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# Solution of polynomiality and positivity constraints on generalized parton distributions

## I Introduction

Generalized parton distributions (GPDs) MRGDH-94 ; Radyushkin-96-a ; Radyushkin-96 ; Ji-97 ; Ji-97-b ; CFS-97 ; Radyushkin-97 ; Radyushkin-review ; GPV ; BMK-2001  appear in the context of the QCD factorization in various hard exclusive phenomena including deeply virtual Compton scattering and hard exclusive meson production. Among several general constraints on GPDs an important role is played by the polynomiality of the Mellin moments Ji-97-b  and by the positivity bounds Martin-98 ; Radyushkin-99 ; PST-99 ; Ji-98 ; DFJK-00 ; Burkardt-01 ; Pobylitsa-01 ; Pobylitsa-02 ; Diehl-02 ; Burkardt-02-a ; Burkardt-02-b ; Pobylitsa-02-c . In this paper we suggest a representation for GPDs which automatically satisfies both positivity and polynomiality constraints. The analysis is restricted to the case of spin-0 hadrons (e.g. pions) but various types of partons will be covered.

We use the following definition of GPDs:

$$H^{(N)}(x,\xi ,t)=\frac{d\lambda }{2\pi }\mathrm{exp}(i\lambda x)P_2|O^{(N)}(\lambda ,n)|P_1.$$
(1)
Here $`|P_k`$ is the hadron state with momentum $`P_k`$. The light-like vector $`n`$,

$$n^2=0,$$

is normalized by the condition

$$n(P_1+P_2)=2.$$
(2)
We use the standard notation of Ji Ji-98  for the parameters $`\mathrm{\Delta }`$, $`t`$ and $`\xi `$

$$\mathrm{\Delta }=P_2P_1,\xi =\frac{1}{2}(n\mathrm{\Delta }),t=\mathrm{\Delta }^2.$$
(3)
The definitions of light-ray operators $`O^{(N)}(\lambda ,n)`$ for various types of partons are listed in the Table 1.

We have included the scalar field $`\varphi `$ into this table since the positivity bounds are more general than their applications in QCD. The last column of this table contains the number $`N`$ of factors $`n^\mu `$ appearing in the light-ray operator $`O^{(N)}(\lambda ,n)`$. This number $`N`$ plays an important role in the formulation of the positivity bounds and of the polynomiality conditions and we include $`N`$ in the notation (1) of GPD $`H^{(N)}(x,\xi ,t)`$.

The structure of the paper is as follows. Section II contains a brief description of the polynomiality and positivity constraints on GPDs. In Section III we introduce a modified version of the double distribution representation for GPDs which slightly differs from the standard one but is more relevant for our aims. In Section IV an ansatz for the double distribution is suggested. In the remaining part of the paper we show that this ansatz leads to GPDs which obey both polynomiality and positivity constraints. In Section V we compute the GPDs corresponding to our ansatz for double distributions. Section VI contains the check of the positivity of the forward parton distributions. The positivity bounds on GPDs are verified in Section VII. Appendix A contains the derivation of the general solution of the positivity bounds (without the polynomiality constraints).

## II Polynomiality and positivity

Whatever limited our knowledge about GPDs is, there are two basic constraints: polynomiality and positivity. The polynomiality means that Mellin moments in $`x`$ of GPD $`H^{(N)}(x,\xi ,t)`$

$$\underset{1}{\overset{1}{}}𝑑xx^mH^{(N)}(x,\xi ,t)=P_{m+N}(\xi ,t)$$
(4)
must be polynomials in $`\xi `$ of degree $`m+N`$.

Various inequalities for GPDs suggested in the Refs. Martin-98 ; Radyushkin-99 ; PST-99 ; Ji-98 ; DFJK-00 ; Burkardt-01 ; Pobylitsa-01 ; Pobylitsa-02 ; Diehl-02 ; Burkardt-02-a ; Burkardt-02-b  can be considered as particular cases of the general positivity bound on GPDs derived in Ref. Pobylitsa-02-c . This general positivity bound has a relatively simple formulation in the impact parameter representation Burkardt-01 ; Diehl-02 ; Burkardt-02-a ; Burkardt-02-b ; Burkardt-00 . The impact parameter $`b^{}`$ appears via the Fourier transformation of the $`\mathrm{\Delta }^{}`$ dependence of GPDs. If the transverse plane is orthogonal to vectors $`n`$ and $`P_1+P_2`$, then the transverse component $`\mathrm{\Delta }^{}`$ of the momentum transfer $`\mathrm{\Delta }`$ (3) is connected with the variable $`t=\mathrm{\Delta }^2`$ by the relation

$$t=\frac{|\mathrm{\Delta }^{}|^2+4\xi ^2M^2}{1\xi ^2}.$$
(5)
Here $`M`$ is the mass of the hadron. We define the GPD in the impact parameter representation as follows:

$$\stackrel{~}{F}^{(N)}(x,\xi ,b^{})=\frac{d^2\mathrm{\Delta }^{}}{(2\pi )^2}\mathrm{exp}\left[i(\mathrm{\Delta }^{}b^{})\right]$$

$$\times H^{(N)}(x,\xi ,\frac{|\mathrm{\Delta }^{}|^2+4\xi ^2M^2}{1\xi ^2}).$$
(6)
Here notation $`\stackrel{~}{F}^{(N)}`$ is used in order to avoid confusion with the nucleon GPD $`\stackrel{~}{H}`$ and to keep the compatibility with the notation of Ref. Pobylitsa-02-c , where the following inequality was derived:

$$\underset{1}{\overset{1}{}}𝑑\xi \underset{|\xi |}{\overset{1}{}}𝑑x(1x)^{N4}p^{}\left(\frac{1x}{1\xi }\right)p\left(\frac{1x}{1+\xi }\right)$$

$$\times \stackrel{~}{F}^{(N)}(x,\xi ,\frac{1x}{1\xi ^2}b^{})0.$$
(7)
This inequality was obtained in Ref. Pobylitsa-02-c  for the case $`N=1`$ and the generalization to arbitrary $`N`$ is straightforward.

Inequality (7) should hold for any function $`p(z)`$. Therefore we actually deal with an infinite set of positivity bounds on the GPD. The general inequality (7) covers various inequalities suggested for GPDs Martin-98 ; Radyushkin-99 ; PST-99 ; Ji-98 ; DFJK-00 ; Burkardt-01 ; Pobylitsa-01 ; Pobylitsa-02 ; Diehl-02 ; Burkardt-02-a ; Burkardt-02-b  as particular cases with some special choice of functions $`p(z)`$.

It is well known that the double distribution representation MRGDH-94 ; Radyushkin-96-a ; Radyushkin-97  with the $`D`$-term PW-99

$$H(x,\xi ,t)=\underset{|\alpha |+|\beta |1}{}𝑑\alpha 𝑑\beta \delta (x\xi \alpha \beta )\overline{F}_D(\alpha ,\beta ,t)$$

$$+\theta (|\xi ||x|)D(\frac{x}{\xi },t)\mathrm{sign}(\xi )$$
(8)
guarantees the polynomiality property (4). Another interesting parametrization for GPDs supporting the polynomiality was suggested in Ref. PS-02 .

The positivity bound on GPDs (7) is equivalent to the following representation for GPDs in the impact parameter representation (see Appendix A) in the region $`x>|\xi |`$:

$$\stackrel{~}{F}^{(N)}(x,\xi ,b^{})=(1x)^{N+1}$$

$$\times \underset{n}{}Q_n(\frac{1x}{1+\xi },(1\xi )b^{})Q_n(\frac{1x}{1\xi },(1+\xi )b^{})$$
(9)
with arbitrary real functions $`Q_n`$. Instead of the discrete summation over $`n`$ one can use the integration over continuous parameters.

Although both polynomiality and positivity are basic properties that must hold in any reasonable model of GPDs usually the model building community meets a dilemma: one can use the double distribution representation (8) but it does not guarantee that the infinite set of inequalities (7) will be satisfied MMPR-02 ; TM-02 . Alternatively one can build the models based on the representation (9) or on the so called overlap representation DFJK-00  which also automatically guarantees positivity bounds but then one meets problems with the polynomiality. In this paper a representation for GPDs is suggested which guarantees both positivity and polynomiality.

## III Modified double distribution representation

For the construction of GPDs $`H^{(N)}(x,\xi ,t)`$ obeying both polynomiality and positivity constraints we use the double distribution representation which differs from the standard representation (8) by the extra factor of $`(1x)^N`$

$$H^{(N)}(x,\xi ,t)=(1x)^N$$

$$\times \underset{|\alpha |+|\beta |1}{}d\alpha d\beta \delta (x\xi \alpha \beta )F_D^{}(\alpha ,\beta ,t).$$
(10)
Here $`N`$ depends on the type of the parton distribution according to Table 1.

Representation (10) obviously satisfies the polynomiality condition (4). Indeed,

$$\underset{1}{\overset{1}{}}𝑑xx^n\underset{|\alpha |+|\beta |1}{}𝑑\alpha 𝑑\beta \delta (x\xi \alpha \beta )F_D^{}(\alpha ,\beta ,t)$$

$$=P_n(\xi ,t)$$
(11)
where $`P_n(\xi ,t)`$ is a polynomial of degree $`n.`$ Therefore

$$\underset{1}{\overset{1}{}}𝑑xx^mH^{(N)}(x,\xi ,t)=\underset{1}{\overset{1}{}}𝑑x\underset{|\alpha |+|\beta |1}{}𝑑\alpha 𝑑\beta x^m(1x)^N$$

$$\times \delta (x\xi \alpha \beta )F_D^{}(\alpha ,\beta ,t)=S_{N+m}(\xi ,t)$$
(12)
is a polynomial in $`\xi `$ of degree $`N+m`$ in agreement with Eq. (4).

For our aims it is convenient to use parameters

$$\alpha _1=\frac{1}{2}(1\beta \alpha ),\alpha _2=\frac{1}{2}(1\beta +\alpha ).$$
(13)
instead of $`\alpha ,\beta `$. Actually it is $`\alpha _1`$ and $`\alpha _2`$ ($`\alpha _1=1xy`$, $`\alpha _2=y`$ in terms of variables $`x,y`$ used in refs. Radyushkin-96-a ; Radyushkin-97 ) that appear as $`\alpha `$ parameters in the perturbative diagrammatic justification of the double distribution representation. The modified double distribution expressed in terms of parameters $`\alpha _1,\alpha _2`$ will be denoted as follows:

$$F_D(\alpha _1,\alpha _2,t)F_D^{}(\alpha ,\beta ,t).$$
(14)
After these changes the modified double distribution representation (10) takes the following form:

$$H^{(N)}(x,\xi ,t)=2(1x)^N\underset{0}{\overset{1}{}}𝑑\alpha _1\underset{0}{\overset{1\alpha _1}{}}𝑑\alpha _2$$

$$\times F_D(\alpha _1,\alpha _2,t)\delta \left[x\xi (\alpha _2\alpha _1)(1\alpha _1\alpha _2)\right].$$
(15)
Here we use the triangle integration region in the $`\alpha _1,\alpha _2`$ plane which corresponds to the constraint $`\beta >0`$ in terms of variables $`\alpha ,\beta `$. Hence our GPD vanishes in the “antiquark” region (for brevity we use the word “quark” for any type of partons):

$$H^{(N)}(x,\xi ,t)=0\mathrm{if}x<|\xi |.$$
(16)
Therefore we must take care about the positivity constraints only in the “quark” region $`x>|\xi |`$. Once this pure quark GPD is constructed we can use the transformation $`xx`$ to build GPDs with appropriate properties in both quark and antiquark regions.

In the case $`N>0`$ one can add the $`D`$-term to the modified double distribution representation (15):

$$H^{(N)}(x,\xi ,t)\stackrel{N>0}{}H^{(N)}(x,\xi ,t)$$

$$+x^{N1}D(\frac{x}{\xi },t)\theta \left(1\left|\frac{x}{\xi }\right|\right)\mathrm{sign}(\xi ).$$
(17)
In principle, using the trick of Ref. BMKS-01 , one can include the $`D`$-term into the double distribution. But if one is interested in a parametrization of GPDs obeying the positivity and polynomiality constraints, then the $`D`$-term is useful: it is localized in the region $`|x|<|\xi |`$ and therefore it does not appear in the positivity condition (7). The polynomiality is obvious for the $`D`$-term. Thus by adding an arbitrary $`D`$-term we violate neither polynomiality nor positivity.

## IV Ansatz for double distributions

Now the problem is to find double distributions $`F_D(\alpha _1,\alpha _2,t)`$ which lead to GPDs $`H^{(N)}(x,\xi ,t)`$ obeying the positivity constraint. We use the following ansatz for the modified double distributions (15):

$$F_D(\alpha _1,\alpha _2,t)=\underset{0}{\overset{\mathrm{}}{}}𝑑\lambda \lambda 𝑑\nu $$

$$\times \left(\frac{1}{\lambda \alpha _1\alpha _2}t\right)^{\nu 1}L_\nu (\lambda \alpha _1,\lambda \alpha _2).$$
(18)
Our double distribution is parametrized by an infinite set of functions $`L_\nu (w_1,w_2)`$ defined for $`w_1,w_20`$ and depending on parameter $`\nu `$. We assume that for any $`\nu `$ function $`L_\nu (w_1,w_2)`$ corresponds to a positive definite quadratic form in $`w_1,w_2`$, i.e. for any function $`\varphi (w)`$

$$\underset{0}{\overset{\mathrm{}}{}}𝑑w_1\underset{0}{\overset{\mathrm{}}{}}𝑑w_2L_\nu (w_1,w_2)\varphi (w_1)\varphi ^{}(w_2)0.$$
(19)
This is equivalent to the existence of the following integral representation for $`L_\nu (w_1,w_2)`$

$$L_\nu (w_1,w_2)=𝑑\rho F_\nu (w_1,\rho )F_\nu ^{}(w_2,\rho )$$
(20)
or to its discrete series analog. Since we are interested in real and $`\xi `$-even GPDs, we must use real functions $`L_\nu `$ and $`F_\nu `$.

The lower limit of the integral over $`\nu `$ on the right-hand side (RHS) of Eq. (18) determines the asymptotics of $`F_D(\alpha _1,\alpha _2,t)`$ at large $`|t|`$. If one integrates over positive $`\nu `$, then $`F_D|t|^1`$. Functions $`L_\nu `$ appearing in Eq. (18) have the $`\nu `$ dependent dimension, which is slightly awkward but simplifies the equations.

Since $`\lambda ,\alpha _1,\alpha _20`$ and $`t0`$ the following factor appearing in Eq. (18) is always positive:

$$\frac{1}{\lambda \alpha _1\alpha _2}t>0.$$
(21)
Below it will be shown that for any set of positive definite functions $`L_\nu (w_1,w_2)`$ under the assumption that the integrals on the RHS of (18) are convergent, the resulting double distribution $`F_D(\alpha _1,\alpha _2,t)`$ (18) leads to the GPD $`H^{(N)}(x,\xi ,t)`$ (15) which satisfies the positivity bound (7). This check of positivity will be done in Section VII but first we prefer to derive some useful relations.

