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# The Density of Rational Points on Cayley’s Cubic Surface

## 1 Introduction

The Cayley cubic surface is defined in $`^3`$ by the equation

$$\frac{1}{X_1}+\frac{1}{X_2}+\frac{1}{X_3}+\frac{1}{X_4}=0$$

or equivalently by

$$C:C(X_1,X_2,X_3,X_4)=X_2X_3X_4+X_1X_3X_4+X_1X_2X_4+X_1X_2X_3=0.$$

It has four singularities, at the points $`(1,0,0,0),(0,1,0,0),(0,0,1,0)`$ and $`(0,0,0,1)`$. Moreover there are exactly 9 lines in the surface, and all of these are defined over the rationals. Three of the lines have the form $`X_i+X_j=X_k+X_l=0`$, while the remaining six have the shape $`X_i=X_j=0`$. We shall write $`U`$ for the complement of these lines in the surface $`C`$.

The aim of this paper is to consider the density of rational points on the surface $`C`$. It transpires that “most” of the rational points lie on one of the lines described above. We shall think of such points as being “trivial” and exclude them from our counting function. We therefore define

$$N^{}(B)=\mathrm{\#}\{𝐱^4:𝐱U,\mathrm{max}|x_i|B\},$$

where $`𝐱=(x_1,x_2,x_3,x_4)`$. Indeed, since vectors $`𝐱`$ which are scalar multiples of each other represent the same projective point, it is natural to consider only primitive vectors $`𝐱`$. (A vector $`𝐱`$ is said to be primitive if $`\mathrm{h}.\mathrm{c}.\mathrm{f}.(x_1,x_2,x_3,x_4)=1`$.) With this in mind we set

$$N(B)=\mathrm{\#}\{𝐱^4:𝐱U,\mathrm{max}|x_i|B,𝐱\text{primitive}\}.$$

The corresponding number of rational points in $`^3`$ is $`\frac{1}{2}N(B)`$, since $`𝐱`$ and $`𝐱`$ represent the same point. Our two counting functions are closely related, since

$$N^{}(B)=\underset{hB}{}N(B/h),$$

as one readily verifies.

Manin (see Batyrev and Manin ) has given a very general conjecture which would predict in our case that

$$N(B)cB(\mathrm{log}B)^6,$$

for a suitable positive constant $`c`$. For an arbitrary cubic surface one expects something of this type, with the exponent of the logarithm being one less that the rank of the Picard group of the surface, and in our case this rank is 7. Unfortunately the conjecture has only been established for a small number of extremely simple cubic surfaces, all of which are singular. For example, several authors have considered the surface $`X_1X_2X_3=X_4^3`$, see de la Bretèche , Fouvry , Heath-Brown and Moroz  and Salberger . The Cayley surface, while still singular, is considerably more intricate than any previous example. The goal of the present paper is to establish the following estimates.

###### Theorem

We have

$$B(\mathrm{log}B)^6N(B)B(\mathrm{log}B)^6.$$

Of the two inequalities here, the lower bound is relatively easy to prove. Indeed Slater and Swinnerton-Dyer  have established the lower bound corresponding to Manin’s conjecture for any non-singular cubic surface defined over $``$, providing that it contains two skew lines defined over $``$. Although our surface is singular, it does contain several pairs of skew lines, and these are crucial to our argument. It would have been somewhat easier to have established upper bounds of order $`B^{1+\epsilon }`$, with an arbitrary positive constant $`\epsilon `$, or indeed of order $`B(\mathrm{log}B)^A`$ for some large constant $`A`$. However to achieve the correct exponent 6 requires more work.

It is natural to ask how close we come to establishing an asymptotic formula for $`N(B)`$. An analysis of the argument in §6 shows that the difficulty arises through our use of Lemma 6, which gives an upper bound for the number of primitive lattice points in $`^3`$, lying in a box, and which satisfy a given linear equation. It is not obvious how one could formulate a useful version of this which replaced the upper bound by an asymptotic formula.

Acknowledgements. The author is extremely grateful to Professor Yuri Tschinkel, who introduced him to this problem, and gave him a full description of the universal torsor.

The work described here was carried out while the author was visiting the Max-Planck Institute for Mathematics in Bonn, and the American Institute of Mathematics. The hospitality and financial support of both institutes is gratefully acknowledged.

## 2 The Universal Torsor

Our goal in this section is to use factorization information to analyze the equation $`C(𝐱)=0`$, introducing further variables which will be of smaller size than the original variables $`x_1,\mathrm{},x_4`$, and which will satisfy additional equations. Although we shall not make any use of the fact, we note that these new variables describe the ‘Universal Torsor’ for the Cayley cubic. For the purposes of this analysis it will be convenient to introduce the convention that the letters $`i,j,k,l`$ will denote generic distinct indices from the set $`\{1,2,3,4\}`$.

It is useful to begin by observing that none of the variables $`x_i`$ can vanish. For if $`x_i=0`$, then the equation $`C(𝐱)=0`$ implies that $`x_jx_kx_l=0`$, so that the point $`𝐱`$ must lie on one of the excluded lines $`X_i=X_j=0`$. We now set

$$y_i=\mathrm{h}.\mathrm{c}.\mathrm{f}.(x_j,x_k,x_l),$$
(2.1)
The requirement that $`𝐱`$ is primitive is then equivalent to the condition

$$\mathrm{h}.\mathrm{c}.\mathrm{f}.(y_i,y_j)=1,$$
(2.2)
According to our convention this should be taken to mean that $`y_i`$ and $`y_j`$ are coprime whenever $`i`$ and $`j`$ are distinct. Since $`y_j,y_k,y_l`$ are pairwise coprime and all divide $`x_i`$, their product divides $`x_i`$, and similarly for the other indices. We may therefore set

$$x_i=y_jy_ky_lz_i.$$

The definition (2.1) now reduces to

$$\mathrm{h}.\mathrm{c}.\mathrm{f}.(y_ky_lz_j,y_jy_lz_k,y_jy_kz_l)=1,$$

In view of (2.2), this is equivalent to the two conditions

$$\mathrm{h}.\mathrm{c}.\mathrm{f}.(y_i,z_i)=1,$$
(2.3)
and

$$\mathrm{h}.\mathrm{c}.\mathrm{f}.(z_i,z_j,z_k)=1.$$
(2.4)
Moreover the equation $`C(𝐱)=0`$ becomes

$$z_2z_3z_4y_1+z_1z_3z_4y_2+z_1z_2z_4y_3+z_1z_2z_3y_4=0$$
(2.5)
on recalling that none of $`x_1,\mathrm{},x_4`$ can vanish.

Our problem is therefore reduced to counting solutions of the equation (2.5), lying in the region

$$|y_jy_ky_lz_i|B,$$

and subject to the constraints (2.2), (2.3) and (2.4). Moreover solutions in which any of the variables is zero are to be discounted, since they produce points $`𝐱`$ on one of the lines in the surface $`C`$. Similarly solutions with

$$z_jz_kz_ly_i+z_iz_kz_ly_j=0$$

are to be discounted.

We now perform a second reduction. We begin by defining

$$z_{ij}=z_{ji}=\mathrm{h}.\mathrm{c}.\mathrm{f}.(z_i,z_j).$$
(2.6)
In view of (2.4) we have

$$\mathrm{h}.\mathrm{c}.\mathrm{f}.(z_{ij},z_{ik})=1.$$

Since $`z_{ij},z_{ik},z_{il}`$ all divide $`z_i`$, and are coprime in pairs, it follows that their product divides $`z_i`$. We may therefore write

$$z_i=B_iw_i$$

where

$$B_i=z_{ij}z_{ik}z_{il}.$$
(2.7)
The definition (2.6) then reduces to

$$\mathrm{h}.\mathrm{c}.\mathrm{f}.(z_{ik}z_{il}w_i,z_{jk}z_{jl}w_j)=1,$$

or equivalently

$$\mathrm{h}.\mathrm{c}.\mathrm{f}.(w_i,w_j)=1,$$
(2.8)
$$\mathrm{h}.\mathrm{c}.\mathrm{f}.(w_i,z_{jk})=1,$$
(2.9)
and

$$\mathrm{h}.\mathrm{c}.\mathrm{f}.(z_{ab},z_{cd})=1,(\{a,b\},\{c,d\}\text{distinct}).$$
(2.10)
The equation (2.5) now becomes

$$A_1w_2w_3w_3y_1+A_2w_1w_3w_4y_2+A_3w_1w_2w_4y_3+A_4w_1w_2w_3y_4=0,$$
(2.11)
where

$$A_i=z_{jk}z_{jl}z_{kl}.$$
(2.12)
We therefore see that $`w_i|A_iw_jw_kw_ly_i`$. In view of (2.8) and (2.9) this imples that $`w_i|y_i`$. Since $`w_i|z_i`$ we conclude from (2.3) that $`w_i=\pm 1`$.

We now have

$$x_i=B_iy_jy_ky_lw_i,$$

with $`w_i=\pm 1`$. However, in making the definitions (2.1) and (2.6), the highest common factors are only defined up to sign. Let us assume, temporarily, that we chose the variables $`y_i`$ and $`z_{ij}`$ to be positive. We proceed to replace each $`y_i`$ by $`w_iy_i`$, whence

$$x_i=\epsilon B_iy_jy_ky_l,$$

with $`\epsilon =w_1w_2w_3w_4=\pm 1`$. Thus, if we replace $`𝐱`$ by $`\epsilon 𝐱`$, we obtain

$$x_i=B_iy_jy_ky_l,$$
(2.13)
where the variables $`z_{ij}`$ are positive but $`y_i`$ may be of either sign. After these changes the equation (2.11) reduces to

$$A_1y_1+A_2y_2+A_3y_3+A_4y_4=0.$$
(2.14)
Moreover the condition (2.4) is implied by (2.10), while (2.3) is equivalent to

$$\mathrm{h}.\mathrm{c}.\mathrm{f}.(y_i,z_{ij})=1.$$
(2.15)
We may therefore summarize our conclusions as follows.

###### Lemma 1

Let $`𝐱U`$ be a primitive integral solution of $`C(𝐱)=0`$. Then either $`𝐱`$ or $`𝐱`$ takes the form (2.13), with non-zero integer variables $`y_i`$ and positive integer variables $`z_{ij}`$ constrained by the conditions (2.2), (2.10) and (2.15), and satisfying the equation (2.14). Moreover none of $`A_1y_1+A_2y_2`$, $`A_1y_1+A_3y_3`$ or $`A_1y_1+A_4y_4`$ may vanish.

Conversely, if $`y_i`$ and $`z_{ij}`$ are as above, then the vector $`𝐱`$ given by (2.13) will be a primitive integral solution of $`C(𝐱)=0`$ lying in $`U`$.

To proceed further, we note that the equation (2.14) implies that

$$z_{ij}|z_{kl}(z_{ik}z_{il}y_j+z_{jk}z_{jl}y_i),$$

whence (2.10) yields

$$z_{ij}|z_{ik}z_{il}y_j+z_{jk}z_{jl}y_i.$$

We therefore write

$$z_{ik}z_{il}y_j+z_{jk}z_{jl}y_i=z_{ij}v_{ij},$$
(2.16)
so that equation (2.14) is equivalent to each of the relations

$$v_{ij}+v_{kl}=0.$$

Note that $`v_{ij}=v_{ji}`$, since $`z_{ij}`$ is also symmetric in the indices $`ij`$. We now calculate that

$`z_{ij}v_{ij}z_{ik}v_{ik}`$ $`=`$ $`(z_{ik}z_{il}y_j+z_{jk}z_{jl}y_i)(z_{ij}z_{il}y_k+z_{jk}z_{kl}y_i)`$
$`=`$ $`z_{il}^2z_{ij}z_{ik}y_jy_k+z_{jk}y_i(z_{ik}z_{il}z_{kl}y_j+z_{jl}z_{ij}z_{il}y_k+z_{jk}z_{jl}z_{kl}y_i),`$
whence (2.14) yields

$$z_{ij}v_{ij}z_{ik}v_{ik}=z_{il}^2z_{ij}z_{ik}y_jy_kz_{jk}y_i.z_{ij}z_{ik}z_{jk}y_l.$$

We therefore conclude that

$$v_{ij}v_{ik}=z_{il}^2y_jy_kz_{jk}^2y_iy_l.$$
(2.17)
## 3 The Lower Bound

To tackle the lower bound problem in our theorem we begin by considering solutions for which the variables $`z_{ij}`$ are fixed, and relatively small, while the variables $`y_i`$ are comparatively large, and lie in the dyadic ranges

$$Y_i<|y_i|2Y_i.$$
(3.1)
In the notation given by (2.7) and (2.12) we observe that the condition $`\mathrm{max}|x_i|B`$ is equivalent to

$$A_iA_jA_k|y_iy_jy_k|BP,$$
(3.2)
where

$$P=z_{12}z_{13}z_{14}z_{23}z_{24}z_{34}=A_iB_i.$$
(3.3)
We shall choose

$$Y_i=[\frac{(BP)^{1/3}}{2A_i}],$$
(3.4)
We will then have (3.2) whenever the $`y_i`$ lie in the ranges (3.1). We shall assume moreover that

$$PB^\delta .$$
(3.5)
where $`\delta `$ is a small positive constant to be specified later, see (3.14). We shall write

$$𝒩=𝒩(z_{12},z_{13},z_{14},z_{23},z_{24},z_{34})$$

for the number of solutions $`(y_1,y_2,y_3,y_4)`$ of (2.14), in the ranges (3.1), subject to the constraints (2.2) and (2.15), and not on any of the lines $`A_1y_i+A_iy_i=0`$.

