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# Derivation of the Leroux system as the hydrodynamic limit of a two-component lattice gas

## 1 Introduction

The main purpose of this paper is to derive a couple of Euler equations (hyperbolic conservation laws) in a regime of shocks. While the case of smooth macroscopic solutions is quite well understood, see  and , serious difficulties emerge when the existence of classical solutions breaks down. A general method to handle attractive systems has been elaborated in , see also  and  for further references. Hyperbolic models with two conservation laws, however, can not be attractive in the usual sense because the phase space is not ordered in a natural way. We have to extend some advanced methods of PDE theory of hyperbolic conservation laws to stochastic (microscopic) systems. Lax entropy and compensated compactness are the main key words here, see , , , , ,  for the first ideas, and the textbook  for a systematic treatment. The project has been initiated in , a full exposition of techniques in the case of a one-component asymmetric Ginzburg–Landau model is presented in . Here we investigate the simplest possible, but nontrivial two-component lattice gas with collisions, further models are to be discussed in a forthcoming paper . Since the underlying PDE theory is restricted to one space dimension, we also have to be satisfied with such models. The proof is based on a strict control of entropy pairs at the microscopic level as prescribed by P. Lax, L. Tartar and F. Murat for approximate solutions to hyperbolic conservation laws. A Lax entropy is macroscopically conserved along classical solutions, but the microscopic system can not have any extra conservation law, thus we are facing with rapidly oscillating quantities. These oscillations are to be controlled by means of logarithmic Sobolev inequality estimates, and effective bounds are obtainable only if the symmetric part of the microscopic evolution is strong enough. That is why the *microscopic viscosity* of the model goes to infinity, i.e. the model is changed when we rescale it. Of course, the *macroscopic viscosity* vanishes in the limit and thus the effect of speeding up the symmetric part of the microscopic infinitesimal generator is not seen in the hydrodynamic limit.

Unfortunately, compensated compactness yields only *existence* of weak solutions, the Lax entropy condition is not sufficient for weak *uniqueness* in the case of two component systems. That is why we can prove convergence of the conserved fields to the set of entropy solutions only, we do not know whether this set consists of a single trajectory specified by its initial data. Let us remark that  has the same difficulty concerning the derivation of the incompressible Navier–Stokes equation in 3 space dimensions. The Oleinik type conditions of weak uniqueness are out of reach of our methods because they require a one sided uniform Lipschitz continuity of the Riemann invariants of the macroscopic system, see  for most recent results of PDE theory in this direction. It is certainly not easy to get such bounds at the microscopic level.

The paper is organized as follows. The microscopic model and the macroscopic equations are introduced in the next two sections. The main result and its conditions are formulated in Section 4. Proofs are presented in Section 5, while some technical details are postponed to the Appendix.

## 2 Microscopic model

### 2.1 State space, conserved quantities, infinitesimal generator

We consider a pair of coupled asymmetric exclusion processes on the discrete torus, particles move with an average speed $`+1`$ and $`1`$, respectively. Since we allow at most one particle per site, the individual state space consists of three elements. There is another effect in the interaction, something like a collision: if two particles of opposite velocities meet at neighboring sites, then they are also exchanged after some exponential holding times. We can associate velocities $`\pm 1`$ to particles according to their categories, thus particle number and momentum are the natural conserved quantities; the numbers of $`+1`$ and $`1`$ particles could have been another choice.

Throughout this paper we denote by $`𝕋^n`$ the discrete torus $`/n`$, $`n`$, and by $`𝕋`$ the continuous torus $`/`$. The local spin space is $`S=\{1,0,1\}`$. The state space of the interacting particle system of size $`n`$ is

$$\mathrm{\Omega }^n:=S^{𝕋^n}.$$

Configurations will generally be denoted as

$$\underset{¯}{\omega }:=(\omega _j)_{j𝕋^n}\mathrm{\Omega }^n,$$

We need to separate the symmetric (reversible) part of the dynamics. This will be speeded up sufficiently in order to enhance convergence to local equilibrium also at a mesoscopic scale. The phenomenon of compensated compactness is materialized at this scale in the hydrodynamic limiting procedure. So (somewhat artificially) we consider separately the asymmetric and symmetric parts of the rate functions $`r:S\times S_+`$, respectively, $`s:S\times S_+`$. The dynamics of the system consists of elementary jumps exchanging nearest neighbor spins: $`(\omega _j,\omega _{j+1})(\omega _j^{},\omega _{j+1}^{})=(\omega _{j+1},\omega _j)`$, performed with rate $`\lambda r(\omega _j,\omega _{j+1})+\kappa s(\omega _j,\omega _{j+1})`$, where $`\lambda ,\kappa >0`$ are fixed speed-up factors, depending on the size of the system in the limiting procedure.

The rate functions are chosen as follows:

$$\begin{array}{cc}\hfill r(1,1)=0,& \hfill r(1,1)=2,\\ \hfill r(0,1)=0,& \hfill r(1,0)=1,\\ \hfill r(1,0)=0,& \hfill r(0,1)=1,\end{array}$$

that is the rate of collisions is twice as large as that of simple jumps, and

$$r(\omega _j,\omega _{j+1})=\omega _j^{}(1\omega _{j+1}^{})+\omega _{j+1}^+(1\omega _j^+),$$

where $`\omega _j^+:=11_{\{\omega _j=1\}},`$ $`\omega _j^{}:=11_{\{\omega _j=1\}}`$ and $`11_A`$ denotes the indicator of a set $`A.`$ The rates of the symmetric component are simply

$$s(\omega _j,\omega _{j+1})=11_{\{\omega _j\omega _{j+1}\}}.$$

The rates $`r`$ define a *totally asymmetric* dynamics, while the rates $`s`$ define a *symmetric* one. The infinitesimal generators defined by these rates are:

$`L^nf(\underset{¯}{\omega }):={\displaystyle \underset{j𝕋^n}{}}r(\omega _j,\omega _{j+1})(f(\mathrm{\Theta }_{j,j+1}\underset{¯}{\omega })f(\underset{¯}{\omega }))`$
$`K^nf(\underset{¯}{\omega })={\displaystyle \underset{j𝕋^n}{}}s(\omega _j,\omega _{j+1})(f(\mathrm{\Theta }_{j,j+1}\underset{¯}{\omega })f(\underset{¯}{\omega })),`$
where $`\mathrm{\Theta }_{i,j}`$ is the spin-exchange operator,

$`\left(\mathrm{\Theta }_{i,j}\underset{¯}{\omega }\right)_k=\{\begin{array}{ccc}\omega _j\hfill & \text{ if }& k=i\hfill \\ \omega _i\hfill & \text{ if }& k=j\hfill \\ \omega _k\hfill & \text{ if }& ki,j.\hfill \end{array}`$
Recall that periodic boundary conditions are assumed in the definition of $`L^n`$ and $`K^n`$.

To get exactly the familiar Leroux system (16) as the limit, the two conserved quantities, $`\eta `$ and $`\xi `$ should be chosen as

$`\eta _j=\eta (\omega _j):=1\left|\omega _j\right|\text{and}\xi _j=\xi (\omega _j):=\omega _j.`$
The microscopic dynamics of the model has been defined so that $`_j\xi _j`$ and $`_j\eta _j`$ are conserved, we shall see that there is no room for other (independent) hidden conserved observables. In terms of the conservative quantities we have

$`r(\omega _j,\omega _{j+1})`$ $`={\displaystyle \frac{1}{4}}(1\eta _j\xi _j)(1+\eta _{j+1}+\xi _{j+1})`$ (2)
$`+{\displaystyle \frac{1}{4}}(1+\eta _j\xi _j)(1\eta _{j+1}+\xi _{j+1}).`$
The rate functions are so chosen that the product measures

$`\pi _{\rho ,u}^n(\underset{¯}{\omega })={\displaystyle \underset{j𝕋^n}{}}\pi _{\rho ,u}(\omega _j),`$
with one-dimensional marginals

$$\pi _{\rho ,u}(0)=\rho ,\pi _{\rho ,u}(\pm 1)=\frac{1\rho \pm u}{2}.$$

are stationary in time. We shall call these Gibbs measures. The parameters take values from the set

$$𝒟:=\{(\rho ,u)[0,1]\times [1,1]:\rho +\left|u\right|1\},$$

and the uniform $`\pi ^n:=\pi _{1/3,0}^n`$ will serve as a reference measure. Due to conservations, the stationary measures $`\pi _{\rho ,u}^n`$ are not ergodic. Expectation with respect to the measures $`\pi _{\rho ,u}^n`$ will be denoted by $`𝐄_{\rho ,u}()`$. In particular, given a local observable $`\upsilon _i:=\upsilon (\omega _{im},\mathrm{},\omega _{i+m})`$ with $`m`$ fixed, its equilibrium expectation will be denoted as

$`\mathrm{{\rm Y}}(\rho ,u):=𝐄_{\rho ,u}(\upsilon _i).`$
The system of microscopic size $`n`$ will be driven by the infinitesimal generator

$`G^n=nL^n+n^2\sigma K^n,`$
where $`\sigma =\sigma (n)`$ is the *macroscopic viscosity*, the factor $`n\sigma (n)`$ can be interpreted as the *microscopic viscosity*. A priori we require that $`\sigma (n)1`$ as $`n\mathrm{}`$. A very important restriction, $`\sqrt{n}\sigma (n)1`$ will be imposed on $`\sigma (n)`$, see condition (A) in subsection 4.2.

Let $`\mu _0^n`$ be a probability distribution on $`\mathrm{\Omega }^n,`$ which is the initial distribution of the microscopic system of size $`n`$, and denote

$`\mu _t^n:=\mu _0^ne^{tG^n}`$
the distribution of the system at (macroscopic) time $`t`$. The Markov process on the state space $`\mathrm{\Omega }^n`$ driven by the infinitesimal generator $`G^n`$, started with initial distribution $`\mu _0^n`$ will be denoted by $`𝒳_t^n`$.

### 2.2 Fluxes

Elementary computations show that the infinitesimal generators $`L^n`$ and $`K^n`$ act on the conserved quantities as follows, see (2).

$`\begin{array}{ccc}\hfill L^n\eta _i=& \psi (\omega _i,\omega _{i+1})+\psi (\omega _{i1},\omega _i)\hfill & =:\psi _i+\psi _{i1},\hfill \\ \hfill L^n\xi _i=& \varphi (\omega _i,\omega _{i+1})+\varphi (\omega _{i1},\omega _i)\hfill & =:\varphi _i+\varphi _{i1},\hfill \\ \hfill K^n\eta _i=& \psi ^s(\omega _i,\omega _{i+1})+\psi ^s(\omega _{i1},\omega _i)\hfill & =:\psi _i^s+\psi _{i1}^s,\hfill \\ \hfill K^n\xi _i=& \varphi ^s(\omega _i,\omega _{i+1})+\varphi ^s(\omega _{i1},\omega _i)\hfill & =:\varphi _i^s+\varphi _{i1}^s,\hfill \end{array}`$
where

$`\begin{array}{ccc}\hfill \psi _j& \hfill =& r(\omega _i,\omega _{i+1})\left(\eta _i\eta _{i+1}\right)\hfill \\ & \hfill =& {\displaystyle \frac{1}{2}}\left\{\eta _j\xi _{j+1}+\eta _{j+1}\xi _j\right\}+{\displaystyle \frac{1}{2}}\left\{\eta _j\eta _{j+1}\right\}\hfill \\ \hfill \varphi _j& \hfill =& r(\omega _i,\omega _{i+1})\left(\xi _i\xi _{i+1}\right)\hfill \\ & \hfill =& {\displaystyle \frac{1}{2}}\left\{\eta _j+\eta _{j+1}2+2\xi _j\xi _{j+1}\right\}+{\displaystyle \frac{1}{2}}\left\{\xi _{j+1}\eta _j\xi _j\eta _{j+1}\right\}+\left\{\xi _j\xi _{j+1}\right\},\hfill \\ \hfill \psi _j^s& \hfill =& \eta _j\eta _{j+1},\hfill \\ \hfill \varphi _j^s& \hfill =& \xi _j\xi _{j+1}.\hfill \end{array}`$ (10)
Note that the microscopic fluxes of the conserved observables induced by the symmetric rates $`s(\omega _j,\omega _{j+1})`$ are (discrete) gradients of the corresponding conserved variables.

It is easy to compute the macroscopic fluxes:

$`\begin{array}{c}\mathrm{\Psi }(\rho ,u):=𝐄_{\rho ,u}(\psi _j)=\rho u\hfill \\ \mathrm{\Phi }(\rho ,u):=𝐄_{\rho ,u}(\varphi _j)=\rho +u^2\hfill \end{array}`$ (13)
## 3 Leroux’s equation – a short survey

Having the macroscopic fluxes (13) computed, the Euler equations of the system considered are expected to be

$`\{\begin{array}{c}_t\rho +_x\left(\rho u\right)=0\hfill \\ _tu+_x\left(\rho +u^2\right)=0.\hfill \end{array}`$ (16)
with given initial data

$`u(0,x)=u_0(x),\rho (0,x)=\rho _0(x).`$ (17)
This is exactly Leroux’s equation well known in the PDE literature, see . In the present section we shortly review the main facts about this PDE. The first striking fact is that such equations may have classical solutions only for some special initial data, in general shocks are developed in a finite time. Therefore solutions should be understood in a weak (distributional) sense, and there are many weak solutions for the same initial values.