## V Expression for GPDs

Let us derive the expressions for GPDs $`H^{(N)}(x,\xi ,t)`$ corresponding to the double distribution (18). First we insert ansatz (18) for the double distribution $`F_D(\alpha _1,\alpha _2,t)`$ into representation (15) for GPD $`H^{(N)}(x,\xi ,t)`$

$$H^{(N)}(x,\xi ,t)=2(1x)^N\underset{0}{\overset{1}{}}𝑑\alpha _1\underset{0}{\overset{1\alpha _1}{}}𝑑\alpha _2$$

$$\times \delta \left[x\xi (\alpha _2\alpha _1)(1\alpha _1\alpha _2)\right]$$

$$\times \underset{0}{\overset{\mathrm{}}{}}d\lambda \lambda d\nu (\frac{1}{\lambda \alpha _1\alpha _2}t)^{\nu 1}L_\nu (\lambda \alpha _1,\lambda \alpha _2).$$
(22)
We can rewrite this as follows:

$$H^{(N)}(x,\xi ,t)=2(1x)^N\underset{0}{\overset{\mathrm{}}{}}𝑑\lambda \lambda \underset{0}{\overset{\mathrm{}}{}}𝑑\alpha _1\underset{0}{\overset{\mathrm{}}{}}𝑑\alpha _2$$

$$\times \theta (1\alpha _1\alpha _2)\delta \left[x\xi (\alpha _2\alpha _1)(1\alpha _1\alpha _2)\right]$$

$$\times d\nu (\frac{1}{\lambda \alpha _1\alpha _2}t)^{\nu 1}L_\nu (\lambda \alpha _1,\lambda \alpha _2).$$
(23)
Let us introduce new integration variables

$$w_k=\lambda \alpha _k$$
(24)
instead of $`\alpha _k`$ and integrate over $`\lambda `$ using the delta function

$$H^{(N)}(x,\xi ,t)=2(1x)^{N1}$$

$$\times \underset{0}{\overset{\mathrm{}}{}}dw_1\underset{0}{\overset{\mathrm{}}{}}dw_2\theta (x\xi \frac{w_2w_1}{w_1+w_2})$$

$$\times d\nu (\frac{1}{w_2}\frac{1+\xi }{1x}+\frac{1}{w_1}\frac{1\xi }{1x}t)^{\nu 1}L_\nu (w_1,w_2).$$
(25)
The step function does not vanish in the region $`x>|\xi |`$ so that the above expression simplifies as follows:

$$H^{(N)}(x,\xi ,t)|_{x>|\xi |}=2(1x)^{N1}\underset{0}{\overset{\mathrm{}}{}}𝑑w_1\underset{0}{\overset{\mathrm{}}{}}𝑑w_2$$

$$\times d\nu (\frac{1}{w_2}\frac{1+\xi }{1x}+\frac{1}{w_1}\frac{1\xi }{1x}t)^{\nu 1}L_\nu (w_1,w_2).$$
(26)
This representation can be rewritten in the following form:

$$H^{(N)}(x,\xi ,t)|_{x>|\xi |}=2(1x)^{N1}\underset{0}{\overset{\mathrm{}}{}}𝑑w_1\underset{0}{\overset{\mathrm{}}{}}𝑑w_2$$

$$\times \underset{0}{\overset{\mathrm{}}{}}d\gamma e^{t\gamma }d\nu \frac{\gamma ^\nu }{\mathrm{\Gamma }(\nu +1)}L_\nu (w_1,w_2)$$

$$\times \mathrm{exp}\left[\gamma \left(\frac{1}{w_2}\frac{1+\xi }{1x}+\frac{1}{w_1}\frac{1\xi }{1x}\right)\right].$$
(27)
## VI Forward distribution

In the forward limit $`\xi 0,`$ $`t0`$ we obtain from Eq. (26)

$$f(x)=H^{(N)}(x,0,0)=2(1x)^{N1}$$

$$\times \underset{0}{\overset{\mathrm{}}{}}dw_1\underset{0}{\overset{\mathrm{}}{}}dw_2d\nu \left(\frac{w_1w_2(1x)}{w_1+w_2}\right)^{\nu +1}L_\nu (w_1,w_2).$$
(28)
The positivity of forward parton distributions is a consequence of the general positivity bounds on GPDs which will be established in the next section. On the other hand, we can see the positivity of the forward parton distribution $`f(x)`$ directly from Eq. (28):

$$\underset{0}{\overset{\mathrm{}}{}}𝑑w_1\underset{0}{\overset{\mathrm{}}{}}𝑑w_2\left(\frac{w_1w_2}{w_1+w_2}\right)^{\nu +1}L_\nu (w_1,w_2)$$

$$=\underset{0}{\overset{\mathrm{}}{}}𝑑w_1\underset{0}{\overset{\mathrm{}}{}}𝑑w_2\frac{1}{\mathrm{\Gamma }(\nu +1)}\underset{0}{\overset{\mathrm{}}{}}𝑑\tau \tau ^\nu $$

$$\times \mathrm{exp}\left(\tau \frac{w_1+w_2}{w_1w_2}\right)L_\nu (w_1,w_2)$$

$$=\frac{1}{\mathrm{\Gamma }(\nu +1)}\underset{0}{\overset{\mathrm{}}{}}𝑑\tau \tau ^\nu \underset{0}{\overset{\mathrm{}}{}}𝑑w_1\underset{0}{\overset{\mathrm{}}{}}𝑑w_2$$

$$\times L_\nu (w_1,w_2)\mathrm{exp}(\frac{\tau }{w_1})\mathrm{exp}(\frac{\tau }{w_2})0.$$
(29)
The positivity of the RHS follows from the inequality

$$\underset{0}{\overset{\mathrm{}}{}}𝑑w_1\underset{0}{\overset{\mathrm{}}{}}𝑑w_2L_\nu (w_1,w_2)\mathrm{exp}\left(\frac{\tau }{w_1}\right)\mathrm{exp}\left(\frac{\tau }{w_2}\right)0$$
(30)
which is a consequence of the positivity (19) of the quadratic form $`L_\nu (w_1,w_2)`$.

## VII Proof of positivity

Now we want to show that the modified double distribution (18) with positive definite functions $`L_\nu `$ (19) generates GPD $`H^{(N)}(x,\xi ,t)`$ which satisfies the positivity bounds (7). For the positivity bounds we need the GPD in the impact parameter representation (6)

$$\stackrel{~}{F}^{(N)}(x,\xi ,\frac{1x}{1\xi ^2}b^{})=\frac{d^2\mathrm{\Delta }^{}}{(2\pi )^2}\mathrm{exp}\left[i\frac{1x}{1\xi ^2}(\mathrm{\Delta }^{}b^{})\right]$$

$$\times H^{(N)}(x,\xi ,\frac{|\mathrm{\Delta }^{}|^2+4\xi ^2M^2}{1\xi ^2}).$$
(31)
Using representation (27) for the GPDs $`H^{(N)}(x,\xi ,t)`$, we obtain

$$\stackrel{~}{F}^{(N)}(x,\xi ,\frac{1x}{1\xi ^2}b^{})=\frac{d^2\mathrm{\Delta }^{}}{(2\pi )^2}\mathrm{exp}\left[i\frac{1x}{1\xi ^2}(\mathrm{\Delta }^{}b^{})\right]$$

$$\times 2(1x)^{N1}\underset{0}{\overset{\mathrm{}}{}}𝑑w_1\underset{0}{\overset{\mathrm{}}{}}𝑑w_2\underset{0}{\overset{\mathrm{}}{}}𝑑\gamma $$

$$\times \mathrm{exp}\left(\gamma \frac{|\mathrm{\Delta }^{}|^2+4\xi ^2M^2}{1\xi ^2}\right)𝑑\nu \frac{\gamma ^\nu }{\mathrm{\Gamma }(\nu +1)}$$

$$\times \mathrm{exp}\left[\gamma \left(\frac{1}{w_2}\frac{1+\xi }{1x}+\frac{1}{w_1}\frac{1\xi }{1x}\right)\right]L_\nu (w_1,w_2).$$
(32)
Integrating over $`\mathrm{\Delta }^{}`$, introducing compact notation

$$r_1=\frac{1x}{1+\xi },r_2=\frac{1x}{1\xi }.$$
(33)
(see Appendix A), and rescaling the integration variables $`w_kw_kr_k`$, we find

$$\stackrel{~}{F}^{(N)}(x,\xi ,\frac{1x}{1\xi ^2}b^{})=\frac{1}{2\pi }\left(\frac{2r_1r_2}{r_1+r_2}\right)^{N+1}\underset{0}{\overset{\mathrm{}}{}}\frac{d\gamma }{\gamma }$$

$$\times \underset{0}{\overset{\mathrm{}}{}}dw_1\underset{0}{\overset{\mathrm{}}{}}dw_2\mathrm{exp}[\frac{r_1r_2}{4\gamma }|b^{}|^2\gamma \frac{M^2(r_1r_2)^2}{r_1r_2}]$$

$$\times d\nu \frac{\gamma ^\nu }{\mathrm{\Gamma }(\nu +1)}\mathrm{exp}[\frac{\gamma (w_1+w_2)}{r_1r_2w_1w_2}]L_\nu (r_1w_1,r_2w_2).$$
(34)
Next we change the integration variable $`\gamma \gamma r_1r_2`$

$$\stackrel{~}{F}^{(N)}(x,\xi ,\frac{1x}{1\xi ^2}b^{})=\frac{1}{2\pi }\left(\frac{2r_1r_2}{r_1+r_2}\right)^{N+1}\underset{0}{\overset{\mathrm{}}{}}\frac{d\gamma }{\gamma }$$

$$\times \underset{0}{\overset{\mathrm{}}{}}dw_1\underset{0}{\overset{\mathrm{}}{}}dw_2\mathrm{exp}[\frac{1}{4\gamma }|b^{}|^2\gamma M^2(r_1r_2)^2]$$
(35)
$$\times d\nu \frac{(\gamma r_1r_2)^\nu }{\mathrm{\Gamma }(\nu +1)}\mathrm{exp}[\frac{\gamma (w_1+w_2)}{w_1w_2}]L_\nu (r_1w_1,r_2w_2)$$
(36)
and use the representation

$$\mathrm{exp}\left[\gamma (r_1r_2)^2M^2\right]$$

$$=\frac{1}{2M\sqrt{\pi \gamma }}\underset{\mathrm{}}{\overset{\mathrm{}}{}}𝑑s\mathrm{exp}\left[\frac{s^2}{4\gamma M^2}+is(r_2r_1)\right].$$
(37)
Then

$$\stackrel{~}{F}^{(N)}(x,\xi ,\frac{1x}{1\xi ^2}b^{})=\frac{1}{4M\pi ^{3/2}}\left(\frac{2r_1r_2}{r_1+r_2}\right)^{N+1}$$

$$\times \underset{0}{\overset{\mathrm{}}{}}d\gamma \mathrm{exp}(\frac{1}{4\gamma }|b^{}|^2)\underset{\mathrm{}}{\overset{\mathrm{}}{}}ds\mathrm{exp}(\frac{s^2}{4\gamma M^2})$$

$$\times \underset{0}{\overset{\mathrm{}}{}}dw_1\underset{0}{\overset{\mathrm{}}{}}dw_2\mathrm{exp}[is(r_2r_1)\frac{\gamma (w_1+w_2)}{w_1w_2}]$$

$$\times d\nu \gamma ^{\nu 3/2}\frac{(r_1r_2)^\nu }{\mathrm{\Gamma }(\nu +1)}L_\nu (w_1r_1,w_2r_2).$$
(38)
Now we turn to the positivity bound (7) written in the form of the integral over $`r_1,r_2`$ — see equation (49) in Appendix A. The left-hand side of this inequality is

$$\underset{0}{\overset{1}{}}𝑑r_1\underset{0}{\overset{1}{}}𝑑r_2\left(r_1+r_2\right)^{N+1}p^{}\left(r_2\right)p\left(r_1\right)$$

$$\times \stackrel{~}{F}^{(N)}(x,\xi ,\frac{1x}{1\xi ^2}b^{})$$

$$=\frac{2^{N1}}{M\pi ^{3/2}}𝑑\nu \underset{0}{\overset{\mathrm{}}{}}𝑑\gamma \frac{\gamma ^{\nu 3/2}}{\mathrm{\Gamma }(\nu +1)}\mathrm{exp}\left(\frac{1}{4\gamma }|b^{}|^2\right)$$

$$\times \underset{\mathrm{}}{\overset{\mathrm{}}{}}ds\mathrm{exp}(\frac{s^2}{4\gamma M^2})\underset{0}{\overset{1}{}}dr_1\underset{0}{\overset{\mathrm{}}{}}dw_1\underset{0}{\overset{1}{}}dr_2\underset{0}{\overset{\mathrm{}}{}}dw_2$$

$$\times L_\nu (w_1r_1,w_2r_2)\left[p\left(r_1\right)r_1^{N+\nu +1}\mathrm{exp}\left(isr_1\frac{\gamma }{w_1}\right)\right]$$

$$\times \left[p\left(r_2\right)r_2^{N+\nu +1}\mathrm{exp}\left(isr_2\frac{\gamma }{w_2}\right)\right]^{}.$$
(39)
Here we can rescale integration variables $`w_kw_k/r_k`$. Then

$$\underset{0}{\overset{1}{}}𝑑r_1\underset{0}{\overset{\mathrm{}}{}}𝑑w_1\underset{0}{\overset{1}{}}𝑑r_2\underset{0}{\overset{\mathrm{}}{}}𝑑w_2L_\nu (w_1r_1,w_2r_2)$$

$$\times \left[p\left(r_1\right)r_1^{N+\nu +1}\mathrm{exp}\left(isr_1\frac{\gamma }{w_1}\right)\right]$$

$$\times \left[p\left(r_2\right)r_2^{N+\nu +1}\mathrm{exp}\left(isr_2\frac{\gamma }{w_2}\right)\right]^{}$$

$$=\underset{0}{\overset{\mathrm{}}{}}𝑑w_1\underset{0}{\overset{\mathrm{}}{}}𝑑w_2L_\nu (w_1,w_2)$$

$$\times \left[\underset{0}{\overset{1}{}}𝑑r_1p\left(r_1\right)r_1^{N+\nu }\mathrm{exp}\left(isr_1\frac{\gamma r_1}{w_1}\right)\right]$$

$$\times \left[\underset{0}{\overset{1}{}}𝑑r_2p\left(r_2\right)r_2^{N+\nu }\mathrm{exp}\left(isr_2\frac{\gamma r_2}{w_2}\right)\right]^{}$$

$$=\underset{0}{\overset{\mathrm{}}{}}𝑑w_1\underset{0}{\overset{\mathrm{}}{}}𝑑w_2L_\nu (w_1,w_2)\varphi _\nu (w_1)\varphi _\nu ^{}(w_2)0$$
(40)
where

$$\varphi _\nu (w)=\underset{0}{\overset{1}{}}𝑑rp(r)r^{N+\nu }\mathrm{exp}\left(isr\frac{\gamma r}{w}\right).$$
(41)
The RHS of Eq. (40) is positive since $`L_\nu (w_1,w_2)`$ is positive definite. Combining Eqs. (39) and (40), we complete the proof of the positivity bound (49) for the GPD generated by the double distribution (18).

