpi _{\mathrm{max}}\mathrm{tan}|b|`$, and $`\varpi _{\mathrm{max}}\mathrm{tan}|b|<|z|<\mathrm{}`$, and only the second one is used for our calculation. A star with a large value of $`\epsilon _\pi `$ will have non-negligible values of $`f(z)`$ in the three regions while the probability distribution for one with a small value of $`\epsilon _\pi `$ will be concentrated in one of the three (unless its value of $`\pi _\mathrm{o}`$ is close to one of the two critical values which correspond to the two boundaries between regions). In any case, each of those stars will have an integrated probability in the second region between 0 and 1, leading to a non-integral estimated number of stars in the double semi-infinite cylinder. A third precaution to be considered is the introduction of biases in the obtained parameters by the fitting procedure. This problem can be solved using a twofold strategy: First, biases can be minimized using a variable bin size determined by the criteria specified by D’Agostino & Stephens (1986). Second, a population with the same parameters as those derived in the fitting process can be generated numerically and fitted using the same procedure. Repeating this a large number of times allows us to measure the numerical biases by obtaining the mean displacements between the real and the derived parameters and to correct our results accordingly.

## 3 THE SAMPLE

We have extracted from the Hipparcos catalog the data for all stars classified therein as O-B5 and with $`|b|>b_{\mathrm{min}}=5\mathrm{°}`$ (3 531 objects). That value of $`b_{\mathrm{min}}`$ was chosen in order to eliminate the highly obscured regions near the galactic plane while at the same time retaining most of the O-B5 stars in the immediate solar neighborhood. Also, for $`h45`$ pc (a typical value chosen from Table 1), a vertical distance of three scale heights corresponds to $`1.5`$ kpc in $`\varpi `$ for $`|b|=5\mathrm{°}`$, so we would not expect to sample regions with large variations in the early-type star population due to radial galactic gradients. From that sample we have selected a subsample (3 382 objects) with good astrometric solutions by eliminating those stars with more than 5% or data points rejected (column 29, ESA 1997) and with a goodness-of-fit statistic $`g`$ for $`\nu `$ degrees of freedom:

$$g=\left(\frac{9\nu }{2}\right)^{1/2}\left[\left(\frac{\chi ^2}{\nu }\right)^{1/3}+\frac{2}{9\nu }1\right],$$
(8)
less than 3.0 (column 30)222The selected subsample is available in electronic format at: http://www.stsci.edu/~jmaiz/data/hipparcos.

Since we expect most stars in our subsample to be located at distances $`>100`$ pc and that for Hipparcos data, typically, $`\sigma _\pi 1`$ mas, Lutz-Kelker-type biases should be important. Indeed, that is what can be deduced from Table 2, where the distribution of $`\epsilon _\pi `$ values is shown.

The other parameter which has to be selected to define the double semi-infinite cylinder which will be used in this work is $`\varpi _{\mathrm{max}}`$. To do that, we have to consider that the Hipparcos completeness limit for early-type stars is determined by $`m_V=7.9+1.1|\mathrm{sin}b|`$, which corresponds to $`m_V=8.0`$ for $`|b|=5\mathrm{°}`$. A very small fraction ($`1\%`$) of stars below the limit is actually not included and the catalog is partially complete between that limit and $`m_V1213`$ (ESA, 1997). A B5 V star has $`M_V1.2`$; at a distance of 350 pc such a star with $`A_V=1.0`$ mag (obtained from a very conservative estimate of 3.0 mag/kpc in $`V`$) would have $`m_V=7.5`$, still within the completeness limit. If such a star was located at 135 pc (approximately 3 scale heights) from the galactic plane and with $`\varpi =350`$ pc, its apparent magnitude would also be $`7.5`$ if we estimate $`A_V`$ as $`0.5`$ (again, a very conservative estimate at that latitude). We can then conclude that a choice of $`\varpi _{\mathrm{max}}=350`$ pc leads to a nearly complete sample for the O-B5 disk stellar population.

## 4 RESULTS

We have carried out least-squares fits to the data described in section 3 using either a self-gravitating isothermal or a Gaussian disk model and applying the method described in section 2. Since the halo population in our sample is clearly incomplete due to the Hipparcos magnitude limits, we used a simple reasonable model to describe it, a parabola. That choice allows us to discriminate between the disk and halo contributions within a few hundred parsecs of the Sun but can only produce a lower limit for $`\sigma _{,\mathrm{halo}}`$. The data and fits are displayed in Figs. 2 and 3 and the obtained parameters are shown in Table 3.

As previously discussed, a variable bin size was used in order to minimize numerical biases. For each of the two models we generated 50 populations with the same parameters derived from the real population and we estimated the biases by calculating the difference between the mean values of the derived parameters and the real ones. As expected, those biases where very small, typically 0.5 pc for $`h`$ and $`z_{\mathrm{}}`$. However, one possible bias due to extinction still remains. Suppose we are observing a star with $`b=5\mathrm{°}`$ located inside the double semi-infinite cylinder but with a high value of $`\epsilon _\pi `$: This star will be counted only as a “fractional star” (i.e. its integrated probability inside the volume of interest will not be close to one). If the sample were complete both inside and outside the double semi-infinite cylinder this would not be a problem, since the lost probability would be compensated by that contributed by stars located outside the cylinder. However, we expect that extinction (and, to a lesser degree, distance) will remove from our sample some of the stars outside the cylinder, especially those closer to the galactic plane. To simulate this effect we consider an extreme case by placing a wall of infinite extinction at $`\varpi =\varpi _{\mathrm{max}}`$ which extends one scale height (for the self-gravitating isothermal case) or one half-width (for the Gaussian case) north and south of the galactic plane. The volume excluded by this wall is represented by the hatched area in Fig. 1 for the self-gravitating isothermal case. Note that only stars in the southern galactic hemisphere are eliminated by this wall since the position of the Sun above the galactic plane locates any star with $`b=5\mathrm{°}`$ above the wall333For the Gaussian case a small volume is also eliminated in the northern galactic hemisphere.. Under these conditions, we eliminated the stars in the hatched volume from our generated 50 populations and calculated the corresponding biases by calculating new least-squares fits. As expected, the new biases turned out to be more relevant than the ones obtained before, but even then they never induced changes larger than 15% in the values of the parameters. Since the real situation must be in between the two extreme cases discussed here ((a) all stars in the possibly excluded area partially contributing to the probability inside the cylinder and (b) none of them doing so), we considered the real bias to be the average of the two and we indicated the two extremes as a systematic error.

The results in Table 3 indicate that both the self-gravitating isothermal and the Gaussian models are very good descriptions of the disk population, since $`g`$ is close to 0 in both cases and the fitted distribution near the galactic plane closely resembles the observed one, as shown in Figs. 2 and 3. The parabolic fit to the halo population is of worse quality, as expected from the much smaller number of stars in our sample belonging to it and from its incompleteness. Nevertheless, the existence of a halo population in our sample is beyond doubt, as is clearly shown in Figs. 2 and 3. It is also well known that this halo population extends farther than the distance-induced limits in our sample, even beyond a few kpc (Rolleston et al., 1999). Thus, the values of $`\sigma _{,\mathrm{halo}}/\sigma _{,\mathrm{disk}}`$ which appear there have to be understood only as lower limits to the real ones.

The values of $`z_{\mathrm{}}`$ and $`\sigma _{,\mathrm{disk}}`$ obtained using the two different models are clearly compatible. Since we are unable to determine which of the two models provides a better fit to the disk population, either result can be used. Probably the ones obtained with the self-gravitating isothermal profile are preferred due to the better quality of the parabolic fit to the halo population, which should introduce less numerical noise into the result than in the Gaussian case.

Our value for $`h_s`$ is somewhat lower than the ones obtained by other authors. The discrepancies are only at the $`2\sigma `$ level with the values obtained by Conti & Vacca (1990) and by Stothers & Frogel (1974) (within 200 pc of the Sun) and even lower in comparison with the Reed (2000) result. Allen (1973) does not quote an uncertainty while the value of Stothers & Frogel (1974) within 800 pc of the Sun is quite probably affected by heavy extinction. Some of the discrepancies may be attributed to contamination by halo stars (a non-negligible effect, as we have seen) and others to the use of a purely exponential model instead of a self-gravitating isothermal one. Our value of $`z_{\mathrm{}}`$ is clearly compatible with the one obtained by Stothers & Frogel (1974) but is higher than the ones obtained by Conti & Vacca (1990) and Reed (1997), in this last case by a large amount. We believe that the differences may be caused by the difficulty in accounting for complex extinction variations at low galactic latitudes, especially when one has to rely on spectroscopic parallaxes, a problem which does not affect our results since they are based on unbiased trigonometric distances. This can be seen in the fact that the result more similar to ours is the one which is obtained from the nearest population. Finally, our value for $`\sigma _{}`$ is within the range obtained by Reed (2000) but is clearly higher than the one obtained by Stothers & Frogel (1974) and lower than the one obtained by Allen (1973). Once again, we believe that extinction may be responsible for some of the discrepancies but we must also take into account that $`\sigma _{}`$ is expected to suffer significant variations depending on the maximum radius used, since different regions of the disk (close or far from spiral arms) are expected to be sampled.