The main difficulty in establishing our lower bound comes from the coprimality conditions (2.2) and (2.15). To handle these we begin by setting

$$Q=P\underset{p\sqrt{\mathrm{log}B}}{}p$$

and writing $`𝒩_1`$ for the number of solutions in which (2.2) is replaced by the weaker condition

$$(y_i,y_j,Q)=1,\text{for all}ij.$$

We take $`𝒩_2`$ to be the number of solutions in which some pair $`y_i,y_j`$ has a prime factor $`p|y_i,y_j`$ with $`pQ`$. Clearly we then have

$$𝒩𝒩_1𝒩_2.$$
(3.6)
We begin by estimating $`𝒩_1`$, and first note that there can be at most

$$Y_1Y_j(BP)^{2/3}B^{2/3+2\delta /3}$$
(3.7)
solutions on one of the lines $`A_1y_1+A_iy_i=A_jy_j+A_ky_k=0`$, by (3.4) and (3.5). This bound will turn out to be of negligible size. We can therefore ignore the condition that solutions may not lie on such a line. We now proceed by picking out the coprimality conditions with the Möbius function. Let

$$𝒩_3=𝒩_3(d_1,\mathrm{},d_4;d_{12},\mathrm{},d_{34})$$

denote the number of solutions of the equation (2.14), with $`y_i`$ in the ranges (3.1), and such that $`d_i|y_i`$ and $`d_{ij}|y_i,y_j`$ for every choice of indices. Then

$$𝒩_1=\underset{d_i|B_i}{}\mu (d_1)\mathrm{}\mu (d_4)\underset{d_{ij}|Q}{}\mu (d_{12})\mathrm{}\mu (d_{34})𝒩_3,$$
(3.8)
since the condition (2.15) is equivalent to $`\mathrm{h}.\mathrm{c}.\mathrm{f}.(y_i,B_i)=1`$. We must now estimate $`𝒩_3`$. We shall write $`h_1`$ for the lowest common multiple of $`d_{12},d_{13},d_{14}`$ and $`d_1`$, and similarly for $`h_2,h_3`$ and $`h_4`$. We may then re-interpet $`𝒩_3`$ as the number of integer triples $`(n_1,n_2,n_3)`$ for which $`A_ih_i|n_i`$ and $`A_4h_4|n_1+n_2+n_3`$, and which lie in the region

$$:A_iY_i<|n_i|2A_iY_i(i3),A_4Y_4<|n_1+n_2+n_3|2A_4Y_4.$$
(3.9)
The divisibility conditions define an integer sublattice $`\mathsf{\Lambda }^3`$, such that

$$𝒩_3=\mathrm{\#}(\mathsf{\Lambda }).$$

We shall need to compute the determinant of $`\mathsf{\Lambda }`$, or, what is the same thing, its index in $`^3`$. This is most easily done locally. Write

$$A_ih_i=\underset{p}{}p^{\nu (p,i)}$$

and let $`\mathsf{\Lambda }_p^3`$ be the lattice for which $`p^{\nu (p,i)}|n_i`$ and $`p^{\nu (p,4)}|n_1+n_2+n_3`$. Let $`\nu (p,0)=\mathrm{min}_i\nu (p,i)`$ and let $`\mathsf{\Lambda }_p^{(0)}^3`$ be defined by the conditions $`p^{\nu (p,i)\nu (p,0)}|n_i`$ and $`p^{\nu (p,4)\nu (p,0)}|n_1+n_2+n_3`$. Then a moment’s thought reveals that

$$det(\mathsf{\Lambda }_p^{(0)})=p^{\{\nu (p,1)\nu (p,0)\}+\{\nu (p,2)\nu (p,0)\}+\{\nu (p,3)\nu (p,0)\}+\{\nu (p,4)\nu (p,0)\}},$$

and

$$det(\mathsf{\Lambda }_p)=p^{3\nu (p,0)}det(\mathsf{\Lambda }_p^{(0)}),$$

whence

$$det(\mathsf{\Lambda }_p)=\frac{_ip^{\nu (p,i)}}{\mathrm{h}.\mathrm{c}.\mathrm{f}.(p^{\nu (p,i)})}.$$

We now observe that $`\mathsf{\Lambda }`$ is the intersection of the various $`\mathsf{\Lambda }_p`$, which have pairwise coprime indices in $`^3`$. It therefore follows that

$$det(\mathsf{\Lambda })=\underset{p}{}\frac{_ip^{\nu (p,i)}}{\mathrm{h}.\mathrm{c}.\mathrm{f}.(p^{\nu (p,i)})}=\frac{_iA_ih_i}{\mathrm{h}.\mathrm{c}.\mathrm{f}.(A_ih_i)}.$$

We may choose a basis $`𝐛_1,𝐛_2,𝐛_3`$ of $`\mathsf{\Lambda }`$ with $`|𝐛_i|det(\mathsf{\Lambda })`$. Taking $`M`$ to be the $`3\times 3`$ integer matrix formed from the vectors $`𝐛_i`$ we see that $`\mathsf{\Lambda }=M^3`$, and that $`det(M)=det(\mathsf{\Lambda })`$. If $``$ is the region (3.9) then

$$\mathrm{\#}(\mathsf{\Lambda })=\mathrm{\#}(^3M^1).$$

However $`M^1`$ has volume $`\mathrm{meas}()/det(M)`$, is bounded by $`O(1)`$ planar sides, and lies in a sphere of radius $`r`$, say, where $`rM^1\mathrm{max}Y_i`$. Here $`M^1`$ is the modulus of the largest entry in $`M^1`$, so that $`M^1det(\mathsf{\Lambda })`$. It follows that

$$𝒩_3=\mathrm{\#}(\mathsf{\Lambda })=\mathrm{\#}(^3M^1)=\frac{\mathrm{meas}()}{det(M)}+O(r^2).$$

Since $`d_i|B_i`$ and $`d_{ij}|Q`$ we have $`A_ih_iA_iB_iQ=PQ`$, by (3.3). Thus (3.5) yields $`det(\mathsf{\Lambda })P^4Q^4B^{12\delta }`$, since

$$QP\mathrm{exp}(O(\sqrt{\mathrm{log}B}))B^{2\delta }.$$

We therefore deduce that

$$𝒩_3=\mathrm{meas}()\frac{\mathrm{h}.\mathrm{c}.\mathrm{f}.(A_ih_i)}{_iA_ih_i}+O(B^{2/3+25\delta }).$$

We now insert this into (3.8), so that

$`𝒩_1`$ $`=`$ $`\mathrm{meas}(){\displaystyle \underset{d_i,d_{ij}}{}}\mu (d_1)\mathrm{}\mu (d_4)\mu (d_{12})\mathrm{}\mu (d_{34}){\displaystyle \frac{\mathrm{h}.\mathrm{c}.\mathrm{f}.(A_ih_i)}{_iA_ih_i}}`$ (3.10)
$`+O(B^{2/3+26\delta }),`$
since the usual estimate for the divisor function shows that there are $`O(B^\delta )`$ divisors $`d_i,d_{ij}`$ in total.

It remains to consider the sum

$$\underset{d_i,d_{ij}}{}\mu (d_1)\mathrm{}\mu (d_4)\mu (d_{12})\mathrm{}\mu (d_{34})\frac{\mathrm{h}.\mathrm{c}.\mathrm{f}.(A_ih_i)}{_iA_ih_i}.$$

By multiplicativity we see that this is a product of local factors $`e_p`$, say. For primes $`pP`$ we define the integer $`N`$, temporarily, as the number of quadruples $`(x_1,x_2,x_3,x_4)(modp)`$ satisfying $`\mathrm{h}.\mathrm{c}.\mathrm{f}.(x_i,x_j,p)=1`$ for $`ij`$, and such that $`x_1+x_2+x_3+x_40(modp)`$. We then find, again using the Möbius function, that $`N=p^3e_p`$. An easy computation then yields

$$e_p=1\frac{6}{p^2}+\frac{5}{p^3}.$$
(3.11)
For the remaining primes $`p`$ we note that $`p`$ will divide exactly one $`z_{ij}`$, by (2.10), and we suppose without loss of generality that $`z_{12}`$ contains $`p`$ with exponent $`e1`$, say. We then let $`A_i^{}=A_i`$ if $`i=1`$ or $`2`$, and $`A_i^{}=p^{1e}A_i`$ for $`i=3`$ or $`4`$. Since $`p^2A_ih_i`$ for $`i=1`$ or $`2`$ we have

$$\mathrm{h}.\mathrm{c}.\mathrm{f}.(A_ih_i)=\mathrm{h}.\mathrm{c}.\mathrm{f}.(A_i^{}h_i),$$

and hence

$$\frac{\mathrm{h}.\mathrm{c}.\mathrm{f}.(A_ih_i)}{_iA_ih_i}=p^{22e}\frac{\mathrm{h}.\mathrm{c}.\mathrm{f}.(A_i^{}h_i)}{_iA_i^{}h_i}.$$

Now let $`N`$ denote, temporarily, the number of quadruples $`(x_1,x_2,x_3,x_4)^4`$ satisfying the conditions

$$x_1,x_2p^2,x_3,x_4p,$$

$$\mathrm{h}.\mathrm{c}.\mathrm{f}.(x_i,x_j,p)=1\text{for}ij,\mathrm{h}.\mathrm{c}.\mathrm{f}.(x_1,p)=\mathrm{h}.\mathrm{c}.\mathrm{f}.(x_2,p)=1,$$

and

$$x_1+x_2+px_3+px_40(modp^2).$$

We then find, using the Möbius function once more, that $`N=p^{2e+4}e_p`$, and another easy computation then produces

$$e_p=(1\frac{1}{p})(1\frac{1}{p^2})p^{2e}.$$
(3.12)
The formulae (3.11) and (3.12) show that

$$\underset{d_i,d_{ij}}{}\mu (d_1)\mathrm{}\mu (d_4)\mu (d_{12})\mathrm{}\mu (d_{34})\frac{\mathrm{h}.\mathrm{c}.\mathrm{f}.(A_ih_i)}{_iA_ih_i}P^2\frac{\varphi (P)}{P},$$

and since we clearly have $`\mathrm{meas}()BP`$, from (3.4) and (3.9), we deduce from (3.5), (3.7) and (3.10) that

$$𝒩_1\frac{B}{P}\frac{\varphi (P)}{P}$$
(3.13)
providing that we take

$$\delta =\frac{1}{84}.$$
(3.14)
We turn now to $`𝒩_2`$, which we must estimate from above. We start by considering the contribution from solutions in which $`p|y_1,y_2`$, say, with $`pQ`$ and $`R<p2R`$. We begin with the following preliminary observations. Clearly there are no solutions with $`RY_1`$, and so we may suppose that $`RY_1`$. Moreover, if $`\delta 1/7`$ then (3.3), (3.4) and (3.5) yield

$$z_{12}\frac{P}{A_1}\frac{(BP)^{1/6}}{A_1}Y_1^{1/2}.$$

It therefore follows that

$$1(\frac{Y_1}{R_1})^{1/2}\frac{Y_1^{1/2}}{z_{12}}=\frac{Y_1}{R^{1/2}z_{12}}.$$

Thus

$$1+\frac{Y_1}{Rz_{12}}\frac{Y_1}{R^{1/2}z_{12}}.$$
(3.15)
Since we are seeking an upper bound for $`𝒩_2`$, the coprimality conditions can be dropped. If we set $`y_i=pt_1,y_2=pt_2`$ then we have $`Y_i/R|t_i|Y_i/R`$ for $`i=1,2`$. Moreover, since $`z_{12}|A_3,A_4`$ we have $`A_1t_1A_2t_2(modz_{12})`$. However $`z_{12}`$ is coprime to $`A_1`$, so that each admissable value of $`t_2`$ determines $`O(1+Y_1/(Rz_{12}))`$ values of $`t_1`$. It therefore follows from (3.15) that there are $`O(Y_1Y_2R^{3/2}z_{12}^1)`$ possible pairs $`t_1,t_2`$.

For each such pair we now estimate how many triples $`p,y_3,y_4`$ there might be. We put $`A_1t_1+A_2t_2=z_{12}s`$. Then

$$ps+\frac{A_3}{z_{12}}y_3+\frac{A_4}{z_{12}}y_4=0,$$

whence

$$ps+\frac{A_3}{z_{12}}y_30(mod\frac{A_4}{z_{12}}).$$

Since $`A_3/z_{12}`$ and $`A_4/z_{12}`$ are coprime, by (2.10), we see that each value of $`p`$ determines $`y_3`$ modulo $`A_4/z_{12}`$, producing $`O(1+Y_3z_{12}/A_4)`$ values. However if $`\delta 1/7`$ then (3.4) and (3.5) suffice to show that $`1Y_3/A_4`$, so we will have $`O(RY_3z_{12}/A_4)`$ possible pairs $`p,y_3`$, each of which determines at most one admissable $`y_4`$.

These bounds show that the range $`R<p2R`$ contributes

$$\frac{Y_1Y_2}{R^{3/2}z_{12}}\frac{RY_3z_{12}}{A_4}=\frac{A_1Y_1.A_2Y_2.A_3Y_3}{P^2R^{1/2}}\frac{B}{PR^{1/2}}$$

to $`𝒩_2`$. If we now sum $`R\sqrt{\mathrm{log}B}`$ over powers of two we deduce that

$$𝒩_2\frac{B}{P}(\mathrm{log}B)^{1/4}.$$

Since $`\varphi (P)/P(\mathrm{log}\mathrm{log}P)^1`$ we deduce from (3.13) that $`𝒩_2=o(𝒩_1)`$ and hence, via (3.6), that

$$𝒩\frac{B}{P}\frac{\varphi (P)}{P}.$$

We summarize our conclusions thus far as follows.

###### Lemma 2

For a given admissible set of values $`z_{12},\mathrm{},z_{34}`$ satisfying

$$P=z_{ij}B^{1/84}$$

there are

$$\frac{B}{P}\frac{\varphi (P)}{P}$$

corresponding values of $`y_1,y_2,y_3,y_4`$.

To complete the proof of the lower bound part of our theorem, we observe that any square-free value of $`P`$ will factorize into values $`z_{12},\mathrm{},z_{34}`$ satisfying (2.10) and (3.3) in exactly $`d_6(P)`$ ways. (Here $`d_6(\mathrm{})`$ is the generalized divisor function.) Thus

$$N(B)\underset{PB^{1/84}}{}\mu (P)^2d_6(P)\frac{B}{P}\frac{\varphi (P)}{P}$$

and a standard estimation using Perron’s formula then produces the required bound

$$N(B)B(\mathrm{log}B)^6.$$

## 4 The Upper Bound—Basic Estimates

In contrast to the work of the previous section, in giving an upper bound for $`N(B)`$ we can ignore questions of coprimality whenever we wish to do so. Instead our principal technical problem will be to control precisely the number of logarithms appearing in our estimates.

We shall need to understand the equations (2.16) and (2.17), and our results are summarized as follows.