## VIII Conclusions

In this paper we have shown that representation (18) for the double distributions \[understood in the sense of Eq. (15)\] generates GPDs (25) satisfying both polynomiality and positivity constraints. Our representation (18) for double distributions involves arbitrary positive definite quadratic forms $`L_\nu (w_1,w_2)`$. Functions $`L_\nu (w_1,w_2)`$ parametrizing GPDs depend on the same amount of variables ($`w_1,w_2,\nu `$) as GPDs themselves ($`x,\xi ,t`$). This means that the class of solutions of the polynomiality and positivity constraints found in this paper is rather wide. On the other hand, this set of solutions is not complete. Indeed, our ansatz (18) does not depend on the mass of the hadron $`M`$ whereas the positivity and polynomiality constraints are sensitive to $`M`$: although $`M`$ appears neither in the polynomiality condition (4) for $`H^{(N)}`$ nor in the positivity bound (7) for $`\stackrel{~}{F}^{(N)}`$, the relation (6) between $`H^{(N)}`$ and $`\stackrel{~}{F}^{(N)}`$ contains the hadron mass $`M`$. This means that the combined constraints of positivity and polynomiality are sensitive to the hadron mass $`M`$. Therefore the absence of the $`M`$ dependence in our ansatz (18) should mean that there must exist other solutions of the polynomiality and positivity constraints and one has to try other methods in order to find the other solutions. In particular, in Ref. Pobylitsa-02-d  the solutions of the positivity and polynomiality constraints are constructed in terms of triangle perturbative diagrams.

The parametrization of GPDs suggested here seems to be constructive for the model building: the positive definite functions $`L_\nu (w_1,w_2)`$ can be easily generated by using Eq. (20). One should not forget about the possibility to add the $`D`$-term (17) which is not constrained by the polynomiality and positivity.

Certainly apart from the positivity and polynomiality there are other theoretical and phenomenological constraints on GPDs and it would be interesting whether representation (18) allows to construct viable models of GPDs.

Acknowledgments. I am grateful to A.V. Belitsky, M. Diehl, R. Jakob, P. Kroll, D. Müller, M.V. Polyakov and A.V. Radyushkin for useful discussions. This work was supported by DFG and BMBF.

## Appendix A Solution of the positivity bounds

In this appendix we derive the solution (9) of the positivity bounds (7). First let us define variables $`r_1,r_2`$ which can be used instead of $`x,\xi `$

$$r_1=\frac{1x}{1+\xi },r_2=\frac{1x}{1\xi },$$
(42)
$$\xi =\frac{r_2r_1}{r_2+r_1},x=1\frac{2r_1r_2}{r_1+r_2},$$
(43)
$$\frac{2dxd\xi }{(1x)^3}=\frac{dr_1dr_2}{r_1^2r_2^2}.$$
(44)
The region covered by the positivity bounds (7)

$$x>|\xi |$$
(45)
is mapped to the square in the $`r_1,r_2`$ plane

$$0<r_1,r_2<1.$$
(46)
Inequality (7) takes the following form in terms of integration variables $`r_1,r_2`$ (we keep variables $`x,\xi `$ in GPDs implying that they are functions of $`r_1,r_2`$):

$$\underset{0}{\overset{1}{}}\frac{dr_1}{r_1^2}\underset{0}{\overset{1}{}}\frac{dr_2}{r_2^2}\left(\frac{r_1+r_2}{r_1r_2}\right)^{N+1}p^{}\left(r_2\right)p\left(r_1\right)$$

$$\times \stackrel{~}{F}^{(N)}(x,\xi ,\frac{1x}{1\xi ^2}b^{})0.$$
(47)
Since function $`p`$ is arbitrary we can replace it

$$p(r_1)r_1^{N+3}p(r_1)$$
(48)
which leads us to the equivalent form of inequality (47)

$$\underset{0}{\overset{1}{}}𝑑r_1\underset{0}{\overset{1}{}}𝑑r_2\left(r_1+r_2\right)^{N+1}$$

$$\times p^{}\left(r_2\right)p\left(r_1\right)\stackrel{~}{F}^{(N)}(x,\xi ,\frac{1x}{1\xi ^2}b^{})0.$$
(49)
Inequality (47) means that function

$$\left(\frac{r_1+r_2}{r_1r_2}\right)^{N+1}\stackrel{~}{F}^{(N)}(x,\xi ,\frac{1x}{1\xi ^2}b^{})$$
(50)
must be a positive definite quadratic form, i.e. it has the following representation

$$\left(\frac{r_1+r_2}{2r_1r_2}\right)^{N+1}\stackrel{~}{F}^{(N)}(x,\xi ,\frac{1x}{1\xi ^2}b^{})$$

$$=\underset{n}{}R_n(r_1,b^{})R_n^{}(r_2,b^{})$$
(51)
with some functions $`R_n`$. Turning back to the variables $`x,\xi `$, we find

$$\stackrel{~}{F}^{(N)}(x,\xi ,b^{})=(1x)^{N+1}$$

$$\times \underset{n}{}R_n(\frac{1x}{1+\xi },\frac{1\xi ^2}{1x}b^{})R_n^{}(\frac{1x}{1\xi },\frac{1\xi ^2}{1x}b^{}).$$
(52)
In the case of real and $`\xi `$-even GPDs, functions $`R_n`$ are real.

Introducing functions

$$Q_n(r,b^{})=R_n(r,\frac{1}{r}b^{})$$
(53)
we obtain representation (9) for $`\stackrel{~}{F}^{(N)}(x,\xi ,b^{})`$.


text:
# Tachyons and Representations of SO₀(2,3)

## I Introduction

We start with a well-known deformation , ,  of the Poincaré Lie algebra, which is defined in terms of the generators $`𝐋_{ij}`$ (Lorentz generators) and $`𝐏_i`$ (translation generators) by the following:

$$𝐋_{ij}𝐋_{ij},$$
$`(1a)`$
$$𝐏_i𝐋_{4i}^\pm =\frac{i[𝐐_2,𝐏_i]}{2\sqrt{\pm _{i,j=0}^3𝐏_i𝐏^i}}+𝐏_i$$
$`(1b\pm )`$
where $`𝐐=\frac{1}{2}_{i,j=0}^3𝐋_{ij}𝐋^{ji}`$ is the second order Casimir operator of the Lorentz subgroup. ($`[,]`$ denotes commutator.) For the plus sign this leads to the Lie algebra of the anti-de Sitter group, $`SO_0(2,3)`$, and the minus sign gives the commutation relations of the de Sitter group, $`SO_0(1,4)`$. Now eqns. (1b$`\pm `$) may be considered as algebraic equations for the translation generators $`𝐏_i`$ of the Poincaré group, and we are able to solve these equations for the $`𝐏_i`$. The solution to this problem for the choice of the minus sign (i.e. for the choice of eqn. (1.b$``$) has been given by us in . Our answer expresses the basis elements of the Poincaré Lie algebra as certain irrational functions of the generators of the de Sitter group. We give in section 3 a generalization of this “anti-deformation” to higher dimensions i.e. for $`SO_0(p,q)`$ groups and associated higher dimensional Poincaré groups, but only for a particular class of representations, which in the four dimensional case considered in  corresponds to spinless representations of the Poincaré group. It is possible to obtain the general solution for eqn. (1.1+) also, and we present this solution in section 4.

We have also obtained some analogous results for q-deformations in lowest dimensions i.e. 2, 3 and 4. In particular, in the $`n=2`$ case, we start with the Euclidean group in two dimensions $`(2)`$, with generators $`𝐋_{12}`$ (rotation generator) and $`𝐏_i`$ ($`i=1,2`$) (translation generators), and define the following(c.f. ): ( $`[m]_q=\frac{q^{m/2}q^{m/2}}{q^{1/2}q^{1/2}}`$)

$$\stackrel{~}{𝐋}_{3i}=\frac{1}{[2]_\sqrt{q}Y}[\left([i𝐋_{21}]_\sqrt{q}\right)^2,𝐏_i]+𝐏_i,\left(Y:=\sqrt{𝐏^1𝐏^1+𝐏^2𝐏^2}\right).$$
$`(1.2)`$
Again, we have obtained the “anti-deformation” by solving eqns. (1.2) for the $`𝐏_i`$. Our result expresses the translation generators of $`(2)`$ as irrational functions of $`U_q(so(2,1))`$ . If we let $`H=2i𝐋_{21}`$, then our solution is given by:

$$𝐏_1=D^1\left(\{1\frac{1}{2Y}\frac{[H]_q}{[H]_\sqrt{q}}\}𝐋_{31}+\frac{i[2]_\sqrt{q}}{2Y}[\frac{H}{2}]_q𝐋_{32}\right),$$
$`(1.3a)`$
and

$$𝐏_2=D^1\left(\{1\frac{1}{2Y}\frac{[H]_q}{[H]_\sqrt{q}}\}𝐋_{32}\frac{i[2]_\sqrt{q}}{2Y}[\frac{H}{2}]_q𝐋_{31}\right),$$
$`(1.3b)`$
where

$$D=\frac{1}{4Y^2}\{[H]_\sqrt{q}^2(\frac{[H]_q}{[H]_\sqrt{q}}2Y)^2\}.$$
$`(1.4)`$
Furthermore

$$Y^2=\stackrel{~}{\mathrm{\Delta }}_q+\frac{1}{4}$$
$`(1.5)`$
and $`\stackrel{~}{\mathrm{\Delta }}_q`$ is the Casimir element of $`U{}_{q}{}^{}(so(3,CI))`$ as defined in $`[4]`$. The reader can easily verify that the $`𝐏_i`$ as defined by eqns. (1.3a) and (1.3b) satisfy the defining commutation relations for the translation generators of $`(2)`$, and verify that $`Y^2`$ satifies eqn. (1.5).

## II  $`\mathrm{𝐒𝟎}_\mathrm{𝟎}(𝐩+\mathrm{𝟏},𝐪),\mathrm{𝐒𝐎}_\mathrm{𝟎}(𝐩+\mathrm{𝟏},𝐪)\times _𝐬𝐈𝐑^{𝐩+𝐪+\mathrm{𝟏}}`$ and their Lie algebras

Let $`M`$ denote the real vector space $`IR^{p+q+1}`$ on which the quadratic form

$$Q(\xi )=\xi _0^2+\xi _1^2+...+\xi _p^2\xi _{p+1}^2...\xi _{p+q}^2.$$
$`(2.1)`$
is defined, and the associated bilinear form of signature $`(p,q)`$ is given by

$$B(\xi ,\eta )=\frac{1}{2}\{Q(\xi +\eta )Q(\xi )Q(\eta )\}.$$
$`(2.2)`$
Denote the matrix corresponding to $`B`$ by $`\beta _0`$: $`\beta _0=\mathrm{diag}(1,1,..1,1,1,..,1)`$, where the right hand side of this equation denotes a diagonal matrix with diagonal entries as shown inside the parentheses, with $`p+1`$ entries being $`+1`$ and $`q`$ entries being $`1`$.

$`SO_o(p+1,q)`$ is the component connected to identity of

$$SO(p+1,q)=\{gSL(n,IR)|g^{}\beta _0g=\beta _0\}.$$
$`(2.3)`$
( denotes transpose of a matrix and $`n=p+q+1`$.) Its Lie algebra, $`so(p+1,q)`$, is defined as:

$$so(p+1,q)=\{Xsl(n,IR)|X^{}\beta _0+\beta _0X=0\}.$$
$`(2.4)`$
A basis of $`𝒢`$ are the generators $`𝐋_{ij}`$ ($`i,j=0,...,p+q`$, $`i<j`$). We define $`𝐋_{ij}=𝐋_{ji}`$ for $`i>j`$, and the $`𝐋_{ij}`$ satisfy the following commutation relations:

$$[𝐋_{ij},𝐋_{jk}]=e_j𝐋_{ik}$$
$`(2.5)`$
and all other commutators vanish. The $`e_j`$ are defined as follows:

$$e_0=e_1=...=e_p=1,e_{p+1}=e_{p+2}=...=e_{p+q}=1.$$
$`(2.6)`$
Eqn. (2.5) can also be given a well-known form with help of the $`g_{ij}=(\beta _0)_{ij}`$:

$$[𝐋_{ij},𝐋_{kl}]=g_{ik}𝐋_{jl}+g_{jl}𝐋_{ik}g_{il}𝐋_{jk}g_{jk}𝐋_{il},$$
$`(2.7)`$
We wish to give explicit matrix expressions of these $`\frac{n(n1)}{2}`$ generators in our ($`\beta _0`$) presentation of the fundamental representation of $`𝒢`$. Let $`E_{ij}`$ denote the $`n\times n`$ matrix whose $`i,j`$ entry is one, and all other entries are zero. Clearly

$$[E_{ij},E_{kl}]=\delta _{jk}E_{il}\delta _{li}E_{kj}.$$
$`(2.8)`$
Then ($`q0`$)

$$𝐋_{ij}=\left(E_{i,j}E_{j,i}\right)(0i,jp,ij)$$
$`(2.9a)`$
$$𝐋_{ni,nj}=E_{ni,nj}E_{nj,ni}(1i,jq,ij)$$
$`(2.9b)`$
$$𝐋_{i,p+j}=E_{i,p+j}+E_{p+j,i}(0ip,1jq).$$
$`(2.9c)`$
The quadratic Casimir operator of $`SO_0(p+1,q)`$ is:

$$𝐐_2=\frac{1}{2}\underset{i,j=0}{\overset{p+q}{}}𝐋_{ij}𝐋^{ji}=\frac{1}{2}\underset{i,j=0}{\overset{p}{}}𝐋_{ij}𝐋_{ij}$$

$$\frac{1}{2}\underset{i,j=p+1}{\overset{p+q}{}}𝐋_{ij}𝐋_{ij}+\underset{i=0}{\overset{p}{}}\underset{j=1}{\overset{q}{}}𝐋_{i,p+j}𝐋_{i,p+j}.$$
$`(2.10)`$
The Poincaré group in $`p+q+1`$ dimensions is the semi-direct product:

$$SO_0(p+1,q)\times _sIR^{p+q+1}=\{(g,a)|gSO_0(p+1,q),aIR^{p+q+1}\}$$
$`(2.11)`$
with multiplication law given by:

$$(g,a)(g^{},a^{})=(gg^{},a+\varphi (g)a^{})$$
$`(2.12)`$
where $`\varphi (g)`$ is the natural action of $`SO_0(p+1,q)`$ on $`IR^{p+q+1}`$. Its Lie algebra is

$$𝒫=so(p+1,q)_sIR^{p+q+1},$$
$`(2.13)`$
and a basis of $`𝒫`$ is given by:

$$𝐋_{ij},𝐏_k(i,j,k=0,...,p+q).$$
$`(2.14)`$
The commutation relations of these basis elements are: eqns. (2.7) for the $`𝐋_{ij}`$ and

$$[𝐋_{ij},𝐏_k]=g_{jk}𝐏_i+g_{ik}𝐏_j,[𝐏_i,𝐏_j]=0.$$
$`(2.15)`$
The following central element of the enveloping algebra of $`𝒫`$ will play an important role in what follows:

$$𝐏^2=\underset{k=0}{\overset{p+q}{}}𝐏_k𝐏^k=𝐏_0^2+𝐏_1^2+...+𝐏_{p+q}^2𝐏_{p+q+1}^2...𝐏_{p+q}^2.$$
$`(2.16)`$
## III Representations of $`\mathrm{𝐒𝐎}_\mathrm{𝟎}(𝐩+\mathrm{𝟏},𝐪)\times _𝐬𝐈𝐑^{𝐩+𝐪+\mathrm{𝟏}}`$ from $`\mathrm{𝐒𝐎}_\mathrm{𝟎}(𝐩+\mathrm{𝟐},𝐪)`$ and $`\mathrm{𝐒𝐎}_\mathrm{𝟎}(𝐩+\mathrm{𝟏},𝐪+\mathrm{𝟏})`$ representations