One last point to discuss is the existence of spatial variations within the region discussed in this paper. Stothers & Frogel (1974) discovered that a 100 pc radius hole exists in the distribution of O-B5 stars at low galactic latitudes. Also, it has been known for a long time that a large fraction of the early-type stars in the solar neighborhood belong to Gould’s belt, a structure inclined $`1520\mathrm{°}`$ with respect to the galactic plane and which is expanding with respect to a point located close to the Sun’s position (see Torra et al. 2000 for a recent analysis). Is this expected minimum in the number density of early-type stars detected in the Hipparcos data? It indeed is. The parameters derived from our self-gravitating isothermal model predict that there should be 11.6 O-B5 stars within 66.67 pc of the Sun (i.e., with $`\pi 15`$ mas). However, only three444The three have small values of $`\epsilon _\pi `$ so their position can be determined with certainty to be within that volume. Two other stars (HIP 23342 and HIP 74368) have $`\pi _\mathrm{o}15`$ mas but with large values of $`\epsilon _\pi `$ and with spectroscopic parallaxes which clearly indicate that they are much farther away. Finally, a few stars have values of $`\pi _\mathrm{o}`$ slightly below 15 mas and could actually be closer to us than 66.67 pc. However, the probabilistic estimation yields a number lower than one, and even if there was an additional star within the given distance our arguments would remain unchanged. O-B5 stars are found in that volume: $`\eta `$ UMa, $`\alpha `$ Eri, and $`\alpha `$ Pav. The difference between the expected and the measured number appears to be too large to be explained as a statistical fluctuation, so we conclude that the existence of a local “hole” in the distribution of early-type stars is indeed real.

We conclude that our method provides a solid measurement of the vertical distribution of O-B5 stars in the solar neighborhood by using trigonometric parallaxes alone and by taking into account all relevant biases.

The author would like to thank Ivan King for introducing him some years ago to the problems caused by the Lutz-Kelker bias and Stefano Casertano for very fruitful discussions regarding the topics in this article. Useful comments for improving this paper were also provided by an anonymous referee and by Nolan R. Walborn. Support for this work was provided by NASA through grant GO-8163.01-97A from the Space Telescope Science Institute, Inc., under NASA contract NAS5-26555, and by the STScI DDRF.


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# Exact solutions to chaotic and stochastic systems

## I Introduction

There is the common belief that, as truly random numbers should be unpredictable in advance, they must be produced by random physical processes such as radioactive decay, thermal noise in electronic devices, cosmic ray arrival time, etc. .

Knowing the past and present values should give no information as to future outcomes of a truly random variable . Thus, a recursive mathematical algorithm should not be able to describe a truly random process. From this, it seems, that deterministic randomness is inherently unattainable .

Here we have two problems as a motivation for our work:

1. How to describe theoretically these physical phenomena that are truly random.
2. How to produce truly random numbers, which are necessary in different physical calculations such as Monte Carlo method.

The purpose of our study is to find explicit functions that produce truly random dynamics. These functions can be used as random number generators and as analytical solutions to nonlinear random systems.

It is well known  that the function $`X_n=\mathrm{sin}^2\left(\theta \pi 2^n\right)`$ is the general solution to the logistic map $`X_{n+1}=4X_n\left(1X_n\right)`$. Recently, other chaotic maps have been reported to have exact solutions . In the present paper we will investigate in detail a generalization of the solution to the logistic map:

$$X_n=\mathrm{sin}^2\left(\theta \pi z^n\right),$$
(2)
where $`z`$ is a real number.

For $`z`$ integer, function (2) is the general solution to the family of maps:

$$X_{n+1}=\mathrm{sin}^2\left(z\mathrm{arcsin}\sqrt{X_n}\right).$$
(3)
Even for a real $`z`$ we can calculate the Lyapunov exponent of map (3) exactly: $`\lambda =\mathrm{ln}z`$.

For $`z>1`$, map (3) is chaotic. Nevertheless, for fractionary $`z`$ the dynamics contained in function (2) is quite different from that of map (3). In fact, for a fractionary $`z`$, the first-return map generated by Eq. (2) is multivalued (see Figs. 1 and 2). Let $`z`$ be a rational number expressed as $`z=p/q`$, where $`p`$ and $`q`$ are relative prime numbers. Then the first-return map produced by function (2) is a curve such that, in general, for a value of $`X_n`$ we will have $`q`$ values of $`X_{n+1}`$. On the other hand, for a value of $`X_{n+1}`$ we will have $`p`$ values of $`X_n`$. Geometrically, these curves are Lissajous figures . But we should note that their meaning here is very different from that in their original definition. In this context, they represent chaotic first-return maps. For $`z`$ irrational, the first-return map is a random set of points as shown in Fig. 3.

The paper is organized as follows. In Sec. II we study the properties of the functions $`X_n=\mathrm{sin}^2\left(\theta \pi z^n\right)`$. We present a rigorous proof that, for $`z`$ fractionary, the produced sequences are absolutely unpredictable in advance. Moreover, the outcomes are completely independent. In Sec. III we discuss the use of these functions in actual numerical calculations. Section IV is dedicated to random maps of type $`X_{n+1}=f(X_n,I_n)`$, where $`I_n`$ is a random variable. Function (2) can help one to find analytical solutions to these maps. We calculate exactly the complexity of a random map. This allows us to check some recent results about the complexity and predictability of random maps. In Sec. V we address the problem of distinguishing chaos from random time series. For this, we check the effectivity of the so-called “nonlinear forecasting methods.” Section VI is devoted to stochastic resonance (SR). First we give some introductory remarks about the historical developments in SR. Considering the fact that we can calculate exactly the Lyapunov exponent of a class of chaotic maps, we are able to investigate the influence of the level of chaos on SR. This is done first in the most common setup for SR: a bistable system. Then, we investigate the so-called nonlinear static systems with SR. For these systems, we can present explicit analytical functions that describe the output of the system. Using the functions we can investigate the actual dynamics of the system. Finally, based on theoretical investigations, we show the existence of a new type of solitonic stochastic resonance, where the shape of the kink is crucial.

## II Explicit stochastic functions

After a rigorous analysis of function (2) we arrive at interesting conclusions. For most fractionary $`z>1`$ function (2) is not only chaotic, but its next value is impossible to predict (from the previous values) unless $`\theta `$ is exactly known. When $`z`$ is an integer, the initial condition $`X_0`$ defines univocally the value of $`\theta `$ (any value of $`\theta `$ out of the interval $`0<\theta <1`$ defining $`X_0`$ is equivalent to one in that interval). If $`z`$ is fractionary, this is not so. There exists an infinite number of values of $`\theta `$ that satisfy the initial conditions. The time series produced for different values of $`\theta `$ satisfying the initial conditions is different in most cases. The fact that we know the initial conditions does not imply that we can determine $`\theta `$. So the next value is unpredictable.

Let us consider the case $`z=3/2`$ (see Fig. 2). If we wish to calculate $`X_{n+1}`$ from the value $`X_n`$ we will have two choices:

$$X_{n+1}=\frac{1}{2}\left[1\pm \left(14X_n\right)\left(1X_n\right)^{1/2}\right].$$
(4)
The value $`X_{n+1}`$ could be expressed as a well-defined function of the previous values if $`\left(1X_n\right)^{1/2}`$ could be a rational function of the previous values. However, each time we try to do this we meet the same difficulty because the previous values are also irrational functions of the past values. This process can continue up to infinity.

A different way to see this phenomenon is the following. Consider the family of functions

$$X_n^k=\mathrm{sin}^2\left[\left(\theta _0+k\right)\pi z^n\right],$$
(5)
where $`\theta =\theta _0+k`$, $`k`$ is integer.

For all $`k`$, the time series $`X_n^k`$ ($`k`$ fixed, $`n`$ as time) have the same initial conditions. If $`z`$ is an integer, the initial condition defines the complete sequence (see Table I). However, for $`z`$ fractionary all the time series are different. This is because the period of function $`X_n^k`$ (now $`n`$ is fixed and $`k`$ is variable) is different for different $`n`$ (for instance, when $`z=3/2`$, the period of $`X_n^k`$ is $`2^n`$). In general, for $`z=p/q`$, the period is $`q^n`$. That is, $`X_{n+1}`$ cannot be determined by $`X_n`$. Moreover, $`X_{n+1}`$ cannot be determined by any number of previous values. Let us see the following example with $`z=3/2`$. Suppose $`X_n=0`$. Now we have two possibilities $`X_{n+1}=0`$ or $`X_{n+1}=1`$ (see Table II). Assume $`\theta _0=0`$ and $`n=0`$. For any $`\theta =k`$ ($`k`$ integer), $`X_n=0`$. Now, $`X_{n+1}=\mathrm{sin}^2\left[\left(3/2\right)k\pi \right]`$. So, $`X_{n+1}=0`$ for $`k`$ even, and $`X_{n+1}=1`$ for $`k`$ odd. But there is no way we can know $`k`$ from the statement $`X_n=0`$ (for all $`k`$ integers this statement is true). This uncertainty about the next value is present for all points $`X_n`$ except $`X_n=1/4`$ and $`X_n=1`$. But these two points are a set of zero measure. That is, for almost all the points in the interval $`0<X_n<1`$, the next value is unpredictable.

For $`z`$ irrational there are infinite possibilities for $`X_{n+1}`$. All values are unpredictable. But let us continue with the simple case $`z=3/2`$. Suppose now that $`\theta =2^m`$, where $`m`$ is an integer. Note that in this case $`X_0=0`$. But, unless we know $`\theta `$, we never will know when the value $`X_{m+1}`$ will be equal to $`1`$ (see Table II). We can have a string of $`m+1`$ zeros ($`m`$ can be as large as we wish) and only in the point $`X_{m+1}`$ does the sequence change from a string of zeros to the value $`1`$. So, for any finite number $`m+1`$ of previous values $`X_0`$, $`X_1`$, $`X_2`$,…, $`X_m`$; the next value is not defined by the previous values. Note that in this example we can have a string of zeros, but this is because the value $`X_n=0`$ is a pseudofixed point of the map $`(X_n,X_{n+1})`$ due to the intersection of the graph in Fig. 2(a) with the line $`X_{n+1}=X_n`$. However, in general, the sequence is very stochastic. On the other hand, the uncertainty about which is the next value remains for all the points in the interval $`0X_n1`$ except for $`X_n=1/4`$ and $`X_n=1`$. The general uncertainty increases for $`p>q>2`$ (see Table III). In this case, the unpredictability is true for all values of $`X_n`$.