###### Lemma 3

Let real numbers $`K_1,\mathrm{},K_7>0`$ be given, and let $`N_1`$ denote the number of solutions $`n_i`$ to the equation

$$n_1n_2n_3+n_4n_5n_6=n_7n_8(K_i<n_i2K_i,\mathrm{\hspace{0.33em}\hspace{0.33em}1}i7)$$

subject to the condition

$$\mathrm{h}.\mathrm{c}.\mathrm{f}.(n_1n_2n_3,n_4n_5n_6)=1.$$
(4.1)
Then

$$N_1K_1K_2K_3K_4K_5K_6.$$
(4.2)
Similarly, if $`N_2`$ is the number of solutions of

$$n_1n_2n_3=n_4n_5n_6+n_7n_8$$
(4.3)
under the same conditions, then

$$N_2K_1K_2K_3K_4K_5K_6.$$

###### Lemma 4

Let real numbers $`K_1,\mathrm{},K_7>0`$ be given, and let $`N_3`$ denote the number of solutions $`n_i`$ of the equation

$$n_1^2n_2n_3+n_4^2n_5n_6=n_7n_8(K_i<n_i2K_i,\mathrm{\hspace{0.33em}\hspace{0.33em}1}i7)$$
(4.4)
subject to the condition (4.1). Then

$$N_3K_1K_2K_3K_4K_5K_6\mathrm{max}\{(\frac{K_1^2K_2K_3}{K_4^2K_5K_6})^{1/4},(\frac{K_4^2K_5K_6}{K_1^2K_2K_3})^{1/4}\}.$$
(4.5)
If $`N_4`$ is the corresponding number of solutions for the equation

$$n_1^2n_2n_3n_4^2n_5n_6=n_7n_8(K_i<n_i2K_i,\mathrm{\hspace{0.33em}\hspace{0.33em}1}i7)$$
(4.6)
we have

$`N_4`$ $``$ $`\{1+{\displaystyle \frac{\mathrm{log}K_1K_4}{(K_2K_3K_5K_6)^{1/3}}}\}K_1K_2K_3K_4K_5K_6`$ (4.7)
$`\times \mathrm{max}\{({\displaystyle \frac{K_1^2K_2K_3}{K_4^2K_5K_6}})^{1/4},({\displaystyle \frac{K_4^2K_5K_6}{K_1^2K_2K_3}})^{1/4}\}.`$
We may think of the bound for $`N_1`$, for example, as describing the number of divisors of $`n_1n_2n_3+n_4n_5n_6`$ which lie in specified dyadic ranges. Note that we do not impose a condition on the size of $`n_8`$. We may remark that in both lemmas we can use the standard bound for the divisor function to show that each $`6`$-tuple $`(n_1,\mathrm{},n_6)`$ determines $`O((\mathrm{max}K_i)^\epsilon )`$ pairs of divisors $`n_7,n_8`$, for any fixed $`\epsilon >0`$. This immediately yields the bounds

$$N_1,N_2,N_3,N_4(K_1K_2K_3K_4K_5K_6)^{1+\epsilon },$$

so that the important aspect of Lemma 3 is the removal of the exponent $`\epsilon `$. It would be relatively easy to replace the $`\epsilon `$ power by a power of a logarithm, but this would be insufficient for our purposes. In relation to Lemma 4 we conjecture that the factor

$$\mathrm{max}\{(\frac{K_1^2K_2K_3}{K_4^2K_5K_6})^{1/4},(\frac{K_4^2K_5K_6}{K_1^2K_2K_3})^{1/4}\}$$

may be removed in both cases. However it is not possible to delete the term

$$1+\frac{\mathrm{log}K_1K_4}{(K_2K_3K_5K_6)^{1/3}}$$

in our estimate for $`N_4`$. Indeed, when $`K_1=K_4=K_7`$ and $`K_2=K_3=K_5=K_6=1/2`$ we easily find that $`N_4K_1K_4\mathrm{log}(K_1K_4)`$. Thus our bounds are not as sharp as we would like, but they are optimal in the critical case in which $`K_1^2K_2K_3`$ and $`K_4^2K_5K_6`$ have the same order of magnitude.

Before beginning the proofs of these results we observe that the condition (4.1) implies that the three terms $`n_1n_2n_3`$, $`n_4n_5n_6`$ and $`n_7n_8`$ are coprime in pairs. We shall use this fact repeatedly without further comment, in relation to both lemmas.

In this section we shall prove Lemma 3. The treatment of Lemma 4, which we defer to the next section, uses some of the same principles, but is much more involved. We begin by considering $`N_1`$. By the symmetry we may assume that

$$K_1K_2K_3K_4K_5K_6.$$
(4.8)
It is then clear that $`N_1=0`$ unless

$$\frac{K_1K_2K_3}{K_7}n_8\frac{K_1K_2K_3}{K_7},$$
(4.9)
as we shall now assume. We write this condition as $`K_8n_8K_8`$. We may then suppose, by symmetry, that $`K_7K_8`$, whence (4.9) implies that $`K_8(K_1K_2K_3)^{1/2}`$. We then apply the following estimate.

###### Lemma 5

Let $`K_1,K_2,K_3>0`$ and let $`q(K_1K_2K_3)^{1/2}.`$ Then for any integer $`a`$ coprime to $`q`$, we have

$$\mathrm{\#}\{(n_1,n_2,n_3)^3:K_i<n_i2K_i,n_1n_2n_3a(modq)\}$$

$$K_1K_2K_3/\varphi (q).$$

We shall prove this in a moment. However if we apply it to the current situation we see, on taking $`q=n_8`$ and summing over $`n_4,n_5,n_6`$ and $`n_8`$, that

$$N_1K_1K_2K_3K_4K_5K_6\underset{K_8n_8K_8}{}\varphi (n_8)^1.$$

The required bound (4.2) now follows, since

$$\underset{K_8n_8K_8}{}\varphi (n_8)^11.$$

To handle $`N_2`$ we note that we automatically have (4.8) if there are to be any solutions. We can then proceed exactly as before providing that

$$K_1K_2K_316K_4K_5K_6,$$

since this is enough to ensure that (4.9) holds. It therefore remains to consider the case in which

$$K_1K_2K_3K_4K_5K_6K_1K_2K_3.$$
(4.10)
In this case we shall assume that

$$K_1K_2K_3,\text{and}K_4K_5K_6,$$

as we may, by the symmetry. It follows in particular that

$$K_2K_3K_5K_6(K_1K_2K_3K_4K_5K_6)^{2/3}.$$
(4.11)
We now write $`N_{2,a}(q)`$ for the the number of solutions $`(n_1,\mathrm{},n_6)`$ corresponding to each value $`n_7=q`$, so that

$$N_2\underset{K_7<q2K_7}{}N_{2,a}(q).$$
(4.12)
Moreover, if we set

$$K_8=K_1K_2K_3/K_7,$$
(4.13)
then it is apparent that we must have $`n_8K_8`$ in any solution of (4.3). Thus

$$N_2\underset{qK_8}{}N_{2,b}(q),$$
(4.14)
where $`N_{2,b}(q)`$ counts the solutions corresponding to a given value $`n_8=q`$. We plan to use (4.12) when $`K_7(K_1K_2K_3)^{1/2}`$. If this condition fails to hold we must have $`K_8(K_1K_2K_3)^{1/2}`$, in which case we shall employ (4.14).

We now introduce the following result, which is part of Lemma 3 of the author’s work .

###### Lemma 6

Let $`𝐯^3`$ be a primitive vector, and let $`H_i>0`$ for $`i=1,2,3`$ be given. Then the number of primitive vectors $`𝐱^3`$ for which $`𝐯.𝐱=0`$, and which lie in the box $`|x_i|H_i(i=1,2,3)`$, is at most

$$4+12\pi \frac{H_1H_2H_3}{\mathrm{max}H_i|v_i|}4+12\pi \frac{H_1H_2}{|v_3|}.$$

Recall that an integer vector is said to be primitive if its coordinates have no common factor. In our applications this condition will be a consequence of (2.2), (2.10) and (2.15).

To bound $`N_{2,a}(q)`$ we write the condition (4.3) as $`𝐯.𝐱=0`$ where $`𝐯=(n_2n_3,n_5n_6,q)`$ and $`𝐱=(n_1,n_4,n_8)`$. We set $`H_1=2K_1,H_2=2K_4`$ and

$$H_3=8K_1K_2K_3/q.$$

Then Lemma 6 produces the bound $`O(1+K_1K_4/q)`$ for the number of triples $`(n_1,n_4,n_8)`$ and it follows on summing over $`n_2,n_3,n_5,n_6`$ and $`q`$ that

$$N_2\underset{K_7<q2K_7}{}N_{2,a}(q)K_2K_3K_5K_6K_7+K_1K_2K_3K_4K_5K_6.$$
(4.15)
Alternatively, we may use $`N_{2,b}(q)`$, and write (4.3) as $`𝐯.𝐱=0`$ with $`𝐯=(n_2n_3,n_5n_6,q)`$ and $`𝐱=(n_1,n_4,n_7)`$. We set $`H_1=2K_1,H_2=2K_4`$ as before, and $`H_3=2K_7`$. This time Lemma 6 produces a bound

$$1+\frac{K_1K_4K_7}{\mathrm{max}H_i|v_i|}1+\frac{K_1K_4K_7}{K_1K_2K_3}$$

for the number of triples $`(n_1,n_4,n_7)`$. On summing over $`n_2,n_3,n_5,n_6`$ and $`q`$ we then find that

$$N_2\underset{qK_8}{}N_{2,b}(q)K_2K_3K_5K_6K_8+K_4K_5K_6K_7K_8.$$

In view of (4.13) we may combine this with (4.15) to deduce that

$$N_2K_2K_3K_5K_6\mathrm{min}(K_7,K_8)+K_1K_2K_3K_4K_5K_6.$$

Since we have

$$\mathrm{min}(K_7,K_8)(K_1K_2K_3)^{1/2}(K_1K_2K_3K_4K_5K_6)^{1/4},$$

by (4.10), we then deduce from (4.11) that

$`N_2`$ $``$ $`(K_1K_2K_3K_4K_5K_6)^{2/3}.(K_1K_2K_3K_4K_5K_6)^{1/4}`$
$`+K_1K_2K_3K_4K_5K_6`$
$``$ $`K_1K_2K_3K_4K_5K_6,`$
which completes the proof of our bound for $`N_2`$.

We must now establish Lemma 5. To do this we refer to the author’s work  on the divisor function $`d_3(n)`$ in arithmetic progressions. If we write

$$N(K_1,K_2,K_3;a,q)$$

$$=\mathrm{\#}\{(n_1,n_2,n_3)^3:K_i<n_i2K_i,n_1n_2n_3a(modq)\}$$

then the analysis of \[6, §7\] suffices to show that

$$N(K_1,K_2,K_3;a,q)=C(K_1,K_2,K_3;q)+O(E),$$

with $`C(K_1,K_2,K_3;q)`$ independent of $`a`$, and an error term

$$E=(K_1K_2K_3)^{3/4+\epsilon }q^{13/24}+(K_1K_2K_3)^{7/9+\epsilon }q^{7/12}+(K_1K_2K_3)^{10/13+\epsilon }q^{15/26}$$

$$+(K_1K_2K_3)^{46/57+\epsilon }q^{12/19}+(K_1K_2K_3)^{86/107+\epsilon }q^{66/107},$$

for any fixed $`\epsilon >0`$. Since $`q(K_1K_2K_3)^{1/2}`$ we deduce that

$$N(K_1,K_2,K_3;a,q)=C(K_1,K_2,K_3;q)+O(K_1K_2K_3q^1).$$

We may now average over $`a`$ coprime to $`q`$ to find that

$$\varphi (q)^1\mathrm{\#}\{(n_1,n_2,n_3)^3:K_i<n_i2K_i,\mathrm{h}.\mathrm{c}.\mathrm{f}.(n_1n_2n_3,q)=1\}$$

$$=C(K_1,K_2,K_3;q)+O(K_1K_2K_3q^1).$$

We deduce that $`C(K_1,K_2,K_3;q)K_1K_2K_3/\varphi (q)`$, and Lemma 5 follows. The reader should note that the work of Friedlander and Iwaniec  could have been used equally effectively at this point.

## 5 The Proof of Lemma 4

By symmetry, we may suppose at the outset that

$$K_1^2K_2K_3K_4^2K_5K_5.$$
(5.1)
We shall write $`N_{3,a}(q)`$ for the number of solutions $`(n_1,\mathrm{},n_6)`$ corresponding to each value $`n_7=q`$, so that

$$N_3\underset{K_7<q2K_7}{}N_{3,a}(q).$$
(5.2)
Moreover, if we set

$$K_8=K_1^2K_2K_3/K_7,$$

then it is apparent that we must have $`K_8n_8K_8`$ in any solution of (4.4). Thus

$$N_3\underset{K_8qK_8}{}N_{3,b}(q),$$
(5.3)
where $`N_{3,a}(q)`$ counts the solutions corresponding to a given value $`n_8=q`$.

We plan to use (5.2) when $`K_7K_1(K_2K_3)^{1/2}`$. If this condition fails to hold we must have $`K_8K_1(K_2K_3)^{1/2}`$, in which case we shall employ (5.3).

To bound $`N_{3,a}(q)`$ we write the condition (4.4) as $`𝐯.𝐱=0`$ where $`𝐯=(n_1^2n_2,n_4^2n_5,q)`$ and $`𝐱=(n_3,n_4,n_8)`$, say. We set $`H_1=2K_3,H_2=2K_6`$ and

$$H_3=32K_1^2K_2K_3/q.$$

Then Lemma 6 produces the bound $`O(1+K_3K_6/q)`$ for the number of triples $`(n_3,n_6,n_8)`$ and it follows on summing over $`n_1,n_2,n_4`$ and $`n_5`$ that

$$N_{3,a}(q)K_1K_2K_4K_5+K_1K_2K_3K_4K_5K_6/q.$$
(5.4)
In a precisely analogous way we find that

$$N_{3,b}(q)K_1K_3K_4K_6+K_1K_2K_3K_4K_5K_6/q.$$
(5.5)
We may also use a vector $`𝐱`$ involving $`n_1`$ and $`n_4`$. To do this, we let $`t[0,q)`$ run over the solutions of the quadratic congruence

$$t^2n_2n_3+n_5n_60(modq),$$

and we write $`\rho (q;n_2n_3,n_5n_6)`$ for the number of such solutions $`t`$. We then see that, for fixed $`n_2,n_3,n_5,n_6`$ and $`q`$, we must have $`n_1tn_4(modq)`$ for some value of $`t`$. This leads to an equation $`𝐯.𝐱=0`$ with $`𝐯=(1,t,q)`$ and $`𝐱=(n_1,n_4,m)`$, with size restrictions given by $`H_1=2K_1,H_2=2K_4`$ and $`H_3=K_1+K_4`$, say. Thus Lemma 6 produces a bound $`O(1+K_1K_4/q)`$ for the number of solutions $`n_1,n_4`$ corresponding to a given value of $`t`$. We therefore obtain an estimate

$$N_{3,a}(q)(1+K_1K_4/q)\underset{n_2,n_3,n_5,n_6}{}\rho (q;n_2n_3,n_5n_6).$$
(5.6)
Our next task is evidently to examine averages of the function $`\rho `$. Suppose that $`\mathrm{h}.\mathrm{c}.\mathrm{f}.(a,b)=1`$. Then for odd $`q`$ we have

$$\rho (q;a,b)=\underset{d|q}{}\mu (d)^2(\frac{ab}{d}),$$

where $`(ab/d)`$ is the Jacobi symbol. We then see that

$$\rho (q;a,b)4\underset{d|q}{}\mu (d)^2(\frac{ab}{d})$$

whether $`q`$ is even or odd, where we take the Jacobi symbol to vanish for even $`d`$. We also note that the sum on the right is non-negative when $`ab`$ and $`q`$ are not coprime. Our aim is to estimate

$$\underset{qQ}{}\underset{n_2,n_3,n_5,n_6}{}\rho (q;n_2n_3,n_5n_6)=S,$$

say. It will facilitate our argument to average over all $`4`$-tuples $`(n_2,n_3,n_5,n_6)`$ in the relevant ranges, and not just those satisfying the coprimality condition (4.1). In view of the above remarks we clearly have