It is well-know ,  that the

$$𝐋_{p+q+1,i}^\pm =\frac{i[𝐐_2,𝐏_i]}{2\sqrt{\left(\pm _{i,j=0}^{p+q+1}𝐏_i𝐏^i\right)}}+𝐏_i$$
$`(3.1\pm )`$
together with the $`𝐋_{i,j}`$ of $`SO_0(p+1,q)`$ satisfy the defining commutation relations for the basic generators of $`SO_0(p+2,q)`$ or $`SO_0(p+1,q+1)`$ for the choice (3.1+) or (3.1$``$), respectively. (Henceforth the plus sign of any $`\pm `$ refers to the $`so(p+2,q)`$ case ((3.1+)) and the minus sign of any $`\pm `$ refers to the $`so(p+1,q+1)`$ case ((3.1$``$)).) We can view eqns. (3.1$`\pm `$) as a system of equations for commuting quantities $`𝐏_i`$, and we would like to solve these equations (3.1$`\pm `$) for the $`𝐏_i`$. We have succeeded in doing this by working in a representation $`(\pi ,)`$ of $`SO_0(p+1,q)\times _sIR^{p+q+1}`$ (strongly continuous) on an Hilbert space $``$ for which:

$$d\pi (𝐏_0𝚫\underset{i,j=1}{\overset{p+q}{}}𝐏_j𝐋_{oi}𝐋^{ij})=0$$
$`(3.2)`$
where

$$𝚫=\frac{1}{2}\underset{i,j=1}{\overset{p+q}{}}𝐋_{ij}𝐋^{ji}.$$

($`d\pi `$ denotes the representation of $`𝒫`$ obtained from $`\pi `$ (by differentiation) and also its extension to $`(𝒫)`$, the enveloping algebra of $`𝒫`$, and also to any algebraic extension of the Lie field of $`𝒫`$(c.f. ref. (1)).) Now the quadratic Casimir operator of $`so(p+2,q)`$ $`\left[so(p+1,q+1)\right]`$ constructed out of the $`𝐋_{p+q+1,i}^+`$ $`\left[𝐋_{p+q+1,i}^{}\right]`$ of (3.1+) \[(3.1$``$)\] and $`𝐋_{ij}`$ is:

$$𝐂_2^\pm =𝐐_2\underset{i=0}{\overset{p+q}{}}𝐋_{}^{\pm }{}_{p+q+1,i}{}^{}𝐋_{}^{\pm }{}_{}{}^{p+q+1,i}=𝐐_2\underset{i=0}{\overset{p+q}{}}𝐋_{}^{\pm }{}_{p+q+1,i}{}^{}𝐋_{}^{\pm }{}_{p+q+1}{}^{}{}_{}{}^{i}.$$
$`(3.3\pm )`$
Lemma 3.1 For representations $`(\pi ,)`$ for which (3.2) holds the following is true: $`d\pi (𝐂_2^\pm )=Y^2\left(\frac{p+q}{2}\right)^2I=d\pi (𝐏^2)\left(\frac{p+q}{2}\right)^2I,`$ where $`Y`$ is the square root of the operator $`\pm d\pi (𝐏^2)`$, which we assume is self-adjoint, and strictly positive, so that it has a unique square root. Furthermore ($`n=p+q+1`$):

$$d\pi (𝐃)d\pi (𝐏_0)=d\pi (\underset{i=0}{\overset{p+q}{}}𝐀_{0}^{}{}_{}{}^{i}𝐋_{n,i}^\pm )$$
$`(3.4\pm )`$
where

$$𝐃=\frac{(n3)^2}{4}\{𝐐_2+\frac{(n1)(n3)}{4}\}+iY(n3)\{𝐐_2+$$

$$\frac{(n2)(n3)}{4}\}Y^2\{𝐐_2\frac{(n3)}{2}\}+iY^3(n2)Y^4,$$

and

$$\underset{i=0}{\overset{p+q}{}}𝐀_{0}^{}{}_{}{}^{i}𝐋_{n,i}^\pm =\frac{i}{4}(n3)^2\left\{(\frac{n3}{2})𝐋_{n,0}^\pm +\underset{i=1}{\overset{p+q}{}}𝐋^{0,i}𝐋_{n,i}^\pm \right\}Y$$

$$2(\frac{n3}{2})\left\{\frac{1}{2}(\frac{n3}{2})𝐋_{n,0}^\pm +\underset{i=1}{\overset{p+q}{}}𝐋^{0,i}𝐋_{n,i}^\pm \right\}Y^2$$

$$+i\left\{(\frac{n3}{2})𝐋_{n,0}^\pm \underset{i=1}{\overset{p+q}{}}𝐋^{0,i}𝐋_{n,i}^\pm \right\}Y^3𝐋_{n,0}^\pm Y^4.$$

Now start with a unitary representation of $`SO_0(p+2,q)`$ $`[SO_0(p+1,q+1)]`$ on an Hilbert space $``$ and we use eqn. (3.4$`\pm `$) to construct a representation of $`𝒫`$ out this representation. Denote the (abstract) generators of $`SO_0(p+2,q)`$ $`\left[SO_0(p+1,q+1)\right]`$ by $`\stackrel{~}{𝐋}_{ij}`$ ($`i=0,1,\mathrm{},p+q`$) and $`\stackrel{~}{𝐋}_{n,i}^+`$ $`[\stackrel{~}{𝐋}_{n,i}^{}]`$ ($`n=p+q+1`$, $`i=0,1,\mathrm{},p+q`$).

Theorem 3.1 Let $`(\pi ^\pm ,)`$ be a continuous, unitary representation of $`SO_0(p+2,q)`$ \[$`SO_0(p+1,q+1)]`$ on an Hilbert space $``$ and let $`(\pi ^\pm ,)`$ be such that:

$$(\psi ,\left\{d\pi ^\pm (\stackrel{~}{𝐂}_2)+\left(\frac{p+q}{2}\right)^2I\right\}\psi )\stackrel{>}{<}0\psi 𝒟(d\pi (\stackrel{~}{𝐂}_2)),$$
$`(3.5\pm )`$
where $`𝒟()`$ denotes the domain of an operator ($`>`$ is for (3.5+) and $`<`$ is for (3.5$``$)) and

$$d\pi ^\pm \left(\stackrel{~}{𝐋}_{n0}^\pm \stackrel{~}{𝚫}\underset{i,j=1}{\overset{p+q}{}}\stackrel{~}{𝐋}_{nj}^\pm \stackrel{~}{𝐋}_{oi}\stackrel{~}{𝐋}^{ij}\right)=0.$$
$`(3.6)`$
Let $`Y:`$ be a bounded, symmetric linear operator on $``$, which commutes with all elements of $`d\pi ^+(so(p+2,q))`$ \[$`d\pi ^{}(so(p+1,q+1))`$\] and satisfies

$$Y^2=\left\{d\pi (\stackrel{~}{𝐂}_2)+\left(\frac{p+q}{2}\right)^2I\right\}.$$
$`(3.7\pm )`$
Further, let $`\stackrel{~}{𝐃}`$ and $`_{i=0}^{p+q}\stackrel{~}{𝐀}_{0}^{}{}_{}{}^{i}\stackrel{~}{𝐋}_{n,i}^\pm `$ be as in eqn. (3.4$`\pm `$), but with $`\stackrel{~}{𝐋}_{ij}`$ and $`\stackrel{~}{𝐋}_{n,i}^\pm `$ instead of $`𝐋_{ij}`$ and $`𝐋_{n,i}^\pm `$. Then there is formally a skew symmetric representation $`d\stackrel{~}{\pi }^\pm (𝒫)`$ of $`𝒫=so(p+1,q)_sIR^{p+q+1}`$ on $``$ with $`d\stackrel{~}{\pi }^\pm (𝐋_{ij})=d\pi ^\pm (\stackrel{~}{𝐋}_{ij})`$ $`(i=0,1,\mathrm{},p+q)`$, $`d\stackrel{~}{\pi }^\pm (𝐏_0)=d\pi ^\pm (\stackrel{~}{𝐃})^1d\pi ^\pm (_{i=0}^{p+q}\stackrel{~}{𝐀}_{0}^{}{}_{}{}^{i}\stackrel{~}{𝐋}_{n,i}^\pm )`$, and $`d\stackrel{~}{\pi }^\pm (𝐏_i)=[d\stackrel{~}{\pi }^\pm (𝐋_{i0})`$, $`d\stackrel{~}{\pi }^\pm (𝐏_0)](i=1,2,\mathrm{},p+q)`$, provided $`d\pi ^\pm \left([\stackrel{~}{𝐐}_\mathrm{𝟐},_{i=0}^{p+q}\stackrel{~}{𝐀}_{0}^{}{}_{}{}^{i}\stackrel{~}{𝐋}_{n,i}^\pm ]\right)0`$, $`d\pi ^\pm (\stackrel{~}{𝐃})^1`$ exists on a suitable dense domain in $``$, and the operators $`d\pi ^\pm (\stackrel{~}{𝐃})^1d\pi \left([\stackrel{~}{𝐋}_{i0},_{j=0}^{p+q}\stackrel{~}{𝐀}_{0}^{}{}_{}{}^{j}\stackrel{~}{𝐋}_{n,j}^\pm ]\right)`$ ($`i=1,2,3`$) and $`d\pi ^\pm (\stackrel{~}{𝐃})^1d\pi ^\pm (_{i=0}^{p+q}\stackrel{~}{𝐀}_{0}^{}{}_{}{}^{i}\stackrel{~}{𝐋}_{n,i}^\pm )`$ commute with each other.

## IV The General Solution of the Problem in the $`\mathrm{𝐒𝐎}_\mathrm{𝟎}(\mathrm{𝟑},\mathrm{𝟐})`$ case and Tachyons

Now we consider the general solution of eqns. (3.1+) for $`p=0`$ and $`q=3`$, without imposing any conditions, such as those of eqns. (3.2) and (3.6). In order to describe the solution it is necessary to know a bit more about the structure of the enveloping algebras $`(𝒢)`$ of $`𝒢=so(2,3)`$ and $`(𝒫)`$, where $`𝒫`$ is the Poincaré Lie algebra.

A maximal abelian subalgebra of $`(𝒢)`$ is generated by the six operators:

$$𝐋_{12},𝐋_{12}^2+𝐋_{23}^2+𝐋_{31}^2=𝐋^2,𝐐_2=𝐋_{01}^2+𝐋_{02}^2+𝐋_{03}^2𝐋^2$$

$$𝐐_4=\left(𝐋_{12}𝐋_{30}+𝐋_{23}𝐋_{10}+𝐋_{31}𝐋_{20}\right)^2,𝐂_2,𝐂_4$$
$`(4.1)`$
where

$$𝐂_2=𝐋_{04}^2+𝐋_{01}^2+𝐋_{02}^2+𝐋_{03}^2𝐋_{12}^2𝐋_{23}^2𝐋_{31}^2+𝐋_{14}^2+𝐋_{24}^2+𝐋_{34}^2$$
$`(4.2)`$
and

$$𝐂_4=\left[\frac{1}{4}(\lambda \lambda \rho \rho )\right]^2\left(𝐋_{12}𝐋_{30}+𝐋_{23}𝐋_{10}+𝐋_{31}𝐋_{20}\right)^2+$$

$$+\left(\underset{\genfrac{}{}{0pt}{}{ijk}{\mathrm{}m}=1}{\overset{3}{}}(ϵ_{ijk}\{\frac{1}{2}𝐋_{04}𝐋_{jk}𝐋_{0j}𝐋_{4k}\})(ϵ_{i\mathrm{}m}\{\frac{1}{2}𝐋_{04}𝐋_\mathrm{}m𝐋_0\mathrm{}𝐋_{4m}\})\right).$$
$`(4.3)`$
with $`\frac{1}{4}(\lambda \lambda \rho \rho )=𝐋_{12}𝐋_{34}+𝐋_{23}𝐋_{14}+𝐋_{31}𝐋_{24}`$. $`𝐋^2`$ and $`i𝐋_{12}`$ are operators for the total angular momentum squared and the third component of the total angular momentum, respectively. The center $`Z(𝒢)`$ of the universal enveloping algebra $`(𝒢)`$ of $`SO_0(2,3)`$ is generated by $`𝐂_2`$ and $`𝐂_4`$.

The center $`Z(𝒫)`$ of the enveloping algebra of $`𝒫`$ is generated by the following set of elements:

$$𝐏^2=\underset{k=0}{\overset{3}{}}𝐏_k𝐏^k=𝐏_0^2𝐏_1^2𝐏_2^2𝐏_3^2,$$
$`(4.4)`$
and

$$𝐖=\underset{\mu =0}{\overset{3}{}}\underset{\nu =0}{\overset{3}{}}\underset{\rho =0}{\overset{3}{}}\left(𝐏_\mu 𝐏^\nu 𝐋_{\nu \rho }𝐋^{\rho \mu }\frac{1}{2}𝐏_\rho 𝐏^\rho 𝐋_{\mu \nu }𝐋^{\nu \mu }\right).$$
$`(4.5)`$
$`𝐏_\mu 𝐏^\mu `$ is the operator for the square of the mass, and $`𝐖`$ is a scalar operator, which describes the spin in a relativistically invariant way.