On the other hand, if $`z`$ is irrational, then the points on the first-return map $`(X_n,X_{n+1})`$ will fill the square $`0X_n1`$; $`0X_{n+1}1`$ (see Fig. 3 and Table IV). For a large but finite number $`n`$, the map is an erratic set of points (we should exclude the numbers of type $`z=m^{1/k}`$, where $`m`$ and $`k`$ are integers, because in this case the sequence is predictable given $`k`$ previous values).

Note that we can consider $`X_n^k`$ defined by Eq. (5) as an infinite matrix, where the “columns” are the stochastic sequences (dependence on $`n`$) and the horizontal “rows” are periodic (or quasiperiodic for irrational $`z`$) sequences that represent the dependence on $`k`$. For $`z=p/q`$, the “rows” are periodic sequences with period $`q^n`$ (see Tables II and III). We see that all the row sequences have different periods. So, all the column sequences are generally different. However, for each integer $`m`$, there is an infinite set of columns having a string of values of length $`m`$ that is identical in each number of this set. That is, in the matrix $`X_n^k`$, given an initial string of length $`m=2`$, we will find a string identical to it with a period $`q^2`$. Note (in Table II) that the string ($`0,1,1/2`$) can be found in infinite columns. However, the next value is always uncertain. It can be $`X_3=0.1464\mathrm{}`$ or $`X_3=0.8536\mathrm{}`$ . Just to know that the previous values are ($`0,1,1/2`$) does not give us the knowledge to determine the next value. The string ($`0,1,0.5,0.8535\mathrm{},0.0380\mathrm{},0.9157\mathrm{},0.8865\mathrm{},0.0711\mathrm{},0.8447\mathrm{},0.9686\mathrm{}`$) can be found with period $`2^9`$. That is, the column number $`2^9+1`$ possesses this same string. However, the value $`X_{10}`$ is not always $`X_{10}=0.7544\mathrm{}`$ . It can be $`X_{10}=0.2455\mathrm{}`$ with the same probability.

In general, given an initial string of length $`m`$, we will find a string identical to it with a period $`q^m`$. At the same time, most of these strings possess different next values (we have seen a striking example in the above-given text). Suppose there is a univalent function $`X_{n+1}=g(X_n,X_{n1},\mathrm{},X_{nr+1})`$ that is equivalent to the sequence (2) for $`z`$ fractionary. If we have more than one sequence $`X_0`$, $`X_1`$, $`X_2`$,…, $`X_{m1}`$ with different next values, then we should decide that the map we are looking for cannot be of order $`m`$. If for any $`m`$, $`m=1,2,3,\mathrm{},\mathrm{}`$; we have more than one sequence $`X_0`$, $`X_1`$, $`X_2`$,…, $`X_{m1}`$, such that the next values are different, then such a map does not exist.

In the above-given text we have shown that for each string of values $`X_0`$, $`X_1`$, $`X_2`$,…, $`X_{m1}`$, there is another sequence with these same values but with different proceeding values.

For $`z`$ irrational, all the row sequences are quasiperiodic and different. The column sequences correspond to completely random sequences. These functions can produce a set of completely independent values.

## III Random number generators

Now we should say some words about the use of these functions in actual numerical calculations. The argument of function (2) increases exponentially. So, there can be some problems in generating very large sequences. A practical solution is to change parameters $`\theta `$ after a fixed number $`n=N`$ of sequence values $`X_n`$. Suppose $`N`$ is a number for which there are not calculation problems. For producing the new set of values of $`X_n`$ (with a new $`\theta `$) we start again with $`n=0`$. This procedure can be repeated the desired number of times (remember that even if the sequence is finite, it will be unpredictable; and a sequence formed as a set of unpredictable sequences will be also unpredictable). It can be shown that there exists always a $`\theta `$ such that, with it, the original function will produce the same sequence as that generated with the procedure of changing $`\theta `$.

For the calculation of truly random numbers with function (2) the best way is to use an irrational $`z`$. This irrational $`z`$ does not have to be a large number. For instance, we can use $`z=\pi `$. The geometrical place of the return map for $`z`$ irrational is the whole square $`0X_n1`$; $`0X_{n+1}1`$. So, we do not have to worry about the method for determining the next value of $`\theta `$. For example, we can use the following method in order to change parameter $`\theta `$ after each set of $`N`$ sequence values.

Let us define $`\theta _s=AW_s`$, where $`s`$ is the order number of $`\theta `$ in such a way that $`s=1`$ corresponds to the $`\theta `$ used for the first set of $`N`$ values $`X_n`$; $`s=2`$ for the second set, etc.; $`W_s`$ is a “stochastic” sequence. For instance, the values $`W_s`$ can be obtained from the same sequence $`X_n`$. The inequality $`A>1`$ should hold in order to keep the absolute unpredictability.

Another important question about good random numbers is to have a generator able to produce uniformly distributed points. By means of the transformation $`Y_n=\left(2/\pi \right)\mathrm{arcsin}\left(X_n^{1/2}\right)`$; we can obtain random numbers uniformly distributed on the interval $`(0,1)`$ . Once we have uniformly distributed random numbers, we can use well-known transformations to generate random numbers with any given distribution .

We have performed several standard statistical tests with the functions $`X_n=\mathrm{sin}^2\left(\theta \pi z^n\right)`$ (after the transformation $`Y_n=\left(2/\pi \right)\mathrm{arcsin}\left(X_n^{1/2}\right)`$. Among them are the following: the central limit theorem test, the moments calculations, the variance calculation, and the $`\chi ^2`$ test. The sequence $`Y_n`$ has passed all these tests satisfactorily. For instance, the theoretical values for the moments and variances are the following: $`<X^n>=\frac{1}{n+1}`$, $`\sigma _n=\frac{n^2}{(2n+1)(n+1)^2}`$, and these values are obtained when we use the sequence $`Y_n`$.

The autocorrelation function $`C_m=<Y_iY_{i+m}><Y_i>^2`$ (where $`<>`$ is the average overall $`i`$ with $`i=1,2,3,\mathrm{}`$) can be shown to be zero even for $`m=1`$. For the known chaotic maps (which sometimes are used as pseudorandom number generators) $`|C_m|`$ decays with $`m`$, but there is a range of this dependence that is related to the correlation or memory time.

Recently  a new method has been developed, which allows us to compare the randomness of different sequences. In these works, a measure of randomness (we will call it $`R`$) is introduced.

Suppose we have a sequence of values $`U_1,U_2,U_3,\mathrm{},U_n`$. Form a sequence of vectors

$$X_{(i)}=[U_i,U_{i+1},\mathrm{},U_{i+m1}].$$
(6)
Now, we will define some variables:

$$C_i^m(r)=\frac{numberofjsuchthatd[X_{(i)},X_{(j)}]r}{Nm+1},$$
(7)
where $`d[X_{(i)},X_{(j)}]`$ is the distance between two vectors, which is defined as follows:

$$d[X_{(i)},X_{(j)}]=max\left(|U_{i+k1}U_{j+k1}|\right)$$
(8)
with $`k=1,2,\mathrm{},m`$.

Now we can define the measure of randomness:

$$R(m,r,N)=\varphi _{(r)}^m\varphi _{(r)}^{m+1},$$
(9)
where

$$\varphi _{(r)}^m=\frac{1}{Nm+1}\underset{i=1}{\overset{Nm+1}{}}\mathrm{ln}C_i^m(r).$$
(10)
This measure depends on the resolution parameter $`r`$ and an “embedding” parameter $`m`$. This technique has been proved to be very effective in determining system randomness .

For given $`r`$ and $`m`$ we have a maximum possible randomness. A sequence with maximum randomness is uncorrelated. The randomness of our sequences $`Y_n`$ with $`z`$ irrational is the maximum possible for the given $`r`$ and $`m`$. For instance, if $`r=0.025`$, the maximum possible randomness is $`R=\mathrm{ln}40`$. The randomness of function (2) with $`z=\pi `$ approaches the value $`R=3.688`$ for increasing $`N`$. For comparison, the randomness of the logistic map at the point of full chaos is $`R=0.693`$. Even if we further decrease $`r`$ and increase $`m`$ and $`N`$, for the logistic map and other usually chaotic maps, $`R`$ saturates and remains constant.

On the other hand, for $`r0`$, the randomness of function (2) with $`z=\pi `$ tends to the maximum possible value, i.e., $`R\mathrm{ln}(1/r)`$. For $`r0`$, it never saturates.

We should say that the pseudorandom number generators described in Ref. 1 can pass some of the statistical tests devised to check pseudorandomness . However, hidden errors in these generators have been found . Several researchers have traced the errors to the dependence in the pseudorandom numbers. Indeed, they are all based on recursive algorithms.

Recently simulations of different physical systems have become the “new tests” for pseudorandom number generators. Among these systems are the following: the two-dimensional Ising model, ballistic deposition, and random walks. Nogués et al  have found that using common pseudorandom number generators, the produced random walks present symmetries, meaning that the generated numbers are not independent. On the other hand, the logarithmic plot of the mean distance versus the number of steps $`N`$ is not a straight line after $`N>10^5`$ (in fact, it is a rapidly decaying function).

D’Souza et al.  use ballistic deposition to test the randomness of pseudorandom number generators. They found correlations in the pseudorandom numbers and strong coupling between the model and the generator (even generators that pass extensive statistical tests).

In a ballistic deposition model of growth, free particles initiated at random positions above a one-dimensional substrate, descend ballistically and stick upon first touching the surface of the growing cluster. The substrate of length $`L`$ consists of discrete columns indexed by integer values of $`x`$ with $`1xL`$. The growth interface is defined by the maximum occupied site along each column $`h(x,L)`$, where $`h(x,L)`$ also takes on discrete values.