The following vectorial notations sometimes make our formulas more compact:

$`𝒖:=\left(\begin{array}{c}\rho \\ u\end{array}\right),𝚽:=\left(\begin{array}{c}\mathrm{\Psi }\\ \mathrm{\Phi }\end{array}\right),`$
$`:=\left(\begin{array}{cc}{\displaystyle \frac{}{\rho }}& {\displaystyle \frac{}{u}}\end{array}\right),^2:=\left(\begin{array}{cc}{\displaystyle \frac{^2}{\rho ^2}}& {\displaystyle \frac{^2}{\rho u}}\\ {\displaystyle \frac{^2}{\rho u}}& {\displaystyle \frac{^2}{u^2}}\end{array}\right)`$
We shall use alternatively, at convenience, the compact vectorial and the explicit notation.

### 3.1 Lax entropy pairs

In the case of classical solutions (16) can be written as $`_t𝒖+D(𝒖)_x𝒖=0,`$ where

$`D(\rho ,u):=𝚽(\rho ,u)=\left(\begin{array}{cc}u& \rho \\ 1& 2u\end{array}\right)`$
is the matrix of the linearized system. The eigenvalues of $`D`$ are just

$`\lambda =\lambda (\rho ,u):=u+{\displaystyle \frac{1}{2}}\left\{\sqrt{u^2+4\rho }+u\right\},`$
$`\mu =\mu (\rho ,u):=u{\displaystyle \frac{1}{2}}\left\{\sqrt{u^2+4\rho }u\right\}.`$
This means that (16) is *strictly hyperbolic* in the domain

$`\{(\rho ,u):\rho 0,u,(\rho ,u)(0,0)\},`$
with marginal degeneracy (i.e. coincidence of the two characteristic speeds, $`\lambda =\mu `$) at the point $`(\rho ,u)=(0,0)`$.

*Lax entropy/flux pairs* $`(S(𝒖),F(𝒖))`$ are solutions of the linear hyperbolic system $`F(𝒖)=S(𝒖)𝚽(𝒖),`$ that is $`_tS(𝒖)+_xF(𝒖)=0`$ along classical solutions. This means that an entropy $`S`$ is a conserved observable. In our particular case this reads

$`\{\begin{array}{cc}F_\rho ^{}=\hfill & uS_\rho ^{}+S_u^{},\hfill \\ F_u^{}=\hfill & \rho S_\rho ^{}+2uS_u^{}.\hfill \end{array}`$ (23)
or, written as a second order linear equation for $`S`$:

$`\rho S_{\rho \rho }^{\prime \prime }+uS_{\rho u}^{\prime \prime }S_{uu}^{\prime \prime }=0.`$ (24)
This equation is known to have many convex solutions, see . We call an entropy/flux pair *convex* if the map $`(\rho ,u)S(\rho ,u)`$ is convex. In particular, a globally convex Lax entropy/flux pair defined on the whole half plane $`_+\times `$ is

$$S(\rho ,u):=\rho \mathrm{log}\rho +\frac{u^2}{2},F(\rho ,u):=u\rho +u\rho \mathrm{log}\rho +\frac{2u^3}{3}.$$

Weak solutions of (23) are called *generalized entropy/flux pairs*. Riemann’s method of solving second order linear hyperbolic PDEs in two variables (see Chapter 4 of ) and compactness of $`𝒟`$ imply that generalized entropy/flux pairs can be approximated pointwise by twice differentiable entropy/flux pairs.

An *entropy solution* of the Cauchy problem (16), (17) is a measurable function $`[0,T]\times 𝕋(t,x)𝒖(t,x)_+\times `$ which for any convex entropy/flux pair $`(S,F),`$ and any nonnegative test function $`\phi :[0,T]\times 𝕋`$ with support in $`[0,T)\times 𝕋`$ satisfies

$`{\displaystyle _0^t}{\displaystyle _𝕋}\left(_t\phi (t,x)S(𝒖(t,x))+_x\phi (t,x)F(𝒖(t,x))\right)𝑑x𝑑t`$
$`+{\displaystyle _𝕋}\phi (0,x)S(𝒖(0,x))𝑑x0`$ (25)
Note that $`S(\rho ,u)=\pm \rho ,F(\rho ,u)=\pm \rho u`$, respectively, $`S(\rho ,u)=\pm u,F(\rho ,u)=\pm (\rho +u^2)`$ are entropy/flux pairs, thus entropy solutions are (a special class of) weak solutions. Entropy solutions of the Cauchy problem (16), (17) form a (strongly) closed subset of the Lebesgue space $`L^p([0,T]\times 𝕋,dtdx)=:L_{t,x}^p`$ for any $`p[1,\mathrm{})`$.

### 3.2 Young measures, measure valued entropy solutions

A Young measure on $`([0,T]\times 𝕋)\times 𝒟`$ is $`\nu =\nu (t,x;d𝒗)`$, where
(1) for any $`(t,x)[0,T]\times 𝕋`$ fixed, $`\nu (t,x;d𝒗)`$ is a probability measure on $`𝒟`$, and,
(2) for any $`A𝒟`$ fixed the map $`(t,x)\nu (t,x;A)`$ is measurable.
Given a probability measure $`\nu `$ on $`_+\times `$, we shall use the notation

$$\nu ,f:=_𝒟f(𝒗)\nu (d𝒗).$$

The set of Young measures will be denoted by $`𝒴`$. A sequence $`\nu ^n𝒴`$ *converges vaguely* to $`\nu 𝒴`$, denoted $`\nu ^n\nu `$, if for any $`fC([0,T]\times 𝕋\times 𝒟)`$

$`\underset{n\mathrm{}}{lim}{\displaystyle _0^T}{\displaystyle _𝕋}\nu ^n(t,x),f(t,x,)𝑑t𝑑x={\displaystyle _0^T}{\displaystyle _𝕋}\nu (t,x),f(t,x,)𝑑t𝑑x,`$
or, equivalently, if for any test function $`\phi C([0,T]\times 𝕋)`$ and any $`gC(𝒟)`$

$`\underset{n\mathrm{}}{lim}{\displaystyle _0^T}{\displaystyle _𝕋}\phi (t,x)\nu ^n(t,x),g𝑑t𝑑x={\displaystyle _0^T}{\displaystyle _𝕋}\phi (t,x)\nu (t,x),g𝑑t𝑑x.`$
The set $`𝒴`$ of Young measures will be endowed with the vague topology induced by this notion of convergence. $`𝒴`$ endowed with the vague topology is metrizable, separable and compact. We also consider (without explicitly denoting this) the Borel structure on $`𝒴`$, induced by the vague topology.

We say that the Young measure $`\nu (t,x;d𝒗)`$ is *Dirac-type* if there exists a measurable function $`𝒖:[0,T]\times 𝕋𝒟`$ such that for almost all $`(t,x)[0,T]\times 𝕋`$, $`\nu (t,x;d𝒗)=\delta _{𝒖(t,x)}(d𝒗)`$. We denote the subset of Dirac-type Young measures by $`𝒰𝒴`$. It is a fact (see Chapter 9 of ) that

$$𝒴=\overline{\text{co}(𝒴)}=\overline{\text{co}(𝒰)}=\overline{𝒰},$$

where ‘co’ stands for convex hull and closure is meant according to the vague topology.

We say that the Young measure $`\nu (t,x;d𝒗)`$ is a *measure valued entropy solution* of the Cauchy problem (16), (17) iff for any convex entropy/flux pair $`(S,F)`$ and any positive test function $`\phi :[0,T]\times 𝕋_+`$ with support in $`[0,T)\times 𝕋`$,

$`{\displaystyle _0^T}{\displaystyle _𝕋}\left(_t\phi (t,x)\nu (t,x),S+_x\phi (t,x)\nu (t,x),F\right)𝑑x𝑑t`$
$`+{\displaystyle _𝕋}\phi (0,x)\nu (0,x),S𝑑x0`$ (26)
holds true. Measure valued entropy solutions of the Cauchy problem (16), (17) form a (vaguely) *closed* subset of $`𝒴`$.

Clearly, if $`𝒖:[0,T]\times 𝕋𝒟`$ is an entropy solution of the Cauchy problem (16), (17) in the sense of (25), then the Dirac-type Young measure $`\nu (t,x;d𝒗):=\delta _{𝒖(t,x)}(d𝒗)`$ is a measure valued entropy solution in the sense of (26). The convergence of subsequences of approximate solutions to measure solutions is almost immediate by vague compactness, the crucial issue is to show the Dirac property of measure valued entropy solutions. This is the aim of the theory of compensated compactness.

### 3.3 Tartar factorization

A probability measure $`\nu (d\rho ,du)`$ on $`^2`$ satisfies the *Tartar factorization* property with respect to a couple $`(S_i,F_i),`$ $`i=1,2`$ of entropy/flux pairs if

$$\nu ,S_1F_2S_2F_1=\nu ,S_1\nu ,F_2\nu ,S_2\nu ,F_1.$$
(27)
Dirac measures certainly posses this property, and in some cases, there is a converse statement, too. The following one-parameter families of entropy/flux pairs play an essential role in the forthcoming argument:

$`\begin{array}{cc}S_a(\rho ,u):=\rho +aua^2,\hfill & F_a(\rho ,u):=(a+u)S_a(\rho ,u),\hfill \\ \overline{S}_a(\rho ,u):=|\rho +aua^2|,\hfill & \overline{F}_a(\rho ,u):=(a+u)\overline{S}_a(\rho ,u),\hfill \end{array}`$ (30)
where the parameter, $`a.`$ The case of $`(S_a,F_a)`$ is obvious because it is a linear function of the basic conserved observables and their fluxes.

The pair $`(\overline{S}_a,\overline{F}_a)`$ satisfies (23) in the generalized (weak) sense. This is due to the facts that the line of non-differentiability, $`\rho +aua^2=0`$, is just a characteristic line of the PDE (23), and $`(\overline{S}_a,\overline{F}_a)`$ coincides with $`(\pm S_a,\pm F_a)`$ on the domains $`D_\pm :=\{\pm (\rho +aua^2)>0\}`$.

###### Lemma 1.

Suppose that a compactly supported probability measure, $`\nu `$ on $`^2`$ satisfies (27) for any two entropy/flux pairs of type (30). Then $`\nu `$ is concentrated to a single point, i.e. it is a Dirac mass.

###### Proof.

This is Exercise 9.1 in , where detailed instructions are also added. For Reader’s convenience we reproduce the easy proof. Suppose first that $`S_a=\rho +aua^2=0`$ $`\nu `$-a.s. for some $`a,`$ then $`\nu ,\rho +a\nu ,u=a^2;`$ let $`a_1`$ and $`a_2`$ denote the roots of this equation. Since $`S_{a_1}(\rho ,u)=0`$ implies $`S_{a_2}(\rho ,u)=0,`$ $`u=a_1+a_2`$ and $`\rho =a_1a_2`$ $`\nu `$-a.s. Therefore we may, and do assume that

$$g(a):=\frac{\nu ,\overline{F}_a}{\nu ,\overline{S}_a}=a+\frac{\nu ,u|\rho +aua^2|}{\nu ,|\rho +aua^2|}$$

is well defined for all $`a.`$ It is plain that $`g(a)a`$ is continuous, bounded, and $`g(a)a\nu ,u`$ as $`a\pm \mathrm{}.`$ Applying (27) to $`(S_a,F_a)`$ and $`(\overline{S}_a,\overline{F}_a)`$ we get $`g(a)a=\nu ,uS_a/\nu ,S_a.`$ On the other hand, from (27) for $`(S_a,F_a)`$ and $`(S_b,F_b)`$ we get

$$(ba)\left(\nu ,S_aS_b\nu ,S_a\nu ,S_b\right)=\nu ,S_a\nu ,uS_b\nu ,S_b\nu ,uS_a,$$
(31)
thus dividing by $`(ba)\nu ,S_a\nu ,S_b,`$ and letting $`ba`$ we see that $`g`$ is differentiable, and $`g^{}(a)1,`$ consequently $`g(a)=a+\nu ,u`$ for all $`a.`$ This means that

$$\nu ,\rho u+a\nu ,u^2a^2\nu ,u=\nu ,\rho \nu ,u+a\nu ,u^2a^2\nu ,u$$

for all $`a,`$ whence $`\nu (u^2)=\nu ^2(u).`$ Substitute now $`u=\nu ,u`$ back into (31). Since $`ba\nu ,u`$ may be assumed, we have

$$\nu ,S_aS_b=\nu ,S_a\nu ,S_b,$$

consequently $`\nu ,\rho ^2=\nu ,\rho ^2.`$

This lemma establishes that measure solutions satisfying Tartar’s factorization property (27) are, in fact, weak solutions.

## 4 The hydrodynamic limit under Eulerian scaling

### 4.1 Block averages

We choose a *mesoscopic* block size $`l=l(n)`$. A priori

$`1l(n)n,`$
but more serious restrictions will be imposed, see condition (B) in subsection 4.2. and define the *block averages* of local observables in the following way:
We fix once for ever a weight function $`a:_+`$. It is assumed that:
(1) $`xa(x)`$ has support in the compact interval $`[1,1]`$,
(2) it has total weight $`a(x)𝑑x=1`$,
(3) it is even: $`a(x)=a(x)`$, and
(4) it is twice continuously differentiable.