Now let $`𝐂_2^{}`$ $`=`$ $`\left(𝐂{}_{2}{}^{}+\frac{5}{2}𝐈\right)`$ and $`𝐂_4^{}`$ $`=`$ $`(𝐂_4`$ $``$ $`\frac{1}{4}`$ $`𝐂_2`$ $``$ $`\frac{9}{16}𝐈)`$. ($`𝐈`$ is the identity in $`(𝒢)`$.) We have the following result:

Theorem 4.1

$$𝐏_\mu =𝐃^1𝐀_\mu ^\nu 𝐋_{\nu 4}$$
$`(4.6)`$
with

$$𝐀_\mu ^\nu =𝐂_4^{}\delta _\mu ^\nu +\frac{i}{2}\left[\left(𝐐_2+\frac{1}{4}\right)\delta _\mu ^\nu \frac{3}{2}𝐋_\mu ^\nu 𝐋_{\mu \rho }𝐋^{\rho \nu }𝐐_4ϵ_{\mu \rho \tau }^\nu 𝐋^{\rho \tau }\right]𝐘$$

$$\left[\left(𝐐_2+\frac{1}{4}𝐂_2^{}\right)\delta _\mu ^\nu 𝐋_\mu ^\nu 𝐋_{\mu \rho }𝐋^{\rho \nu }\right]𝐘^2+i\left(\frac{1}{2}\delta _\mu ^\nu 𝐋_\mu ^\nu \right)𝐘^3$$
$`(4.7)`$
and

$$𝐃=\left(𝐐_4+\frac{1}{4}𝐐_2𝐂_4^{}+\frac{3}{16}𝐈\right)+$$

$$+i\left(𝐐_2+\frac{1}{2}\right)𝐘\left(𝐐_2𝐂_2^{}\frac{1}{2}\right)𝐘^2+2i𝐘^3.$$
$`(4.8)`$
Furthermore $`𝐘^2`$, which commutes with all elements of $`(𝒢)`$, satisfies the following equation

$$𝐘^4+𝐂_2^{}𝐘^2+𝐂_4^{}=0.$$
$`(4.9)`$
The reader may readily convince himself that in spin zero case, for which $`𝐂_4`$ and $`𝐐_4`$ are represented as the zero operator, eqns. (4.6) (with eqns. (4.7) and (4.8)) for $`𝐏_0`$ (in a given representation which satisfies eqn. (3.6)), agree with the corresponding equations (3.4+) in the Lemma 3.1. when $`p=0`$, $`q=3`$ . The main fact, which is necessary in order to convince oneself of this, is the following:

$$d\pi ^+\left(\stackrel{~}{𝐋}_{0\rho }\stackrel{~}{𝐋}^{\rho \nu }\stackrel{~}{𝐋}_{4\nu }^+\right)=d\pi ^+\left(\stackrel{~}{𝐐}_2\stackrel{~}{𝐋}_{40}^+2\stackrel{~}{𝐋}_0^i\stackrel{~}{𝐋}_{4i}^+\right),$$

which is easily proved with the help of the representation condition, eqn. (3.6).

Note that $`𝐃^1`$ makes sense because $`(𝒢)`$ has no zero divisors . Also eqn. (4.9) is much more interesting than the corresponding equation in the spinless case of the previous section, which we obtain out of eqn. (4.9) by setting $`𝐂_4^{}`$ = 0. Eqn. (4.9) is a quartic equation for the operator $`𝐘`$ involving both Casimir operators of $`SO_0(2,3)`$, and thus there are many more possibilities with which to contend, e.g. de Sitter mass becoming Poincaré spin and de Sitter spin becoming Poincaré mass.

Finally, we describe a class of spinless representations of $`SO_0(2,3)`$ which satisfy the hypotheses of Theorem 3.1. We show that the representations of the Poincaré Lie algebra which we get from this theorem correspond to infinitesmally unitary representations with imaginary mass, i.e. they are tachyonic representations. (It seems clear to us that they should be integrable to Poincaré group representations, although we do not have a rigorous proof of this fact.)

The $`SO_0(2,3)`$ representations which we consider are continuous series representations occuring in the left regular representation on anti-de Sitter space. These representations and those of the continuous series occuring in the decomposition of the left regular representation of $`SO_0(2,3)`$ on anti-de Sitter space into irreducibles is a special case of a very beautiful achievement of 20th century mathematics, namely: the decomposition into irreducibles of the left regular representation of $`SO_0(p+1,q)`$ on real hyperbolic spaces. Let us briefly describe this result here.

Real hyperbolic spaces $`H^{p,q}`$ ($`q>0`$) are:

$$H^{p,q}=\{\xi IR^{p+q+1}|\xi _0^2+\xi _1^2+\xi _2^2+\mathrm{}+\xi _p^2\xi _{p+1}^2\mathrm{}\xi _{p+q}^2=1\}.$$
$`(4.10)`$
The isotropy subgroup of the point $`\xi ^i=0`$ ($`ip+q`$), $`\xi ^{p+q}=1`$ is $`H=SO_0(p+1,q1)`$. Since the action of $`SO_0(p+1,q)`$ is transitive on $`H^{p,q}`$,we have that

$$H^{p,q}\stackrel{}{=}SO_0(p+1,q)/SO_0(p+1,q1).$$
$`(4.11)`$
$`H^{p,q}`$ are semi-Riemannian spaces of constant curvature. The representation of $`G=SO_0(p+1,q)`$ is the left regular representation on $`H^{p,q}`$ i.e. $`(\pi (g)f)(\xi )=f(g^1\xi )`$ for any $`gG`$ and $`f^2(G/H)`$. We have on $`C^{\mathrm{}}(G/H)`$ representations $`d\pi (so(p+1,q))`$ and $`d\pi ((so(p+1,q))`$ of the Lie algebra and the enveloping algebra, respectively. Let

$$_s=\{fC^{\mathrm{}}(G/H)|(d\pi (𝐂_2)f)=\left(s^2\left\{\frac{p+q1}{2}\right\}^2\right)f\}$$
$`(4.12)`$
for each $`sCI`$. We then have:

Proposition 4.1 $`d\pi (𝐂_2)`$ has a self-adjoint closure in $`^2(G/H)`$. For $`q>1`$ the spectrum of $`d\pi (𝐂_2)+[(p+q1)/2]^2I`$ in $`(0,\mathrm{})`$ is discrete with eigenvalue $`[s+(p+q1)/2]^2`$ for each integer $`s>(p+q1)/2`$. Corresponding to each eigenvalue is an infinite dimensional eigenspace $`_s`$. The completion of $`_s`$ in the $`^2(G/H)`$ norm gives an irreducible, unitary representation of $`SO_0(p+1,q)`$. The spectrum of $`d\pi (𝐂_2)+[(p+q1)/2]^2I`$ in $`(\mathrm{},0]`$ is continuous with eigenvalue $`[s]^2`$ for each $`siIR`$. The completion of $`_s`$ in the $`^2(G/H)`$ norm is the direct sum of two irreducible, unitary representations of $`SO_0(p+1,q)`$. For $`q=1`$ the above is also true except that there is no discrete spectrum.

We leave it to the reader to convince himself that the representations of this Proposition fulfill the hypotheses of Theorem 3.1. (Since $`d\pi (𝐂_2)`$ and $`d\pi (𝐐_2)`$ are self-adjoint it is clear that $`d\pi ^+(\stackrel{~}{𝐃})`$ is invertible. To prove the mutual commutativity of the translation generators one uses an integral transform given in .) The representations of the continuous spectrum, are the ones we use with (3.5+) ($`p`$ of proposition replaced by $`p+1`$). The representations of the continuous spectrum are also the ones we use with (3.5$``$) ($`q`$ in proposition replaced by $`q+1`$). For the $`SO_0(2,3)`$ case ((3.5+)) we see that $`d\stackrel{~}{\pi }^+(𝐏^2)`$ is strictly greater than zero, and thus these representations are tachyonic  as claimed above. We are also considering application of these ideas to higher dimensional cases  .

###### Acknowledgements.

The author wishes to thank Professors M. Havlicek for useful discussions; it is also a pleasure to thank Professor H.P. Jakobsen for some valuable comments.


text:
# A continuous time random walk model for financial distributions

## I Introduction

The continuous time random walk (CTRW), first introduced by Montroll and Weiss in 1965, montrollweiss , has a large number of applications to the modelling of many physical phenomena, particularly in the field of transport in disordered media montroll2 ; weissllibre . In contrast to the standard random walk in which steps are made periodically, the CTRW is based on the assumption that the times between steps is random. The CTRW has been applied in many different fieds. These range from transport in amorphous materials sher , transport in turbid media wpm ; gandj , random networks berkowitz , self-organized criticality boguna , liquids berezhkovskii , electron tunneling gudowska , theoretical mechanics balescu  and earthquake modelling helmstetter , just to name a few.

In this paper apply CTRW formalism to a phenomenon more related to social sciences than to natural sciences: the distribution of speculative prices. The first analytical approach to this class of problems was proposed and analyzed by Bachelier who in 1900 modelled stock price movements as an ordinary random walk where prices can go up and down, at fixed times, due to a variety of many independent random causes. This approach necessarily leads to the conclusion that the probability distribution of speculative prices is Gaussian cootner . In 1959 Osborne realized that, since stock prices are necessarily positive, it would be more convenient to consider returns instead of market values osborne . Thus, if $`S(t)`$ is an speculative price (or the value of an index) at time $`t`$ and

$$Z(t)=\mathrm{ln}[S(t)/S(0)]$$
(1)
is the return up to time $`t`$. Then $`Z(t)`$ is a Gaussian variable and $`S(t)`$ is a log-normal process. Nevertheless, as Kendall first noticed in 1953 kendall , the normal density fits financial data very poorly in the tails of the distribution. As an example: the probability of an event corresponding to five or more standard deviations is up to $`10^4`$ times larger than the one predicted by the Gaussian distribution. Therefore, empirical price distributions are highly leptokurtic. The existence of these “fat tails” was precisely what led to Mandelbrot in 1963 to propose the Lévy distribution for stock market prices mandelbrot . There is, however, a drawback to this approach: no finite moments exist beyond the first and this is certainly a severe limitation of the model. Moreover, the Lévy distribution has been tested against data in many situations, always with the same conclusion: the tails are far too long compared with actual data. In any case, as Mantegna and Stanley have recently shown mantegnastanley , the Lévy distribution fits very well to the center of empirical distributions —surprisingly much better than the Gaussian density— and it also shares the scaling behavior that appears in data.

Recently a new market model was proposed to fill the gap between Gaussian and Lévy distributions montero1 . The model, which was based on a continuous superposition of jump processes, explains the appearance of fat tails and self-scaling but still keeps all moments finite. It reproduces price distributions quite exactly, particularly those of tic-by-tic data. In this paper we want to address the problem from a different point of view. Thus we assume that the evolution of prices can be modeled by a CTRW. This allows us to calculate the distribution of speculative prices. The paper is organized as follows. In Sections II and III we set the general formalism and derive the exact distribution of prices and volatility. In Section IV we derive some asymptotic results mostly valid for long times. In Section V we apply the model to real data, namely the US dollar/Deutsche Mark future market. Conclusions are drawn in Section VI.

## II General formalism. The distribution of prices

We define the zero-mean return $`X(t)`$ by

$$X(t)=Z(t)Z(t),$$
(2)
where $`Z(t)`$ is given by Eq. (1) and $`Z(t)`$ is its average. We now suppose that $`X(t)`$ can be described in terms of a CTRW. In this picture $`X(t)`$ changes at random times $`t_0,t_1,t_2,\mathrm{},t_n,\mathrm{}`$ and we assume that the intervals between successive steps (which we call “sojourns”) $`T_n=t_nt_{n1}`$ ($`n=1,2,3,\mathrm{}`$) are independent and identically distributed random variables with a probability density function given by $`\psi (t)`$, i.e.,

$$\psi (t)dt=\mathrm{Prob}\{t<T_nt+dt\}.$$

At a given sojourn the zero-mean return $`X(t)`$ undergoes a random change giving rise to the random variable $`\mathrm{\Delta }X_n=X(t_n)X(t_{n1})`$ which is described by a probability density function defined by

$$h(x)dx=\mathrm{Prob}\{x<\mathrm{\Delta }X_nx+dx\}.$$

In this formulation of the problem we choose a function $`\rho (x,t)`$ to be the fundamental function, where $`\rho (x,t)dxdt`$ is the joint probability that an increment in return, $`X(t)`$, is added whose magnitude is between $`x`$ and $`x+dx`$ and that the time between successive turns is between $`t`$ and $`t+dt`$. The condition that there is no net drift will be assured by requiring that $`\rho (x,t)`$ is an even function of $`x`$. We can form two marginal densities out of $`\rho (x,t)`$: the pausing-time density $`\psi (t)`$ for the time between successive pulses

$$\psi (t)=_{\mathrm{}}^{\mathrm{}}\rho (x,t)𝑑x,$$
(3)
and the probability density function (pdf) for the changes in a single jump, $`h(x)`$, where

$$h(x)=_0^{\mathrm{}}\rho (x,t)𝑑t.$$
(4)
The value of the return $`X(t)`$ at time $`t`$ will by given by the random value of the height at $`t`$ (see Fig. 1). We are interested in the probability density function of this variable, $`p(x,t)`$.

We also assume that between successive steps the time evolution of $`X(t)`$ is linear (see Fig. 1). The assumption of linearity between jumps is arbitrary. We could have used step functions instead, in such a case the return would evolve discontinuously and during any sojourn the value of the return (and hence the price) is that of the last jump. On the other hand, the linear choice for the return $`X(t)`$ implies an exponential growth in price $`S(t)`$ (cf  Eq. (1)). This exponential behavior is an inherent feature of any financial market.

Apparently the choice of linearity is against causality because one has to know future return values, $`X(t_n)`$, in order to draw the segment joining $`X(t_{n1})`$ and $`X(t_n)`$. Fortunately for the soundness of our model this is not true. Indeed, notice that our process is completely equivalent to a random process evolving linearly with a slope changing at the random times $`t_n`$ $`(n=1,2,3,\mathrm{})`$. If the slope of the segment joining $`X(t_{n1})`$ with $`X(t_n)`$ is independent on $`t_n,t_{n+1},\mathrm{}`$, then the random process is causal. Moreover, if the slope is independent on its previous values then the process is also Markovian.