The width of the growth interface $`\xi _L(t)`$ on average increases following a power law behavior until reaching a steady asymptotic value, the magnitude of which depends on the underlying substrate size $`L`$. For $`\xi _L(t)`$ we have

$$\xi _L^2(t)=\frac{1}{L}\underset{x=1}{\overset{L}{}}\left[h(x,t)<h(t)>\right]^2,$$
(11)
where $`<h(t)>`$ is the mean height of the surface at time $`t`$.

One consequence of the Kardar-Parisi-Zhang theory is that the steady state behavior for the interface fluctuations in one dimension should resemble a random walk, i.e., $`\xi _L(t\mathrm{})L^{1/2}`$. Thus, a random walk again serves as a good test for random numbers. These two papers  have been cited by Fisher  in his article about the great problems of statistical physics for this century.

With our numbers $`Y_n`$, the produced random walks possess the correct properties, including the mean distance behavior $`<d^2>N`$ (see Fig. 4).

## IV Random maps

The functions of (2) are important not only for numerical simulations. They are relevant by themselves as theoretical paradigms of stochastic processes . Considering the fact that these are explicit functions, we can use them to solve (analytically) many theoretical problems in stochastic dynamical systems.

Consider the following random map :

$$X_{n+1}=\frac{1}{2}\left[1+I_n\left(14X_n\right)\left(1X_n\right)^{1/2}\right],$$
(12)
where $`I_n`$ is a random variable that takes the values $`\pm 1`$ with equal probability.

An exact solution to this random map can be written as follows:

$$X_n=\mathrm{sin}^2\left[\theta \pi \left(3/2\right)^n\right].$$
(13)
Now we can check some of the results discussed by the authors of Refs. 6 and 7. They have introduced a measure of complexity $`K`$ in terms of the average number of bits per time unit necessary to specify the sequence generated by the system. In dynamical systems of type (1) \[Eq. (12 is an example\] this measure coincides with the rate $`K`$ of divergence of nearby trajectories evolving under two different realizations of the random variable $`I_n`$.

The complexity of the dynamics can be measured as

$$K=\lambda \theta \left(\lambda \right)+h,$$
(14)
where $`\lambda `$ is the Lyapunov exponent of the map, $`h`$ is the complexity of $`I_n`$, and $`\theta (\lambda )`$ is the Heaviside step function. Complexity $`h`$ should be defined also as the average number of bits per time unit necessary to specify the random variable $`I_n`$. When $`I_n`$ is a usual chaotic noise, then $`h`$ coincides with the Kolmogorov-Sinai entropy.

In the case of the random map (12) $`\lambda =\mathrm{ln}\left(3/2\right)`$ and $`h=\mathrm{ln}2`$. Hence, $`K=\mathrm{ln}3`$. On the other hand, any calculation (theoretical or numerical) of $`K`$ for the dynamics generated by function (13) yields the correct value $`K=\mathrm{ln}3`$. Moreover, even an independent calculation of the complexity of this dynamics using different methods  produces the same result.

Using the functions (2) we can also solve the map

$$X_{n+1}=\frac{1+I_n\sqrt{1X_n}}{2},$$
(15)
where $`I_n`$ is defined as in Eq. (12).

Here the Lyapunov exponent is negative: $`\lambda =\mathrm{ln}\left(1/2\right)<0`$. However, the complexity is positive: $`K=\mathrm{ln}2`$.

In the presence of random perturbations, $`K`$ can be very different from the standard Lyapunov exponent and, hence, from the Kolmogorov entropy computed with the same realization of the randomness.

We stress that a negative value of $`\lambda `$ does not imply predictability.

In general, if we apply the measure of complexity $`K`$ to our function (2), then we obtain the following results: For $`z=p/q`$ ($`p`$ and $`q`$ relative primes), $`K=\mathrm{ln}p`$. If $`z`$ is irrational, the complexity is infinite!.

We should say that using function (2) we can create complete sets of orthogonal elements. In the same way that we can solve, to begin with, any map of type $`X_{n+1}=f\left(X_n\right)`$, we can also solve theoretically many important problems in stochastic dynamical systems.

## V Nonlinear forecasting methods

Now we address the problem of deciding which of the proposed methods  for distinguishing chaos from random time series are more effective. Recently a new method based on nonlinear forecasting was proposed . The idea of the method is as follows. One can make short-term predictions that are based on a library of past patterns in a time series (the method of nonlinear forecasting is described in Refs. 8-10 and the references quoted therein). By comparing the predicted and actual values, one can make distinctions between random sequences and deterministic chaos.

For chaotic (but correlated) time series, the accuracy of the nonlinear forecast falls off with increasing prediction-time interval. On the other hand, for truly random sequences, the forecasting accuracy is independent of the prediction interval. The decrease with time of the correlation coefficient between predicted and actual values can be used to calculate the largest positive Lyapunov exponent of the time series .

Function (2) is a very good model system to check this and other methods. In fact, for $`z`$ integer, these are chaotic sequences of type $`X_{n+1}=f\left(X_n\right)`$. For $`z=m^{1/k}`$, we have chaotic maps of type: $`X_{n+1}=g(X_n,X_{n1},\mathrm{},X_{nk+1})`$. For $`z`$ fractionary, we have different types of random sequences with different complexities. Finally, for $`z`$ irrational (generic), the sequence is maximally random.

Suppose we have a sequence $`U_1,U_2,\mathrm{},U_N`$. Now we construct a map with the dependence $`U_n^{predicted}`$ as a “function” of $`U_n^{observed}`$.

If we have a correlated chaotic sequence, this dependence is a straight line, i.e., $`U_n^{predicted}`$ $`U_n^{observed}`$ (when the forecasting method is applied for one time step into the future). When we increase the number of time steps into the future, this relation deteriorates. When we apply this method to function (2) with $`z=\pi `$ \[after transformation $`Y_n=(2/\pi )\mathrm{arcsin}\sqrt{X_n}`$\], even the map $`U_n^{predicted}`$ vs $`U_n^{observed}`$ for one time step into the future is a map equivalent to that shown in Fig. 5. On the other hand, the correlation coefficient is independent of the prediction time. In fact, there are no correlations. The details will be given elsewhere. Nevertheless, we should say that this method is quite efficient in distinguishing chaos from randomness. However, it cannot distinguish between different random time-series.

Other methods discussed in Ref. 8, are less effective in this task. They are more qualitative, requiring subjective judgment about whether there is an attractor of given dimensions.

## VI Stochastic resonance

### A Lyapunov exponents

A phenomenon that has awakened very much interest in last several years is stochastic resonance (SR) . The classical model for this phenomenon is the following:

$$\dot{x}x+x^3=A_0\mathrm{sin}\left(\omega t\right)+\eta \left(t\right).$$
(16)
The sum of a noise signal, $`\eta \left(t\right)`$, and a weak periodic signal is used to drive a bistable system. The most important characteristic of SR is that the signal-to-noise ratio (SNR) has a maximum in the plot SNR vs $`D`$, where $`D`$ is the noise intensity, for a finite nonzero value of the noise intensity.

It has been shown that SR still occurs when chaos, rather than noise, is used as the nonperiodic component of the driving signal . Several authors have investigated the SR in chaotic systems .

A very important question is how SR depends on the largest Lyapunov exponent of the driving chaotic noise . We address this problem systematically for the first time, since we can solve exactly the problem of calculating the Lyapunov exponent. We should say that for large values of the Lyapunov exponent, the SR is not a very sensitive phenomenon on the level of chaos (this is unlike the phenomena discussed in Refs. 1-3. The curve SNR vs $`D`$ practically has no variation for $`\lambda \mathrm{ln}3`$. However, in the interval $`\mathrm{ln}\left(3/2\right)<\lambda <\mathrm{ln}2`$, the SR strongly depends on the Lyapunov exponent. In this interval, the maximum of SNR is shifted to the right (larger noise intensities) and is amplified!. Figure 6 shows the dependence SNR$`(D)`$ for different values of the Lyapunov exponent $`\lambda `$. These data are the result of numerical simulations of Eq. (16). We can compare this result with that obtained in Ref. 33. In this work, the phenomenon of stochastic resonance is studied in the presence of colored noise. In overdamped systems, the authors find that SR is suppressed with increasing noise color. In contrast, for colored noise induced by inertia (as well as for asymmetric dichotomic noise), they obtain an enhancement of SR.

The same result can be obtained in the so-called threshold systems . For instance, define

$$I_n=g\left(p_n+\eta _n\right),$$
(17)
where $`p_n`$ is a periodic function, $`\eta _n`$ is some kind of noise, and $`g\left(x\right)`$ is a function with some properties that allow the existence of SR .

The simplest case is the following:

$`g\left(x\right)=\{\begin{array}{cc}V,x<x_{th},\hfill & \\ V,x>x_{th}.\hfill & \end{array}`$ (18)
A nonlinear circuit with this kind of threshold nonlinearity is discussed in Ref. 36.

Different measures have been used to characterize stochastic resonance. In particular, in Ref. 41 the dynamics of noisy bistable systems is analyzed by means of Lyapunov exponents and measures of complexity.

It can be shown that, in stochastic resonance systems, the function $`K\left(D\right)`$ (where $`K`$ is the complexity as defined previously and $`D`$ is the noise intensity) has a local minimum for a nonzero value of $`D`$. This minimum represents an optimal value of noise intensity at which SR occurs. This result confirms the findings of Ref. 41.

We can consider $`K`$ as a “dynamical measure” of SR because $`K`$ coincides with the rate of divergence of nearby trajectories evolving under two different noise realizations.

This measure can be used to characterize more general stochastic dynamical systems such as the following:

$$X_{n+1}=F(X_n,p_n,\eta _n),$$
(19)
where $`p_n`$ is a periodic function and $`\eta _n`$ is the noise.