Given a local variable $`\upsilon _i`$ its block average *at macroscopic space* $`x`$ is defined as

$`\widehat{\upsilon }^n(x)=\widehat{\upsilon }^n(\underset{¯}{\omega },x):={\displaystyle \frac{1}{l}}{\displaystyle \underset{j}{}}a\left({\displaystyle \frac{nxj}{l}}\right)\upsilon _j.`$ (32)
Note that, since $`l=l(n)`$, we do not denote explicitly dependence of the block average on the mesoscopic block size $`l`$.

We shall use the handy (but slightly abused) notation

$`\widehat{\upsilon }^n(t,x):=\widehat{\upsilon }^n(𝒳_t^n,x).`$
This is the empirical block average process of the local observable $`\upsilon _i`$.

In accordance with the compact vectorial notation introduced at the beginning of Section 3 we shall denote

$`𝝃_j:=(\begin{array}{c}\eta _j\\ \xi _j\end{array}),\mathit{\varphi }_j:=(\begin{array}{c}\psi _j\\ \varphi _j\end{array}),\widehat{𝝃}^n(x):=(\begin{array}{c}\widehat{\eta }^n(x)\\ \widehat{\xi }^n(x)\end{array}),\widehat{\mathit{\varphi }}^n(x):=(\begin{array}{c}\widehat{\psi }^n(x)\\ \widehat{\varphi }^n(x)\end{array}),`$
and so on.

Let $`\widehat{𝝃}^n(t,x)`$ be the sequence of empirical block average processes of the conserved quantities, as defined above, regarded as elements of $`L_{t,x}^1:=L^1([0,T]\times 𝕋)`$. We denote by $`^n`$ the distribution of these in $`L_{t,x}^1`$:

$`^n(A):=𝐏(𝝃^nA),`$ (34)
where $`AL_{t,x}^1`$ is (strongly) measurable. Tightness and weak convergence of the sequence of probability measures $`^n`$ will be meant according to the norm (strong) topology of $`L_{t,x}^1`$. Weak convergence of a subsequence $`^n^{}`$ will be denoted $`^n^{}`$.

Further on, we denote by $`\nu ^n`$ the sequence of Dirac-type random Young measures concentrated on the trajectories of the empirical averages $`\widehat{𝝃}^n(t,x)`$ and by $`^n`$ their distributions on $`𝒴`$:

$`\nu ^n(t,x;d𝒗):=\delta _{\widehat{𝝃}^n(t,x)}(d𝒗),^n(A):=𝐏\left(\nu ^nA\right),`$ (35)
where $`A𝒴`$ is (vaguely) measurable. Due to vague compactness of $`𝒴`$, the sequence of probability measures $`^n`$ is automatically tight. Weak convergence of a subsequence $`^n^{}`$ will be meant according to the vague topology of $`𝒴`$ and will be denoted $`^n\begin{array}{c}\hfill \\ \hfill \end{array}`$. In this case we shall also say that the subsequence of random Young measures $`\nu ^n^{}`$ (distributed according to $`^n^{}`$) *converges vaguely in distribution* to the random Young measure $`\nu `$ (distributed according to $``$), also denoted $`\nu ^n\begin{array}{c}\hfill \\ \hfill \end{array}\nu `$.

### 4.2 Main result

All results are valid under the following conditions

1. The macroscopic viscosity $`\sigma =\sigma (n)`$ satisfies

$`n^{1/2}\sigma 1.`$
2. The mesoscopic block size $`l=l(n)`$ is chosen so that

$`n^{2/3}\sigma ^{1/3}ln\sigma `$
3. The initial density profiles converge weakly in probability (or, equivalently in any $`L^p`$, $`1p<\mathrm{}`$). That is: for any test function $`𝝋:𝕋\times `$

$`\underset{n\mathrm{}}{lim}𝐄\left(\left|{\displaystyle _𝕋}𝝋(x)\left(\widehat{𝝃}^n(0,x)𝒖_0(x)\right)𝑑x\right|\right)=0.`$

Our main result is the following

###### Theorem 1.

Conditions (A), (B), and (C) are in force. The sequence of probability measures $`^n`$ on $`L_{t,x}^1`$, defined in (34) is tight (according to the norm topology of $`L_{t,x}^1`$). Moreover, if $`^n^{}`$ is a subsequence which converges weakly (according to the norm topology of $`L_{t,x}^1`$), $`^n^{}`$, then the limit probability measure $``$ is concentrated on the entropy solutions of the Cauchy problem (16), (17).

Remark: Assuming *uniqueness* of the entropy solution $`𝒖(t,x)`$ of the Cauchy problem (16), (17), we could conclude that

$$\widehat{𝝃}^n\stackrel{L_{t,x}^1}{}𝒖,\text{ in probability.}$$

## 5 Proof

### 5.1 Outline of proof

We broke up the proof into several subsections according to what we think to be a logical and transparent structure.

In subsection 5.2 we state the precise *quantitative form* of the convergence to local equilibrium: the logarithmic Sobolev ineqaulity valid for our model and Varadhan’s large deviation bound on space-time averages of block variables. As main consequence of these we obtain our a priori estimates: the so-called *one-block estimate* and a version of the so-called *two-block estimate*, formulated for spatial derivatives of the empirical block averages. These estimates are of course the main probabilistic ingredients of the further arguments. The proof of these estimates is postponed to the Appendix of the paper.

In subsection 5.3 we write down an identity which turns out to be the stochastic approximation of the PDE (16). Various error terms are defined here which will be estimated in the forthcoming subsections.

In subsection 5.4 we introduce the relevant *Sobolev norms* and by using the previously proved a priori estimates we prove the necessary upper bounds on the apropriate Sobolev norms of the error terms.

In subsection 5.5 we show that choosing a subsequence of the random Young measures (35) which converges vaguely in distribution, the limit (random) Young measure is almost surely measure valued entropy solution of the Cauchy problem (16), (17).

Subsection 5.6 contains the stochastic version of the method of *compensated compactness*. It is further broken up into two sub-subsections as follows. In sub-subsection 5.6.1 we preent the stochastic version of Murat’s Lemma: we prove that for any smooth Lax entropy/flux pair the entropy production process is tight in the Sobolev space $`H_{t,x}^1`$. In sub-subsection 5.6.2 we apply (an almost sure version of) Tartar’s Div-Curl Lemma leading to the desired almost sure factorization property of the limiting random Young measures. Finally, as main consequence of Tartar’s Lemma, we conclude that choosing any subsequence of the random Young measures (35) which converges vaguely in distribution, the limit (random) Young measure is almost surely of Dirac type.

The results of subsection 5.5 and sub-subsection 5.6.2 imply the Theorem. The concluding steps are presented in subsection 5.7.

### 5.2 Local equilibrium and a priori bounds

The hydrodynamic limit relies on macroscopically fast convergence to (local) equilibrium in blocks of mesoscopic size $`l`$. Fix the block size $`l`$ and $`(N,Z)\times `$ with the restriction $`N+\left|Z\right|l`$ and denote

$`\mathrm{\Omega }_{N,Z}^l`$ $`:=`$ $`\{\underset{¯}{\omega }\mathrm{\Omega }^l:{\displaystyle \underset{j=1}{\overset{l}{}}}\eta _j=N,{\displaystyle \underset{j=1}{\overset{l}{}}}\xi _j=Z\},`$
$`\pi _{N,Z}^l(\underset{¯}{\omega })`$ $`:=`$ $`\pi _{\rho ,u}^l(\underset{¯}{\omega }|{\displaystyle \underset{j=1}{\overset{l}{}}}\eta _j=N,{\displaystyle \underset{j=1}{\overset{l}{}}}\xi _j=Z),`$
and, for $`f:\mathrm{\Omega }_{N,Z}^l`$

$`K_{N,Z}^lf(\underset{¯}{\omega })`$ $`:=`$ $`{\displaystyle \underset{j=1}{\overset{l1}{}}}\left(f(\mathrm{\Theta }_{j,j+1}\underset{¯}{\omega })f(\underset{¯}{\omega })\right),`$
$`D_{N,Z}^l(f)`$ $`:=`$ $`{\displaystyle \frac{1}{2}}{\displaystyle \underset{j=1}{\overset{l1}{}}}𝐄_{N,Z}^l\left(\left(f(\mathrm{\Theta }_{j,j+1}\underset{¯}{\omega })f(\underset{¯}{\omega })\right)^2\right).`$
In plain words: $`\mathrm{\Omega }_{N,Z}^l`$ is the hyperplane of configurations $`\underset{¯}{\omega }\mathrm{\Omega }^l`$ with fixed values of the conserved quantities, $`\pi _{N,Z}^l`$ is the *microcanonical distribution* on this hyperplane, $`K_{N,Z}^l`$ is the symmetric infinitesimal generator restricted to the hyperplane $`\mathrm{\Omega }_{N,Z}^l`$, and finally $`D_{N,Z}^l`$ is the Dirichlet form associated to $`K_{N,Z}^l`$. Note, that $`K_{N,Z}^l`$ is defined with free boundary conditions. Expectations with respect to the measures $`\pi _{N,Z}^l`$ are denoted by $`𝐄_{N,Z}^l()`$. The convergence to local equilibrium is *quantitatively controlled* by the following uniform logarithmic Sobolev estimate:

###### Lemma 2.

There exists a finite constant $`\mathrm{}`$ such that for any $`l`$, $`(N,Z)\times `$ with $`N+\left|Z\right|l`$ and any $`h:\mathrm{\Omega }_{N,Z}^l_+`$ with $`𝐄_{N,Z}^l(h)=1`$ the following bound holds:

$`𝐄_{N,Z}^l\left(h\mathrm{log}h\right)\mathrm{}l^2D_{N,Z}^l\left(\sqrt{h}\right).`$ (36)
Remark: In  (see also ) the similar statement is proved (inter alia) for symmetric simple exclusion process. That proof can be easily adapted to our case. Instead of stirring configurations of two colours we have stirring of configurations of three colours. No really new ideas are involved. For sake of completeness however, we sketch the proof in subsection 6.1 of the Appendix.

The following large deviation bound goes back to Varadhan . See also the monographs  and .

###### Lemma 3.

Let $`ln`$, $`𝒱:S^l_+`$ and denote $`𝒱_j(\underset{¯}{\omega }):=𝒱(\omega _j,\mathrm{},\omega _{j+l1})`$. Then for any $`\beta >0`$

$`{\displaystyle \frac{1}{n}}{\displaystyle \underset{j𝕋^n}{}}{\displaystyle _0^T}𝐄_{\mu _s^n}\left(𝒱_j\right)𝑑sC{\displaystyle \frac{l^3}{\beta n^2\sigma }}+{\displaystyle \frac{T}{\beta }}\underset{N,Z}{\mathrm{max}}\mathrm{log}𝐄_{N,Z}^l\left(\mathrm{exp}\left\{\beta 𝒱\right\}\right)`$ (37)
Remarks: (1) Assuming only uniform bound of order $`l^2`$ on the spectral gap of $`K_{N,Z}^l`$ (rather than the stronger logarithmic Sobolev inequality (36)) and using Rayleigh-Schrödinger perturbation (see Appendix 3 of ) we would get

$`{\displaystyle \frac{1}{n}}{\displaystyle \underset{j𝕋^n}{}}{\displaystyle _0^T}𝐄_{\mu _s^n}\left(𝒱_j\right)𝑑s`$
$`C{\displaystyle \frac{l^3𝒱_{\mathrm{}}}{n^2\sigma }}+T𝒱_{\mathrm{}}\left({\displaystyle \frac{\underset{N,Z}{\mathrm{max}}𝐄_{N,Z}^l\left(𝒱\right)}{𝒱_{\mathrm{}}}}+{\displaystyle \frac{\underset{N,Z}{\mathrm{max}}\mathrm{𝐕𝐚𝐫}_{N,Z}^l\left(𝒱\right)}{4𝒱_{\mathrm{}}^2}}\right),`$
which wouldn’t be sufficient for our needs.
(2) The proof of the bound (37) explicitly relies on the logarithmic Sobolev inequality (36). It appears in  and it is reproduced in several places, see e.g. . We do not repeat it here.

The main probabilistic ingredients of our proof are the following two consequences of Lemma 3. These are variants of the celebrated *one block estimate*, respectively, *two blocks estimate* of Varadhan and co-authors.

###### Proposition 1.

Assume conditions (A) and (B). Given a local variable $`\upsilon _j`$ there exists a constant $`C`$ (depending only on $`\upsilon _j`$) such that the following bounds hold:

$`𝐄\left({\displaystyle _0^T}{\displaystyle _𝕋}\left|\widehat{\upsilon }^n(s,x)\mathrm{{\rm Y}}(\widehat{𝝃}^n(s,x))\right|^2𝑑x𝑑t\right)`$ $``$ $`C{\displaystyle \frac{l^2}{n^2\sigma }}`$ (38)
$`𝐄\left({\displaystyle _0^T}{\displaystyle _𝕋}\left|_x\widehat{\upsilon }^n(s,x)\right|^2𝑑x𝑑t\right)`$ $``$ $`C\sigma ^1`$ (39)
The proof of Proposition 1 is postponed to subsection 6.3 in the Appendix. It relies on the large deviation bound (37) and an elementary probability lemma stated in subsection 6.2 of the Appendix.