Let us calculate the form of $`p(x,t)`$ prior to the first jump. This function will be denoted by $`p_0(x,t)`$ and, due to the linear evolution of $`X(t)`$ between steps, it reads

$$p_0(x,t)=_t^{\mathrm{}}𝑑T_{\mathrm{}}^{\mathrm{}}\rho (y,T)\delta \left(x\frac{yt}{T}\right)𝑑y.$$
(5)
where we have assumed that the initial jump occurred at $`t=0`$. In terms of $`p_0`$ and $`\rho `$ we have that the pdf $`p(x,t)`$ for the return at time $`t`$ is given by

$$p(x,t)=p_0(x,t)+_0^t𝑑t^{}_{\mathrm{}}^{\mathrm{}}\rho (x^{},t^{})p(xx^{},tt^{}).$$
(6)
This equation has been derived from the consideration that at time $`t`$, the process is either within the very first sojourn, this given by the first term on the rhs of Eq. (6), or else the first sojourn ended at time $`t^{}<t`$, at which time the return had value $`x^{}`$, and from $`(x^{},t^{})`$ the process was renewed.

It is possible to solve Eq. (6) by means of a joint Fourier-Laplace transform. To this end let us denote by

$$\widehat{p}(\omega ,s)=_0^{\mathrm{}}𝑑te^{st}_{\mathrm{}}^{\mathrm{}}𝑑\omega e^{i\omega x}p(x,t),$$

the joint Fourier-Laplace transform of $`p(x,t)`$. Then the convolution theorems applied to Eq. (6) yield

$$\widehat{p}(\omega ,s)=\frac{\widehat{p}_0(\omega ,s)}{1\widehat{\rho }(\omega ,s)},$$
(7)
where $`\widehat{p}_0(\omega ,s)`$ and $`\widehat{\rho }(\omega ,s)`$ are respectively the joint Fourier-Laplace transforms of functions $`p_0(x,t)`$ and $`\rho (x,t)`$. Recall that $`p_0(x,t)`$ only depends on $`\rho (x,t)`$, thus the return pdf $`p(x,t)`$ is exclusively determined by the form of $`\rho (x,t)`$.

Unfortunately the form of $`\rho (x,t)`$ is very difficult to determine from the available data. More easily accessible are the marginal densities of $`\rho (x,t)`$ in Eqs. (3) and (4). It is therefore essential to assume a functional relation between $`\rho (x,t)`$ and its marginal densities $`\psi (t)`$ and $`h(x)`$. The simplest choice would be based on the assumption that return increments and their duration time are independent random variables. In this case

$$\rho (x,t)=h(x)\psi (t).$$
(8)
However, this assumption does not seem to be realistic since one certainly expects some degree of correlation between return increments and their duration, while Eq. (8) implies complete independence between increments and sojourn times. Following that intuition, for the rest of the paper we will mostly assume that the density $`\rho (x,t)`$ is such that its characteristic function $`\stackrel{~}{\rho }(\omega ,t)`$ has the functional form:

$$\stackrel{~}{\rho }(\omega ,t)=\psi \left[\frac{t}{\stackrel{~}{h}(\omega )}\right],$$
(9)
where $`\psi (t)`$ is the pausing time density, which we assume to be a decreasing function of time, lukacs , and $`\stackrel{~}{h}(\omega )`$ is the characteristic function of $`h(x)`$. Notice that Eq. (9) has been chosen to satisfy Eqs. (3) and (4).

As we have mentioned, assumption given by Eq. (9) is at least intuitively plausible because it implies that one must wait for a long time in order for a large variation of return to occur. In other words, major increments of the return are very infrequent. We will prove this by showing that sojourn time $`T=t_nt_{n1}`$ and return quadratic increments $`\mathrm{\Delta }X^2=[X(t_n)X(t_{n1})]^2`$ have a positive correlation, then increasing return variations imply increasing sojourn times and vice versa. In effect, we define the correlation function between $`\mathrm{\Delta }X^2`$ and $`T`$ by

$$r=\mathrm{\Delta }X^2T\mathrm{\Delta }X^2\mathrm{\Delta }T.$$

We can easily evaluate the cross average $`\mathrm{\Delta }X^2T`$ using the joint characteristic function $`\stackrel{~}{\rho }(\omega ,t)`$.Thus

$$\mathrm{\Delta }X^2T=\frac{^2}{\omega ^2}_0^{\mathrm{}}t\stackrel{~}{\rho }(\omega ,t)𝑑t|_{\omega =0},$$

which after using Eq. (9) yields

$$\mathrm{\Delta }X^2T=2\mathrm{\Delta }X^2\mathrm{\Delta }T.$$

Hence

$$r=\mathrm{\Delta }X^2\mathrm{\Delta }T>0,$$

as we meant to prove.

Observe that assumption (9) allows us to write the joint Fourier-Laplace transform of $`\rho (x,t)`$ in the form

$$\widehat{\rho }(\omega ,s)=\stackrel{~}{h}(\omega )\widehat{\psi }\left[s\stackrel{~}{h}(\omega )\right],$$
(10)
where $`\widehat{\psi }(s)`$ is the Laplace transform of the pausing-time density $`\psi (t)`$. Likewise, from Eq. (5) we see that the transformed density $`\widehat{p}_0(\omega ,s)`$ can be written as

$$\widehat{p}_0(\omega ,s)=\frac{}{s}_0^1\frac{dz}{z}\widehat{\rho }(\omega z,sz),$$
(11)
which, after using Eq. (10), reads

$$\widehat{p}_0(\omega ,s)=_0^1\stackrel{~}{h}^2(\omega z)\widehat{\psi }^{}\left[sz\stackrel{~}{h}(\omega z)\right]𝑑z,$$
(12)
where the prime denotes a derivative. In terms of the transformed densities $`\widehat{\psi }(s)`$ and $`\stackrel{~}{h}(\omega )`$ the formal solution to the problem given by Eq. (7) can be written in the following more explicit form

$$\widehat{p}(\omega ,s)=\frac{_0^1\stackrel{~}{h}^2(\omega z)\widehat{\psi }^{}\left[sz\stackrel{~}{h}(\omega z)\right]𝑑z}{1\stackrel{~}{h}(\omega )\widehat{\psi }\left[s\stackrel{~}{h}(\omega )\right]}.$$
(13)
Subject to the assumption in Eq. (9), Eq. (13) furnishes a complete solution to the problem and it can be a convenient starting point for numerical methods when further analytical insight is unavailable.

We finish this section with an example. Suppose that the random times $`t_0,t_1,t_2,\mathrm{}`$ in which the return suffers random increments form a Poisson set of events, suppose also that these random increments are distributed according to a Laplace density. Then densities $`\psi (t)`$ and $`h(x)`$ are respectively given by

$$\psi (t)=\lambda e^{\lambda t},h(x)=\frac{\gamma }{2}e^{\gamma |x|},$$
(14)
where $`\lambda ^1=T`$ is the mean sojourn time and $`\gamma >0`$ is such that $`\mathrm{\Delta }X^2=2/\gamma ^2`$ is the jump variance. In this case $`\stackrel{~}{h}(\omega )=1/(1+\omega ^2/\gamma ^2)`$ and the characteristic function of the joint density $`\rho (x,t)`$ is given by

$$\stackrel{~}{\rho }(\omega ,t)=\lambda \mathrm{exp}\left\{\lambda (1+\omega ^2/\gamma ^2)t\right\},$$
(15)
which is the convolution of a Poissonian density $`\lambda e^{\lambda t}`$ and a Gaussian density with zero mean and variance $`2\lambda t/\gamma ^2`$. Finally, the inverse Laplace transform of the formal solution in Eq. (13) now results in an explicit expression for the characteristic function of the problem given by the time convolution:

$$\stackrel{~}{p}(\omega ,t)=\stackrel{~}{p}_0(\omega ,t)+\lambda _0^te^{\lambda \omega ^2t^{}/\gamma ^2}\stackrel{~}{p}_0(\omega ,tt^{})𝑑t^{},$$
(16)
where

$$\stackrel{~}{p}_0(\omega ,t)=\lambda _t^{\mathrm{}}\mathrm{exp}\left\{\lambda \left(\tau +\frac{\omega ^2t^2}{\gamma ^2\tau }\right)\right\}𝑑\tau .$$
(17)
Note that numerical analyzing Eqs. (16)-(17) is straightforward.

## III The volatility

Besides the pdf $`p(x,t)`$, which provides all possible information about the problem, there is another quantity of considerable practical interest: the return variance. In our analysis this quantity, called “volatility” in the terminology of finance, has the advantage that it does not require the knowledge of the entire jump distribution $`h(x)`$. It suffices to know the pdf $`\psi (t)`$ and the first two moments of $`h(x)`$.

Let us denote by $`\widehat{X^n}(s)`$ the Laplace transform of the $`n`$th moment of the return:

$$\widehat{X^n}(s)_0^{\mathrm{}}e^{st}X^n(t)𝑑t.$$

This can be written in terms of the joint Fourier-Laplace transform of $`p(x,t)`$ by

$$\widehat{X^n}(s)=i^n\frac{^n\widehat{p}(\omega ,s)}{\omega ^n}|_{\omega =0}.$$
(18)
Since we assume that there is no net drift in the evolution of $`X(t)`$, i.e., $`\rho (x,t)=\rho (x,t)`$, this means that all odd moments associated with $`\rho (x,t)`$ are zero. That is,

$$R^{2n1}(t)=0,(n=1,2,3,\mathrm{}),$$
(19)
where

$$R^m(t)_{\mathrm{}}^{\mathrm{}}x^m\rho (x,t)𝑑x$$
(20)
is the $`m`$-th moment of the return increment. All of this means that random jumps during any sojourn are unbiased and, in particular, that their average is zero. Note that since the jump density $`h(x)`$ is a marginal density of $`\rho (x,t)`$, condition (19) implies that

$$\stackrel{~}{h}^{(2n1)}(0)=0,\text{ and}\mu _n(1)^n\stackrel{~}{h}^{(2n)}(0),$$
(21)
$`(n=1,2,3,\mathrm{})`$, where $`\stackrel{~}{h}^{(m)}(0)`$ is the $`m`$-th derivative of the characteristic function, $`\stackrel{~}{h}(\omega )`$, of the jump density. Notice that another direct consequence of the unbiased assumption given by Eq. (19) is that all odd moments of the return process vanish:

$$X^{2n1}(t)=0,(n=1,2,3,\mathrm{}).$$
(22)
Starting from Eq. (18) and using Eq. (7) and Eqs. (19)-(20) we obtain

$$\widehat{X^2}(s)=\frac{\widehat{X_0^2}(s)+\widehat{R^2}(s)}{1\widehat{\psi }(s)},$$
(23)
where $`\widehat{R^2}(s)`$ and $`\widehat{\psi }(t)`$ are the Laplace transforms of $`R^2(t)`$ and $`\psi (t)`$ respectively, and

$$\widehat{X_0^2}(s)=\frac{^2\widehat{p}_0(\omega ,s)}{\omega ^2}|_{\omega =0}.$$
(24)
The substitution of Eq. (11) into Eq. (24) and some simple manipulations finally yield

$$\widehat{X_0^2}(s)=\frac{1}{s}\widehat{R^2}(s)+\frac{2}{s}_0^1z\widehat{R^2}(sz)𝑑z,$$

and Eq. (23) implies

$$\widehat{X^2}(s)=\frac{2/s}{1\widehat{\psi }(s)}_0^1z\widehat{R^2}(sz)𝑑z.$$
(25)
As we have mentioned, the independent model given by Eq. (8) cannot be used for describing actual markets, but for the sake of completeness we will also give the general expression of the volatility associated with the model. This result will serve to illustrate an important point regarding the asymptotic behavior of the volatility which will be discussed nearly at the end of the next section.

Using Eq. (8) we have

$$\widehat{R^2}(s)=\mu _2\widehat{\psi }(s),$$

and

$$\widehat{X^2}(s)=\frac{2\mu _2/s}{1\widehat{\psi }(s)}_0^1z\widehat{\psi }(sz)𝑑z,$$
(26)
while for the dependent model exemplified by Eq. (9) and after using Eq. (10) we have

$$\widehat{R}^2(s)=\mu _2\frac{d}{ds}\left[s\widehat{\psi }(s)\right].$$

Then

$$\widehat{X^2}(s)=\frac{2\mu _2/s}{1\widehat{\psi }(s)}\left[\widehat{\psi }(s)_0^1z\widehat{\psi }(sz)𝑑z\right].$$
(27)
Observe that both Eqs. (26) and (27) depend only on the pausing-time density and the second moment of the jump $`\mu _2`$. In this case and for the example given in Eqs. (14)-(17) we can explicitly write

$`X^2(t)={\displaystyle \frac{2}{3\gamma ^2}}+{\displaystyle \frac{2\lambda t}{\gamma ^2}}{\displaystyle \frac{2}{3\gamma ^2}}(1`$ $`+`$ $`2\lambda t+\lambda ^2t^2)e^{\lambda t}`$ (28)
$`+`$ $`{\displaystyle \frac{2}{\gamma ^2}}\lambda ^2t^2(1+\lambda t/3)\mathrm{E}_1(\lambda t),`$
where $`\mathrm{E}_1(\lambda t)`$ is the exponential integral. Using both the short time behavior and the asymptotic behavior of $`\mathrm{E}_1(\lambda t)`$ mos  we can easily see that

$$X^2(t)(2/\gamma ^2)\lambda ^2t^2\mathrm{ln}\lambda t,(t\lambda ^1),$$

and

$$X^2(t)(2\lambda /\gamma ^2)t,(t\lambda ^1).$$

In this particular case we thus observe an anomalous diffusion-like behavior at short times and a diffusion-like behavior at long times. We will see next that this is a general feature of the model rather than a peculiarity of the example given by Eq. (14).