Let us investigate a particular example:

$$X_{n+1}=\mathrm{cos}\left\{\left[1+\epsilon \left(p_n+D\eta _n\right)^2\right]\mathrm{arccos}\left(X_n\right)\right\}.$$
(20)
Here $`p_n`$ is a periodic function of amplitude $`\alpha `$ and $`\eta _n`$ is a chaotic noise defined as follows:

$$\eta _n=Y_n\delta 1,$$
(21)
where $`\delta `$ is a parameter for which $`0<\delta <1`$ and $`Y_{n+1}=\mathrm{sin}^2\left(z\mathrm{arcsin}\sqrt{Y_n}\right)`$.

For this dynamical system, function $`K\left(D\right)`$ has a minimum for a finite $`D`$.

Let us suppose that $`p_n`$ is a period-one function. We can write down an analytic expression for $`K`$:

$$K=\mathrm{ln}\left\{z\left[1+\frac{\epsilon }{2}\left(\left(\alpha D\delta \right)^2+\left(\alpha D\left(z1\right)\right)^2\right)\right]\right\}.$$
(22)
The function $`K\left(D\right)`$ is shown in Fig. 7. For a fixed $`z`$, the minimum of $`K`$ is obtained approximately for $`D=\alpha /\left(z1\right)`$. If we minimize $`K`$ with respect to both $`D`$ and $`z`$, we obtain $`D=\alpha /\delta `$, $`z=1+\delta `$.

Note that for $`1+\delta <z<3`$, the minimum is deeper and is shifted to the right as $`z`$ is decreased. This is a phenomenon similar to that obtained using SNR in Fig. 6. See also subsection VI E, where some experiments are mentioned.

We should say that $`K`$ can characterize the dynamics of dynamical systems of type (19) even when there is no periodic function at all.

In some cases, for a finite value of $`D`$ we can find the least complex dynamics.

In some sense, this is a more general phenomenon than the usual stochastic resonance. In fact, this is an example of the so-called noise-induced disorder-order transitions, of which the SR phenomena can be a subset.

In Fig. 8, different time series and return maps produced by the dynamical system (20) are shown. Note that for some intermediate value of $`D`$ we obtain the least complex dynamics.

In Fig. 9 we see that when both $`D`$ and $`z`$ are very close to the optimal values, then the resulting dynamics is very predictable.

Note that this system can be chaotic even when $`D=0`$, due to the intrinsic nonlinear dynamics of the system. However, for some finite value of the noise intensity $`D>0`$, we can control this chaotic dynamics. So, in this case, we are truly controlling the chaotic system using chaotic noise.

### B Explicit output functions for SR systems

Recently scientists have learned that stochastic resonance can appear not only in bistable systems . A very interesting class of systems is that of the so-called nonlinear static (or “nondynamical”) systems. In Refs. 36-38 a theory of these systems is presented. Using this theory and our function (2) we can write down an explicit “solution” function to these systems. For instance, the function:

$$I_n=\mathrm{tanh}\left\{B\left[A_0\mathrm{sin}\left(\omega n\right)+D\mathrm{cos}\left(\theta \pi z^n\right)V_{th}\right]\right\}$$
(23)
can behave as a SR system. Figure 10 shows that the function (23) is a SR system for $`B=24`$. For $`B=1`$ the stochastic resonance disappears. Here the SNR was calculated numerically using function (23) as the output signal. In fact, we can construct a very general class of SR functions of type $`I_n=g\left(V_n\right)+\xi _n`$, where $`V_n=p_n+\eta _n`$ is the input and $`I_n`$ is the output. Function $`\xi _n`$ represents the intrinsic noise .

Note that although the systems described in Refs. 36-38 are called “static systems,” once we have constructed our explicit functions, e.g., Eq. (23), we can obtain exact solutions to very dynamical systems. Also note that it is very easy to check that there is a maximum in the dependence SNR vs $`D`$; however our explicit functions can be investigated using mathematical analysis, not only statistics. Very different functions with very different dynamics can have the same SNR behavior and other statistical properties. Using our explicit functions we can investigate the true dynamics of the system.

The analysis of function (2) allows us to construct a continuous and differentiable function with properties similar to those of the chaotic functions (2). Let us give an example:

$$\begin{array}{c}f\left(t\right)=\mathrm{sin}\{B_1\mathrm{sinh}[a_1\mathrm{cos}\left(\omega _1t\right)+a_2\mathrm{cos}\left(\omega _2t\right)]+\\ B_2\mathrm{cosh}[a_3\mathrm{cos}\left(\omega _3t\right)+a_4\mathrm{cos}\left(\omega _4t\right)]\}.\end{array}$$
(24)
Using functions of this kind we can find analytic solutions to continuous chaotic dynamical systems. Function (24) with the parameter values $`B_1=20,B_2=30,a_1=10,a_2=15,a_3=10,a_4=15,\omega _1=1,\omega _2=\pi ,\omega _3=\sqrt{2},\omega _4=e`$; behaves as a chaotic system (see Fig. 11). Any investigation (theoretical or numerical) will give the same result: The maximum Lyapunov exponent is positive. Moreover, if we need a continuous dynamics with a chaotic Gaussian-like “noise” we can use a transformation of Eq. (24): $`g(t)=\mathrm{ln}\left[f^2(t)/\left(1f^2(t)\right)\right]`$. We have been able to produce SR with function (24), $`f(t)`$, and $`g(t)`$. In Fig. 12 SNR is calculated from numerical simulations of Eq. (16) and using the continuous chaotic function $`g(t)=\mathrm{ln}\left[f^2(t)/\left(1f^2(t)\right)\right]`$, where $`f(t)`$ is defined by Eq. (24).

### C Solitonic stochastic resonance

The spatiotemporal SR in the $`\phi ^4`$ model has been considered in a very interesting paper . Recently we introduced the concept of solitonic stochastic resonance (SSR)  where a soliton moves in a bistable potential created by space-dependent external forces driven by a periodic signal and noise. This seems to be equivalent to the conventional setup for SR, however the conditions for the existence of SSR are different from that of SR with a point particle in a bistable potential. The situation for SSR can produce very interesting phenomena like the transformation of the soliton into a three-“particle” system of two solitons and an antisoliton .

Here we will present another framework for SSR.

The function

$$\varphi (x,t)=\mathrm{tanh}\left\{B\left[xx_0A\mathrm{sin}\left(\omega t\right)Df\left(t\right)\right]\right\},$$
(25)
where $`f(t)`$ is defined in Eq. (24), can be used to find analytic solutions to nonlinear partial differential equations.

Recall that function (25) is a SR solution \[see Eq. (23)\]. For instance, if we take the time series produced by $`\varphi \left(x=0,t\right)`$ \[with $`B=12,A=0.67,\omega =0.88,x_0=2,`$ and $`f(t)`$ is the function (24)\] we obtain a new kind of SSR from (25). In fact, using the solution (25) we can prove that the overdamped perturbed $`\phi ^4`$ equation

$$\varphi _t\varphi _{xx}B^2\left(\varphi \varphi ^3\right)=\frac{B\left[\omega A\mathrm{cos}\left(\omega t\right)+D\dot{f}(t)\right]}{\mathrm{cosh}^2\left[B\left(xx_0\right)\right]}+F(x),$$
(26)
where $`F(x)=a\mathrm{tanh}\left[B\left(xx_0\right)\right]`$, possesses a different kind of SSR.

We can calculate analytically the SNR for the dynamics of Eq. (26).

Suppose that, in Eq. (26), instead of $`f(t)`$, the noise is described by the function $`h(t)=(2/\pi )\mathrm{arcsin}f(t)`$, and $`f(t)`$ is given by function (24). This is equivalent to a uniformly distributed noise in the interval $`(0,1)`$. We will define $`b/2=x_0A`$.

Following the ideas of Ref. 34 we can calculate an approximate analytical expression for the SNR when $`B1`$:

$`SNR=\{\begin{array}{cc}0for\frac{D}{2}<\frac{b}{2}A\hfill & \\ \frac{1}{D}(\frac{D}{2}\frac{1}{2}+2A)for\frac{b}{2}A\frac{D}{2}\frac{b}{2}+A\hfill & \\ \frac{2A}{D}for\frac{D}{2}>\frac{b}{2}+A\hfill & \end{array}`$

It is evident that there is a maximum in the curve SNR$`(D)`$.

Our theoretical results on the theory of solitons perturbed by external forces  allow us to understand the dynamics of Eq. (26) and to interpret the physics of solution (25). In order to obtain the desired dynamics we should solve Eq. (26) with an initial condition representing a soliton situated in a vicinity of point $`x=x_0`$. In this case, the soliton center of mass will be oscillating inside the potential well created by the force $`F(x)`$. This is exactly what represents solution (25).

When we investigate the time series obtained after the numerical simulation of Eq. (26), we obtain SSR as predicted by the theoretical solution (25).

The SNR vs $`D`$ plot depends on the value of $`B`$. For very large values of $`B`$, the SNR vs $`D`$ plot has a very nice maximum (see Fig. 13). The SNR$`(D)`$ dependence shown in Fig. 13 was calculated numerically from the time series generated by the function $`\varphi (x=0,t)`$ as a solution of Eq. (26). The same result is obtained if we investigate the analytic solution (25). For very small values of $`B`$, the SSR disappears. Thus, this is a SSR that depends on the shape of the soliton. In particular, it depends on the width of the soliton, which can be expressed as $`S=1/B`$. This SSR is different from the one obtained for a soliton moving in a bistable potential well  and that described in Ref. 39.