$`S`$ $``$ $`{\displaystyle \underset{eQ}{}}{\displaystyle \underset{dQ/e}{}}\mu (d)^2{\displaystyle \underset{n_2,n_3,n_5,n_6}{}}({\displaystyle \frac{n_2n_3n_5n_6}{d}})`$ (5.7)
$``$ $`KQ+{\displaystyle \underset{eQ}{}}S(e),`$
where

$$K=K_2K_3K_5K_6$$

and

$$S(e)=\underset{1dQ/e}{}\mu (d)^2\underset{n_2,n_3,n_5,n_6}{}(\frac{n_2n_3n_5n_6}{d}).$$

An immediate application of the author’s large sieve inequality for real character sums \[7, Corollary 4\] shows that

$$S(e)(KQ/e)^\epsilon \{K(Q/e)^{1/2}+K^{1/2}(Q/e)\}$$
(5.8)
for any fixed $`\epsilon >0`$. If we use the Pólya-Vinogradov inequality, we find that

$`S(e)`$ $`=`$ $`{\displaystyle \underset{1dQ/e}{}}\mu (d)^2{\displaystyle \underset{n_2,n_3,n_5}{}}({\displaystyle \frac{n_2n_3n_5}{d}}){\displaystyle \underset{n_6}{}}({\displaystyle \frac{n_6}{d}})`$
$``$ $`K_2K_3K_5{\displaystyle \underset{1dQ/e}{}}d^{1/2+\epsilon }`$
$``$ $`K_2K_3K_5(Q/e)^{3/2+\epsilon }.`$
In the same way we find that

$$S(e)\frac{K_2K_3K_5K_6}{K_i}(Q/e)^{3/2+\epsilon }$$

for any index $`i=2,3,5,6`$. It therefore follows on taking $`K_i`$ as the maximum of $`K_2,K_3,K_5`$ and $`K_6`$, that

$$S(e)K^{3/4}(Q/e)^{3/2+\epsilon }.$$
(5.9)
Alternatively, if $`N`$ is not a square, we may use the Pólya-Vinogradov to derive the bound

$`{\displaystyle \underset{dQ/e}{}}\mu (d)^2({\displaystyle \frac{N}{d}})`$ $`=`$ $`{\displaystyle \underset{dQ/e}{}}{\displaystyle \underset{h^2|d}{}}\mu (h)({\displaystyle \frac{N}{d}})`$ (5.10)
$`=`$ $`{\displaystyle \underset{h(Q/e)^{1/2}}{}}\mu (h)({\displaystyle \frac{N}{h^2}}){\displaystyle \underset{kQ/eh^2}{}}({\displaystyle \frac{N}{k}})`$
$``$ $`{\displaystyle \underset{h(Q/e)^{1/2}}{}}N^{1/2}\mathrm{log}N`$
$``$ $`(QN/e)^{1/2}\mathrm{log}N.`$
We can use this estimate to find that

$$S(e)K^{3/2+\epsilon }(Q/e)^{1/2},$$
(5.11)
since $`n_2n_3n_5n_6`$ is never a square. Comparing this bound with (5.8) and (5.9) we find that

$$S(e)(KQ/e)^\epsilon \mathrm{min},$$

where

$`\mathrm{min}`$ $`=`$ $`\mathrm{min}\{K(Q/e)^{1/2}+K^{1/2}(Q/e),K^{3/4}(Q/e)^{3/2},K^{3/2}(Q/e)^{1/2}\}`$
$``$ $`\mathrm{min}\{K(Q/e)^{1/2},K^{3/4}(Q/e)^{3/2},K^{3/2}(Q/e)^{1/2}\}`$
$`+\mathrm{min}\{K^{1/2}(Q/e),K^{3/4}(Q/e)^{3/2},K^{3/2}(Q/e)^{1/2}\}`$
$``$ $`\{K(Q/e)^{1/2}\}^{3/5}\{K^{3/4}(Q/e)^{3/2}\}^{2/5}`$
$`+\{K^{1/2}(Q/e)\}^{2/3}\{K^{3/2}(Q/e)^{1/2}\}^{1/3}`$
$``$ $`(KQ/e)^{9/10}+(KQ/e)^{5/6}`$
$``$ $`(KQ/e)^{9/10}.`$
It follows that

$$S(e)(KQ/e)^{10/11},$$
(5.12)
say. Finally we insert this into (5.7) to deduce that

$$SKQ+K^{10/11}Q^{10/11}\underset{eQ}{}e^{10/11}KQ+K^{10/11}QKQ.$$
(5.13)
The above bound allows us to conclude from (5.6) that

$$\underset{Q/2<qQ}{}N_{3,a}(q)(1+K_1K_4/Q)KQ=K_2K_3K_5K_6Q+K_1K_2K_3K_4K_5K_6.$$

On the other hand, (5.4) and (5.5) yield

$$\underset{Q/2<qQ}{}N_{3,a}(q)K_1K_2K_4K_5Q+K_1K_2K_3K_4K_5K_6$$

and

$$\underset{Q/2<qQ}{}N_{3,a}(q)K_1K_3K_4K_6Q+K_1K_2K_3K_4K_5K_6.$$

Taking the minimum of these, and assuming that $`QK_1(K_2K_3)^{1/2}`$, we obtain an estimate

$`{\displaystyle \underset{Q/2<qQ}{}}N_{3,a}(q)`$ $``$ $`Q\mathrm{min}\{K_2K_3K_5K_6,K_1K_2K_4K_5,K_1K_3K_4K_6\}`$ (5.14)
$`+K_1K_2K_3K_4K_5K_6`$
$``$ $`Q\{K_2K_3K_5K_6\}^{1/2}\{K_1K_2K_4K_5\}^{1/4}\{K_1K_3K_4K_6\}^{1/4}`$
$`+K_1K_2K_3K_4K_5K_6`$
$``$ $`\text{}QK_1^{1/2}K_2^{3/4}K_3^{3/4}K_4^{1/2}K_5^{3/4}K_6^{3/4}+K_1K_2K_3K_4K_5K_6`$
$``$ $`\text{}K_1(K_2K_3)^{1/2}.K_1^{1/2}K_2^{3/4}K_3^{3/4}K_4^{1/2}K_5^{3/4}K_6^{3/4}`$
$`+K_1K_2K_3K_4K_5K_6`$
$``$ $`\text{}K_1^{3/2}K_2^{5/4}K_3^{5/4}K_4^{1/2}K_5^{3/4}K_6^{3/4}`$
in view of our assumption (5.1). This gives a satisfactory bound for (5.2). We may handle $`N_{3,b}(q)`$ in a precisely analogous way, thereby completing our treatment of (4.5).

The equation (4.6) introduces a couple of further difficulties. Firstly, the bound (5.10) is only valid when $`N`$ is not a square. Previously we took $`N=n_2n_3n_5n_6`$, which can never be a square. However, if $`N=n_2n_3n_5n_6`$, we must allow for the case in which $`n_2n_3n_5n_6`$ is a square. The effect of this is to change the estimate (5.11) into

$$S(e)K^{3/2+\epsilon }(Q/e)^{1/2}+K^{1/2+\epsilon }(Q/e).$$

The additional term contributes $`O(K^{3/2}Q/e)`$, say, to (5.12), whence (5.13) becomes

$$SKQ\{1+\frac{\mathrm{log}(K_1K_2K_3K_4K_5K_6)}{K^{1/3}}\}KQ\{1+\frac{\mathrm{log}K_1K_4}{K^{1/3}}\}.$$
(5.15)
This introduces the extra factor we see in (4.7).

The second difficulty is that if

$$K_4^2K_5K_6K_1^2K_2K_3K_4^2K_5K_6$$
(5.16)
we may no longer have the lower bound $`qK_8`$ to use in the estimate

$$N_4\underset{qK_8}{}N_{4,b}(q).$$
(5.17)
We therefore assume now that (5.16) holds, and investigate the quantity $`N_{4,b}(q)`$ further. Since

$$n_1^2n_2n_3n_4^2n_5n_6=n_7q$$

in this context, with $`n_72K_7`$, we can apply Lemma 6 with

$$𝐯=(n_1^2n_2,n_4^2n_5,q),𝐱=(n_3,n_6,n_7),$$

and with $`H_1=2K_3,H_2=2K_6`$ and $`H_3=2K_7`$. Thus there are

$$1+\frac{H_1H_2H_3}{\mathrm{max}H_i|v_i|}1+\frac{K_3K_6K_7}{K_1^2K_2K_3}$$

solutions $`𝐱`$. Summing over $`n_1,n_2,n_4,n_5`$ yields

$$N_{4,b}(q)K_1K_2K_4K_5(1+\frac{K_6K_7}{K_1^2K_2}).$$
(5.18)
Similarly one can show that

$$N_{4,b}(q)K_1K_3K_4K_6(1+\frac{K_5K_7}{K_1^2K_2}).$$
(5.19)
As before we need also an estimate in which we treat $`n_1`$ and $`n_4`$ as variables. By the argument used before we can produce $`\rho (q;n_2n_3,n_5n_6)`$ congruence conditions $`n_1tn_4(modq)`$. Each of these defines a lattice $`\mathsf{\Lambda }^2`$ of points $`(n_1,n_4)`$. Moreover we will have $`det(\mathsf{\Lambda })=q`$. The points $`(n_1,n_4)`$ satisfy $`n_12K_1`$ and $`n_42K_4`$. Additionally we have

$$|1\frac{n_4^2n_5n_6}{n_1^2n_2n_3}|\frac{2K_7q}{K_2^2K_2K_3},$$

whence

$$|1\frac{n_4\sqrt{n_5n_6}}{n_1\sqrt{n_2n_3}}|\frac{2K_7q}{K_1^2K_2K_3}.$$

In view of our assumption (5.16) this may be written as

$$|n_1\alpha n_4|C\frac{K_7q}{K_1K_2K_3},$$

for some $`\alpha =\alpha (n_2,n_3,n_4,n_5)`$ and some absolute constant $`C`$. The above inequality, along with the condition $`|n_4|2K_4`$, defines a parallelogram of area

$$8C\frac{K_4K_7q}{K_1K_2K_3}=A,$$

say, centred on the origin. This parallelogram may be mapped to a square $`S`$, centred on the origin, and having the same area $`A`$, by a projective mapping $`M`$ say, of determinant $`1`$. Enclose $`S`$ by a disc $`D`$ of area $`\pi A/2`$, and consider the ellipse $`E=M^1D`$. This also has area $`\pi A/2`$. Moreover it contains the original parallelogram, and is centred at the origin. We are therefore in a position to apply the following result, due to the author \[5, Lemma 2\].

###### Lemma 7

Let $`\mathsf{\Lambda }^2`$ be a lattice, and let $`E`$ be an ellipse, centred on the origin, together with its interior. Then

$$\mathrm{\#}(\mathsf{\Lambda }E)4(1+\frac{\mathrm{meas}(E)}{det(\mathsf{\Lambda })}).$$

This lemma allows us to conclude that there are

$$1+\frac{K_4K_7}{K_1K_2K_3}$$

pairs $`(n_1,n_4)`$ for each set of values $`t,n_2,n_3,n_5,n_6,q`$. We may now procced as before, using (5.15) to deduce that

$$\underset{qK_8}{}N_{4,b}(q)\tau K_2K_3K_5K_6(1+\frac{K_4K_7}{K_1K_2K_3})K_8,$$
(5.20)
where we have set

$$\tau =1+\frac{\mathrm{log}K_1K_4}{K^{1/3}}$$

for convenience. We now deduce from (5.17), (5.18), (5.19) and (5.20) that

$`N_4`$ $``$ $`{\displaystyle \underset{qK_8}{}}N_{4,b}(q)`$
$``$ $`\tau \mathrm{min}(K_1K_2K_4K_5K_8,K_1K_3K_4K_6K_8,K_2K_3K_5K_6K_8)`$
$`+\tau K_1K_2K_3K_4K_5K_6{\displaystyle \frac{K_7K_8}{K_1^2K_2K_3}}`$
$``$ $`\tau K_1^{1/2}K_2^{3/4}K_3^{3/4}K_4^{1/2}K_5^{3/4}K_6^{3/4}K_8+\tau K_1K_2K_3K_4K_5K_6`$
as in the proof of (5.14). Since we only need (5.17) for the case $`K_8K_1(K_2K_3)^{1/2}`$, the required bound (4.7) follows.