We shall refer to (38) as the *block replacement bound* and to (39) as the *gradient bound*.

### 5.3 The basic identity

Given a smooth function $`f:𝒟`$ we write

$`_tf(\widehat{𝝃}^n(t,x))=G^nf(\widehat{𝝃}^n(t,x))+_tM_f^n(t,x),`$
where the process $`tM_f^n(t,x)`$ is a martingale. Here and in the future $`_tf(\widehat{𝝃}^n(t,x))`$ and $`_tM_f^n(t,x)`$ are meant as *distributions* in their time variable.

In this order we compute the action of the infinitesimal generator $`G^n=nL^n+n^2\sigma K^n`$ on $`f(\widehat{𝝃}^n(x))`$. First we compute the asymmetric part:

$`nL^nf(\widehat{𝝃}^n(x))`$ $`=`$ $`f(\widehat{𝝃}^n(x))_x\widehat{\mathit{\varphi }}^n(x)+A_f^{1,n}(x)`$ (40)
where

$`A_f^{1,n}(x)=A_f^{1,n}(\underset{¯}{\omega },x):=n{\displaystyle \underset{j𝕋}{}}r(\omega _j,\omega _{j+1})\times `$ (41)
$`\{f(\widehat{𝝃}^n(x){\displaystyle \frac{1}{l}}(a({\displaystyle \frac{nxj}{l}})a({\displaystyle \frac{nxj1}{l}}))(𝝃_j𝝃_{j+1}))f\left(\widehat{𝝃}^n(x)\right)`$
$`+{\displaystyle \frac{1}{l^2}}a^{}({\displaystyle \frac{nxj}{l}})f\left(\widehat{𝝃}^n(x)\right)(𝝃_j𝝃_{j+1})\}.`$
See formula (10) for the definition of $`\mathit{\varphi }`$. $`A_f^{1,n}`$ is a numerical error term which will be easy to estimate.

Next, the symmetric part:

$`n^2\sigma K^nf(\widehat{𝝃}^n(x))`$ $`=`$ $`\sigma f(\widehat{𝝃}^n(x))_x^2\widehat{𝝃}^n(x)+A_f^{2,n}(x)`$ (42)
where

$`A_f^{2,n}(x)=A_f^{2,n}(\underset{¯}{\omega },x):=`$ (43)
$`n^2\sigma {\displaystyle \underset{j𝕋}{}}\{f(\widehat{𝝃}^n(x){\displaystyle \frac{1}{l}}(a({\displaystyle \frac{nxj}{l}})a({\displaystyle \frac{nxj1}{l}}))(𝝃_j𝝃_{j+1}))`$
$`f\left(\widehat{𝝃}^n(x)\right)+{\displaystyle \frac{1}{l^3}}a^{\prime \prime }({\displaystyle \frac{nxj}{l}})f\left(\widehat{𝝃}^n(x)\right)𝝃_j\}.`$
This is another numerical error term easy to estimate.

Hence our *basic identity*

$`_tf(\widehat{𝝃}^n(t,x))+f(\widehat{𝝃}^n(t,x))𝚽(\widehat{𝝃}^n(t,x))_x\widehat{𝝃}^n(t,x)=`$ (44)
$`{\displaystyle \underset{i=1}{\overset{2}{}}}\left(A_f^{i,n}(t,x)+B_f^{i,n}(t,x)+C_f^{i,n}(t,x)\right)+_tM_f^n(t,x).`$
The various terms on the right hand side are

$`B_f^{1,n}(x)=B_f^{1,n}(\underset{¯}{\omega },x):=_x\{f(\widehat{𝝃}^n(x))(𝚽(\widehat{𝝃}^n(x))\widehat{\mathit{\varphi }}^n(x))\}`$ (45)
$`B_f^{2,n}(x)=B_f^{2,n}(\underset{¯}{\omega },x):=\sigma _x^2f(\widehat{𝝃}^n(x))=_x\left\{\sigma f(\widehat{𝝃}^n(x))_x\widehat{𝝃}^n(x)\right\}`$ (46)
$`C_f^{1,n}(x)=C_f^{1,n}(\underset{¯}{\omega },x):=\left(_x\widehat{𝝃}^n(x)\right)^{}^2f(\widehat{𝝃}^n(x))\left(𝚽(\widehat{𝝃}^n(x))\widehat{\mathit{\varphi }}^n(x)\right)`$
(47)
$`C_f^{2,n}(x)=C_f^{2,n}(\underset{¯}{\omega },x):=\sigma \left(_x\widehat{𝝃}^n(x)\right)^{}^2f(\widehat{𝝃}^n(x))\left(_x\widehat{𝝃}^n(x)\right)`$ (48)
and

$`A_f^{i,n}(t,x):=A_f^{i,n}(𝒳_t^n,x),`$
$`B_f^{i,n}(t,x):=B_f^{i,n}(𝒳_t^n,x),`$
$`C_f^{i,n}(t,x):=C_f^{i,n}(𝒳_t^n,x).`$
In the present paper we shall apply the basic identity (44) only for Lax entropies $`f(𝒖)=S(𝒖)`$. In this special case the left hand side gets the form of a conservation law:

$`_tS(\widehat{𝝃}^n(t,x))+_xF(\widehat{𝝃}^n(t,x))=`$ (49)
$`{\displaystyle \underset{i=1}{\overset{2}{}}}\left(A_S^{i,n}(t,x)+B_S^{i,n}(t,x)+C_S^{i,n}(t,x)\right)+_tM_S^n(t,x),`$
### 5.4 Bounds

We fix $`T<\mathrm{}`$ and use the $`L^p`$ norms

$`g_{L_{t,x}^p}^p:={\displaystyle _0^T}{\displaystyle _𝕋}\left|g(t,x)\right|^p𝑑x𝑑t`$
and the Sobolev norms

$$g_{W_{t,x}^{1,p}}:=sup\{_0^T_𝕋\phi (t,x)g(t,x)𝑑x𝑑t:_t\phi _{L_{t,x}^q}^q+_x\phi _{L_{t,x}^q}^q1\}$$

where $`p^1+q^1=1`$ and $`\phi :[0,T]\times 𝕋`$ is a test function. We use the standard notation $`W_{t,x}^{1,2}=:H_{t,x}^1`$.

Remark on notation: The numerical error terms $`A_f^{i,n}(t,x)`$, $`i=1,2`$, will be estimated in $`L_{t,x}^{\mathrm{}}`$ norm. In these estimates only Taylor expansion bounds are used, no probabilistic argument is involved. The more sophisticated terms $`B_f^{i,n}(t,x)`$, $`i=1,2`$, respectively, $`C_f^{i,n}(t,x)`$, $`i=1,2`$, will be estimated in $`H_{t,x}^1`$, respectively, $`L_{t,x}^1`$ norms. The martingale derivative $`_tM_f^n(t,x)`$ will be estimated in $`H_{t,x}^1`$ norm.

By straightforward numerical estimates (which do not rely on any probabilistic arguments) we obtain

###### Lemma 4.

Assume conditions (A) and (B). Let $`f:𝒟`$ be a twice continuously differentiable function with bounded derivatives. Then almost surely

$`A_f^{1,n}_{L_{t,x}^{\mathrm{}}}=o(1)\text{and}A_f^{2,n}_{L_{t,x}^{\mathrm{}}}=o(1)`$
as $`n\mathrm{}`$.

###### Proof.

Indeed, using nothing more than Taylor expansion and boundedness of the local variables we readily obtain

$`\underset{x𝕋}{sup}\underset{\underset{¯}{\omega }\mathrm{\Omega }^n}{sup}\left|A_f^{1,n}(\underset{¯}{\omega },x)\right|C{\displaystyle \frac{n}{l^2}}=o(1)`$ (50)
$`\underset{x𝕋}{sup}\underset{\underset{¯}{\omega }\mathrm{\Omega }^n}{sup}\left|A_f^{2,n}(\underset{¯}{\omega },x)\right|C{\displaystyle \frac{n^2\sigma }{l^3}}=o(1).`$ (51)
We omit the tedious but otherwise straightforward details. ∎

Applying Proposition 1 we obtain the following more sophisticated bounds

###### Lemma 5.

Assume conditions (A) and (B). Let $`f:𝒟`$ be a twice continuously differentiable function with bounded derivatives. The following asymptotics hold, as $`n\mathrm{}`$:

$`(i)`$ $`𝐄\left(B_f^{1,n}_{H_{t,x}^1}\right)=o(1)`$
$`(ii)`$ $`𝐄\left(B_f^{2,n}_{H_{t,x}^1}\right)=o(1)`$
$`(iii)`$ $`𝐄\left(C_f^{1,n}_{L_{t,x}^1}\right)=o(1)`$
$`(iv)`$ $`𝐄\left(C_f^{2,n}_{L_{t,x}^1}\right)=𝒪(1)`$
###### Proof.

.
$`(i)`$ We use the block replacement bound (38):

$`𝐄\left(\left|{\displaystyle _0^T}{\displaystyle _𝕋}v(t,x)B_f^{1,n}(t,x)𝑑x𝑑t\right|\right)`$
$`=𝐄\left(\left|{\displaystyle _0^T}{\displaystyle _𝕋}_xv(t,x)f(\widehat{𝝃}^n(t,x))\left(𝚽(\widehat{𝝃}^n(t,x))\widehat{\mathit{\varphi }}^n(t,x)\right)dxdt\right|\right)`$
$`\underset{𝒖𝒟}{sup}\left|f(𝒖)\right|_xv_{L_{t,x}^2}𝐄\left({\displaystyle _0^T}{\displaystyle _𝕋}\left|𝚽(\widehat{𝝃}^n(t,x))\widehat{\mathit{\varphi }}^n(t,x)\right|^2𝑑x𝑑t\right)^{1/2}`$
$`C_xv_{L_{t,x}^2}{\displaystyle \frac{l}{n\sqrt{\sigma }}}.`$
$`(ii)`$ We use the gradient bound (39):

$`𝐄\left(\left|{\displaystyle _0^T}{\displaystyle _𝕋}v(t,x)B_f^{2,n}(t,x)𝑑x𝑑t\right|\right)`$
$`=𝐄\left(\left|{\displaystyle _0^T}{\displaystyle _𝕋}_xv(t,x)f(\widehat{𝝃}^n(t,x))\sigma \left(_x\widehat{𝝃}^n(t,x)\right)dxdt\right|\right)`$
$`\underset{𝒖𝒟}{sup}\left|f(𝒖)\right|_xv_{L_{t,x}^2}\sigma 𝐄\left({\displaystyle _0^T}{\displaystyle _𝕋}\left|_x\widehat{𝝃}^n(t,x)\right|^2𝑑x𝑑t\right)^{1/2}`$
$`C_xv_{L_{t,x}^2}\sigma ^{1/2}.`$
$`(iii)`$ We use both, the block replacement bound (38) and the gradient bound (39):

$`𝐄\left({\displaystyle _0^T}{\displaystyle _𝕋}\left|C_f^{1,n}(t,x)\right|𝑑x𝑑t\right)`$
$`\underset{𝒖𝒟}{sup}\left|^2f(𝒖)\right|𝐄\left({\displaystyle _0^T}{\displaystyle _𝕋}\right|\widehat{\mathit{\varphi }}^n(s,x)𝚽(\widehat{𝝃}^n(s,x))|^2dxdt)^{1/2}\times `$
$`𝐄\left({\displaystyle _0^T}{\displaystyle _𝕋}\left|_x\widehat{𝝃}^n(s,x)\right|^2𝑑x𝑑t\right)^{1/2}`$
$`C{\displaystyle \frac{l}{n\sigma }}.`$
$`(iv)`$ We use again the gradient bound (39):

$`𝐄\left({\displaystyle _0^T}{\displaystyle _𝕋}\left|C_f^{2,n}(t,x)\right|𝑑x𝑑t\right)`$
$`\underset{𝒖𝒟}{sup}\left|^2f(𝒖)\right|\sigma 𝐄{\displaystyle _0^T}{\displaystyle _𝕋}\left|_x\widehat{𝝃}^n(s,x)\right|^2𝑑x𝑑t`$
$`C.`$
###### Lemma 6.

Assume conditions (A) and (B). Let $`f:𝒟`$ be a twice continuously differentiable function with bounded derivatives. There exists a constant $`C`$ (depending only on $`f`$) such that the folowing asymptotics holds as $`n\mathrm{}`$:

$`𝐄\left(_tM_f^n_{H_{t,x}^1}\right)=o(1)`$
###### Proof.

Since

$`_tM_f^n_{H_{t,x}^1}^2M_f^n_{L_{t,x}^2}^2,`$
we have to bound the expectation of the right hand side.