In Ref. 39 the synchronization of a linearly coupled chain of $`N`$ overdamped bistable elements, subject to a deterministic periodic signal and uncorrelated white noise, is addressed in the continuous limit of a $`\phi ^4`$ theory. The cooperation between noise and coupling is shown to lead to spatiotemporal stochastic resonance. There, the bistability of the $`\phi ^4`$ equation on the potential $`U(\phi )(\phi ^21)^2`$ plays the most important role. On the other hand, in our previous paper  we considered the stochastic resonance of a soliton moving in a bistable potential created by inhomogeneous external forces $`F(x)`$. In this paper, the output signal is the coordinate of the soliton center of mass. In the present work, the relevant output signal is $`\varphi (x=0,t)`$. The soliton is moving in a monostable well potential created by inhomogeneous external forces. However, the most striking feature is that the width of the soliton determines the existence or not of the solitonic stochastic resonance. The shape of the output signal possesses patterns that are very different from that obtained in a bistable system. They are more similar to the patterns that appear in threshold systems.

### D Patterns in the output signal of SR systems

Once we have an explicit solution that describes the stochastic resonance system as the following:

$$I(t)=g\left(P(t)+\eta (t)\right)$$
(27)
and

$$I(t)=g\left(P(t)+\eta (t)\right)+\xi (t),$$
(28)
where $`P(t)`$ is a periodic function, $`\eta (t)`$ and $`\xi (t)`$ are different manifestations of noise dynamics, we can calculate the SNR exactly. We should note that SNR is the main measure of stochastic resonance and is widely used in SR literature.

For instance, let us define the different noises as follows. $`\xi (t)`$ is a white noise with zero mean and correlation function:

$$<\xi (t)\xi (t+\tau )>=Q\delta (\tau ),$$
(29)
where Q is a constant parameter. $`\eta (t)`$ is a Gaussian noise with zero mean and correlation function:

$$<\eta (t)\eta (t+\tau )>=\sigma ^2exp(\tau /\tau _F).$$
(30)
Following Ref. 38 we can consider the case

$$g(V)=V^3,$$
(31)
where

$$V=\alpha \mathrm{sin}(w_0t)+\eta (t).$$
(32)
In this case the SNR is

$$SNR=\pi \frac{18\alpha ^2\sigma ^4+9\alpha ^4\sigma ^2+(9/8)\alpha ^6}{2Q+\tau _F\left(44\sigma ^6+54\alpha ^2\sigma ^4+(27/2)\alpha ^4\sigma ^2\right)}.$$
(33)
This is exactly the SNR obtained in Ref. 38.

The static character of the present nonlinearities allows a direct statistical analysis, in which all quantities relevant to characterize the SNR in the output signal can be obtained from statistics computed directly on the input noises. In fact the SNR is a statistical measure based on the statistical properties of noises $`\eta (t)`$ and $`\xi (t)`$.

Nevertheless, we believe that using our explicit functions we can obtain much more information about the output signal. Some of this information can have statistical character, but we will have also dynamical and geometrical information about the output signal.

For instance, we can predict the values of the local maxima and minima in the time series, and the distance between them. We can obtain the exact analytical shape of the extrema.

In any stochastic resonance output signal there are patterns. These patterns can be different for different systems. The following function

$$I_n=\frac{tanh[B(A\mathrm{sin}(wn)+D\mathrm{cos}(\theta \pi z^n))V_{th}]+1}{2}$$
(34)
is the analytical solution for a circuit with $`IV`$ characteristic of type:

$`g(V)=\{\begin{array}{cc}0forV<V_{th}\hfill & \\ 1forV>V_{th}\hfill & \end{array}`$

(see Ref. 36). A typical time series is shown in Fig. 14(a).

In Fig. 14(b) is shown the typical time series for

$$g(V)=\{\begin{array}{cc}1forV<0.5\hfill & \\ 0for0.5V0.5\hfill & \\ 1forV>0.5\hfill & \end{array}$$
(35)
In Fig. 14(c) we show the function

$$I_n=\left(\frac{tanh(BV_n)+1}{2}\right)bV_n,$$
(36)
where

$$V_n=A\mathrm{sin}(wn)+D\mathrm{cos}(\theta \pi z^n),$$
(37)
which is the output signal for a circuit system with the characteristic

$$g(V)=\{\begin{array}{cc}0forV<V_{th}\hfill & \\ b(VV_{th})forV>V_{th}\hfill & \end{array}.$$
(38)
Figure 14(d) shows the output signal

$$I_n=g(V_n)+\xi _n,$$
(39)
where $`g(V)=V^3`$, $`V_n=\alpha \mathrm{sin}(wn)+\eta _n`$, $`\eta _n=DY_n`$, $`Y_n=ln\left(\frac{X_n}{1X_n}\right)`$, $`X_n=\mathrm{sin}^2\left(\theta \pi z^n\right)`$, $`\xi _n=Qln\frac{Z_n}{1Z_n}`$, and $`Z_n=\mathrm{sin}^2\left(\theta \pi \pi ^n\right)`$.

All these systems present stochastic resonance. All these systems can be tuned to have the same SNR. However, note that all the patterns are different. Compare them to the typical time series of a classic bistable stochastic resonance system shown in Fig. 15. The information about these patterns is in the explicit functions that can be written down using our stochastic functions.

We can even make predictions about the outcomes in these stochastic systems. For instance, in the function (34) we can say that with a probability $`p=0.8`$, after the function $`I_n`$ has taken the value $`I_n=1`$, it will take the value $`I_n=0`$. Meanwhile, we can expect that it will remain in the state $`I_n=0`$ for an average time aproximately equal to the period of the periodic input signal.

On the other hand, the output function (36) will give us much more information about the actual shape of the input periodic signal than the functions (34) and (35).

Systems with intrinsic and external noises are expected to be very random. Nevertheless, using the theoretical information obtained from our explicit function (39), we can make very remarkable predictions. For instance, if the output signal takes a “large” negative value (say $`I_n=20`$), then with absolute certainty we can predict that the next values will be negative and $`|I_n|0`$. When $`I_n`$ reaches the value $`I_n=0`$, we can predict that the next value will be positive, but the exact value is unpredictable. When it takes this positive value, the next value will be negative with absolute certainty. The larger the absolute value of $`I_n`$ when it takes a positive value, the larger the absolute value of the next negative value that it will take. Note that all the randomness of this dynamics is produced when $`I_n`$ is near zero. When $`I_n`$ is far from zero, we can make exact predictions of the next values. All this can be corroborated when we observe the first-return map of this dynamics (Fig. 16).

We can see the stochastic resonance as a phenomenon that transforms a complex dynamics into a simpler one. That is, the output signal is less complex that the input signal. But there are also phenomena that lead to a more complex behavior (e.g., the chaotic systems).

Using our functions we can predict the existence of new complex phenomena.

After an analysis of the functions $`X_n=\mathrm{sin}^2\left(\theta \pi z^n\right)`$, which we have shown to produce complex dynamics, the first characterics that surface are the following: The function can be rewritten in the form $`X_n=h(f(n))`$, where the argument function $`f(n)`$ grows exponentially and the function $`h(y)`$ is always finite and periodic.

However, a more thorough analysis shows that (to produce complex behavior) the function $`f(n)`$ does not have to be exponential all the time, and the function $`h(y)`$ does not have to be periodic.

In fact, it is sufficient that the function $`f(n)`$ be a nonperiodic oscillating function where there are repeating intervals with finite exponetial behavior. For instance, this can be a chaotic function. On the other hand, function $`h(y)`$ should be noninvertible. In other words, it should have different maxima and minima. The inverse “function” of $`h(y)`$ should be multivalued.

The complexity of the output dynamics is proportional to the number of extrema of function $`h(y)`$.

For example, the following system can produce a dynamics similar to that obtained with our function $`X_n=\mathrm{sin}^2\left(\theta \pi z^n\right)`$:

$`X_{n+1}=\{\begin{array}{cc}aX_n\hfill & \text{if }X_n<Q\hfill \\ bY_n\hfill & \text{if }X_n>Q\text{,}\hfill \end{array}`$ (40)
$$Y_{n+1}=\mathrm{sin}^2(d\mathrm{arcsin}\sqrt{Y_n}),$$
(41)
$$Z_{n+1}=g(X_n),$$
(42)
where $`g(X_n)`$ is a function with several maxima and minima. The first return map is shown in Fig. 17. In fact, this is a completely new chaotic phenomenon because the dynamics is completely unpredictable. So, when the input is a simple chaotic signal and the system is an electronic circuit with the $`IV`$ characteristic shown in Fig. 18, then we will have a very complex output. This phenomenon is the opposite to the stochastic resonance. Compare two $`IV`$ characteristic curves for a phenomenon that simplifies the dynamics and for a new phenomenon that makes the dynamics extremely complex in Fig. 18. In Ref. 46 a theory of nonlinear circuits is presented. There we can find different methods to construct circuits with these $`IV`$ characteristic curves.

All the results presented in Sec. VI D, which are related to the Figs. 14-18 were obtained through theoretical calculations.

### E Applications in real systems

In this section we will present some examples that show how our technique can be used in real world applications.

Our group have designed and constructed a nonlinear circuit (using a concave resistor) with the $`IV`$ characteristic described by Eq. (36) (see Ref. 46). We wished to check our theoretical results about the dependence of SNR on the Lyapunov exponent of the chaotic noise. We also desired to observe the patterns for the output signal predicted by our theory.

In order to have different driving chaotic signals, we produced numerical time series using the exactly solvable map (3) for different $`z`$.

Then, we transformed the numerical time series into analog signals using a converter. These analog signals plus a subthreshold periodic signal were introduced as the voltage to the concave resistor circuit. The current in the concave resistor was taken as the output signal.

We should say that the amplification of the SNR in the interval $`\mathrm{ln}\left(3/2\right)<\lambda <\mathrm{ln}2`$ was clearly observed. The maximum SNR for $`\lambda =\mathrm{ln}\left(3/2\right)`$ was 5 times larger than for $`\lambda 3`$ or for any random noise.

We will present further details of these experiments elsewhere.

Thus, in the case that SR is used for the amplification of small signals (as in the dithering effect) such that the added external noise is a controllable and manipulable parameter, our recommendation is to utilize a uniform chaotic noise with a Lyapunov exponent of the order of $`\lambda \mathrm{ln}\left(3/2\right)`$.