## 6 Proof of the Upper Bound

We shall specify dyadic ranges

$$X_i<|x_i|2X_i$$

for the original variables $`x_1,x_2,x_3,x_4`$, and

$$Z_{ij}<z_{ij}2Z_{ij}$$

for the variables introduced in §2, and we write

$$𝒩(X_1,\mathrm{},X_4;Z_{12},\mathrm{},Z_{34})=𝒩$$

for the corresponding contribution to $`N(B)`$. We obviously have

$$X_iB,$$
(6.1)
and the relation (2.13) implies that

$$Z_{ij}Z_{ik}Z_{il}X_i.$$
(6.2)
We shall find it convenient to re-order the indices so that

$$X_1X_2X_3X_4.$$
(6.3)
Since any solution will have

$$\frac{1}{2X_4}|\frac{1}{x_4}|=|\frac{1}{x_1}+\frac{1}{x_2}+\frac{1}{x_3}||\frac{1}{x_1}|+|\frac{1}{x_2}|+|\frac{1}{x_3}|\frac{1}{X_1}+\frac{1}{X_2}+\frac{1}{X_3}\frac{3}{X_3}$$

we deduce that $`𝒩=0`$ unless

$$6X_4X_3X_4,$$
(6.4)
as we henceforth assume. Moreover we have

$$y_i^3=\frac{x_jx_kx_lB_i}{(x_iA_i)^2}=\frac{x_1x_2x_3x_4P}{(x_iA_i)^3},$$

with the notations (2.7), (2.12) and (3.3), so that

$$Y_i|y_i|Y_i$$

where

$$Y_i=\frac{(XF)^{1/3}}{X_iZ_{jk}Z_{jl}Z_{kl}},$$
(6.5)
with

$$X=X_1X_2X_3X_4\text{and}F=Z_{12}Z_{13}Z_{14}Z_{23}Z_{24}Z_{34}.$$

We begin by applying Lemma 3 to the equation (2.16), to show that there are

$$Z_{ik}Z_{il}Z_{jk}Z_{jl}Y_iY_j$$

possible sets of values for $`z_{ik},z_{il},z_{jk},z_{jl},z_{ij},y_i,y_j,v_{ij}`$. For each set of values we proceed to examine (2.17), which we write in the form $`𝐯.𝐱=0`$ with

$$𝐯=(v_{ij},z_{il}^2y_j,z_{jk}^2y_i)\text{and}𝐱=(v_{ik},y_k,y_l).$$

In view of (2.2), (2.10) and (2.15) both $`𝐯`$ and $`𝐱`$ will be primitive. Moreover, the equation

$$z_{ij}z_{il}y_k+z_{jk}z_{kl}y_i=z_{ik}v_{ik},$$

which is an example of (2.16), yields

$$z_{ik}v_{ik}\mathrm{max}\{Z_{ij}Z_{il}Y_k,Z_{jk}Z_{kl}Y_i\}=\frac{(XF)^{1/3}}{Z_{jl}}\mathrm{max}\{\frac{1}{X_k},\frac{1}{X_i}\}.$$

Thus Lemma 6 may be applied with

$$H_1=c\frac{(XF)^{1/3}}{Z_{ik}Z_{jl}}\mathrm{max}\{\frac{1}{X_k},\frac{1}{X_i}\},H_2=cY_k,H_3=cY_l,$$

for a suitable constant $`c`$. Since the remaining value $`z_{kl}`$ is determined by (2.14), there are

$$𝒩Z_{ik}Z_{il}Z_{jk}Z_{jl}Y_iY_j\{1+\frac{H_1H_2H_3}{\mathrm{max}(H_2V_2,H_3V_3)}\}$$

solutions to (2.14) in total, where

$$V_2=Z_{il}^2Y_j\text{and}V_3=Z_{jk}^2Y_i.$$

We may then calculate, using (6.5), that the above bound is

$$\frac{(XF)^{2/3}}{Z_{kl}^2X_iX_j}+\mathrm{max}(\frac{1}{X_k},\frac{1}{X_i})\mathrm{min}(X_iX_l,X_jX_k).$$

Since this estimate is valid for any choice of $`i,j,k,l`$ we may interchange $`i`$ with $`j`$, and $`k`$ with $`l`$, to deduce that

$$𝒩\frac{(XF)^{2/3}}{Z_{kl}^2X_iX_j}+\mathrm{max}(\frac{1}{X_l},\frac{1}{X_j})\mathrm{min}(X_jX_k,X_iX_l).$$

We now observe that our assumption (6.3) implies that $`\mathrm{min}(X_iX_l,X_jX_k)X_2X_3`$ and that either

$$\mathrm{max}(\frac{1}{X_k},\frac{1}{X_i})\frac{1}{X_2}$$

or

$$\mathrm{max}(\frac{1}{X_l},\frac{1}{X_j})\frac{1}{X_2}.$$

It follows that

$$𝒩(X_1,\mathrm{},X_4;Z_{12},\mathrm{},Z_{34})\frac{(XF)^{2/3}}{Z_{kl}^2X_iX_j}+X_3.$$

We apply this with $`i=1,j=4,k=2,l=3`$, so that

$$𝒩(X_1,\mathrm{},X_4;Z_{12},\mathrm{},Z_{34})\frac{(XF)^{2/3}}{Z_{23}^2X_1X_4}+X_3,$$

and again with $`i=2,j=3,k=1,l=4`$, so that

$$𝒩(X_1,\mathrm{},X_4;Z_{12},\mathrm{},Z_{34})\frac{(XF)^{2/3}}{Z_{14}^2X_2X_3}+X_3.$$

Since

$$\mathrm{min}(A,B)(AB)^{1/2}$$
(6.6)
this yields

$`𝒩(X_1,\mathrm{},X_4;Z_{12},\mathrm{},Z_{34})`$ $``$ $`\mathrm{min}\{{\displaystyle \frac{(XF)^{2/3}}{Z_{23}^2X_1X_4}},{\displaystyle \frac{(XF)^{2/3}}{Z_{14}^2X_2X_3}}\}+X_3`$ (6.7)
$``$ $`{\displaystyle \frac{(XF)^{2/3}}{Z_{14}Z_{23}X^{1/2}}}+X_3`$
$`=`$ $`{\displaystyle \frac{X^{1/6}F^{2/3}}{Z_{14}Z_{23}}}+X_3.`$
For an alternative estimate we begin by applying Lemma 4 to the equation (2.17), to show that the number of possible sets of values for $`v_{ij},v_{ik},z_{il},`$ $`z_{jk},y_i,y_j,y_k,y_l`$ is

$``$ $`\{1+{\displaystyle \frac{\mathrm{log}X}{(Y_iY_jY_kY_l)^{1/3}}}\}Z_{il}Z_{jk}Y_iY_jY_kY_l\mathrm{max}\{({\displaystyle \frac{Z_{il}^2Y_jY_k}{Z_{jk}^2Y_iY_l}})^{1/4},({\displaystyle \frac{Z_{jk}^2Y_iY_l}{Z_{il}^2Y_jY_k}})^{1/4}\}`$
$``$ $`\sigma Z_{il}Z_{jk}X^{1/3}F^{2/3}\mathrm{max}\{({\displaystyle \frac{X_iX_l}{X_jX_k}})^{1/4},({\displaystyle \frac{X_jX_k}{X_iX_l}})^{1/4}\},`$
where

$$\sigma =1+\frac{\mathrm{log}X}{(XF^2)^{1/9}}.$$

For each such set of values we write (2.16) in the form $`𝐯.𝐱=0`$ with

$$𝐯=(z_{il}y_j,z_{jk}y_i,v_{ij})\text{and}𝐱=(z_{ik},z_{jl},z_{ij}).$$

In view of (2.2), (2.10) and (2.15) both $`𝐯`$ and $`𝐱`$ will be primitive. We can therefore apply Lemma 6 with

$$H_1=2Z_{ik},H_2=2Z_{jl},H_3=2Z_{ij},$$

to deduce that there are

$``$ $`1+{\displaystyle \frac{H_1H_2H_3}{\mathrm{max}(H_1|v_1|,H_2|v_2|)}}`$
$``$ $`1+{\displaystyle \frac{Z_{ik}Z_{jl}Z_{ij}}{\mathrm{max}(Z_{ik}Z_{il}Y_j,Z_{jl}Z_{jk}Y_i)}}`$
$``$ $`1+{\displaystyle \frac{Z_{ik}Z_{jl}Z_{ij}Z_{kl}}{(XF)^{1/3}}}\mathrm{min}(X_i,X_j)`$
corresponding solutions $`z_{ik},z_{jl},z_{ij}`$.

We apply these estimates with $`i=1,j=3,k=2,l=4`$, so that

$$\mathrm{max}\{(\frac{X_iX_l}{X_jX_k})^{1/4},(\frac{X_jX_k}{X_iX_l})^{1/4}\}(X_1/X_2)^{1/4},$$

and $`\mathrm{min}(X_i,X_j)=X_3`$, in view of (6.3) and (6.4). Since the final remaining value $`z_{kl}=z_{24}`$ is now determined by (2.14) it follows that

$`𝒩`$ $``$ $`\sigma Z_{14}Z_{23}X^{1/3}F^{2/3}(X_1/X_2)^{1/4}\left(1+{\displaystyle \frac{Z_{12}Z_{34}Z_{13}Z_{24}}{(XF)^{1/3}}}X_3\right)`$
$`=`$ $`\sigma Z_{14}Z_{23}X^{1/3}F^{2/3}(X_1/X_2)^{1/4}+\sigma (X_1/X_2)^{1/4}X_3.`$
We now combine this with (6.7), using the inequality (6.6) again, to deduce that

$`𝒩`$ $``$ $`\sigma \mathrm{min}\{{\displaystyle \frac{X^{1/6}F^{2/3}}{Z_{14}Z_{23}}},Z_{14}Z_{23}X^{1/3}F^{2/3}(X_1/X_2)^{1/4}\}+\sigma (X_1/X_2)^{1/4}X_3`$
$``$ $`\sigma X^{1/4}(X_1/X_2)^{1/8}+\sigma (X_1/X_2)^{1/4}X_3.`$
We are finally in a position to sum over the various dyadic ranges for the $`X_i`$ and $`Z_{ij}`$, subject to (6.1) and (6.2). We begin by considering the summation over $`Z_{ij}`$. The values of $`Z_{ij}`$ are powers of 2, subject to the constraints (6.2). These imply that $`F^2XB^4`$. Thus there are $`O((\mathrm{log}B)^6)`$ possible sets of values for the various $`Z_{ij}`$. Moreover there are $`O((\mathrm{log}B)^5)`$ sets of values for each given value of $`F`$. Since $`F`$ runs over powers of 2, subject to $`FX^{1/2}`$ we conclude that

$$\underset{Z_{ij}}{}F^{2/9}X^{1/9}(\mathrm{log}B)^5.$$

We therefore deduce that

$$\underset{Z_{ij}}{}\sigma (\mathrm{log}B)^6.$$
(6.8)
It remains to consider the summation over values of the $`X_i`$, which also run over powers of 2. Here we observe that

$$X^{1/4}(X_1/X_2)^{1/8}=X_1^{3/8}X_2^{1/8}X_3^{1/4}X_4^{1/4},$$

and that (6.1) yields

$$\underset{X_i}{}X_i^eB^e$$

if $`e>0`$. It follows that

$$\underset{X_1,X_2,X_3,X_4}{}X_1^{3/8}X_2^{1/8}X_3^{1/4}X_4^{1/4}B.$$

Similarly we have

$$(X_1/X_2)^{1/4}X_3X_1^{1/4}X_2^{1/4}X_3^{1/4}X_4^{1/4},$$

by (6.3) and (6.4), so that

$$\underset{X_1,X_2,X_3,X_4}{}(X_1/X_2)^{1/4}X_3B.$$

Combining this with (6.8) completes the proof of the upper bound in our theorem.

Mathematical Institute,

24-29, St. Giles’,

Oxford OX1 3LB

England

email: rhb@maths.ox.ac.uk


format: text

text:
# Phase transitions in homogeneous biopolymers: basic concepts and methods. 11footnote 1 Proceedings of the conference on “ LOCALIZATION AND ENERGY TRANSFER IN NONLINEAR SYSTEMS”, June 17-21, 2002, San Lorenzo de El Escorial, Madrid, Spain. To be published by World Scientific.

## 1 Introduction

The purpose of these notes is to provide a brief introduction to concepts and methods employed in the description of thermodynamic phase transitions in model biomolecular systems. This is one of the areas where the LOCNET network has been active, with an emphasis on modelling the fundamental interactions which provide a basis for understanding both the cooperative behavior and the nonlinear dynamics (what I will call “Hamiltonian” models). My primary aim is therefore to present a working introduction to this area, including some necessary details on methods and tools; I hope that young researchers who enter the field will find this material useful.

On the other hand there is a long and distinguished tradition in the field, which has achieved remarkable progress, based on a phenomenological description of the statistical properties of helix formation and growth and the entropies associated with them. I have therefore chosen to include a section on fundamentals of these “zipper” and “loop”-based models. Again, the hope is that researchers who are active in developing microscopic Hamiltonian models will be guided by the succesful features of phenomenological, “zipper” and “loop” models. In addition, there is a simple, utilitarian reason for doing this: most of the experimental data presently available has been analyzed, directly or indirectly, in terms of such models. Therefore, anyone seriously interested in comparing theory and experiment should be familiar with them.

The plan of this review is as follows: Section 2 deals with zipper and loop models of polypeptides and DNA, respectively. Section 3 describes the Hamiltonian approach to DNA denaturation, including a somewhat detailed introduction to the transfer integral method. An appendix discusses the (non-)applicability of theorems which prohibit phase transitions in one dimension to the models presented.

## 2 Zippers and Loops

### 2.1 Helix-Coil transitions in polypeptides

#### 2.1.1 Background

Synthetic polypeptides, i.e. macromolecules consisting of identical amino-acid residues, are ideal for studying the transition from the alpha-helical to coil-like structure. Understanding of this transition is central to controlling the stability of secondary protein structure. Residues in helical regions give rise to distinct experimental signatures (e.g. viscocity, optical rotation). At a given macromolecular size $`N`$ \- which can be controlled in synthetic polypeptides - one can measure the helix fraction as a function of temperature. Typically, that fraction completes the transition from 1 to 0 over a fairly narrow temperature range - a few degrees K in the case of long chains. Chemists describe the process $`A(helix)B(coil)`$ as an equilibrium between the two species,

$$K\frac{c_B}{c_A}e^{\mathrm{\Delta }G/T}$$
(1)
where the helix fraction is given by

$$\mathrm{\Theta }\frac{c_A}{c_A+c_B}=\frac{1}{1+K}.$$
(2)
The sign convention is as follows: I am looking at the conversion of helix (A) to coil (B); therefore $`\mathrm{\Delta }G=G_BG_A=\mathrm{\Delta }HT\mathrm{\Delta }S`$, and $`\mathrm{\Delta }H>0`$, i.e. the helix is energetically favored.

The value $`\mathrm{\Theta }=0.5`$ defines the midpoint of the transition, $`T_m`$. Assuming (although this is not exact, and sometimes not even a good approximation) that the enthalpy and entropy differences do not depend very much on temperature, leads to

$$\left(\frac{d\mathrm{\Theta }}{dT}\right)_{\mathrm{\Theta }=0.5}=\frac{1}{4}\frac{\mathrm{\Delta }H}{T^2}.$$
(3)
The inverse of Eq. (3) measures the width of the transition (in degrees K). A sharp transition (of a few degrees K) has a high \[van’t Hoff\] $`\mathrm{\Delta }H`$ (of the order of 100 Kcal/mol), indicating that perhaps as many as 100 hydrogen bonds are cooperatively broken during the transition.

#### 2.1.2  “Zipper” model family: underlying concepts

Helix initiation and helix growth are viewed as distinct processes:

* Growth: an existing helix may grow further at the $`nth`$ site, or shrink. This is viewed as a forward and reverse reaction, with a rate ratio $`s=\mathrm{exp}(\mathrm{\Delta }G^{}/T)`$, which reflects the difference in local free energies between the helix and coil states. If the ratio is greater than unity, the helix has a tendency to grow (“zip”). If it is less than unity, the helix will shrink (“unzip”). At temperatures near the transition, $`s1`$. The enthalpy difference $`\mathrm{\Delta }H^{}<0`$ corresponds to the energy of a single hydrogen bond formed in the process of helix growth.
* Nucleation: in order to initiate a helix, 3 residues have to organize themselves. Again, viewing nucleation as a forward / reverse reaction, introduces a dimensionless $`\sigma =\mathrm{exp}(\mathrm{\Delta }G_{init}/T)`$. The large difference in the free energy comes mostly from the entropy loss associated with the organization of the 3-4 residues involved in the first turn of the helix.