$`𝐄\left({\displaystyle _0^T}{\displaystyle _𝕋}\left(M_f^n(t,x)\right)^2𝑑x𝑑t\right)=𝐄\left({\displaystyle _0^T}{\displaystyle _𝕋}M_f^n(t,x)𝑑x𝑑t\right),`$
where $`tM_f^n(t,x)`$ is the conditional variance process of the martingale $`M_f^n(t,x)`$:

$`M_f^n(t,x)`$ $`=`$ $`n\left(L^nf^2(\widehat{𝝃}^n(t,x))2f(\widehat{𝝃}^n(t,x))L^nf(\widehat{𝝃}^n(t,x))\right)`$
$`+n^2\sigma \left(K^nf^2(\widehat{𝝃}^n(t,x))2f(\widehat{𝝃}^n(t,x))K^nf(\widehat{𝝃}^n(t,x))\right).`$
Using the expressions (40) and (42) we obtain

$`M_f^n(t,x)`$ $`=`$ $`A_{f^2}^{1,n}(t,x)2f(\widehat{𝝃}^n(t,x))A_f^{1,n}(t,x)`$
$`+A_{f^2}^{2,n}(t,x)2f(\widehat{𝝃}^n(t,x))A_f^{2,n}(t,x).`$
Hence, by the bounds (50) and (51) (which apply as well of course to the function $`f^2`$), we obtain

$$\underset{t[0,T]}{sup}\underset{x𝕋}{sup}M_f^n(t,x)C\frac{n^2\sigma }{l^3}=o(1),$$

which proves the lemma. ∎

### 5.5 Convergence to measure valued entropy solutions

###### Proposition 2.

Conditions (A), (B), and (C) are in force. Let $`^n^{}`$ be a subsequence of the probability distributions defined in (35), which converges weakly in the vague sense: $`^n^{}\begin{array}{c}\hfill \\ \hfill \end{array}`$. Then the probability measure $``$ is concentrated on the measure valued entropy solutions of the Cauchy problem (16), (17).

###### Proof.

Due to separability of $`C([0,T]\times 𝕋)`$ it is sufficient to prove that for any convex Lax entropy/flux pair $`(S,F)`$ and any positive test function $`\phi :[0,T]\times 𝕋_+`$, (26) holds $``$-almost-surely. So we fix $`(S,F)`$ and $`\phi `$, and denote the real random variable

$`X^n`$ $`:=`$ $`{\displaystyle _0^T}{\displaystyle _𝕋}\phi (t,x)\left(_tS(\widehat{𝝃}^n(t,x))+_xF(\widehat{𝝃}^n(t,x))\right)𝑑x𝑑t`$
$`=`$ $`{\displaystyle _0^T}{\displaystyle _𝕋}\left(_t\phi (t,x)\nu ^n(t,x),S+_x\phi (t,x)\nu ^n(t,x),F\right)𝑑x𝑑t`$
$`+{\displaystyle _𝕋}\phi (0,x)\nu ^n(0,x),S𝑑x.`$
The right hand side is a continuous function of $`\nu ^n`$, so from the asumption $`^n\begin{array}{c}\hfill \\ \hfill \end{array}`$ it follows that

$`X^nX,`$ (52)
where

$`X`$ $`:=`$ $`{\displaystyle _0^T}{\displaystyle _𝕋}\left(_t\phi (t,x)\nu (t,x),S+_x\phi (t,x)\nu (t,x),F\right)𝑑x𝑑t`$
$`+{\displaystyle _𝕋}{\displaystyle _𝒟}\nu (0,x;d𝒗)\phi (0,x)S(𝒗)𝑑x.`$
and $`\nu `$ is distributed according to $``$.

We apply the basic identity (44) speciafied for $`f(𝒖)=S(𝒖)`$, that is identity (49). It follows that

$`X^n=Y^n+Z^n`$ (53)
where

$`Y^n`$ $`:=`$ $`{\displaystyle _0^T}{\displaystyle _𝕋}\phi (t,x)C_S^{2,n}(t,x)𝑑x𝑑t`$
$`=`$ $`\sigma {\displaystyle _0^T}{\displaystyle _𝕋}\phi (t,x)\left(_x\widehat{𝝃}^n(t,x)\right)^{}^2S(\widehat{𝝃}^n(t,x))\left(_x\widehat{𝝃}^n(t,x)\right)`$
and

$`Z^n:={\displaystyle _0^T}{\displaystyle _𝕋}\phi (t,x)\left({\displaystyle \underset{i=1}{\overset{2}{}}}\left(A_S^{i,n}+B_S^{i,n}\right)+C_S^{1,n}+_tM_S^n\right)(t,x)𝑑x𝑑t.`$
Due to convexity of $`S`$ and positivity of $`\phi `$ we have

$`Y^n0,\text{ almost surely.}`$ (54)
On the other hand, from Lemmas 4, 5, 6 we conclude that

$`\underset{n\mathrm{}}{lim}𝐄\left(\left|Z^n\right|\right)=0.`$ (55)
Finally, from (52), (53), (54) and (55) the statement of the Proposition follows. ∎

### 5.6 Compensated compactness

#### 5.6.1 Murat’s lemma

###### Lemma 7.

Assume conditions (A) and (B). Given a twice continuously differentiable Lax entropy/flux pair $`(S,F)`$, the sequence

$`X^n(t,x):=_tS(\widehat{𝝃}^n(t,x))+_xF(\widehat{𝝃}^n(t,x))`$
is tight in $`H_{t,x}^1`$.

###### Proof.

Note that $`X^n(t,x)`$ is exactly the left hand side of the basic identity (49) and racall that this expression (in particular $`_tS(\widehat{𝝃}^n(t,x))`$) is a random distribution in its $`t`$ variable.

By definition and a priori boundedness of the domain $`𝒟`$, there exists a constant $`C<\mathrm{}`$ such that

$`𝐏\left(X^n_{W_{t,x}^{1,\mathrm{}}}C\right)=1.`$ (56)
We decompose

$`X^n(t,x)=Y^n(t,x)+Z^n(t,x),`$ (57)
where

$`Y^n(t,x):=B_S^{1,n}(t,x)+B_S^{2,n}(t,x)+_tM_S^n(t,x),`$
$`Z^n(t,x):=A_S^{1,n}(t,x)+A_S^{2,n}(t,x)+C_S^{1,n}(t,x)+C_S^{2,n}(t,x).`$
For the definitions of the terms $`A_S^{i,n}`$, $`B_S^{i,n}`$, $`C_S^{i,n}`$, $`i=1,2`$, see (41), (43) and (45)–(48).

From Lemmas 4, 5 and 6 it follows that

$`𝐄\left(Y^n_{H_{t,x}^1}\right)0,`$ (58)
and

$`𝐄\left(Z^n_{L_{t,x}^1}\right)C.`$ (59)
Further on, from (58), respectively, (59) it follows that for any $`\epsilon >0`$ one can find a *compact* subset $`K_\epsilon `$ of $`H_{t,x}^1`$ and a *bounded* subset $`L_\epsilon `$ of $`L_{t,x}^1`$ such that

$`𝐏\left(Y^nK_\epsilon \right)<\epsilon /2,𝐏\left(Z^nL_\epsilon \right)<\epsilon /2.`$ (60)
On the other hand, Murat’s lemma (see  or Chapter 9 of ) says that

$$M_\epsilon :=\left(K_\epsilon +L_\epsilon \right)\{XH_{t,x}^1:X_{W_{t,x}^{1,\mathrm{}}}C\}$$

is compact in $`H_{t,x}^1`$. From (56), (57) and (60) it follows that

$$𝐏\left(X^nM_\epsilon \right)<\epsilon ,$$

uniformly in $`n`$, which proves the lemma. ∎

#### 5.6.2 Tartar’s lemma and its consequence

###### Lemma 8.

Assume conditions (A) and (B). Let $`^n^{}`$ be a subsequence of the probability measures on $`𝒴`$ defined in (35), which converges weakly in the vague sense: $`^n^{}\begin{array}{c}\hfill \\ \hfill \end{array}`$. Then $``$ is concentrated on the (vaguely closed) subset of Young measures satisfying (27). That is, $``$-a.s. for any two generalized Lax entropy/flux pairs $`(S_1,F_1)`$ and $`(S_2,F_2)`$ and any test function $`\phi :[0,T]\times 𝕋`$,

$`{\displaystyle _0^T}{\displaystyle _𝕋}\phi (t,x)\nu (t,x),S_1F_2S_2F_1𝑑x𝑑t=`$ (61)
$`{\displaystyle _0^T}{\displaystyle _𝕋}\phi (t,x)\left(\nu (t,x),S_1\nu (t,x),F_2\nu (t,x),S_2\nu (t,x),F_1\right)𝑑x𝑑t.`$
###### Proof.

First we prove (61) for twice continuously differentiable entropy/flux pairs. Due to separability of $`C([0,T]\times 𝕋)`$ it is sufficient to prove that for any two twice continuously differentiable Lax entropy/flux pairs $`(S_1,F_1)`$ and $`(S_2,F_2)`$ and any test function $`\phi :[0,T]\times 𝕋`$, (61) holds $``$-almost-surely. So we fix $`(S_1,F_1)`$, $`(S_2,F_2)`$ and $`\phi `$. Note that

$`X_j^n(t,x)`$ $`:=`$ $`_tS_j(\widehat{𝝃}^n(t,x))+_xF_j(\widehat{𝝃}^n(t,x))`$
$`=`$ $`_t\nu ^n(t,x),S_j+_x\nu ^n(t,x),F_j`$
$`j=1,2`$.

Due to Skorohod’s representation theorem (see Theorem 1.8 of ) and Lemma 7 we can realize the random Young measures $`\nu ^n(t,x;d𝒗)`$ and $`\nu (t,x;d𝒗)`$ *jointly* on an enlarged probablity space $`(\mathrm{\Xi },𝒜,𝐏)`$ so that *$`𝐏`$-almost-surely*

$`\nu ^n^{}\nu ,\text{ and }\{X_j^n^{}:n^{},j=1,2\}\text{ is relative compact in }H_{t,x}^1.`$
So, applying Tartar’s Div-Curl Lemma (see , , or Chapter 9 of ) we conclude that (in this realization) almost surely the factorization (61) holds true.

Since $`𝒟`$ is compact, from Riemann’s method of solving the linear hyperbolic PDE (24) (see Chapter 4 of ) it follows that generalized entropy/flux pairs are approximated pointwise by smooth ones. Thus the Tartar factorization (61) extends from smooth to generalized entropy/flux pairs. Hence the lemma. ∎

The main consequence of Lemma 8 is the following

###### Proposition 3.

Assume conditions (A) and (B). Let $`^n^{}`$ be a subsequence of the probability measures on $`𝒴`$ defined in (35), which converges weakly in the vague sense: $`^n^{}\begin{array}{c}\hfill \\ \hfill \end{array}`$. Then the probability measure $``$ is concentrated on a set of Dirac-type Young measures, that is $`(𝒰)=1`$.

###### Proof.

In view of Lemma 8 this is a direct consequence of Lemma 1. ∎

Remark: This is the only point where we exploit the very special features of the PDE (16). Note that the proof of Lemma 1 relies on elementary explicit computations. In case of general $`2\times 2`$ hyperbolic systems of conservation laws, instead of these explicit computations we should refer to DiPerna’s arguments from , possibly further complicated by the existence of singular (non-hyperbolic) points isolated at the boundary of the domain $`𝒟`$. More general results will be presented in the forthcoming paper .

### 5.7 End of proof

From Propositions 2 and 3 it follows that from any subsequence $`n^{}`$ one can extract a sub-subsequence $`n^{\prime \prime }`$ such that $`^{n^{\prime \prime }}\begin{array}{c}\hfill \\ \hfill \end{array}`$ and $``$ is concentrated on the set of Dirac-type measure valued entropy solutions of the Cauchy problem. From now on we denote simply by $`n`$ this sub-subsequence. Referring again to Skorohod’s Representation Theorem we realize the Dirac-type random Young measures $`\nu _{t,x}^n(d𝒗):=\delta _{\widehat{𝝃}^n(t,x)}(d𝒗)`$ and $`\nu _{t,x}(d𝒗):=\delta _{𝒖(t,x)}(d𝒗)`$ jointly on an enlarged probability space $`(\mathrm{\Xi },𝒜,𝐏)`$, so that $`\nu ^n\nu `$ almost surely and $`(t,x)𝒖(t,x)`$ is almost surely entropy solution of the Cauchy problem. From basic functional analytic considerations (see e.g. Chapter 9 of ) it follows that, in case that the limit Youg measure is also Dirac-type, the vague convergence $`\nu ^n\nu `$ implies strong (i.e. norm) convergence of the underlying functions,

$`\widehat{𝝃}^n𝒖\text{ in }L_{t,x}^1.`$ (62)
So, we have realized jointly on the probability space $`(\mathrm{\Xi },𝒜,𝐏)`$ the empirical block average processes $`\widehat{𝝃}^n(t,x)`$ and the random function $`𝒖(t,x)`$ so that the latter one is almost surely entropy solution of the Cauchy problem, and (62) almost surely holds true. This proves the theorem. ∎

## 6 Appendix

### 6.1 The logarithmic Sobolev inequality for random stirring of $`r`$ colours on the linear graph $`\{1,2,\mathrm{},l\}`$

Let $`r2`$ be a fixed intger. For $`l`$ we consider $`r`$-tuples of integers $`N=(N_1,\mathrm{},N_r)`$ such that

$`N_\alpha 0,\alpha =1,\mathrm{},r\text{ and }N_1+\mathrm{}+N_r=l,`$ (63)
$`\mathrm{\Omega }_N^l:=\{\underset{¯}{\omega }\{1,\mathrm{},r\}^l:{\displaystyle \underset{j=1}{\overset{l}{}}}11_{\{\omega _j=\alpha \}}=N_\alpha ,\alpha =1,\mathrm{},r\}.`$
Let $`\pi _N^l`$ denote the uniform probability measure on $`\mathrm{\Omega }_N^l`$:

$$\pi _N^l(\underset{¯}{\omega })=\frac{N_1!\mathrm{}N_r!}{l!},\underset{¯}{\omega }\mathrm{\Omega }_N^l.$$

The one dimensional marginals of $`\pi _N^l`$ are

$$\pi _N^{l,1}(\alpha )=\frac{N_\alpha }{l}.$$

The random element of $`\mathrm{\Omega }_N^l`$ distributed according to $`\pi _N^l`$ will be denoted $`\underset{¯}{\zeta }=(\zeta _1,\zeta _2,\mathrm{},\zeta _l)`$. Expectation with respect to $`\pi _N^l`$, respectively, $`\pi _N^{l,1}`$ will be denoted by $`𝐄_N^l\left(\mathrm{}\right)`$, respectively, $`𝐄_N^{l,1}\left(\mathrm{}\right)`$. Conditional expectation, given the first coordinate $`\zeta _1`$ will be denoted $`𝐄_N^l\left(\mathrm{}|\zeta _1\right)`$. Note that

$$𝐄_N^l\left(f(\underset{¯}{\zeta })|\zeta _1=\alpha \right)=𝐄_{N^\alpha }^{l1}\left(f(\alpha ,\zeta _2,\mathrm{},\zeta _l)\right)$$

where $`𝐄_{N^\alpha }^{l1}\left(\mathrm{}\right)`$ stands for expectation with respect to $`(\zeta _2,\mathrm{},\zeta _l)`$ distributed according to $`\pi _{N^\alpha }^{l1}`$ and, given $`N=(N_1,\mathrm{},N_\alpha ,\mathrm{},N_r)`$ with $`N_\alpha 1`$, $`N^\alpha :=(N_1,\mathrm{},N_\alpha 1,\mathrm{},N_r)`$.