Using the techniques described in Ref. 46 it is possible to construct nonlinear circuits with the $`IV`$ characteristics shown in Fig. 18.

For our experiments we used the twin-transistor circuit .

As an input signal (voltage), we introduced an analog chaotic signal previously produced by a nonlinear map.

Playing with different parameters we were able to produce different unpredictable dynamics very similar to those obtained from our function (2) and the Figs. 2 and 3. The same results can be obtained when we take the input signal from a chaotic electronic circuit.

In general, the patterns or absence of patterns (it depends on the nonlinearity) predicted by our theory are completely confirmed by the experiments.

Some of these experiments are complicated and should be explained in a separate paper.

In many relevant applications it is important to get resonances or (in other cases) to avoid resonances.

Recently a new resonance concept was introduced: the geometrical resonance.

In the usual linear resonance phenomena, the amplitude and frequency of the driving force are the most important characteristics. However, in nonlinear systems the shape of the driving signal becomes crucial. The geometrical resonance considers the amplitude, the frequency, and the shape of the perturbation.

Suppose we have a nonlinear system $`A`$ which for some application should be driven by a specific driving signal with a given shape. In that case, we can use the output signal of another system $`B`$ as the input signal of the system $`A`$. So it is important to predict the shape of the output of nonlinear systems. With such information we can design the appropriate system to produce the desired signal needed for the driving of the system $`A`$.

In Sec. VI D we have shown that we can predict specific patterns and the shape of the output signal of nonlinear stochastic systems. This is a step forward in the control of chaotic and stochastic systems.

In general, it is very important to find patterns and regularities in the stochastic dynamical systems. In fact, not everything that can be observed can be predicted, only the regularities in the observations are the “province of science” .

There are many stochastic systems (including systems presenting stochastic resonance) where predictions are crucial. In this case we mean predictions of the true values of the outcomes using the previous values. Among the concerned areas are the following: geophysics, meteorology, climatology, social sciences, etc.

In Sec. VI D we have investigated a system with external noise and intrinsic noise. These noisy perturbations are very unpredictable functions. However, we have shown theoretically that we are able to make direct predictions of the time-series outcomes. There are many systems with this behavior . When we observe Fig. 14(d), we note that there are very remarkable bursts in the time series. In all the mentioned applications it is very important to predict these bursts. We have shown that we can do this.

## VII Conclusion

In conclusion, we can construct functions that are exact solutions to chaotic dynamical systems. Moreover, we have generalized functions that cannot be generated by a finite recursive algorithm. They can be utilized as theoretical paradigms of stochastic processes. Considering the fact that these are explicit functions, we can use them to solve (analytically) many theoretical problems in stochastic dynamical systems. Thus, we can apply dynamical concepts to describe processes that are usually considered only statistically.

## VIII Acknowledgments

José Juan Suárez (UNEXPO, Venezuela) and Dr. Gustavo Gutiérrez (USB, Venezuela) have collaborated in the design and construction of the nonlinear circuits.


text:
# Yet another construction of the central extension of the loop group.

## 1. Introduction

Let $`G`$ and $`A`$ be groups. A central extension of $`G`$ by $`A`$ is another group $`\widehat{G}`$ and a homomorphism $`\pi :\widehat{G}G`$ whose kernel is isomorphic to $`A`$ and in the center of $`\widehat{G}`$. Note that because $`A`$ is in the center of $`\widehat{G}`$ it is necessarily abelian. We will be interested ultimately in the case that $`G=\mathrm{\Omega }(K)`$ the loop group of all smooth maps from the circle $`S^1`$ to a Lie group $`K`$ with pointwise multiplication but the theory developed applies to any Lie group $`G`$.

## 2. Central extension of groups

Consider first the case when $`G`$ is just a group and ignore questions of continuity or differentiability. In this case we can choose a section of the map $`\pi `$. That is a map $`s:G\widehat{G}`$ such that $`\pi (s(g))=g`$ for every $`gG`$. From this section we can construct a bijection

$$\varphi :A\times G\widehat{G}$$

by $`\varphi (g,a)=\iota (a)s(g)`$ where $`\iota :A\widehat{G}`$ is the identification of $`A`$ with the kernel of $`\pi `$. So we know that as a set $`\widehat{G}`$ is just the product $`A\times G`$. However as a group $`\widehat{G}`$ is not generally a product. To see what it is note that $`\pi (s(g)s(h))=\pi (s(g))\pi (s(h))=gh=\pi (s(gh))`$ so that $`s(g)s(h)=c(g,h)s(gh)`$ where $`c:G\times GA`$. The bijection $`\varphi :A\times G\widehat{G}`$ induces a product on $`A\times G`$ for which $`\varphi `$ is a homomorphism. To calculate this product we note that

$`\varphi (a,g)\varphi (b,h)`$ $`=\iota (a)s(g)\iota (b)s(h)`$
$`=\iota (ab)s(g)s(h)`$
$`=\iota (ab)c(gh)s(gh).`$
Hence the product on $`A\times G`$ is given by $`(a,g)(b,h)=(abc(g,h)gh)`$ and the map $`\varphi `$ is a group isomorphism between $`\widehat{G}`$ and $`A\times G`$ with this product.

Notice that if we choose a different section $`\stackrel{~}{s}`$ then $`\stackrel{~}{s}=sh`$ were $`h:GA`$.

It is straightforward to check that if we pick any $`c:G\times GA`$ and define a product on $`A\times G`$ by $`(a,g)(b,h)=(abc(g,h)gh)`$ then this is an associative product if and only if $`c`$ satisfies the cocycle condition

$$c(g,h)c(gh,k)=c(g,hk)c(h,k)$$

for all $`g`$, $`h`$ and $`k`$ in $`G`$.

If we choose a different section $`\stackrel{~}{s}`$ then we must have $`\stackrel{~}{s}=sd`$ for some $`d:GA`$. If $`\stackrel{~}{c}`$ is the cocycle determined by $`\stackrel{~}{s}`$ then a calculation shows that

(1)
$$c(g,h)=\stackrel{~}{c}(g,h)d(gh)d(g)^1d(h)^1.$$

We have now essentially shown that all central extensions of $`G`$ by $`A`$ are determined by cocycles $`c`$ modulo identifying two that satisfy the condition (1). Let us recast this result in a form that we will see again in this talk.

Define maps $`d_i:G^{p+1}G^p`$ by

(2)
$$d_i(g_1,\mathrm{},g_{p+1})=\{\begin{array}{cc}(g_2,\mathrm{},g_{p+1}),\hfill & i=0,\hfill \\ (g_1,\mathrm{},g_{i1}g_i,g_{i+1},\mathrm{},g_{p+1}),\hfill & 1ip1,\hfill \\ (g_1,\mathrm{},g_p),\hfill & i=p.\hfill \end{array}$$

If $`M^p(G;A)=\text{Map}(G^p,A)`$ then we define $`\delta :M^p(G;A)M^{p1}(G;A)`$ by $`\delta (c)=(cd_1)(cd_2)^1(cd_3)\mathrm{}`$. This satisfies $`\delta ^2=1`$ and defines a complex

$$M^0(G;A)\stackrel{\delta }{}M^1(G;A)\stackrel{\delta }{}M^2(G;A)\stackrel{\delta }{}\mathrm{}$$

The cocycle condition can be rewritten as $`\delta (c)=1`$ and the condition that two cocycles give rise to the same central extension is that $`c=\stackrel{~}{c}\delta (d)`$. If we define

$$H^p(G;A)=\frac{\text{kernel }\delta :M^p(G;A)M^{p1}(G;A)}{\text{image }\delta :M^{p+1}(G;A)M^p(G;A)}$$

then we have shown that central extensions of $`G`$ by $`A`$ are classified by $`H^2(G;A)`$.

## 3. Central extensions of Lie groups

In the case that $`G`$ is a topological or Lie group it is well-known that there are interesting central extensions for which no continuous or differentiable section exists. For example consider the central extension

$$_2SU(2)=\text{Spin}(3)SO(3)$$

of the three dimensional orthogonal group $`SO(3)`$ by its double cover $`\text{Spin}(3)`$. Here $`SU(2)`$ is known to be the three sphere but if a section existed then we would have $`SU(2)`$ homeomorphic to $`_2\times SO(3)`$ and hence disconnected.

From now on we will concentrate on the case when $`A=^\times `$. Then $`\widehat{G}G`$ can be thought of as a $`^\times `$ principal bundle and a section will only exist if this bundle is trivial. The structure of the central extension as a $`^\times `$ bundle is important in what follows so we digress to discuss them in more detail.

### 3.1. $`^\times `$ bundles

Let $`PX`$ be a $`^\times `$ bundle over a manifold $`X`$. We denote the fibre of $`P`$ over $`xX`$ by $`P_x`$. Recall  that if $`P`$ is a $`^\times `$ bundle over a manifold $`X`$ we can define the dual bundle $`P^{}`$ as the same space $`P`$ but with the action $`p^{}g=(pg^1)^{}`$ and, that if $`Q`$ is another such bundle, we can define the product bundle $`PQ`$ by $`(PQ)_x=(P_x\times Q_x)/^\times `$ where $`^\times `$ acts by $`(p,q)w=(pw,qw^1)`$. We denote an element of $`PQ`$ by $`pq`$ with the understanding that $`(pw)q=p(qw)=(pq)w`$ for $`w^\times `$. It is straightforward to check that $`PP^{}`$ is canonically trivialised by the section $`xpp^{}`$ where $`p`$ is any point in $`P_x.`$

If $`P`$ and $`Q`$ are $`^\times `$ bundles on $`X`$ with connections $`\mu _P`$ and $`\mu _Q`$ then $`PQ`$ has an induced connection we denote by $`\mu _P\mu _Q`$. The curvature of this connection is $`R_P+R_Q`$ where $`R_P`$ and $`R_Q`$ are the curvatures of $`\mu _P`$ and $`\mu _Q`$ respectively. The bundle $`P^{}`$ has an induced connection whose curvature is $`R_P`$.