## IV Asymptotic results

In this section we obtain some approximate results regarding the characteristic function and the volatility of the process. These results will mostly refer to the behavior of the probability distribution for large $`t`$ and large $`x`$. To this end we will assume that the Laplace transform of the pausing-time density, $`\widehat{\psi }(s)`$, has the following series expansion

$$\widehat{\psi }(s)=1+\underset{n=1}{\overset{\mathrm{}}{}}a_ns^n+\underset{n=0}{\overset{\mathrm{}}{}}b_ns^{\alpha +n1},$$
(29)
where $`\alpha >1`$ is a non integer number. Note that Eq. (29) is a fairly general assumption, because when $`b_n0`$ for all $`n`$ then all moments $`T^n`$ of $`\psi (t)`$ exist. In such a case $`a_n=(1)^nT^n/n!`$. On the other hand if $`\psi (t)`$ only possesses $`N1`$ moments, then $`N+1<\alpha <N+2`$ and $`a_n=(1)^nT^n/n!`$ only for $`nN`$. Using Eq. (29) we see that $`\widehat{\rho }(\omega ,s)`$ given by Eq. (10) reads

$$\widehat{\rho }(\omega ,s)=\stackrel{~}{h}(\omega )\left[1+\underset{n=1}{\overset{\mathrm{}}{}}a_ns^n\stackrel{~}{h}^n(\omega )+\underset{n=0}{\overset{\mathrm{}}{}}b_ns^{\alpha +n1}\stackrel{~}{h}^{\alpha +n1}(\omega )\right],$$
(30)
while $`\widehat{p}_0(\omega ,s)`$ is (cf Eq. (12))

$$\widehat{p}_0(\omega ,s)=\underset{n=1}{\overset{\mathrm{}}{}}a_ns^{n1}\varphi _n(\omega )\underset{n=0}{\overset{\mathrm{}}{}}(\alpha +n)b_ns^{\alpha +n2}\varphi _{\alpha +n1}(\omega ),$$
(31)
where

$$\varphi _k(\omega )_0^1z^{k1}\stackrel{~}{h}^k(\omega z)𝑑z.$$
(32)
We want to obtain an asymptotic expansion of the pdf $`p(x,t)`$ valid for large $`t`$ and $`|x|`$. As is well known, the large $`t`$ behavior is equivalent to the small $`s`$ behavior of the Laplace transform. Similarly the large $`|x|`$ behavior correspond to the small $`\omega `$ behavior in the Fourier domain. Having this in mind from Eq. (30) we have for $`\alpha >3`$:

$$\frac{1}{1\widehat{\rho }(\omega ,s)}=\frac{1}{1\stackrel{~}{h}(\omega )a_1\stackrel{~}{h}^2(\omega )s+O(s^2)},$$

or equivalently,

$$\frac{1}{1\widehat{\rho }(\omega ,s)}=\frac{1}{a_1\stackrel{~}{h}^2(\omega )s\{1[1\stackrel{~}{h}(\omega )]/[a_1\stackrel{~}{h}^2(\omega )s]+O(s)\}}$$
(33)
Recall that $`\omega `$ is also small and in this case $`\stackrel{~}{h}(\omega )1`$. We now assume that, in spite of $`s`$ being small, the range of small values of $`\omega `$ that we will consider is such that

$$\frac{|1\stackrel{~}{h}(\omega )|}{|a_1\stackrel{~}{h}^2(\omega )s|}1.$$

We can thus expand the rhs of Eq. (33) with the result

$$\frac{1}{1\widehat{\rho }(\omega ,s)}\frac{1}{a_1\stackrel{~}{h}^2(\omega )s}\left[1+\frac{1\widehat{\rho }(\omega ,s)}{a_1\stackrel{~}{h}^2(\omega )s}+O(s)\right].$$
(34)
On the other hand from Eq. (31) we can write

$$\widehat{p}_0(\omega ,s)=a_1\varphi _1(\omega )+O(s),$$
(35)
where $`\varphi _1(\omega )`$ is given by Eq. (32). The substitution of Eqs. (34) and (35) into Eq. (7) yields

$$\widehat{p}(\omega ,s)\frac{\varphi _1(\omega )}{\stackrel{~}{h}^2(\omega )s}\left[1+\frac{1\widehat{h}(\omega )}{a_1\stackrel{~}{h}^2(\omega )s}+O(s)\right],$$
(36)
up to the leading order, Eq. (36) yields

$$\widehat{p}(\omega ,s)\frac{\stackrel{~}{N}(\omega )}{a_1s^2}+O\left(\frac{1}{s}\right),$$
(37)
where $`a_1=T`$ is equal to the negative of the mean time between successive jumps and

$$\stackrel{~}{N}(\omega )\frac{[1\widehat{h}(\omega )]\varphi _1(\omega )}{\stackrel{~}{h}^4(\omega )}.$$
(38)
Thus by virtue of Tauberian theorems the asymptotic expression for large $`t`$ of the characteristic function $`\stackrel{~}{p}(\omega ,t)`$ will be given by the Laplace inversion of Eq. (37):

$$\stackrel{~}{p}(\omega ,t)\stackrel{~}{N}(\omega )\frac{t}{T},(t\mathrm{}).$$
(39)
In this asymptotic case the market volatility could be evaluated starting from Eq. (27) and then following the procedure just described which involves the use of Eq. (29). Nevertheless, it turns out to be much simpler to directly evaluate $`X^2(t)`$ using the asymptotic expression for $`\stackrel{~}{p}(\omega ,t)`$ given by Eq. (39). We thus have

$$X^2(t)\mu _2t/T(t\mathrm{}).$$
(40)
Therefore, in this regime the volatility grows linearly with time, which suggests a diffusion-like behavior of the model at long times.

It is also interesting to calculate the behavior of volatility at short times. To this end we first note that as $`t0`$ no shift in return has occurred with high probability. Consequently the probability density function $`p(x,t)`$ of the process is approximately given by $`p_0(x,t)`$:

$$p(x,t)p_0(x,t),(t0),$$

and the approximate expression of the volatility is

$$X^2(t)_{\mathrm{}}^{\mathrm{}}x^2p_0(x,t)𝑑x,(t0),$$

which, after using Eq. (5) yields

$$X^2(t)t^2_t^{\mathrm{}}R^2(\tau )\frac{d\tau }{\tau ^2},(t0),$$
(41)
where $`R^2(t)`$, the second moment of $`\rho (x,t)`$, is defined by Eq. (20). In terms of the characteristic function $`\stackrel{~}{\rho }(\omega ,t)`$ we have

$$R^2(t)=\frac{^2\stackrel{~}{\rho }(\omega ,t)}{\omega ^2}|_{\omega =0},$$

and from Eq. (9) we get (see Eq. (21))

$$R^2(t)=\mu _2t\psi ^{}(t).$$

Substituting this equation into Eq. (41) yields

$$X^2(t)\mu _2t^2_{t/T}^{\mathrm{}}\frac{\psi ^{}(\xi T)}{\xi }𝑑\xi ,(t0),$$

where we have used dimensionless units in writing the integral. An integration by parts yields

$$_{t/T}^{\mathrm{}}\frac{\psi ^{}(\xi T)}{\xi }𝑑\xi =\psi ^{}(t)\mathrm{ln}(t/T)T_{t/T}^{\mathrm{}}𝑑\xi \psi ^{\prime \prime }(\xi T)\mathrm{ln}\xi ,$$

where we have assumed that $`\psi ^{}(t)`$ decreases fast enough at infinity. It is easy to convince oneself that as $`t0`$ the dominant term on the right hand side of this equation is the first one. Hence,

$$_{t/T}^{\mathrm{}}\frac{\psi ^{}(\xi T)}{\xi }𝑑\xi \psi ^{}(t)\mathrm{ln}(t/T).$$

Finally,

$$X^2(t)\mu _2\psi ^{}(0)t^2\mathrm{ln}(t/T),(tT).$$
(42)
Since $`t^2|\mathrm{ln}(t/T)|<t`$ when $`tT`$, the volatility grows slower than normal diffusion at short times. Therefore, the model exhibits an anomalous diffusion-like behavior at short times. This peculiar behavior of the volatility, i.e., anomalous diffusion at short times and ordinary diffusion at long times, is a characteristic feature of the model, and we will see next that there seems to be empirical evidence of such a behavior in real markets.

It could be argued that the anomalous behavior of the volatility at short times is a spurious consequence of the form of $`p_0(x,t)`$ which, in turn, is the result of the arbitrary assumption that the time evolution of $`X^2(t)`$ between successive steps is linear (cf  Eq. (5) and Fig. 1). We will prove that this is not the case and that the anomalous behavior of volatility is, at least, a direct consequence of assumption (9) which relates return increments with their duration. In effect, suppose that the expression for $`p_0(x,t)`$ given by Eq. (5) is valid but that return increments and time intervals are independent random variables. Then from Eq. (8) we have

$$\stackrel{~}{\rho }(\omega ,t)=\stackrel{~}{h}(\omega )\psi (t).$$
(43)
Therefore $`R^2(t)=\mu _2\psi (t)`$ and Eq. (41) reads

$$X^2(t)\mu _2t_1^{\mathrm{}}\frac{\psi (t\tau )}{\tau ^2}d\tau .(t0),$$

For $`t`$ sufficiently small we may write

$$X^2(t)\mu _2\psi (0)t,(t0),$$

and the model presents a diffusion-like behavior at short time scales. Hence, it is the dependence between return increments and their duration the reason for the anomalous behavior of the model at short times. We finally note that this provides a test for the validity of assumption in Eq. (8) since if actual data do not support diffusion-like behavior at short times then the assumption of independence between increments and their duration is inaccurate.

We finish this section obtaining the asymptotic long time behavior of the volatility for the independent model given by Eq. (8). In this case $`\widehat{X^2}(s)`$ is given by Eq. (26) which, for small $`s`$ and after using the expansion (29), reads

$$\widehat{X^2}(s)\frac{2\mu _2/T}{s^2}\left[\frac{1}{2}\frac{1}{3}Ts+O(s^2)\right].$$

Whence

$$X^2(t)\mu _2t/T,(t\mathrm{})$$

and, for the independent model, the volatility also has the same diffusion-like behavior at long time as that of the dependent model (cf Eq. (40)).

## V Specific results

We will now apply the formalism presented in previous sections to analyze the distribution of returns corresponding to the future US dollar/Deutsche Mark exchange (tic-by-tic data from 1993 to 1997) futures ; evertsz .

Before proceeding further we need to comment on a key point regarding the nature of markets. In a majority of works on the subject it is implicitly assumed that statistical properties of the economy are stationary all over the time. This is certainly inaccurate, for one does not expect current behavior of the market to be that of the market in, say, 1930. Here we presuppose a less restrictive assumption than that of complete stationarity: we suppose that markets are stationary over shorter periods of time, say one or two decades. Since we work on high frequency data and these data are only available since the early 1990’s, our assumption of “local (in time) stationarity” seems to be consistent with the data.

As explained above, our first task is to infer from these data which forms for $`\psi (t)`$ and $`h(x)`$ are plausible. In Fig. 2 we plot the experimental pausing-time density $`\psi (t)`$. We can see there that an excellent fit to the data is provided by the following pdf

$$\psi (t)=\frac{\lambda (\alpha 1)}{(1+\lambda t)^\alpha },(3<\alpha <4),$$
(44)
where $`\alpha =3.47`$ and $`\lambda =2.73\times 10^2s^1`$. Since $`3<\alpha <4`$ the first two moments of $`\psi (t)`$ are finite while the rest of moments do not exist. The Laplace transform of $`\psi (t)`$ is therefore of the class given by Eq. (29). The mean sojourn time and the second moment are

$$T=\frac{\lambda ^1}{\alpha 2},T^2=\frac{2\lambda ^2}{(\alpha 2)(\alpha 3)}.$$
(45)
For the dollar/mark future market the experimental mean sojourn time evaluated from data is $`T_{exp}=23.65s`$, in satisfactory agreement with the theoretical prediction of $`T=24.85s`$ evaluated from Eq. (45) and based on ansatz (44).

In Fig. 3 we plot the experimental jump density $`h(x)`$. We see there that the experimental $`h(x)`$ can be considered a symmetric function of the return increments $`x`$. A good fit is also given by a power law with a greater exponent than that of $`\psi (t)`$:

$$h(x)=\frac{(\beta 1)}{2\gamma (1+|x|/\gamma )^\beta },(5<\beta <6),$$
(46)
where $`\beta =5.52`$ and $`\gamma =2.64\times 10^4`$. Again, the pdf in (46) has its four first moments finite and the rest are infinite.

Power law densities like (44) and (46) have been recently suggested for describing several market models such as individual companies plerou  or market indices gropi2 ; mainardi .

We now have all the ingredients to obtain a complete analysis of the dollar/mark exchange market. Unfortunately the densities given by Eqs. (44) and (46) make very problematic the exact evaluation of $`p(x,t)`$ by means of the Fourier-Laplace inversion of Eq. (13). We will use instead the approximate results obtained in Sect. IV, and in particular the asymptotic expression Eq. (39) for the characteristic function $`\stackrel{~}{p}(\omega ,t)`$ valid for large $`t`$. To this end we must have an expression for the jump characteristic function,

$$\stackrel{~}{h}(\omega )=2_0^{\mathrm{}}h(x)\mathrm{cos}\omega xdx.$$
(47)
Substituting Eq. (46) into this equation enables us to obtain the exact $`\stackrel{~}{h}(\omega )`$ in terms of a combination of incomplete gamma functions of imaginary arguments. However that expression is clumsy for practical purposes and, since we are mainly interested in the behavior of the tails of $`p(x,t)`$, we will use a simpler expression for $`\stackrel{~}{h}(\omega )`$ valid when $`\omega `$ is small.

We therefore define

$$\stackrel{~}{g}(\omega )=1\stackrel{~}{h}(\omega )$$

then, using Eqs. (46)-(47) and taking into account both normalization and symmetry of $`h(x)`$, we write

$$\stackrel{~}{g}(\omega )=2_0^{\mathrm{}}[1h(x)]\mathrm{cos}\omega xdx.$$

Substituting Eq. (46) into this equation and recalling that $`5<\beta <6`$, after successive integrations by parts we find

$`\stackrel{~}{g}(\omega )={\displaystyle \frac{\mathrm{\Gamma }(\beta 3)}{\mathrm{\Gamma }(\beta 1)}}(\gamma \omega )^2`$ $``$ $`{\displaystyle \frac{\mathrm{\Gamma }(\beta 5)}{\mathrm{\Gamma }(\beta 1)}}(\gamma \omega )^4`$
$`+`$ $`{\displaystyle \frac{\mathrm{\Gamma }(\beta 5)}{\mathrm{\Gamma }(\beta 1)}}(\gamma \omega )^{\beta 1}{\displaystyle _0^{\mathrm{}}}{\displaystyle \frac{\mathrm{sin}x}{x^{\beta 5}(1+\omega \gamma /x)^{\beta 5}}}𝑑x.`$
As $`\omega 0`$ we make the approximation

$$_0^{\mathrm{}}\frac{\mathrm{sin}x}{x^{\beta 5}(1+\omega \gamma /x)^{\beta 5}}𝑑x_0^{\mathrm{}}\frac{\mathrm{sin}x}{x^{\beta 5}}𝑑x=\frac{\pi }{2\mathrm{\Gamma }(\beta 5)\mathrm{sin}\pi (\beta 5)/2}.$$

Hence

$`\stackrel{~}{h}(\omega )1{\displaystyle \frac{\mathrm{\Gamma }(\beta 3)}{\mathrm{\Gamma }(\beta 1)}}(\gamma \omega )^2`$ $`+`$ $`{\displaystyle \frac{\mathrm{\Gamma }(\beta 5)}{\mathrm{\Gamma }(\beta 1)}}(\gamma \omega )^4`$ (48)
$``$ $`{\displaystyle \frac{\pi }{2\mathrm{\Gamma }(\beta 1)\mathrm{sin}\pi (\beta 5)/2}}(\gamma \omega )^{\beta 1}.`$
The Fourier inversion of this approximation will give us the behavior of $`h(x)`$ as $`x\pm \mathrm{}`$. Then, neglecting delta function terms (which obviously do not contribute for large values of $`|x|`$), we have

$$h(x)\frac{1}{2\mathrm{\Gamma }(\beta 1)\mathrm{sin}\pi (\beta 5)/2}\gamma ^{\beta 1}_0^{\mathrm{}}\omega ^{\beta 1}\mathrm{cos}\omega xd\omega ,$$

$`(x\pm \mathrm{})`$.The integral appearing on the right hand side of this equation is convergent in the sense of generalized functions and reads lighthill

$$_0^{\mathrm{}}\omega ^{\beta 1}\mathrm{cos}\omega xd\omega =\frac{\mathrm{\Gamma }(\beta )\mathrm{sin}\pi (\beta 5)/2}{|x|^\beta }.$$
(49)
Therefore,

$$h(x)\frac{\beta 1}{2}\frac{\gamma ^{\beta 1}}{|x|^\beta },(|x|\mathrm{}),$$
(50)
and the tails of the jump distribution follow a power law with exponent $`\beta `$. This is consistent with Eq. (46) which in turn proves the soundness of the approximation in Eq. (48).