Given a probability density $`h`$ over $`(\mathrm{\Omega }_N^l,\pi _N^l)`$, its entropy is

$`H_N^l\left(h\right):=𝐄_N^l\left(h(\underset{¯}{\zeta })\mathrm{log}h(\underset{¯}{\zeta })\right).`$
Further on, for $`i,j\{1,\mathrm{},l\}`$ let $`\mathrm{\Theta }_{i,j}:\mathrm{\Omega }_N^l\mathrm{\Omega }_N^l`$ be the spin exchange operator

$$\left(\mathrm{\Theta }_{i,j}\underset{¯}{\omega }\right)_k=\{\begin{array}{cc}\omega _j\hfill & \text{ if }k=i,\hfill \\ \omega _i\hfill & \text{ if }k=j,\hfill \\ \omega _k\hfill & \text{ if }ki,j,\hfill \end{array}.$$

For $`f:\mathrm{\Omega }_N^l`$ we define the Dirichlet form and the conditional Dirichlet form, given $`\zeta _1`$

$`D_N^l\left(f\right)`$ $`:=`$ $`{\displaystyle \frac{1}{2}}{\displaystyle \underset{i=1}{\overset{l1}{}}}𝐄_N^l\left(\left(f(\mathrm{\Theta }_{i,i+1}\underset{¯}{\zeta })f(\underset{¯}{\zeta })\right)^2\right),`$
$`D_N^l\left(f|\zeta _1\right)`$ $`:=`$ $`{\displaystyle \frac{1}{2}}{\displaystyle \underset{i=1}{\overset{l1}{}}}𝐄_N^l\left((f(\mathrm{\Theta }_{i,i+1}\underset{¯}{\zeta })f(\underset{¯}{\zeta }))^2|\zeta _1\right)`$
$`=`$ $`D_{N^{\zeta _1}}^{l1}\left(f(\zeta _1,)\right).`$
The logarithmic Sobolev inequality is formulated in the following

###### Proposition 4.

There exist a finite constant $`\mathrm{}`$ such that for any number of colours $`r`$, any block size $`l`$, any distribution of colours $`N=(N_1,\mathrm{},N_r)`$ satisfying (63) and any probability density $`h`$ over $`(\mathrm{\Omega }_N^l,\pi _N^l)`$, the following inequality holds:

$`H_N^l\left(h\right)\mathrm{}l^2D_N^l\left(\sqrt{h}\right).`$ (64)
Remark: The proof follows  (see also ). Due to exchangeability of the measures $`\pi _N^l`$ some steps are considearbly simpler than there.

###### Proof.

We shall prove the Proposition by induction on $`l`$. Denote

$$W(l):=\underset{N}{sup}\underset{h}{sup}\frac{H_N^l\left(h\right)}{D_N^l\left(\sqrt{h}\right)}.$$

The following identity is straightforward

$`H_N^l\left(h\right)`$ $`=`$ $`𝐄_N^{l,1}\left(𝐄_N^l\left(h(\underset{¯}{\zeta })|\zeta _1\right)𝐄_N^l\left(h_1(\underset{¯}{\zeta })\mathrm{log}h_1(\underset{¯}{\zeta })|\zeta _1\right)\right)`$ (65)
$`+𝐄_N^{l,1}\left(𝐄_N^l\left(h(\underset{¯}{\zeta })|\zeta _1\right)\mathrm{log}𝐄_N^l\left(h(\underset{¯}{\zeta })|\zeta _1\right)\right),`$
where in the first term of the right hand side

$$h_1(\underset{¯}{\zeta }):=\frac{h(\underset{¯}{\zeta })}{𝐄_N^l\left(h(\underset{¯}{\zeta })|\zeta _1\right)}.$$

First we bound the first term on the right hand side of (65). By the induction hypothesis

$`𝐄_N^{l,1}\left(𝐄_N^l\left(h(\underset{¯}{\zeta })|\zeta _1\right)𝐄_N^l\left(h_1(\underset{¯}{\zeta })\mathrm{log}h_1(\underset{¯}{\zeta })|\zeta _1\right)\right)`$ (66)
$`=`$ $`𝐄_N^{l,1}\left(𝐄_N^l\left(h(\underset{¯}{\zeta })|\zeta _1\right)𝐄_{N^{\zeta _1}}^{l1}\left(h_1(\underset{¯}{\zeta })\mathrm{log}h_1(\underset{¯}{\zeta })\right)\right)`$
$``$ $`W(l1)𝐄_N^{l,1}\left(𝐄_N^l\left(h(\underset{¯}{\zeta })|\zeta _1\right)D_{N^{\zeta _1}}^{l1}\left(\sqrt{h_1}\right)\right)`$
$`=`$ $`W(l1)𝐄_N^{l,1}\left(D_{N^{\zeta _1}}^{l1}\left(\sqrt{h(\zeta _1,)}\right)\right)`$
$``$ $`W(l1)D_N^l\left(\sqrt{h}\right).`$
Next we turn to the second term on the right hand side of (65). In order to simplify notation in the next argument we denote

$`\varrho _\alpha :={\displaystyle \frac{N_\alpha }{l}},q_\alpha (j):=𝐄_N^l\left(h(\underset{¯}{\zeta })11_{\{\zeta _j=\alpha \}}\right).`$ (67)
It is straightforward that for any $`K<\mathrm{}`$ there exists a finite constant $`C=C(K)`$ such that for any $`v[0,K]`$

$`v\mathrm{log}v(v1)+C\left(\sqrt{v}1\right)^2`$
and, furthermore, the constant $`C`$ can be chosen so that for any $`v>K`$

$`v\mathrm{log}vCv^{3/2}.`$
Hence, with the notation introduced in (67), we get the following upper bound for the second term on the right hand side of (65)

$`𝐄_N^{l,1}\left(𝐄_N^l\left(h(\underset{¯}{\zeta })|\zeta _1\right)\mathrm{log}𝐄_N^l\left(h(\underset{¯}{\zeta })|\zeta _1\right)\right)={\displaystyle \underset{\alpha =1}{\overset{r}{}}}\varrho _\alpha {\displaystyle \frac{q_\alpha (1)}{\varrho _\alpha }}\mathrm{log}{\displaystyle \frac{q_\alpha (1)}{\varrho _\alpha }}`$ (68)
$`C{\displaystyle \underset{\alpha =1}{\overset{r}{}}}\varrho _\alpha \left\{\left(\sqrt{{\displaystyle \frac{q_\alpha (1)}{\varrho _\alpha }}}1\right)^211_{\{\frac{q_\alpha (1)}{\varrho _\alpha }K\}}+\left({\displaystyle \frac{q_\alpha (1)}{\varrho _\alpha }}\right)^{3/2}11_{\{\frac{q_\alpha (1)}{\varrho _\alpha }>K\}}\right\}.`$
We use the straightforward inequality

$$\underset{\alpha =1}{\overset{r}{}}\varrho _\alpha \left(\frac{q_\alpha (1)}{\varrho _\alpha }1\right)11_{\{\frac{q_\alpha (1)}{\varrho _\alpha }K\}}0.$$

We choose $`K`$ sufficiently large in order that Lemma 4.1 of  can be applied to $`\{1,2,\mathrm{},l\}j\sqrt{q_\alpha (j)/\varrho _\alpha }`$. Thus we obtain the upper bound

$`\left(\sqrt{{\displaystyle \frac{q_\alpha (1)}{\varrho _\alpha }}}1\right)^211_{\{\frac{q_\alpha (1)}{\varrho _\alpha }K\}}+\left({\displaystyle \frac{q_\alpha (1)}{\varrho _\alpha }}\right)^{3/2}11_{\{\frac{q_\alpha (1)}{\varrho _\alpha }>K\}}`$
$`C^{}l{\displaystyle \underset{j=1}{\overset{l1}{}}}\left(\sqrt{{\displaystyle \frac{q_\alpha (j+1)}{\varrho _\alpha }}}\sqrt{{\displaystyle \frac{q_\alpha (j)}{\varrho _\alpha }}}\right)^2.`$ (69)
Putting together (68) and (69) and returning to the explicit notation we obtain the following upper bound for the second term on the right hand side of (65):

$`𝐄_N^{l,1}\left(𝐄_N^l\left(h(\underset{¯}{\zeta })|\zeta _1\right)\mathrm{log}𝐄_N^l\left(h(\underset{¯}{\zeta })|\zeta _1\right)\right)`$
$`C^{\prime \prime }l{\displaystyle \underset{j=1}{\overset{l1}{}}}{\displaystyle \underset{\alpha =1}{\overset{r}{}}}\left(\sqrt{𝐄_N^l\left(h(\underset{¯}{\zeta })11_{\{\zeta _{j+1}=\alpha \}}\right)}\sqrt{𝐄_N^l\left(h(\underset{¯}{\zeta })11_{\{\zeta _j=\alpha \}}\right)}\right)^2`$
$`=C^{\prime \prime }l{\displaystyle \underset{j=1}{\overset{l1}{}}}{\displaystyle \underset{\alpha =1}{\overset{r}{}}}\left(\sqrt{𝐄_N^l\left(h(\mathrm{\Theta }_{j,j+1}\underset{¯}{\zeta })11_{\{\zeta _j=\alpha \}}\right)}\sqrt{𝐄_N^l\left(h(\underset{¯}{\zeta })11_{\{\zeta _j=\alpha \}}\right)}\right)^2`$
$`=C^{\prime \prime }l{\displaystyle \underset{j=1}{\overset{l1}{}}}\left(\sqrt{𝐄_N^l\left(h(\mathrm{\Theta }_{j,j+1}\underset{¯}{\zeta })\right)}\sqrt{𝐄_N^l\left(h(\underset{¯}{\zeta })\right)}\right)^2`$
$`C^{\prime \prime }l{\displaystyle \underset{j=1}{\overset{l1}{}}}𝐄_N^l\left(\left(\sqrt{h(\mathrm{\Theta }_{j,j+1}\underset{¯}{\zeta })}\sqrt{h(\underset{¯}{\zeta })}\right)^2\right)=C^{\prime \prime }lD_N^l\left(\sqrt{h}\right).`$ (70)
In the second step we used *exchangeability* of the canonical measures $`\pi _N^l`$. In the last inequality we note that the map

$$_+\times _+(x,y)\left(\sqrt{x}\sqrt{y}\right)^2$$

is *convex* and we use Jensen’s inequality.

From (65), (66) and (70) eventually we obtain

$$W(l)W(l1)+C^{\prime \prime }l,$$

which yields (64). ∎

### 6.2 An elementary probability lemma

The contents of the present subsection, in paericular Lemma 9 and its Corollary 1 are borrowed form . For their proofs see that paper.