Recall the maps $`d_i:G^pG^{p1}`$ defined by (2). If $`PG^p`$ is a $`^\times `$ bundle then we can define a $`^\times `$ bundle over $`G^{p+1}`$ denoted $`\delta (P)`$ by

$$\delta (P)=\pi _1^1(P)\pi _2^1(P)^{}\pi _3^1(P)\mathrm{}.$$

If $`s`$ is a section of $`P`$ then it defines $`\delta (s)`$ a section of $`\delta (P)`$ and if $`\mu `$ is a connection on $`P`$ with curvature $`R`$ it defines a connection on $`\delta (P)`$ which we denote by $`\delta (\mu )`$. To define the curvature of $`\delta (\mu )`$ let us denote by $`\mathrm{\Omega }^q(G^p)`$ the space of all differentiable $`q`$ forms on $`G^p`$. Then we define a map

(3)
$$\delta :\mathrm{\Omega }^q(G^p)\mathrm{\Omega }^q(G^{p+1})$$

by $`\delta =_{i=0}^pd_i^{}`$, the alternating sum of pull-backs by the various maps $`d_i:G^{p+1}G^p`$. Then the curvature of $`\delta (\mu )`$ is $`\delta (R)`$. If we consider $`\delta (\delta (P))`$ it is a product of factors and every factor occurs with its dual so $`\delta (\delta (P))`$ is canonically trivial. If $`s`$ is a section of $`P`$ then under this identification $`\delta \delta (s)=1`$ and moreover if $`\mu `$ is a connection on $`P`$ then $`\delta \delta (\mu )`$ is the flat connection on $`\delta \delta (P)`$ with respect to $`\delta (\delta (s))`$.

## 4. Central extensions

Let $`G`$ be a Lie group and consider a central extension

$$^\times \widehat{G}\stackrel{\pi }{}G.$$

Following Brylinski and McLaughlin  we think of this as a $`^\times `$ bundle $`\widehat{G}G`$ with a product $`M:\widehat{G}\times \widehat{G}\widehat{G}`$ covering the product $`m=d_1:G\times GG`$.

Because this is a central extension we must have that $`M(pz,qw)=M(p,q)zw`$ for any $`p,qP`$ and $`z,w^\times `$. This means we have a section $`s`$ of $`\delta (P)`$ given by

$$s(g,h)=pM(p,q)q$$

for any $`pP_g`$ and $`qP_h`$. This is well-defined as $`pwM(pw,qz)qz=pwM(p,q)(wz)^1qz=pM(p,q)q`$. Conversely any such section gives rise to an $`M`$.

Of course we need an associative product and it can be shown that $`M`$ being associative is equivalent to $`\delta (s)=1`$. To actually make $`\widehat{G}`$ into a group we need more than multiplication we need an identity $`\widehat{e}\widehat{G}`$ and an inverse map. It is straightforward to check that if $`eG`$ is the identity then, because $`M:\widehat{G}_e\times \widehat{G}_e\widehat{G}_e`$, there is a unique $`\widehat{e}\widehat{G}_e`$ such that $`M(\widehat{e},\widehat{e})=\widehat{e}`$. It is also straightforward to deduce the existence of a unique inverse.

Hence we have the result from  that a central extension of $`G`$ is a $`^\times `$ bundle $`PG`$ together with a section $`s`$ of $`\delta (P)G\times G`$ such that $`\delta (s)=1`$. In  this is phrased in terms of simplicial line bundles. Note that this is a kind of cohomology result analogous to that in the first section. We have an object (in this case a $`^\times `$ bundle) and $`\delta `$ of the object is ‘zero’ i.e. trivial as a $`^\times `$ bundle.

For our purposes we need to phrase this result in terms of differential forms. We call a connection for $`\widehat{G}G`$, thought of as a $`^\times `$ bundle, a connection for the central extension. An isomorphism of central extensions with connection is an isomorphism of bundles with connection which is a group isomorphism on the total space $`\widehat{G}`$. Denote by $`C(G)`$ the set of all isomorphism classes of central extensions of $`G`$ with connection.

Let $`\mu \mathrm{\Omega }^1(\widehat{G})`$ be a connection on the bundle $`\widehat{G}G`$ and consider the tensor product connection $`\delta (\mu )`$. Let $`\alpha =s^{}(\delta (\mu ))`$. We then have that

$`\delta (\alpha )`$ $`=(\delta (s)^{})(\delta (\mu ))`$
$`=(1)^{}(\delta ^2(\mu ))`$
$`=0`$
as $`\delta ^2(\mu )`$ is the flat connection on $`\delta ^2(P)`$. Also $`d\alpha =s^{}(d\delta (\mu ))=\delta (R)`$.

Let $`\mathrm{\Gamma }(G)`$ denote the set of all pairs $`(\alpha ,R)`$ where $`R`$ is a closed, $`2\pi i`$ integral, two form on $`G`$ and $`\alpha `$ is a one-form on $`G\times G`$ with $`\delta (R)=d\alpha `$ and $`\delta (\alpha )=0`$.

We have constructed a map $`C(G)\mathrm{\Gamma }(G)`$. In the next section we construct an inverse to this map by showing how to define a central extension from a pair $`(\alpha ,R)`$. For now notice that isomorphic central extensions with connection clearly give rise to the same $`(\alpha ,R)`$ and that if we vary the connection, which is only possible by adding on the pull-back of a one-form $`\eta `$ from $`G`$, then we change $`(\alpha ,R)`$ to $`(\alpha +\delta (\eta ),R+d\eta )`$.

### 4.1. Constructing the central extension

Recall that given $`R`$ we can find a principal $`^\times `$ bundle $`PG`$ with connection $`\mu `$ and curvature $`R`$ which is unique up to isomorphism. It is a standard result in the theory of bundles that if $`PX`$ is a bundle with connection $`\mu `$ which is flat and $`\pi _1(X)=0`$ then $`P`$ has a section $`s:XP`$ such that $`s^{}(\mu )=0`$. Such a section is not unique of course it can be multiplied by a (constant) element of $`^\times `$. As our interest is in the loop group $`G`$ which satisfies $`\pi _1(G)=0`$ we shall assume, from now on, that $`\pi _1(G)=0`$. Consider now our pair $`(R,\alpha )`$ and the bundle $`P`$. As $`\delta (R)=d\alpha `$ we have that the connection $`\delta (w)\pi ^{}(\alpha )`$ on $`\delta (P)G\times G`$ is flat and hence (as $`\pi _1(G\times G)=0`$) we can find a section $`s`$ such that $`s^{}(\delta (w))=\alpha `$.

The section $`s`$ defines a multiplication by

$$s(p,q)=pM(p,q)^{}q.$$

Consider now $`\delta (s)`$ this satisfies $`\delta (s)^{}(\delta (\delta (w)))=\delta (s^{}(\delta (w))=\delta (\alpha )=0`$. On the other hand the canonical section $`1`$ of $`\delta (\delta (P))`$ also satisfies this so they differ by a constant element of the group. This means that there is a $`w^\times `$ such that for any $`p`$, $`q`$ and $`r`$ we must have

$$M(M(p,q),r)=wM(p,M(q,r)).$$

Choose $`p\widehat{G}_e`$ where $`e`$ is the identity in $`G`$. Then $`M(p,p)\widehat{G}_e`$ and hence $`M(p,p)=pz`$ for some $`z^\times `$. Now let $`p=q=r`$ and it is clear that we must have $`w=1`$.

So from $`(\alpha ,R)`$ we have constructed $`P`$ and a section $`s`$ of $`\delta (P)`$ with $`\delta (s)=1`$. However $`s`$ is not unique but this is not a problem. If we change $`s`$ to $`s^{}=sz`$ for some constant $`z^\times `$ then we have changed $`M`$ to $`M^{}=Mz`$. As $`^\times `$ is central multiplying by $`z`$ is an isomorphism of central extensions with connection. So the ambiguity in $`s`$ does not change the isomorphism class of the central extension with connection. Hence we have constructed a map

$$\mathrm{\Gamma }(G)C(G)$$

as required. That it is the inverse of the earlier map follows from the definition of $`\alpha `$ as $`s^{}(\delta (\mu ))`$ and the fact that the connection on $`P`$ is chosen so its curvature is $`R`$.

## 5. Conclusion: Loop groups

In the case where $`G=L(K)`$ there is a well known expression for the curvature $`R`$ of a left invariant connection on $`\widehat{L(K)}`$ — see . We can also write down a 1-form $`\alpha `$ on $`L(K)\times L(K)`$ such that $`\delta (R)=d\alpha `$ and $`\delta (\alpha )=0`$. We have:

$`R(g)(gX,gY)`$ $`={\displaystyle \frac{1}{4\pi ^2}}{\displaystyle _{S^1}}X,_\theta Y𝑑\theta `$
$`\alpha (g_1,g_2)(g_1X_1,g_2X_2)`$ $`={\displaystyle \frac{1}{4\pi ^2}}{\displaystyle _{S^1}}X_1,(_\theta g_2)_\theta g_2^1𝑑\theta .`$
Here $`,`$ is the Killing form on $`𝔨`$ normalised so the longest root has length squared equal to $`2`$ and $`_\theta `$ denotes differentiation with respect to $`\theta S^1`$. Note that $`R`$ is left invariant and that $`\alpha `$ is left invariant in the first factor of $`G\times G`$. It can be shown that these are the $`R`$ and $`\alpha `$ arising in .

In  we apply the methods of this talk to give an explicit construction of the ‘string class’ of a loop group bundle and relate it to earlier work of Murray on calorons.