Let us now prove that the tails of the entire distribution $`p(x,t)`$ also obey a power law with the same exponent $`\beta `$ for any time $`t`$ sufficiently large. Indeed, the substitution of Eq. (48) into Eq. (38) yields

$$\stackrel{~}{N}(\omega )M(\gamma \omega )^{\beta 1},$$
(51)
where

$$M=\frac{\pi }{2\mathrm{\Gamma }(\beta 1)\mathrm{sin}\pi (\beta 5)/2}.$$
(52)
In writing Eq. (51) we have taken into account the fact mentioned above that integer powers of $`\omega `$ do not affect the behavior at the tails. In this situation the asymptotic expression of $`\stackrel{~}{p}(\omega ,t)`$ given by Eq. (39) can be written as

$$\stackrel{~}{p}(\omega ,t)Mt(\gamma \omega )^{\beta 1}/T,$$
(53)
and the Fourier inversion of Eq. (53) finally reads lighthill

$$p(x,t)\frac{(\beta 1)t}{2T}\frac{\gamma ^{\beta 1}}{|x|^\beta },(|x|\mathrm{}).$$
(54)
Hence tails of $`p(x,t)`$ decay following the same power law as that of the return increment distribution $`h(x)`$. This prediction of the theoretical model is confirmed by actual data. In Fig. 4 we show the empirical $`p(x,t)`$ for the dollar/mark future exchange and for different values of time $`t`$, ranging from 15 seconds to 2 minutes. The empirical distribution clearly shows, for all these times, a power-law decay with exponent $`\beta 5.5`$, which coincides with the decaying exponent of $`h(x)`$ thus confirming the predictions of the CTRW model. Moreover, Eq. (54) predicts the linear growth of tails with time. This linear growth is indeed observed in Fig. 4 where different times correspond to properly spaced curves.

Let us finally and briefly comment on the volatility. In Fig. 5 we plot the volatility $`X^2(t)`$ for the dollar/mark future market. We can see there that the experimental volatility clearly shows two different regimes: at short times we observe a subdiffusion-like behavior while at long times the volatility clearly appears to have a diffusion-like behavior. Both regimes are consistent with the CTRW dependent model. We also note from Fig. 5 that the transition between these two regimes occurs at $`t25s`$ which is approximately equal to the mean sojourn time $`T`$. Again this transition from subdiffusion to diffusion around time $`tT`$ has been predicted by the dependent model.

## VI Conclusions

In this paper we have applied formalism based on the CTRW to the random movement of market prices. The formalism depends on the conjecture from data of two densities: the pausing-time density $`\psi (t)`$ and the jump density $`h(x)`$. The assumption that both densities are independent necessarily leads to the conclusion that the volatility of the return process has a diffusion-like behavior, i.e. grows linearly with time, at any time scale. The hypothesis of independence is perhaps the simplest assumption one can make. However, it does not seem to be realistic since return variations and their duration are certainly correlated, at least in many markets. We have therefore proposed a dependent model in which large return increments are infrequent. With this assumption the model predicts that the volatility should behave in an anomalous diffusive way at short times, something that is seen in some markets.

The CTRW formalism allows us to obtain a closed expression for the joint Fourier-Laplace of the entire process which constitutes a convenient starting point for numerical analysis when no further analytical manipulations can be made. We have also obtain an asymptotic long-time expression for the characteristic function of the return process, this expression is valid as long as the pausing-time density possesses a finite first moment $`T`$.

We have applied the formalism in a study of the US dollar/Deutsche Mark future exchange market. We have used tic-by-tic data from 1993 to 1997. Data show that $`\psi (t)`$ and $`h(x)`$ are very well described by power-law densities (cf Eqs. (44) and (46)). We have showed that (i) the tails of the return distribution follow a power-law with the same exponent as that of $`h(x)`$. (ii) The volatility has a diffusion-like behavior at long times and an anomalous diffusion-like behavior at short times. Both conclusion agree with experimental data.

Let us finally mention that we have not been able to apply the CTRW formalism to market indices, such as the S&P 500, since any index is an average of many prices and thus indices are recorded at fixed times. This contradicts the underlying assumption of the CTRW, i.e.,  that the time between successive changes is random. Therefore, the formalism presented herein is valid and applicable to single companies, currency exchange and commodities, while for market indices other formalisms, like the one presented in montero1 , are necessary.

###### Acknowledgements.

This work has been supported in part by Dirección General de Investigación under contract No. BFM2000-0795 and by Generalitat de Catalunya under contract No. 2000 SGR-00023. We thank Marián Boguñá for many comments and suggestions to improve the manuscript.


text:
# CHALLENGES IN W-PAIR PRODUCTION

## 1 Introduction

At LEP2, W-pair-mediated four-fermion production was experimentally explored with quite high precision . The total W-pair cross section was measured from threshold up to a centre-of-mass (CM) energy of $`209\mathrm{GeV}`$; combining the cross-section measurements a precision of $`1\%`$ was reached. The W-boson mass $`M_\mathrm{W}`$ was determined from the threshold cross section with an error of $`200\mathrm{MeV}`$ and by reconstructing the $`\mathrm{W}`$ bosons from their decay products within $`40\mathrm{MeV}`$, where a further reduction of the error down to $`35\mathrm{MeV}`$ is expected. Deviations from the Standard Model (SM) triple gauge-boson couplings, usually quantified in the parameters $`\mathrm{\Delta }g_1^\mathrm{Z}`$, $`\mathrm{\Delta }\kappa _\gamma `$, and $`\lambda _\gamma `$, were constrained within a few per cent. At a future $`\mathrm{e}^+\mathrm{e}^{}`$ linear collider , the accuracy of the cross-section measurement will be at the per-mille level, and the precision of the $`\mathrm{W}`$-mass determination is expected to be $`15\mathrm{MeV}`$ by direct reconstruction and about $`6\mathrm{MeV}`$ from a threshold scan of the total W-pair-production cross section.

The precision reached at LEP2 triggered considerable theoretical progress in the past years, as it is reviewed in Refs. . In the present calculations, the $`\mathrm{W}`$ bosons are treated as resonances in the full 4-fermion processes, $`\mathrm{e}^+\mathrm{e}^{}4f(+\gamma )`$, and radiative corrections (RC) are taken into account in a proper way. The RC can be split into universal and non-universal corrections. The former comprise leading-logarithmic (LL) corrections from initial-state radiation (ISR), higher-order corrections included by using appropriate effective couplings, and the Coulomb singularity. The remaining corrections are called non-universal since they depend on the process under investigation. Since the full $`𝒪(\alpha )`$ corrections to the $`4f`$ processes are not necessary to match the accuracy of LEP2, it is sufficient to take only those corrections into account that are enhanced by two resonant $`\mathrm{W}`$ bosons. The leading term of an expansion about the two $`\mathrm{W}`$ poles provides the so-called double-pole approximation (DPA) . Different versions of such a pole approximation have been used in the literature . Although several Monte Carlo programs exist that include universal corrections, only two event generators, YFSWW  and RacoonWW , include non-universal corrections. While the DPA approach is sufficient for the LEP2 accuracy , the extremely high experimental precision at a future linear collider is a great challenge for future theoretical predictions. Moreover, the DPA is not reliable near the $`\mathrm{W}`$-pair threshold. In the following, the necessary theoretical improvements will be discussed in some detail.

## 2 Total Cross Section

The W-pair cross-section measurements at LEP2 have tested the SM predictions at the per-cent level in the energy range between 170 and $`209\mathrm{GeV}`$, thereby rendering non-leading (NL) electroweak corrections of non-universal origin, which are about 2%, experimentally significant. The presently available calculations, provided by YFSWW and RacoonWW, which are both based on a DPA, involve a theoretical uncertainty (TU) of about $`0.5\%`$ in the range between 170 and $`500\mathrm{GeV}`$ . This estimate emerges from a detailed comparison between the two programs and from investigations of intrinsic uncertainties in the DPA versions. The l.h.s. of Figure 1 compares the full DPA RC with two improved Born approximations (IBA) that are based on universal corrections only, which illustrates that non-universal RC become more and more important at higher energies.

Measurements at future LCs, which will be precise within a few per mille, require a TU of 0.1% or better. In order to illustrate the consequences of this requirement on theoretical predictions, in Table 1 we collect some estimates of corrections that are neglected in present calculations.

The table shows that there is a variety of neglected terms potentially of the order of 0.1%, and that an improvement on the TU to this level requires a full $`𝒪(\alpha )`$ calculation of the processes $`\mathrm{e}^+\mathrm{e}^{}4f`$ and a proper inclusion of the most important two-loop effects. While the virtual one-loop RC to $`\mathrm{e}^+\mathrm{e}^{}4f`$ are not known yet, the real $`𝒪(\alpha )`$ RC, which are induced by the processes $`\mathrm{e}^+\mathrm{e}^{}4f+\gamma `$, are available . However, at $`𝒪(\alpha ^2)`$, real photonic corrections beyond the LL approximation and the effects of collinear emission of $`f\overline{f}`$ pairs must be included.

The necessity of the full treatment of $`\mathrm{e}^+\mathrm{e}^{}4f`$ at one loop becomes even more obvious near the W-pair threshold ($`\sqrt{s}\stackrel{<}{}170\mathrm{GeV}`$) where the TU of the DPA approach runs out of control because of the increasing relative importance of the non-resonant contribution. Therefore, at LEP2 an IBA was confronted with the cross section measured at $`\sqrt{s}=161\mathrm{GeV}`$, since the experimental error of 12% was much larger than the IBA uncertainty of about 2%. The r.h.s. of Figure 1 shows the possible result of a threshold scan at a future LC running with high luminosity and the sensitivity of the cross section to the W-boson mass. Without reducing the TU to the level of a few 0.1% the aimed precision of $`6\mathrm{MeV}`$ in the $`M_\mathrm{W}`$ determination will be impossible.

At high scattering energies, $`\sqrt{s}M_\mathrm{W}`$, (and fixed angles) the RC are dominated by electroweak logarithms of the form $`[\alpha \mathrm{ln}^2(s/M_\mathrm{W}^2)]^n`$, known as Sudakov logarithms, and single logarithms like $`[\alpha \mathrm{ln}(s/M_\mathrm{W}^2)]^n`$. While these terms are implicitly contained in the present DPA approaches at the one-loop level, the higher-order logarithms, $`n2`$, are not yet included in existing generators. These missing terms are potentially numerically relevant for $`\sqrt{s}\stackrel{>}{}500\mathrm{GeV}`$. The existing efforts in the calculation of these logarithms in virtual corrections are reviewed in Ref. . In addition also the corresponding logarithms from real corrections and enhanced logarithms resulting from small scattering angles (Regge limit) have to be investigated.

## 3 Invariant-Mass Distributions and W-Boson Mass

The invariant-mass distributions of the W bosons are the central observables in the $`M_\mathrm{W}`$ determination from the direct reconstruction of the W bosons from their decay products. While the overall scale of the distributions more or less reflects the situation of the total cross section, the shapes and peak positions of the Breit–Wigner-type resonances are sensitive to $`M_\mathrm{W}`$. Based on a comparison between YFSWW and RacoonWW, the present TU induced by missing RC was estimated to $`\stackrel{<}{}1\%`$ in the invariant-mass distributions  and to $`5\mathrm{MeV}`$ in the reconstructed W-boson mass , which is small compared to the aimed precision of $`35\mathrm{MeV}`$ at LEP2. Note that the TU is also smaller than the expected accuracy of $`15\mathrm{MeV}`$ at a LC, but a further reduction of the TU would certainly be welcome. This improvement would, however, also require a much better understanding of QCD corrections that are connected with the W decays and a proper matching between parton-level calculations and hadronization procedures.

## 4 Angular Distributions and Anomalous Couplings

A proper way to study possible deviations from the SM triple gauge-boson couplings is the analysis of angular distributions, where the W-production angle plays the most important role. In Figure 2 we compare the influence of anomalous charged triple gauge-boson couplings with the effect of the non-universal corrections for the process $`\mathrm{e}^+\mathrm{e}^{}\mathrm{u}\overline{\mathrm{d}}\mu ^{}\overline{\nu }_\mu `$ at the CM energy of $`\sqrt{s}=200\mathrm{GeV}`$.

Following a convention widely used in the LEP2 data analysis, we consider only the coupling constants $`g_1^Z`$, $`\kappa _\gamma `$, and $`\lambda _\gamma `$, where $`\mathrm{\Delta }`$ indicates the deviation from the SM values $`g_1^Z=\kappa _\gamma =1`$ and $`\lambda _\gamma =0`$. In the figures all numbers are normalized to the tree-level cross section including higher-order LL ISR. The relative deviations for different values of the anomalous couplings are compared with the predictions including non-universal $`𝒪(\alpha )`$ corrections instead of anomalous couplings. The labels indicate the values of the corresponding anomalous coupling constants, which are chosen to be of the order of the actual accuracy achieved by the LEP experiments, i.e. of the order of a few per cent. The comparison shows clearly that the non-universal corrections are of the same size as the possible contributions from anomalous couplings and, thus, had to be taken into account in the determination of limits on anomalous couplings at LEP2. The angular distributions obtained with YFSWW and RacoonWW differ by about $`\stackrel{<}{}1\%`$ . A detailed analysis  showed that this TU, for instance, leads to an error of $`5\times 10^3`$ in the parameter $`\lambda _\gamma `$, which is sufficient for LEP2. At a future LC, however, the sensitivity to the parameters $`g_1^Z`$, $`\kappa _\gamma `$, and $`\lambda _\gamma `$ will be of the order of $`10^3`$, so that drastic improvements in the predictions are necessary in order to match this precision. Again the inclusion of the full $`𝒪(\alpha )`$ corrections to $`\mathrm{e}^+\mathrm{e}^{}4f`$ and improvements by higher-order corrections are indispensable.