Let $`(\mathrm{\Omega },\pi )`$ be a finite probability space and $`\omega _i`$, $`i`$ i.i.d. $`\mathrm{\Omega }`$-valued random variables with distribution $`\pi `$. Further on let

$`\begin{array}{cc}𝝃:\mathrm{\Omega }^d,\hfill & 𝝃_i:=𝝃(\omega _i),\hfill \\ \upsilon :\mathrm{\Omega }^m,\hfill & \upsilon _i:=\upsilon (\omega _i\mathrm{},\omega _{i+m1}).\hfill \end{array}`$
For $`𝒙\text{co}(\text{Ran}(𝝃))`$ denote

$$\mathrm{{\rm Y}}(𝒙):=\frac{𝐄_\pi (\upsilon _1\mathrm{exp}\{_{i=1}^m𝝀𝝃_i\}\})}{𝐄_\pi (\mathrm{exp}\{𝝀𝝃_1\}\})^m},$$

where $`\text{co}()`$ stands for ‘convex hull’ and $`𝝀^d`$ is chosen so that

$$\frac{𝐄_\pi (𝝃_1\mathrm{exp}\{𝝀𝝃_1\}\})}{𝐄_\pi (\mathrm{exp}\{𝝀𝝃_1\}\})}=𝒙.$$

For $`l`$ we denote *plain* block averages by

$$\overline{𝝃}_l:=\frac{1}{l}\underset{j=1}{\overset{l}{}}𝝃_j.$$

Finally, let $`b:[0,1]`$ be a fixed smooth function and denote

$$M(b):=_0^1b(s)𝑑s.$$

We also define the block averages *weighted by $`b`$* as

$$b,𝝃_l:=\frac{1}{l}\underset{j=0}{\overset{l}{}}b(j/l)𝝃_j,b,\upsilon _l:=\frac{1}{l}\underset{j=0}{\overset{l}{}}b(j/l)\upsilon _j,$$

The following lemma relies on elementary probability arguments:

###### Lemma 9.

There exists a constant $`C<\mathrm{}`$, depending only on $`m`$, on the joint distribution of $`(\upsilon _i,𝛏_i)`$ and on the function $`b`$, such that the following bounds hold uniformly in $`l`$ and $`𝐱(\mathrm{Ran}(𝛏)+\mathrm{}+\mathrm{Ran}(𝛏))/l`$:
(i) If $`M(b)=0`$, then

$`𝐄\left(\mathrm{exp}\left\{\gamma \sqrt{l}b,\upsilon _l\right\}|\overline{𝝃}_l=𝒙\right)\mathrm{exp}\{C(\gamma ^2+\gamma /\sqrt{l})\}.`$ (72)
(ii) If $`M(b)=1`$ then

$`𝐄\left(\mathrm{exp}\left\{\gamma \sqrt{l}\left(b,\upsilon _l\mathrm{{\rm Y}}(b,𝝃_l)\right)\right\}|\overline{𝝃}_l=𝒙\right)\mathrm{exp}\{C(\gamma ^2+\gamma /\sqrt{l})\}.`$ (73)
The proof of this lemma appears in .

###### Corollary 1.

There exists a $`\gamma _0>0`$, depending only on $`m`$, on the joint distribution of $`(\upsilon _i,𝛏_i)`$ and on the function $`b`$, such that the following bounds hold uniformly in $`l`$ and $`𝐱(\mathrm{Ran}(𝛏)+\mathrm{}+\mathrm{Ran}(𝛏))/l`$:
(i) If $`M(b)=0`$, then

$`𝐄\left(\mathrm{exp}\left\{\gamma _0lb,\upsilon _l^2\right\}|\overline{𝝃}_l=𝒙\right)\sqrt{2}.`$ (74)
(ii) If $`M(b)=1`$ then

$`𝐄\left(\mathrm{exp}\left\{\gamma _0l\left(b,\upsilon _l\mathrm{{\rm Y}}(b,𝝃_l)\right)^2\right\}|\overline{𝝃}_l=𝒙\right)\sqrt{2}.`$ (75)
###### Proof.

The bounds (74) and (75) follow from (72), respectively, (73) by exponential Gaussian averaging. ∎

### 6.3 Proof of the a priori bounds (Proposition 1)

#### 6.3.1 Proof of the block replacement bound (38)

We note first that by simple numerical approximation (no probability bounds involved)

$`\left|{\displaystyle _𝕋}\left|\widehat{\upsilon }^n(x)\mathrm{{\rm Y}}(\widehat{𝝃}^n(x))\right|^2𝑑x{\displaystyle \frac{1}{n}}{\displaystyle \underset{j=1}{\overset{n}{}}}\left|\widehat{\upsilon }^n(j/n)\mathrm{{\rm Y}}(\widehat{𝝃}^n(j/n))\right|^2\right|`$
$`Cl^2=o\left({\displaystyle \frac{l^2}{n^2\sigma }}\right).`$
We apply Lemma 3 with

$$𝒱_j=\left|\widehat{\upsilon }^n(j/n)\mathrm{{\rm Y}}(\widehat{𝝃}^n(j/n))\right|^2.$$

We use the bound (75) of Lemma 1 with the function $`b=a`$ of (32). Note that $`\gamma =\gamma _0l`$ can be chosen in (37). This yields the bound (38).

#### 6.3.2 Proof of the gradient bound (39)

Again, we start with numerical approximation:

$`\left|{\displaystyle _𝕋}\left|_x\widehat{\upsilon }^n(x)\right|^2𝑑x{\displaystyle \frac{1}{n}}{\displaystyle \underset{j=1}{\overset{n}{}}}\left|_x\widehat{\upsilon }^n(j/n)\right|^2\right|C{\displaystyle \frac{n^2}{l^4}}=o(\sigma ^1).`$
We apply Lemma 3 with

$$𝒱_j=\left|_x\widehat{\upsilon }^n(j/n)\right|^2.$$

We use now the bound (74) of Lemma 1 with the function $`b=a^{}`$, where $`a`$ is the weighting function from (32). The same choice $`\gamma =\gamma _0l`$ applies. This will yield the bound (39).

Acknowledgement: We thank the kind hospitality of Institut Henri Poincaré where part of this work was done. We also acknowledge the financial support of the Hungarian Science Foundation (OTKA), grants T26176 and T037685.

József Fritz
Institute of Mathematics
Technical University Budapest
Egry József u. 1.
H-1111 Budapest, Hungary
jofri@math.bme.hu    Bálint Tóth
Institute of Mathematics
Technical University Budapest
Egry József u. 1.
H-1111 Budapest, Hungary
balint@math.bme.hu


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# Fermi edge singularity in a non-equilibrium system

## Abstract

We report exact results for the Fermi Edge Singularity in the absorption spectrum of an out-of-equilibrium tunnel junction. We consider two metals with chemical potential difference $`V`$ separated by a tunneling barrier containing a defect, which exists in one of two states. When it is in its excited state, tunneling through the otherwise impermeable barrier is possible. We find that the lineshape not only depends on the total scattering phase shift as in the equilibrium case but also on the difference in the phase of the reflection amplitudes on the two sides of the barrier. The out-of-equilibrium spectrum extends below the original threshold as energy can be provided by the power source driving current across the barrier. Our results have a surprisingly simple interpretation in terms of known results for the equilibrium case but with (in general complex-valued) combinations of elements of the scattering matrix replacing the equilibrium phase shifts.

Developments in the fabrication and manipulation of mesoscopic systems have allowed detailed and well-characterized transport measurements for a large range of devices including quantum pumps, tunnel junctions and carbon nanotubes. It is often the case that such measurements explore non-equilibrium effects particularly when the potential difference is dropped across a narrow potential barrier or over a short distance inside the metallic region RB94 ; KGG01 ; NCL00 . While there is often a very good theoretical description of much that has been observed for systems close to equilibrium, the theoretical picture for systems out of equilibrium is less clear with fewer established theoretical results.

A natural point to start, when looking for a description of non-equilibrium effects in many-electron systems is the Fermi Edge Singularity (FES), which is one of the simplest non-trivial many-body effects. The FES is characteristic of the response of a Fermi gas to a rapid switching process. Initially it was associated with the shape of the absorption edge and spectral line found when a core hole is created Mahan67 . However, it turns out to be a generic feature of a Fermi system’s response to any fast switching process and reflects the large number of low-energy (particle-hole) excitations which exist in Fermi liquids. It has also been shown to be related to Anderson’s orthogonality catastrophe ND69 ; CN71  and can be used to reformulate the Kondo problem in terms of a succession of spin flips which are treated as the switching of a one-body potential between two different values YA70 .

We consider a system at zero temperature with two Fermi surfaces separated by a barrier with a potential difference (bias) $`V`$ applied across the barrier (see Fig. 1). The barrier contains a defect, which exists in one of two states with energy separation $`E_0`$. Tunneling through the barrier is assumed to be possible only when the defect is in its excited state. We compute the absorption spectrum close to the threshold at $`\omega _0=E_0\text{Re}(\mathrm{\Delta }(V))`$, for frequencies $`(\omega \omega _0)\xi _0`$, where $`\xi _0`$ is of order the bandwidth and Re$`(\mathrm{\Delta }(V))`$ is real part of the combined energy shift of the two Fermi seas when the defect is in its excited state. ($`\mathrm{\Delta }(V)`$ is complex for non-zero $`V`$ on account of the dissipation in the system.)

Using an approach based on that of Nozières and de Dominicis (ND) ND69 , we solve exactly for the asymptotic behavior of the absorption spectrum in two limiting cases: $`(\omega \omega _0)V`$ and $`(\omega \omega _0)V`$. Our results have a simple interpretation in terms of generalized (complex) phase-shifts at the Fermi energy. Typical lineshapes for the case $`(\omega \omega _0)V`$ illustrating the dependence on the reflection amplitudes and phases are shown in Figure 2.

Our treatment of the problem is based on that of Muzykantskii and Adamov (MA) for the statistics of charge transfer in quantum pumps, which uses the relation between the many-particle response to the changing one-body potential and the solution of an associated matrix Riemann-Hilbert (RH) problem MA03 . This problem was also addressed perturbatively and using the ND approach in CR00 ; Ng96 , although the results in CR00  led the authors to question the validity of the ND approach of Ng96  (see also BB02 ). Our solution shows clearly that the ND approach is valid, with the earlier difficulties probably associated with an incomplete analysis of the matrix RH problem associated with their singular integral equation.

We characterize the scattering at the interface between the two subsystems via the unitary $`2\times 2`$ matrix, $`S(ϵ,t)`$, connecting scattering states in the two wires for particles with energy $`ϵ`$. This takes one of two values $`S^g`$, and $`S^e`$ depending on whether the the defect is in its ground ($`g`$) or excited state ($`e`$). In the following, we will take a row/column index equal to one (two) for the left (right) electrode so that the diagonal (off-diagonal) elements correspond to reflection (transmission) amplitudes (see Figure 1). We choose the scattering states to be the eigen states of the system when the defect is in its ground state and the barrier is totally reflecting hence: $`S_{ij}^g=\delta _{ij}`$. $`S^e`$ is an arbitrary unitary matrix with reflection probability $`R=|S_{11}^e|^2<1`$. We will assume that a negative potential $`V`$ ($`V>0`$) has been applied to the left electrode with respect to the right electrode.

The spectral function, $`\rho (\omega ,V)`$, for absorption by the local level is given by ND69 :

$`\rho (\omega ,V)`$ $``$ $`\text{Re}{\displaystyle _{\mathrm{}}^{\mathrm{}}}\chi (t_f,V)e^{i\omega t_f}𝑑t_f`$ (1)
$`\chi (t_f,V)`$ $`=`$ $`0|U(t_f,0)|0.`$ (2)
Here $`|0`$ is the ground state wavefunction of the complete system (the filled Fermi seas in the two electrodes and the defect in its ground state), while $`U(t_f,0)`$ is the time-evolution operator for the system between $`t=0`$ and $`t=t_f`$ with the defect in its excited state. $`\chi (t_f,0)`$ is the same as the core hole Green’s function computed in Mahan67 ; ND69 ; CN71 .

Before discussing the full non-equilibrium case, we briefly review the known equilibrium results. When $`V=0`$ the response of the system is that of the core hole problem in a non-separable potential considered in YY82 ; Matveev-Larkin

$$\mathrm{log}\chi (t_f,0)=i(E_0\mathrm{\Delta }(0))t_f\beta \mathrm{log}it_f\xi _0$$
(3)
where $`\beta =_{j=1,2}\left(\frac{\delta _j}{\pi }\right)^2`$. Here $`e^{i2\delta _j}`$ are the eigen values of $`S^e`$. The threshold is shifted from $`E_0`$, the energy separation in the two-level system, by $`\mathrm{\Delta }(0)`$, which is the shift of the ground state energy of the two Fermi seas when the scattering defect is in its excited state. This standard equilibrium result (3) is well understood in terms of the low-lying particle-hole excitations created by the rapid switching of the potential, with the principal contributions to the logarithm in (3) from excitations with frequencies between $`t_f^1`$ and $`\xi _0`$.

When a voltage is applied across the barrier with the defect in its excited state and $`R1`$, a current will flow and the system will become dissipative. For $`t_fV^1`$, the spectral response is dominated by excitations with frequencies $`\omega V`$, involving states which do not sense the potential drop across the barrier. As a result $`\chi (t_f,V)`$ is unchanged from its value in equilibrium.