I now present an outline of theoretical models, in order of increasing complexity:

#### 2.1.3 “0-th order” - The ”all or nothing” (AON) model:

Only two states are significant within this model. The pure coil, with relative statistical weight equal to unity; and the helix with $`N`$ residues, with a relative weight $`\sigma s^N`$. Intermediate states are suppressed, presumably due to high rate barriers. This gives a helix fraction

$$\mathrm{\Theta }=\frac{1}{N}\frac{N\sigma s^N}{1+\sigma s^N}$$
(4)
and a slope at midpoint

$$\left(\frac{d\mathrm{\Theta }}{dT}\right)_{\mathrm{\Theta }=0.5}=\frac{N}{4}\frac{\mathrm{\Delta }H^{}}{T_m^2}.$$
(5)
There is strong cooperativity.

#### 2.1.4  Further considerations: the zipper model

The model allows a single connected helical region of any length $`nN`$. The statistical weight (Boltzmann factor) is -according to the general considerations, cf. above-, $`\sigma s^n`$, and the helix can commence at any of the first $`A_n=Nn+1`$ positions. This gives a partition function

$$Z=1+\underset{n=1}{\overset{N}{}}A_n\sigma s^n$$
(6)
and a helical fraction

$$\mathrm{\Theta }=\frac{1}{Z}\underset{n=1}{\overset{N}{}}nA_n\sigma s^n=\frac{s}{Z}\frac{Z}{s},$$
(7)
where the partition sum can be evaluated to give

$$Z(N)=1+\sigma s^{N+2}(N+1)s+\frac{N}{(s1)^2}.$$
(8)
#### 2.1.5  The generalized zipper model

The only difference is topological; then macromolecule consists of any number of helical and coil regions which may alternate freely. One associates the following weights:

* 1 if coil comes after helix or coil;
* $`s`$ if helix comes after helix;
* $`\sigma s`$ if helix comes after coil (nucleation).

The model thus implements the ideas presented in section 2.1.2 without imposing any further constraints. The state of the residue at site $`i`$ can be described by a 2-vector $`\nu _i`$, and the partition function is given by

$`Z_N`$ $`=`$ $`{\displaystyle \underset{\{\nu _1\}\mathrm{}\{\nu _N\}}{}}<\nu _1|T|\nu _2><\nu _2|T|\nu _3>\mathrm{}<\nu _{N1}|T|\nu _N>`$ (9)
$`=`$ $`{\displaystyle \underset{\{\nu _1\},\{\nu _N\}}{}}<\nu _1|T^N|\nu _N>`$
where the matrix elements of $`𝐓`$ express the Boltzmann factors specified above, i.e.

$$𝐓=\left(\begin{array}{cc}s& 1\\ \sigma s& 1\end{array}\right).$$
(10)
To evaluate the partition sum, I apply periodic boundary conditions (convenient, not a must, and certainly wrong for small chains) and obtain

$$Z_N=Tr𝐓^N=\lambda _0^N+\lambda _1^N$$
(11)
where the eigenvalues are given by

$`\lambda _{0,1}`$ $`=`$ $`{\displaystyle \frac{1}{2}}\left[1+s\pm \mathrm{\Delta }\right]`$ (12)
$`\mathrm{\Delta }`$ $`=`$ $`\sqrt{(1s)^2+4\sigma s}`$
and, in the large $`N`$ limit, $`Z`$ is dominated by the largest eigenvalue, $`\lambda _0`$.

Note that the partition function (not the T -matrix!) can be mapped onto the one of the ferromagnetic Ising model with exchange interaction *J* and magnetic field *h*, with the identifications

$`s`$ $``$ $`e^{2\beta h}`$ (13)
$`\sigma `$ $``$ $`e^{2\beta J}`$ (14)
$`\lambda _{magnetic}`$ $`=`$ $`e^{\beta (J+h)}\lambda _{helixcoil}.`$ (15)
To obtain the helix fraction, note that if the probability of obtaining a helical segment of length $`k`$ is given by $`\varphi _k(\sigma )ks^k`$, where $`\varphi `$ is the coefficient of $`s^k`$ in the partition sum. This gives

$$\mathrm{\Theta }=\frac{1}{N}\frac{1}{Z}\underset{k=1}{\overset{N}{}}\varphi _k(\sigma )ks^k=\frac{1}{N}\frac{s}{Z}\frac{Z}{s}$$
(16)
One can now verify that as $`s1`$, $`\mathrm{\Delta }2\sqrt{\sigma },\mathrm{\Theta }1/2`$; for $`\sigma <<1`$ (cf. below),

$$\left(\frac{d\mathrm{\Theta }}{dT}\right)_{\mathrm{\Theta }=0.5}=\frac{1}{4\sqrt{\sigma }}\frac{\mathrm{\Delta }H^{}}{T_m^2}.$$
(17)
The experimental situation for long ($`N=1500`$) chains is summarized in Fig. 1. Fits can be obtained with $`\mathrm{\Delta }H^{}=3.8kJ/mole`$ (cf. calorimetric measurements $`\mathrm{\Delta }H=3.97kJ/mole`$) and $`\sigma =1.6\times 10^4`$. One usually interprets $`1/\sqrt{\sigma }`$ as number of residues cooperatively involved in the transition (cf. AON theory, Eq. 5). This interpretation also follows from the Ising model, where the inverse correlation length is given (in lattice constants) by

$$1/\xi =\lambda _1\lambda _0=2\sqrt{\sigma }\text{ (at }s=1\text{}.$$
(18)
The following simple conformational argument provides an independent estimate for $`\sigma =e^{\mathrm{\Delta }G_{init}/T}e^{\mathrm{\Delta }S_{init}}`$. Initiation of the helix involves organization of $`J`$ (=3 or 4) residues, each one by 2 dihedral angles. Typically a dihedral angle can take 3 independent orientations in space. This gives a total of $`3^{2J}`$ states, or an entropy loss $`\mathrm{\Delta }S_{init}=2J\mathrm{ln}3`$. (=-6.6 for $`J=3`$, or -8.8 for $`J=4`$). This compares favorably with $`\mathrm{ln}(2\times 10^4)=8.5`$.

Similarly, one can relate the entropy loss involved in helix growth, to the energy of the H-bond. At the transition, $`\mathrm{\Delta }S^{}=\mathrm{\Delta }H^{}/T_m=1.85`$. This is roughly comparable to the estimate $`2\mathrm{ln}32.20`$, obtained by considering the 2 dihedral angles which must be organized to admit a residue into the helix.

#### 2.1.6 A useful shortcut

It is possible to obtain the thermodynamics of the generalized zipper model without recourse to the transfer matrix formalism. I present this “handwaving” , because it will be useful for DNA loops (cf. below).

The fundamental “entity” of the macromolecule is a helical region of length $`n`$, followed by a coil region of length $`m`$. This “helix-coil” entity is characterized by a free energy

$$g(n,m)=T\mathrm{ln}\sigma nT\mathrm{ln}s$$
(19)
where the two terms correspond to the contributions of helix nucleation and growth, respectively; it occurs with a probability

$$P_{n,m}=\mathrm{exp}\{[g(n,m)g_0]/T\}$$
(20)
where $`g_0T\mathrm{ln}z`$ is the equilibrium free energy per site of the full macromolecule, to be determined by the normalization condition

$$\underset{n,m=1}{\overset{\mathrm{}}{}}P_{n,m}=1.$$
(21)
Both the $`n`$ and the $`m`$\- summations can be done trivially as long as $`s<z`$ and $`z>1`$. The condition (21) can then be written as

$$\frac{s}{zs}\frac{1}{zs}=\frac{1}{\sigma },$$
(22)
whose roots are identical to those of (2.1.5) obtained via the transfer matrix; the largest root is the one which satisfies the condition $`z>\mathrm{max}(1,s)`$ (cf. above).

### 2.2 Loop entropies and DNA denaturation

#### 2.2.1 Background

Thermal DNA denaturation occurs when the two strands of the double helix separate upon heating. In real DNA the phenomenon of multistep melting is ubiquitous, reflecting the inhomogeneity of the molecule. “Homogeneous”, synthetic DNA, which consists of a few thousand identical base pairs has been studied experimentally and shown to exhibit a very sharp transition; the qualitative shape of the coil fraction curve, as obtained by optical density or viscocity measurements, is similar to that of Fig. 1; however, the observed temperature width is of the order of one degree. It is reasonable to speculate that in the thermodynamic limit the transition would be of the first order. Poland and Scheraga(PS) proposed a simple model of the thermodynamics involved, based on the ideas discussed in Section 2.1.2, and the concept of loop entropy (cf. below). There is however a difference in the physical origin of the parameters involved; the helix growth probability $`s=\mathrm{exp}\{ϵ/T\}`$ now reflects the combined effect of both interactions which are significant in the bonded DNA state: the hydrogen bonding responsible for binding base pairs and the stacking interaction between adjacent bases.

#### 2.2.2 Loop entropies

A denaturation loop of length m, i.e. a region of m sites where the double helix has locally melted, is characterized by the extra entropy it contributes. This extra entropy has been calculated for lattice polymers and is of the form

$$S_L(m)=am+bc\mathrm{ln}m,$$
(23)
where $`a`$ and $`b`$ are constants and $`c`$ depends on the dimensionality. In the case of Gaussian polymer chains, or random lattice walks, which ignore the effects of excluded volume, $`c=d/2`$. Taking account of excluded volume tends to increase the value of $`c`$. It will be seen below that this can have a decisive influence on the nature of the transition.

#### 2.2.3 The phase transition

In an infinitely long DNA molecule, the fundamental entity is again a double-helical region of $`n`$ sites (base pairs), followed by a denaturation loop of length $`m`$ ($`2m`$ bases); putting together the contributions from helical and loop part (cf. Sections 2.2.1 and 2.2.2 ), I obtain the free energy of this entity as

$$g(n,m)=T\mathrm{ln}\sigma +nϵmT\mathrm{ln}u^2+Tc\mathrm{ln}m$$
(24)
where $`u=\mathrm{exp}(a/2)`$ is another constant, and I have dropped the irrelevant constant $`b`$. It is now possible to derive the the thermodynamics exactly as in section 2.1.6. Inserting (24) in the normalization condition (21) gives

$$\frac{z}{s}1=\sigma U\left(\frac{z}{u^2}\right),$$
(25)
where $`s=\mathrm{exp}(ϵ/T)`$ is the only temperature dependent parameter, and

$$U(x)=\underset{m=1}{\overset{\mathrm{}}{}}\frac{1}{m^c}\left(\frac{1}{x}\right)^m.$$
(26)
Near $`x=1`$ it is possible to approximate $`U(x)`$ by the expression

$$U(x)U_0U_1\left[1\frac{1}{x}\right]^{c1}$$
(27)
where, for $`c>1`$, $`U_0U_1\zeta (c)`$ .

I now follow the thermodynamic behavior near the putative singularity by defining an $`s_c\mathrm{exp}(ϵ/T_c)`$ via

$$\frac{u^2}{s_c}1=\sigma U(1)$$
(28)
and subtracting (28) from (25) to obtain

$$s_cs+\mathrm{\Delta }+\frac{\sigma s_c}{u^2}U_1\mathrm{\Delta }^{c1}=0,$$
(29)
where $`z=u^2(1+\mathrm{\Delta })`$ and I have only kept lowest order terms in the small quantities $`\mathrm{\Delta }`$ and $`ss_c`$. It is now straightforward to use (29) and obtain $`\mathrm{\Delta }(s)`$; the helix fraction is then given by

$$\frac{\mathrm{ln}z}{\mathrm{ln}s}\frac{\mathrm{\Delta }}{s}.$$
(30)
Two cases can be distinguished:

* $`1<c<2`$. The linear term in $`\mathrm{\Delta }`$ can be neglected in (29). The helix fraction is proportional to $`(T_cT)^{(2c)/(c1)}`$, i.e. it approaches zero continuously near the transition. In particular, if $`c=3/2`$ (the value which corresponds to $`d=3`$ and neglecting excluded volume effects), one obtains a second order transition.
* $`c>2`$. The linear term in $`\mathrm{\Delta }`$ dominates, and the transition becomes first order, i.e. the helix fraction drops abruptly to zero at the transition.

The above analysis shows how crucial the value of $`c`$ is in determining the nature of the transition. It has been long known that excluded volume effects, as calculated within the framework of self-avoiding walks, can increase the value of $`c`$ to $`1.75`$ for loops embedded in three-dimensional space. Recent research suggests that $`c`$ may be as high as $`2.1`$.

## 3 Hamiltonian approach to DNA denaturation

### 3.1 The model

A “minimal” Hamiltonian model of homogeneous DNA denaturation has been proposed by Peyrard and Bishop(PB). The model assumes two parallel, harmonic chains, with lattice constant $`l`$, joined in the form of a ladder by anharmonic springs; the particular model proposes a Morse potential because of its analytical tractability, although any form with a repulsive core, a stable minimum and a flat top (e.g. Lennard-Jones) would be physically suitable. The emphasis is on modelling the unbinding of the two chains, not the helical aspect of the ordered state; this is done in the general spirit of the theory of critical phenomena, which has demonstrated that the “essentials” of the interactions completely determine the critical behavior. The Hamiltonian

$`H_{tot}`$ $`=`$ $`{\displaystyle \frac{m}{2}}{\displaystyle \underset{n}{}}\left[\dot{u}_n^2+\dot{v}_n^2+\omega _0^2\left(u_nu_{n1}\right)^2+\omega _0^2\left(v_nv_{n1}\right)^2\right]`$ (31)
$`+`$ $`{\displaystyle \underset{n}{}}V(u_nv_n)`$
describes the motion of the two bound chains with coordinates $`\{u_n\},\{u_n\}`$; dots denote time derivatives; only the motion transverse to the chains is considered; bases have equal masses $`m`$ and are connected by harmonic springs of equal strength, determined by the frequency $`\omega _0`$; the energy scale of the Morse potential

$$V(x)=D(e^{ax}1)^2$$
(32)
is given by $`D`$ and its spatial range by $`1/a`$.

Transformation to center-of-mass and relative coordinates, $`Y_n=(u_n+v_n)/2,y_n=u_nv_n,M=2m,1/\mu =2/m`$ decouples center-of-mass from relative motion, i.e.

$$H_{tot}=H_0(Y)+H(y),$$
(33)
where

$$H_0(Y)=\underset{n}{}\left[\frac{P_n^2}{2M}+\frac{1}{2}M\omega _0^2(Y_nY_{n1})^2\right],$$
(34)
$`P_n=M\dot{Y}_n`$ is the canonical momentum conjugate to $`Y_n`$, and

$$H(y)=\underset{n}{}\left[\frac{p_n^2}{2\mu }+\frac{1}{2}\mu \omega _0^2(y_ny_{n1})^2+V(y_n)\right],$$
(35)
where $`p_n=\mu \dot{y}_n`$ is the canonical momentum conjugate to $`y_n`$.

### 3.2 Statistical Mechanics

$`H_0`$ is just the Hamiltonian of a harmonic chain with the total base pair mass $`2m`$ per site. It gives an additive nonsingular contribution to all thermal properties. It will be neglected in what follows. The classical thermodynamics of $`H`$ is described by the canonical partition function

$$Z=\underset{n=1}{\overset{N}{}}dp_ndy_ne^{\beta H}.$$
(36)
One can immediately perform the Gaussian integrals over momentum space and obtain

$$Z=Z_KZ_P,$$
(37)
where each integration in the kinetic part contributes a $`(2\pi \mu /\beta )^{1/2}`$ factor to the partition function, i.e.

$$Z_K=(2\pi \mu /\beta )^{N/2}.$$
(38)
The nontrivial part is

$$Z_P=\left(\underset{n=1}{\overset{N}{}}dy_n\right)T(y_1,y_2)\mathrm{}T(y_{N1},y_N)T(y_N,y_{N+1}),$$
(39)
where

$$T(x,y)=e^{\beta \left[\frac{\mu \omega _0^2}{2}(yx)^2+V(x)\right]}.$$
(40)
### 3.3 Transfer integral: the formalism

#### 3.3.1 Definitions and Notation

Consider the eigenvalue problem defined by the asymmetric kernel $`T`$ (the kernel can be easily symmetrized but need not be so; in fact, working with the asymmetric kernel is technically advantageous in examining the validity of some approximations, cf. below):

$`{\displaystyle _{\mathrm{}}^{\mathrm{}}}𝑑yT(x,y)\mathrm{\Phi }_\nu ^R(y)`$ $`=`$ $`\mathrm{\Lambda }_\nu \mathrm{\Phi }_\nu ^R(x)`$ (41)
$`{\displaystyle _{\mathrm{}}^{\mathrm{}}}𝑑yT(y,x)\mathrm{\Phi }_\nu ^L(y)`$ $`=`$ $`\mathrm{\Lambda }_\nu \mathrm{\Phi }_\nu ^L(x),`$ (42)
where left and right eigenstates have been assumed to be normalized; note that the normalization integral is $`𝑑x\mathrm{\Phi }_\nu ^L(x)\mathrm{\Phi }_\nu ^R(x)`$. Orthogonality

$$_{\mathrm{}}^{\mathrm{}}𝑑x\mathrm{\Phi }_\nu ^L(x)\mathrm{\Phi }_\nu ^{}^R(x)=\delta _{\nu \nu ^{}}$$
(43)
and completeness

$$\underset{\nu }{}\mathrm{\Phi }_\nu ^L(x)\mathrm{\Phi }_\nu ^R(y)=\delta (xy)$$
(44)
relationships are assumed to hold. Note that this is not obvious for the class of potentials of interest here. This is a point which will be further taken in section 3.6. I will further use the notation

$$\mathrm{\Lambda }_\nu =e^{\beta ϵ_\nu }$$
(45)
(sensible as long as the eigenvalues are nonnegative).

#### 3.3.2 The partition function

The integrand of (39), as written down has a problem: it includes a reference to the displacement $`y_{N+1}`$ of the $`N+1st`$ particle, which has not yet been defined. For a large system, this is best remedied by means of periodic boundary conditions (PBC), i.e. by demanding that $`y_{N+1}=y_1`$. Alternatively, the integration may be extended to one more variable, $`dy_{N+1}`$, with the simultaneous introduction of a factor $`\delta (y_{N+1}y_1)`$ to take care of PBC. This however is the same as the sum in the left-hand-side of (44). I then obtain

$$Z_P=\underset{\nu }{}𝑑y_1\mathrm{}\underset{}{dy_{N+1}\mathrm{\Phi }_\nu ^L(y_1)}T(y_1,y_2)\mathrm{}\underset{}{T(y_N,y_{N+1})\mathrm{\Phi }_\nu ^R(y_{N+1})}.$$
(46)
The braces make clear that I can perform the integral over $`dy_{N+1}`$ and obtain a factor $`\mathrm{\Lambda }_\nu \mathrm{\Phi }_\nu ^R(y_{N+1})`$, using the defining property of right-hand eigenfunctions. The process can be repeated $`N`$ times, each time giving a further factor $`\mathrm{\Lambda }_\nu `$ and a right eigenfunction with an argument whose index is smaller by one. At the end, I am left with

$$Z_P=\underset{\nu }{}𝑑y_1\mathrm{\Phi }_\nu ^L(y_1)\mathrm{\Lambda }_\nu ^N\mathrm{\Phi }_\nu ^R(y_1)=\underset{\nu }{}\mathrm{\Lambda }_\nu ^N.$$
(47)
In the thermodynamic limit, $`Z_P`$ is dominated by the largest eigenvalue $`\mathrm{\Lambda }_0`$ or, equivalently, the lowest $`ϵ_0`$:

$$\underset{N\mathrm{}}{lim}\frac{1}{N}\mathrm{ln}Z_P=\mathrm{ln}\mathrm{\Lambda }_0=\beta ϵ_0$$
(48)
#### 3.3.3 The order parameter

$`<y_i>`$ $`=`$ $`{\displaystyle \frac{1}{Z_P}}{\displaystyle 𝑑y_1\mathrm{}𝑑y_NT(y_1,y_2)\mathrm{}T(y_{i1},y_i)y_i}`$ (49)
$`T(y_i,y_{i+1})\mathrm{}T(y_N,y_{N+1})`$
$``$ $`{\displaystyle \frac{1}{Z_P}}{\displaystyle \underset{\nu }{}}{\displaystyle 𝑑y_1\mathrm{}𝑑y_{N+1}\mathrm{\Phi }_\nu ^L(y_1)\underset{i1}{\underset{}{T(y_1,y_2)\mathrm{}T(y_{i1},y_i)}}y_i}`$
$`\underset{Ni+1}{\underset{}{T(y_i,y_{i+1})\mathrm{}T(y_N,y_{N+1})}}\mathrm{\Phi }_\nu ^R(y_{N+1}),`$
after insertion of a complete set of states (cf. above); the braces denote the number of times I can perform an integration and obtain, respectively, a right eigenfunction with an argument smaller by one, or a left eigenfunction with an argument larger by one, as well as a factor $`\mathrm{\Lambda }_\nu `$. The remaining integral must be performed explicitly:

$`<y_i>`$ $`=`$ $`{\displaystyle \frac{1}{Z_P}}{\displaystyle \underset{\nu }{}}\mathrm{\Lambda }_\nu ^NM_{\nu \nu }`$ (50)
$``$ $`M_{00}`$
where the second line is exact in the thermodynamic limit, and I have used the abbreviation

$$M_{\nu \mu }=_{\mathrm{}}^{\mathrm{}}𝑑y\mathrm{\Phi }_\nu ^L(y)y\mathrm{\Phi }_\mu ^R(y).$$
(51)
#### 3.3.4 Correlations

With $`i<j`$,

$`<y_iy_j>`$ $``$ $`{\displaystyle \frac{1}{Z_P}}{\displaystyle 𝑑y_1\mathrm{}𝑑y_NT(y_1,y_2)\mathrm{}T(y_{i1},y_i)y_iT(y_i,y_{i+1})}`$ (52)
$`\mathrm{}T(y_{j1},y_j)y_jT(y_j,y_{j+1})\mathrm{}T(y_N,y_{N+1})`$
$`=`$ $`{\displaystyle \frac{1}{Z_P}}{\displaystyle \underset{\nu }{}}{\displaystyle 𝑑y_i\mathrm{}𝑑y_j\mathrm{\Lambda }_\nu ^{i1}\mathrm{\Phi }_\nu ^L(y_i)y_iT(y_i,y_{i+1})}`$
$`\mathrm{}T(y_{j1},y_j)y_j\mathrm{\Lambda }_\nu ^{Nj+1}\mathrm{\Phi }_\nu ^R(y_j)`$
where the straightforward integrations, i.e the first $`i1`$ and the last $`Nj+1`$ have already been performed (cf. above). In order to perform the remaining integrations, I insert two more factors of 1, after $`y_i`$ and before $`y_j`$, i.e. integrals $`\delta (y_i\overline{y}_i)`$ and $`\delta (y_j\overline{y}_j)`$, respectively; exploiting the presence of the $`\delta `$ functions, I may substitute the variables $`y_i`$ and $`y_j`$ by $`\overline{y}_i`$ and $`\overline{y}_j`$ respectively. This translates to two more sums over complete sets of states and another $`ji`$ integrals which can now be performed:

$`<y_iy_j>`$ $`=`$ $`{\displaystyle \frac{1}{Z_P}}{\displaystyle \underset{\nu ,\mu ,\rho }{}}{\displaystyle 𝑑\overline{y}_i𝑑\overline{y}_j𝑑y_i\mathrm{}𝑑y_j\mathrm{\Lambda }_\nu ^{i1}\mathrm{\Phi }_\nu ^L(\overline{y}_i)\overline{y}_i\mathrm{\Phi }_\mu ^R(\overline{y}_i)\mathrm{\Phi }_\mu ^L(y_i)}`$ (53)
$`T(y_i,y_{i+1})\mathrm{}T(y_{j1},y_j)\mathrm{\Phi }_\rho ^R(y_j)\mathrm{\Phi }_\rho ^L(\overline{y}_j)\overline{y}_j\mathrm{\Lambda }_\nu ^{Nj+1}\mathrm{\Phi }_\nu ^R(\overline{y}_j)`$
$`=`$ $`{\displaystyle \frac{1}{Z_P}}{\displaystyle \underset{\nu ,\mu ,\rho }{}}\mathrm{\Lambda }_\nu ^{N+ij}\mathrm{\Lambda }_\rho ^{ji}{\displaystyle 𝑑\overline{y}_i𝑑\overline{y}_j\mathrm{\Phi }_\nu ^L(\overline{y}_i)\overline{y}_i\mathrm{\Phi }_\mu ^R(\overline{y}_i)}`$
$`\delta _{\mu ,\rho }\mathrm{\Phi }_\rho ^L(\overline{y}_j)\overline{y}_j\mathrm{\Phi }_\nu ^R(\overline{y}_j)`$
$`=`$ $`{\displaystyle \frac{1}{Z_P}}{\displaystyle \underset{\nu ,\mu }{}}\mathrm{\Lambda }_\nu ^{N+ij}\mathrm{\Lambda }_\mu ^{ji}\left|M_{\nu \mu }\right|^2.`$
In the thermodynamic limit the $`\nu =0`$ term dominates; the resulting factor cancels against the denominator and leaves

$$<y_iy_{i+r}>=\underset{\mu }{}\left|M_{0\mu }\right|^2e^{\beta (ϵ_\mu ϵ_0)r}$$
(54)
where I have used Dirac shorthand for the matrix element and set $`j=i+r`$. The first term ($`\mu =0`$) in the above sum corresponds to $`<y>^2`$ and should properly be subtracted from both sides; This leaves

$`<\delta y_i\delta y_{i+r}>`$ $``$ $`<y_iy_{i+r}><y_i><y_{i+r}>`$
$`=`$ $`{\displaystyle \underset{\nu }{\overset{^{}}{}}}\left|M_{0\nu }\right|^2e^{\beta (ϵ_\nu ϵ_0)r}`$
where now the ground state is excluded from the summation. The above result identifies the correlation length $`\xi `$, i.e the typical length over which the decay of correlations takes place, as

$$\frac{\xi }{l}=\frac{1}{\beta (ϵ_1ϵ_0)}$$
(56)
where the subscript $`1`$ stands for the first excited state (dominant exponential in the limit of large $`r`$).

### 3.4 TI results: Gradient-expansion approximation

Suppose that the displacement field does not change appreciably over a lattice constant. This is certainly reasonable at low temperatures. Note that this does not exclude large displacements per se. Nonlinearity is explicitly allowed, but the displacement field must be smooth. The assumption is certainly reasonable at low temperatures.

I set $`y=x+z,\mathrm{\Phi }^R\varphi `$ and rewrite (41) as

$`e^{\beta [ϵ_\nu V(x)]}\varphi _\nu (x)`$ $`=`$ $`{\displaystyle _{\mathrm{}}^+\mathrm{}}𝑑ze^{\frac{1}{2}\beta \mu \omega _0^2z^2}\left\{\varphi _\nu (x)+z\varphi _\nu ^{}(x)+{\displaystyle \frac{1}{2}}z^2\varphi _\nu ^{\prime \prime }(x)\right\}`$ (57)
$`=`$ $`\left[{\displaystyle \frac{2\pi }{\beta \mu \omega _0^2}}\right]^{1/2}\left\{\varphi _\nu (x)+{\displaystyle \frac{1}{2\beta \mu \omega _0^2}}\varphi _\nu ^{\prime \prime }(x)\right\}`$
where higher terms in the gradient expansion have been neglected and the Gaussian integrals have been performed; this is meaningful as long as the width of the Gaussians is smaller than the range of the Morse potential, i.e.

$$\beta \mu \omega _0^2/a^2>1.$$
(58)
The factor in front of the r.h.s. of (57) can be absorbed in the eigenvalue by defining $`\stackrel{~}{ϵ}_\nu =ϵ_\nu +1/(2\beta )]\mathrm{ln}[2\pi /(\beta \mu \omega _0^2)]`$. Now, for many practical purposes, when it comes to calculating matrix elements, the relevant magnitude of $`ϵV(x)`$ is $`D`$, the depth of the Morse well (or some other characteristic energy in the case of another potential). The key to this statement is that one does not need to consider large negative values of $`x`$, where $`V(x)`$ is huge, because at such $`x`$, both the exact eigenfunction $`\mathrm{\Phi }`$ and its approximation $`\varphi `$ can be expected to be negligible. If then $`\beta D1`$<sup>3</sup><sup>3</sup>3Note that, in connection with (58), this defines a temperature window $`D<k_BT<\mu \omega _0^2/a^2`$ for the validity of the overall approximation scheme. it is reasonable to expand the exponential and keep only the first term. Dividing both sides by $`\beta `$, I obtain a Schrödinger - like equation,

$$\frac{1}{2\mu (\beta \omega _0)^2}\varphi _\nu ^{\prime \prime }(x)+\left[V(x)\stackrel{~}{ϵ}_\nu \right]\varphi _\nu (x)=0.$$
(59)
Before continuing the discussion of (59) and its properties, I pick up the bits and pieces (cf (37), (38), (48) ) of the thermodynamic free energy (per site)

$$f=\frac{1}{\beta N}\mathrm{ln}(Z_KZ_P)\frac{1}{\beta }\mathrm{ln}\left(\frac{2\pi }{\beta \omega _0}\right)+\stackrel{~}{f},$$
(60)
where $`\stackrel{~}{f}=\stackrel{~}{ϵ}_0`$. The first term in (60) is the free energy of the small oscillations (transverse phonons in this context). It is a term smooth in temperature (constant specific heat!) and therefore irrelevant to any phase transition. Any nontrivial physics is hidden in the second term, which is identical with the the smallest eigenvalue of (59).