When $`t_fV^1`$, the response is controlled by electrons within the band of width $`V`$ about the mean Fermi energy. We find that

$$\mathrm{log}\chi (t_f,V)=i(E_0\mathrm{\Delta }(V))t_f\beta ^{}\mathrm{log}(Vt_f)+D$$
(4)
Here the function $`\mathrm{\Delta }(V)`$ is given by:

$$\mathrm{\Delta }(V)=_{\mathrm{}}^0\frac{\text{tr}\mathrm{log}(S(E))}{2\pi i}𝑑E+_0^V\frac{\mathrm{log}(S_{11}(E))}{2\pi i}𝑑E$$
(5)
This expression (5) for the (in general complex) energy shift of the two Fermi seas, when the defect is in its excited state, can be thought of as the generalization of Fumi’s theorem Friedel52 ; Fumi55  to the out-of-equilibrium case. The exponent $`\beta ^{}`$ in (4) is given by

$$\beta ^{}=\underset{j=1,2}{}\left(\mathrm{log}(S_{jj}^e)/2\pi i\right)^2.$$
(6)
The constant term $`D`$ gives the contribution from excitations with frequencies between $`V`$ and $`\xi _0`$, which do not sense the potential drop across the barrier. To logarithmic accuracy Note\_on\_cutoff :

$$D=\beta \mathrm{log}\xi _0/V.$$
(7)
Writing $`S_{jj}^e=\sqrt{R}e^{i\alpha _j}`$ and comparing the forms for $`\beta `$ and $`\beta ^{}`$ in (3) and (6), we see that the quantity $`\mathrm{log}(S_{jj}^e)/2i=\alpha _j/2+i(\mathrm{log}R)/4\pi `$ is acting as a complex phase shift. Its real part, $`\alpha _j/2`$, characterizes the scattering in the $`j`$’th electrode and in (4) describes the effect of particle-hole excitations in the band of width $`V`$ from the Fermi energy. Its imaginary part $`(\mathrm{log}R)/4\pi `$ relates to the lifetime of the excitation.

The absorption spectrum is found from the Fourier transform of $`\chi (t_f,V)`$ in (1). Measuring $`\omega `$ from $`\omega _0=E_0\text{Re}(\mathrm{\Delta }(V))`$, it is given by note\_on\_Fourier\_transform :

$$\rho (\omega )\frac{1}{\mathrm{\Omega }^{1\beta _1^{}}}e^{\beta _2^{}\varphi _\mathrm{\Omega }}\mathrm{sin}\left(\beta _1^{}\pi (\beta _1^{}1)\varphi _\mathrm{\Omega }\beta _2^{}\mathrm{log}\mathrm{\Omega }\right).$$
(8)
Here we have defined $`\mathrm{\Omega }\mathrm{exp}i\varphi _\mathrm{\Omega }\omega /Vi(\mathrm{log}R)/4\pi `$ and written $`\beta ^{}=\beta _1^{}+i\beta _2^{}`$. While the dependence on $`\beta _1^{}`$ reflects the total overall scattering on the two sides of the barrier as in equilibrium, $`\beta _2^{}`$ is proportional to the difference in the phases of the two reflection amplitudes $`S_{11}^e`$ and $`S_{22}^e`$ and its appearance in (8) is entirely an out-of-equilibrium effect.

When $`R=1`$, the term multiplying $`\mathrm{\Omega }^{1\beta _1^{}}`$ in (8) is proportional to the theta function $`\theta (\omega )`$ and describes the usual sharp threshold in $`\rho (\omega )`$. With $`R<1`$ it leads to a smearing of the threshold (see Figure 2). As pointed out in CR00 , this broadening of the threshold reflects the existence of ‘negative energy excitations’ in the system involving a hole in the left electrode and a particle in the right electrode. From an experimental point of view, the below threshold broadening with its functional dependence on the phases of the reflection amplitudes and its overall energy scale fixed by the bias are probably the key signatures of the non-equilibrium effects we are describing. The sensitivity to the difference in scattering phase shifts (this difference is proportional to $`\beta _2^{}`$) would show up in changes in the line shape on reversing the bias and should also be observable.

The derivation of the overlap $`\chi (t_f)`$ follows quite closely that of MA MA03 . We introduce the operators $`a_i(ϵ)`$ which annihilate particles on the $`i`$’th side of the barrier with energy $`ϵ`$ in eigen states of the system with the defect in its ground state ($`S=1`$). The effect of the time-evolution operator $`U`$ acting between $`t=0`$ and $`t_f`$ on states $`a_i^{}|`$, where $`|`$ is the true vacuum with no particles, is given by

$$Ua_i^{}(ϵ)|=\underset{i}{}dϵ^{}\sigma _{ij}(ϵ,ϵ^{})a_j^{}(ϵ^{})|.$$
(9)
One can show that for states near the Fermi energy (see AM01  for example) $`\sigma `$ is given by:

$$\sigma _{ij}(ϵ,ϵ^{})=e^{iE_0t_f}\frac{1}{2\pi }_{\mathrm{}}^{\mathrm{}}S_{ij}(t)e^{i(ϵϵ^{})t}𝑑t$$
(10)
provided that the adiabaticity condition

$$\mathrm{}\frac{S}{t}\frac{S}{E}1$$
(11)
is satisfied. In (9) $`S(t)=S^g`$ for $`t<0`$ and $`t>t_f`$ and $`S(t)=S^e`$ for $`0<t<t_f`$ and we have suppressed the explicit dependence of $`S`$ on energy. When computing the low frequency asymptotics, this becomes a slow dependence on $`(ϵ+ϵ^{})/2`$, and can be neglected.

The overlap $`\chi (t_f)`$ can be written

$$\chi (t_f)=0|U|0=\text{det}^{}\sigma $$
(12)
where the prime indicates that the operator determinant is to be taken only over the occupied states in the two filled Fermi seas. This reduces in the equilibrium case to the determinant in CN71 . With zero chemical potential in the right electrode and treating the (non-equilibrium) Fermi distribution as the diagonal operator $`f_{ij}(ϵ,ϵ^{})=\delta _{ij}\delta (ϵϵ^{})\theta ((ϵ+V(2i))`$ allows us to write

$`\chi (t_f)`$ $`=`$ $`\text{det}(1f+f\sigma )`$ (13)
$`\mathrm{log}\chi (t_f)`$ $`=`$ $`\text{Tr}\left(\mathrm{log}(1f+f\sigma )f\mathrm{log}\sigma \right)+\text{Tr}f\mathrm{log}\sigma `$ (14)
$``$ $`C(V,t_f)+\text{Tr}f\mathrm{log}\sigma `$
where the operator determinant is now the full determinant taken over all states and the trace, Tr, is the trace over energy and channels. The last term in the expression (14) can be found by explicitly carrying out the integral in (10). This gives that $`\sigma _{ij}(ϵ,ϵ^{})=\delta _{ij}\delta (ϵϵ^{})X_{ij}(ϵϵ^{})`$. The logarithm can then be expanded as a power series in the matrix $`X`$ Note\_on\_expanding\_log\_sigma . After evaluating $`X^n`$ term by term and then resumming we obtain: $`\text{Tr}f\mathrm{log}\sigma =i(E_0\mathrm{\Delta }(0))t_f+(Vt_f/2\pi i)(\mathrm{log}S)_{11}`$. The difference between this and $`i(E_0\mathrm{\Delta }(V))t_f`$ in (5) is contained in the function $`C(t_f,V)`$.

To evaluate $`C(V,t_f)`$ we introduce $`\stackrel{~}{S}(t,\lambda )`$ where

$$\stackrel{~}{S}(t,\lambda )=\mathrm{exp}(\lambda \mathrm{log}S(t)),$$
(15)
so that $`\stackrel{~}{S}(t,1)=S(t)`$. We now apply the following gauge transformation:

$`𝐚(ϵ)`$ $``$ $`𝐚(ϵ,t)=e^{iLVt}𝐚(ϵ)`$ (16)
$`\stackrel{~}{S}(t,\lambda )`$ $``$ $`\stackrel{~}{S}(t,\lambda )=e^{iLVt}\stackrel{~}{S}(t,\lambda )e^{iLVt}`$ (17)
Here $`L`$ is the diagonal matrix with $`L_{11}=1`$ and $`L_{22}=0`$. This has the advantage of eliminating the chemical potential difference between the two electrodes at the expense of an added time-dependence for $`\stackrel{~}{S}`$ when $`t[0,t_f]`$. After switching to the time-representation (in which the trace, Tr, becomes a trace over channels and an integral over time) and substituting for $`\sigma `$ from (10), $`C(t_f,V)`$ can be written

$$C(t_f,V)=\text{Tr}_0^\lambda 𝑑\lambda \left[\left((1f+f\stackrel{~}{S})^1ff\stackrel{~}{S}^1\right)\frac{d\stackrel{~}{S}}{d\lambda }\right].$$
(18)
Using a parallel argument to that of MA03 , we find that

$$(1f+f\stackrel{~}{S})^1=Y_+\left((1f)Y_+^1+fY_{}^1\right).$$
(19)
where $`Y_\pm =Y(t\pm i0,\lambda )`$. Here $`Y(z,\lambda )`$ is an analytic (matrix) function of complex $`z`$ in the complement of the cut along the real axis between $`z=0`$ and $`z=t_f`$, and satisfies:

$$Y_{}Y_+^1=\stackrel{~}{S}(t,\lambda )\text{and}Y(z,\lambda )\text{const}\text{for}|z|\mathrm{}.$$
(20)
If there is no tunneling between electrodes ($`S^e`$ diagonal), this matrix RH problem can be shown to be the same as the homogeneous part of that solved in ND69 . After substituting (19) into (18), using the fact that in the time-representation (after the gauge transformation 16) $`f(t,t^{})=i(2\pi (tt^{}+i0))^1`$ and letting $`t^{}t`$ to compute the trace, Tr, we finally obtain

$$C(t_f,V)=\frac{i}{2\pi }_0^1𝑑\lambda _0^{t_f}\text{tr}\left\{\frac{dY_+}{dt}Y_+^1S^1\frac{dS}{d\lambda }\right\}𝑑t.$$
(21)
Here tr denotes a trace over channel indices.

Solving for $`\chi (t_f,V)`$ is equivalent to solving for the quantity $`Y(z,\lambda )`$. For small $`V`$, we can expand the exponential factors in $`\stackrel{~}{S}(z,\lambda )`$ (see 17) as $`e^{\pm iVz}=1\pm iVz`$. In this case

$$Y(z,\lambda )=\mathrm{exp}\left[\frac{1}{2\pi i}\mathrm{log}\left(\frac{z}{zt_f}\right)\mathrm{log}\stackrel{~}{S}(z,\lambda )\right]$$
(22)
solves the RH problem. For $`|z|\mathrm{}`$, the exponent (and hence $`Y`$) tends to a constant as required. If $`Vt_f1`$ we can insert this result into (21) and compute the integrals over $`t`$ and $`\lambda `$. This yields the equilibrium result (3). Although there are corrections to the equilibrium ($`V=0`$) solution for $`Y_+`$ which are linear in $`Vt`$, these cancel out after taking the trace in (21). Corrections to $`C(t_f,V)`$ can therefore only be of order $`(Vt_f)^2`$ or higher.

For times $`t_f>V^1`$, a general solution to this type of matrix RH problem is not known. The form (22) for $`Y_+`$ is still valid for $`0<t<V^1`$ and $`t_f>t>t_fV^1`$. The integral over times close to the branch points of $`Y`$ then gives the contribution varying as $`D=\mathrm{log}(\xi _0/V)`$ in (7). However, although the form for $`Y`$ in (22) still satisfies the discontinuity condition along the cut, the exponent is unbounded for large $`|z|`$ and hence (22) is useless as a starting point for solving for $`Y_+`$ for $`tV^1`$. Following the derivation of MA03 , we find that:

$$Y_+(t,\lambda )=[\begin{array}{ccc}\hfill \psi _+(t,\lambda )& \text{ when }& t<0\hfill \\ \hfill \left(\begin{array}{cc}1& \gamma (t,\lambda )\\ 0& 1\end{array}\right)\psi _+(t,\lambda )& \text{ when }& 0<t<t_f\hfill \\ \hfill \psi _+(t,\lambda )& \text{ when }& t_f<t\hfill \end{array}$$
(23)
is asymptotically correct for $`tV^1`$. Here $`\gamma (t,\lambda )=\stackrel{~}{S}_{12}(t,\lambda )/\stackrel{~}{S}_{11}(t,\lambda )`$ and $`\psi _+(t,\lambda )=\psi (t+i0,\lambda )`$ where

$$\psi (z,\lambda )=\mathrm{exp}\left(\mathrm{log}\frac{z}{zt_f}\left[\frac{\mathrm{log}\stackrel{~}{S}_{11}/\stackrel{~}{S}_{22}^{}}{4\pi i}\tau _0+\frac{\mathrm{log}(\stackrel{~}{S}_{11}\stackrel{~}{S}_{22}^{})}{4\pi i}\tau _3\right]\right).$$
(24)
The corresponding function $`Y(z,\lambda )`$ is not analytic across vertical cuts in the complex $`z`$-plane through the points $`z=0`$ and $`z=t_f`$, with discontinuities which decay as $`e^{V|z|}`$ or $`e^{V|zt_f|}`$. (These factors show that we cannot describe the reverse bias case by taking $`V<0`$ in (23). Instead $`Y_+`$ takes a different form for negative $`V`$.) After inserting the solution (23) in (21) and computing the integrals over $`\lambda `$ and $`t`$, we obtain the first two terms in (4). The term obtained after differentiating $`\gamma `$ in (23) and adding to the term from $`\text{Tr}f\mathrm{log}\sigma `$ in (14), leads after some algebra to the term $`i(E_0\mathrm{\Delta }(V))t_f`$. Differentiating $`\psi _+(t_f,\lambda )`$ in (23) leads to the term proportional to $`\mathrm{log}Vt_f`$. The constant term is derived using the form (22) for $`Y_+`$ valid for small $`t`$ and $`tt_f`$ as discussed above.