A couple of comments are in order. First, (59) would be a literal (i.e. quantum-mechanical) Schrödinger equation, if I substituted $`1/(\beta \omega _0)`$ by $`\mathrm{}`$. I will come back to that point. Second, I can get a dimensionless potential (and eigenvalue) by dividing both sides of (59) by $`D`$. In other words, the relevant dimensionless parameter is

$$\delta ^2=\{\begin{array}{ccc}\hfill \frac{2\mu }{a^2\mathrm{}^2}& D\hfill & \hfill \text{ (quantum mechanics) }\\ & & \\ \hfill \frac{2\mu \beta ^2\omega _0^2}{a^2}& D\hfill & \hfill \text{(statistical mechanics).}\end{array}$$
(61)
In terms of $`\delta `$, the bound state spectrum of (59) is given  by

$`{\displaystyle \frac{\stackrel{~}{ϵ}_n}{D}}`$ $`=`$ $`1\left[1{\displaystyle \frac{n+1/2}{\delta }}\right]^2`$
$`n`$ $`=`$ $`0,1,\mathrm{},int(\delta 1/2).`$ (62)
There is at least one bound state if $`\delta >1/2`$. For $`1\delta >1/2`$ there is *exactly* one bound state. And if $`\delta `$ becomes equal to, or smaller than 1/2, there is no bound state at all. *The value*  $`\delta _c=1/2`$  *is ”critical”.* In quantum mechanical language, if a particle has a mass which is lighter than a critical mass $`\mu _c=\mathrm{}^2a^2/(8D)`$, it cannot be confined in the Morse well. Quantum fluctuations will drive it out<sup>4</sup><sup>4</sup>4This is a general property of asymmetric one-dimensional wells; symmetric wells will support a particle in a bound state, no matter how low its mass.. In the context of statistical mechanics, $`\delta _c`$ corresponds, via (61), to a critical temperature $`T_c=2(\omega _0/a)\sqrt{2\mu D}`$. The free energy is given by

$$\frac{\stackrel{~}{f}}{D}=\{\begin{array}{cc}1\hfill & T>T_c\hfill \\ & \\ 1\left(1\frac{T}{T_c}\right)^2\hfill & \text{ }T<T_c\text{ },\hfill \end{array}$$
(63)
where in the upper line I have made use of the fact that the bottom of the continuum part of the spectrum is at $`ϵ=D`$. The free energy $`f`$ is non-analytic at $`T=T_c`$, where its second derivative is discontinuous (i.e. there is a jump in the specific heat). This corresponds to a second order transition, according to the Ehrenfest classification scheme<sup>5</sup><sup>5</sup>5Note that the term ”second order” is meant literally in this case, not just as a metaphor for the absence of a latent heat (for which the term ”continuous transition” would be appropriate)..

In order to gain some further insight into the physics involved<sup>6</sup><sup>6</sup>6 The mathematical analogy between the behavior of the spectral gap which occurs in a point ($`d=0`$) system and the singularity in the free energy of a classical chain ($`d=1`$) is an example of a deeper analogy which relates quantum to thermal fluctuations; the formal correspondence $`\mathrm{}1/(\beta \omega _0)`$ manifests a far-reaching analogy between $`d`$-dimensional quantum mechanics and $`(d+1)`$-dimensional classical statistical mechanics. The analogy is most fruitful at $`d=1`$, because of the interplay and the richness of exact available results which based either in the transfer-matrix approach of 2-dimensional classical statistics or on the Bethe-Ansatz developed for 1-d quantum spin systems. it is useful to examine the average displacement (50), determined by the ground-state (GS) eigenfunction

$$\varphi _0(x)=e^{\zeta /2}\zeta ^{\delta 1/2}$$
(64)
where $`\zeta =2\delta e^{ax}`$. It is straightforward to see that, as $`T`$ approaches $`T_c`$ from below, the eigenfunction extends towards larger and larger positive values of $`x`$:

$$\varphi _0(x)e^{\lambda x}$$
(65)
where

$$\lambda =\frac{1}{\delta \delta _c}$$
(66)
is a (transverse) characteristic length which measures the spatial extent of the GS eigenfunction. As a consequence, we can estimate that $`<y>`$, which is dominated by the large values of the argument, will also behave as

$$<y>(\delta \delta _c)^1\left(1\frac{T}{T_c}\right)^1.$$
(67)
As the critical temperature is approached from below, particles cease to be confined to the minimum of the Morse well. They perform larger and larger excursions to the flatter part of the potential. At $`T_c`$ the transition is complete; the average transverse displacement is infinite. Particles move, on the average, on the flat top of the Morse potential. Unwinding (“melting”) of the DNA has occurred.

In the language of critical phenomena $`<y>`$ is the order parameter. In the “usual” phase transitions, one goes from an ordered to a disordered phase. The order parameter $`m`$ vanishes at the transition point, i.e $`m(T_cT)^\beta `$ with a positive critical exponent $`\beta `$ (not to be confused with the inverse temperature: standard notation of critical phenomena!). DNA melting is really an instability \- rather than an “order-disorder” transition. It is therefore not surprising that the corresponding critical exponent $`\beta `$ extracted from (67) is negative (-1).

Experimental data on DNA denaturation do not deliver $`<y>`$ directly. The “experimental order parameter” is the helical fraction, i.e. the probability that a given base pair is still bound; technically one uses an (instrumentation-dependent) cutoff $`y_0`$ and measures $`P(y>y_0,T)`$. For the model presented here, this function approaches zero smoothly (linearly) as $`TT_c`$, independently of the choice of $`y_0`$.

Eq. (56) states that the correlation length is also contolled by the gap in the eigenvalue spectrum; as the transition is approached,

$$\frac{\xi }{l}=\frac{1}{\beta D}\left(1\frac{T}{T_c}\right)^2$$
(68)
which identifies a critical exponent $`\nu =2`$ for the divergence of the correlation length. The picture of thermal denaturation which emerges is one of ordered regions, where helical structure persists; these regions are interrupted by droplets of the high-temperature phase, i.e. “denaturation bubbles” of typical size $`\xi `$.

### 3.5 A first order transition?

It is possible to generalize the theory in order to take account of the fact that the stacking energy is a property of successive base pairs, rather than individual bases. A practical way of doing this is to substitute the second term in the Hamiltonian (35) by

$$\frac{1}{2}\mu \omega _0^2\left[1+g(y_n+y_{n1})\right]\left(y_ny_{n1}\right)^2,$$
(69)
where

$$g(x)=e^{\alpha x}.$$
(70)
The effect of Eqs. (69)-(70) is to interpolate between the original value of the elastic coupling if either (or both) of the two base pairs $`n`$, $`n1`$ is unbound (in which case $`y_n\mathrm{}`$ or $`y_{n1}\mathrm{}`$), and twice that value if both are bound; in the latter case, typically, $`y_n0`$; the much higher values of the stacking energy, which (70) in principle allows, are statistically irrelevant due to the repulsive core of the Morse potential. Within the gradient expansion approximation, it can be shown that the main effect of the nonlinear stacking energy on the thermodynamics is to generate an effective, on-site, “thermally activated” barrier

$$U(y)=\frac{T}{2D}\mathrm{ln}\left(1+e^{2\alpha y}\right).$$
(71)
which appears in Eq. 59 and acts in addition to the Morse potential.

It has been shown that the character of the transition changes dramatically as the value of the stacking parameter ratio $`\alpha /a`$ decreases (corresponding to a longer range in the effective potential). Although the transition remains asymptotically second order, the limiting asymptotic behavior becomes relevant only within an exponentially small range of the temperature difference $`T_cT`$. For all practical purposes, the transition is first order, with a finite melting entropy $`\mathrm{\Delta }S=A_0D/T_c`$, where $`A_0`$ is a numerical constant of order unity.

It should be noted that the interpolation (70) is not unique; an interpolation function of the type $`g(x)=1,x<x_0`$, $`g(x)=(x_0/x)^2,x>x_0`$, leads - depending on the other parameters - to a rich variety of critical behavior, ranging from a first-order transition to continuously varying critical exponents.

With the above modification (69), it has become possible to describe, at least in principle, the series of multistep melting observed in real, heterogeneous DNA.

### 3.6 TI beyond the gradient expansion

It was stated in Section 3.3.1 that the TI formalism rests on the assumption that the integral equations (41) and (42) - have a complete, orthonormal set of eigenfunctions. Within the gradient approximation approach this was demonstrated by construction - since the integral equation was reduced to a Schrödinger-like equation. In many cases however, the gradient expansion is not valid at all. It is therefore necessary to develop alternative, mostly numerical methods for computing TI thermodynamics. For such applications it is expedient to consider the symmetrized, dimensionless version of the kernel (40), i.e.

$$T_s(x,y)=e^{\left[(yx)^2/R+V(x)+V(y)\right]/(2T)}$$
(72)
and the associated integral equation

$$_{\mathrm{}}^{\mathrm{}}𝑑yT_s(x,y)\varphi (y)=\mathrm{\Lambda }\varphi (x),$$
(73)
where $`R=Da^2/(\mu \omega _0^2)`$, $`T=1/(\beta D)`$ and the Morse potential is now dimensionless, $`V(x)=(1e^x)^2`$, as are the displacement variables $`x,y`$.

Due to the flat top of the Morse potential, the kernel (72) is not of the Hilbert-Schmidt type; therefore the integral equation (73) is singular and it can not be a priori stated that it possesses a complete orthonormal set of eigenstates; in other words, the prerequisites for directly applying the TI method are not strictly met. In the rest of this section I will outline a mathematically consistent procedure of examining the spectral gap of (73), based on finite-size scaling concepts.

Due to the presence of the Gaussian factors in the kernel, it is possible to approximate the integral in the left-hand-side of (73) by using a Gauss-Hermite grid of size $`N`$, i.e.

$$_{\mathrm{}}^{\mathrm{}}𝑑\overline{y}e^{\overline{y}^2}f(\overline{y})\underset{m=1}{\overset{N}{}}w_mf(\overline{y}_m)$$
(74)
where the positions $`\{\overline{y}_m\}`$ and weights $`\{w_m\}`$ are given by the appropriate Gauss-Hermite quadratures routine. The largest $`\overline{y}_N(2N+1)^{1/2}L`$ can be used as estimate of the transverse “size of the system” employed at any given discretization. I emphasize transverse because the length of the chain is infinite, i.e. the thermodynamic limit has already been taken.

I use “rescaled” variables, i.e. $`y=\rho \overline{y}`$, $`\rho =(2RT)^{1/2}`$, divide both sides of (73) by $`\rho \sqrt{\pi }`$, and use the approximation (74). The result is an approximation of (73) by the matrix eigenvalue equation

$$\underset{j=1}{\overset{N}{}}D_{ij}A_j^\nu =\stackrel{~}{\mathrm{\Lambda }}_\nu A_i^\nu $$
(75)
where

$$D_{ij}=\left(\frac{w_iw_j}{\pi }\right)^{1/2}e^{\overline{y}^i\overline{y}^j}e^{(\overline{y}^i\overline{y}^j)^2/2}e^{\left[V(\rho \overline{y}^i)+V(\rho \overline{y}^j)\right]/(2T)}$$
(76)
and $`\stackrel{~}{\mathrm{\Lambda }}_\nu \mathrm{\Lambda }_\nu /(2\pi RT)^{1/2}e^{ϵ_\nu /T}`$.

It is now possible to solve numerically the real, symmetric matrix eigenvalue problem (76) for a range of temperatures and a sequence of increasingly fine grids. Results for the difference between the two lowest eigenvalues are shown in Fig. 2 for $`R=10.1`$ . For any given size $`L`$, the gap has a minimum $`\mathrm{\Delta }ϵ_m(L)`$ at a certain temperature $`T_m(L)`$. Fig. 3 demonstrates that (i) the value of the gap approaches zero quadratically as $`L\mathrm{}`$ (with an accuracy of $`10^5)`$, and (ii) the sequence of $`T_m(L)`$’s also approaches a limiting value $`T_c=1.2275`$ quadratically.

It is natural to identify the limiting temperature $`T_c`$, where the spectral gap of the limiting, infinite-dimensional matrix eigenvalue equation (75) vanishes, as the transition temperature of the original TI equation (73). Further application of finite-size scaling methods demonstrates that the various critical exponents coincide with those obtained within the gradient expansion method.

## Acknowledgments

I thank M. Peyrard and T. Dauxois for many helpful discussions and comments.

## Appendix: Phase transitions in one-dimensional systems

I briefly discuss why the general prohibitions on phase transitions in one dimension are inapplicable to both the PS and the PB models of DNA denaturation.

Van Hove’s theorem states that no phase transitions occur in 1-d particle systems with short-range pair interactions. The PB model has on-site potential - i.e. the theorem is not applicable. It is however worth noting that similar mathematical proofs, have been given for systems with periodic on-site potentials. Such proofs however seek to prove analyticity of the eigenvalue spectrum and hence absence of a phase transition; as such, they tend to exclude potentials which give rise to singular TI equations.

The PS model is not a Hamiltonian model and therefore van Hove’s theorem is again not applicable.

Landau’s theorem is significantly stronger. It states that “macroscopic phase coexistence cannot occur at finite temperatures in one dimensional systems”. It is less obvious why it should not apply. I therefore outline the proof. Consider a system with $`N`$ sites, which may exist in either phase $`A`$ or phase $`B`$. Let $`\theta `$ be the fraction of phase $`A`$; furthermore, let there be $`m<<N`$ contacts between the phases, each of energy $`ϵ`$. These can be steplike (Ising) or continuous domain walls. The free energy of the configuration is given by

$$F=N\theta f_A+N(1\theta )f_B+F_{DW}$$
(A.77)
where

$$F_{DW}=mϵk_BTS_{DW}(m,N)$$
(A.78)
and the (dimensionless) entropy is given by

$$S_{DW}(m,N)=\mathrm{ln}\left[\frac{N!}{m!(Nm)!}\right]m\mathrm{ln}\left[\frac{Ne}{m}\right].$$
(A.79)
Minimization of the total free energy with respect to $`m`$ yields a macroscopic average number (ie. a *finite density*) of domain walls

$$\overline{m}=Ne^{ϵ/(k_BT)}.$$
(A.80)
The system breaks up into $`m`$ regions of finite size $`e^{ϵ/(k_BT)}`$. Macroscopic phase separation can only occur at zero temperature (as the domain size goes to infinity).

Landau’s argument covers a wide range of systems, e.g. double-well on-site potentials (Ising universality class), or periodic on-site potentials. It does not cover the PB case, because the DW has infinite energy. It does not apply to the PS case because the loop entropy is not proportional to the size of the loop and therefore (A.77) does not hold. On the contrary, the theorem is applicable to the generalized zipper model, as its authors had correctly noted.