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# 1 Introduction

## 1 Introduction

Importance of investigation of symmetry properties of differential equations is well-established in mathematical physics. Classical methods for studying symmetry properties and their utilisation for finding solutions of partial differential equations were originated in the papers by S. Lie, and developed by modern authors (see e.g. ).

We start our consideration from some symmetry properties and solutions of the nonlinear wave equation

$$\mathrm{}u=F(u,u^{})$$
(1)
for the complex-valued function $`u=u(x_0,x_1,\mathrm{},x_n)`$, $`x_0=t`$ is the time variable, $`x_1,\mathrm{},x_n`$ are $`n`$ space variables. $`F`$ is some function. $`\mathrm{}u`$ is the d’Alembert operator

$$\mathrm{}u=\frac{^2u}{x_0^2}+\frac{^2u}{x_1^2}+\mathrm{}+\frac{^2u}{x_n^2}.$$
(2)
It is well-known that the equation (1) may be reduced to a nonlinear Schrödinger equation with the number of space dimensions smaller by 1, when the nonlinearity $`F`$ has a special form $`F=uf(|u|)`$, where $`|u|=(uu^{})^{1/2}`$, an asterisk designates complex conjugation.

Further we are trying to generalise this relation between the nonlinear wave equation and the nonlinear Schrödinger equation into a relation between differential invariants of the respective invariance algebrae, and introduce new concepts of the reduction of fundamental sets of differential invariants and of conditional differential invariants. Conditional differential invariants may be utilised to describe conditionally invariant equations under certain operators and with the certain conditions, in the same manner as absolute differential invariants of a Lie algebra may be utilised for description of all equations invariant under this algebra.

The concept of non-classical, or conditional symmetry, originated in its various facets in the papers  and later by numerous authors was developed into the theory and a number of algorithms for studying symmetry properties of equations of mathematical physics and for construction of their exact solutions. Here we will use the following definition of the conditional symmetry:

Definition 1 The equation $`F(x,u,\underset{1}{𝑢},\mathrm{},\underset{l}{𝑢})=0`$ where $`\underset{k}{𝑢}`$ is the set of all $`k\mathrm{th}`$-order partial derivatives of the function $`u=(u^1,u^2,\mathrm{},u^m)`$, is called conditionally invariant under the operator

$$Q=\xi ^i(x,u)_{x_i}+\eta ^r(x,u)_{u^r}$$
(3)
if there is an additional condition

$$G(x,u,\underset{1}{𝑢},\mathrm{},\underset{l_1}{𝑢})=0,$$
(4)
such that the system of two equations $`F=0`$, $`G=O`$ is invariant under the operator $`Q`$.

If (4) has the form $`G=Qu`$, then the equation $`F=0`$ is called $`Q`$-conditionally invariant under the operator $`Q`$.

## 2 Differential invariants and description of invariant equations

Differential invariants of Lie algebrae present a powerful tool for studying partial differential equations and construction of their solutions .

Now we will present some basic definitions that we will further generalise. For the purpose of these definitions we deal with Lie algebrae consisting of the infinitesimal operators

$$X=\xi ^i(x,u)_{x_i}+\eta ^r(x,u)_{u^r}.$$
(5)
Here $`x=(x_1,x_2,\mathrm{},x_n)`$, $`u=(u^1,u^2,\mathrm{},u^m)`$.

Definition 2 The function $`F=F(x,u,\underset{1}{𝑢},\mathrm{},\underset{l}{𝑢}),`$ is called a differential invariant for the Lie algebra $`L`$ with basis elements $`X_i`$ of the form (5) $`(L=X_i)`$ if it is an invariant of the $`l\mathrm{th}`$ prolongation of this algebra:

$$\underset{l}{𝑋}_sF(x,u,\underset{1}{𝑢},\mathrm{},\underset{l}{𝑢})=\lambda _s(x,u,\underset{1}{𝑢}\mathrm{},\underset{l}{𝑢})F,$$
(6)
where the $`\lambda _s`$ are some functions; when $`\lambda _i=0,F`$ is called an absolute invariant; when $`\lambda _i0`$, it is a relative invariant.

Further when writing “differential invariant” we would imply “absolute differential invariant”.

Definition 3 A maximal set of functionally independent invariants of order $`rl`$ of the Lie algebra $`L`$ is called a functional basis of the $`l\mathrm{th}`$-order differential invariants for the algebra $`L`$.

While writing out lists of invariants we shall use the following designations

$$u_a\frac{u}{x_a},u_{ab}\frac{^2u}{x_ax_b},S_k(u_{ab})u_{a_1a_2}u_{a_2a_3}\mathrm{}u_{a_{k1}a_k}u_{a_ka_1},$$

$$S_{jk}(u_{ab},v_{ab})u_{a_1a_2}\mathrm{}u_{a_{j1}a_j}v_{a_ja_{j+1}}\mathrm{}v_{a_ka_1},$$

$$R_k(u_a,u_{ab})u_{a_1}u_{a_k}u_{a_1a_2}u_{a_2a_3}\mathrm{}u_{a_{k1}a_k}.$$
(7)
In all the lists of invariants $`j`$ takes the values from 0 to $`k`$. We shall not discern the upper and lower indices with respect to summation: for all Latin indices $`x_ax_ax_ax^ax^ax_a=x_1^2+x_2^2+\mathrm{}+x_n^2`$.

Fundamental bases of differential invariants for the standard scalar representations of the Poincaré and Galilei algebra of the types (17), (12) were found in . Fundamental bases of differential invariants allow describing all equations invariant under the respective Lie algebrae.

Construction of conditional differential invariants would allow describing all equations, conditionally invariant with respect to certain operators under certain conditions.

Definition 4 $`F=F(x,u,\underset{1}{𝑢},\mathrm{},\underset{l}{𝑢})`$ is called a conditional differential invariant for the operator with $`X`$ of the form (5) if under the condition

$$G(x,u,\underset{1}{𝑢},\mathrm{},\underset{l_1}{𝑢})=0,$$
(8)
$$\underset{l_{\mathrm{max}}}{𝑋}F(x,u,\underset{1}{𝑢},\mathrm{},\underset{l}{𝑢})=0,\underset{l_{\mathrm{max}}}{𝑋}G(x,u,\underset{1}{𝑢},\mathrm{},\underset{l_1}{𝑢})=0,$$
(9)
$`\underset{l_{\mathrm{max}}}{𝑋}`$ being the $`l_{\mathrm{max}}\mathrm{th}`$ prolongation of the operator $`X`$. The order of the prolongation $`l_{\mathrm{max}}=\mathrm{max}(l,l_1)`$.

## 3 Nonlinear wave equation, nonlinear Schrödinger equation <br>and relation between their symmetries

The Galilei algebra for $`n1`$ space dimensions is a subalgebra of the Poincaré algebra for $`n`$ space dimensions (see e.g. ) and references therein), and this fact allows reduction of the nonlinear wave equation (1) to the Schrödinger equation. We will consider the nonlinear wave equations for three space variables, and its symmetry properties in relation to the symmetry properties of the nonlinear Schrödinger equation for two space variables. However, all the results can be easily generalised for arbitrary number of space dimensions.

Reduction of the nonlinear wave equation (1) to the Schrödinger equation can be performed by means of the ansatz

$$u=\mathrm{exp}((im/2)(x_0+x_3))\mathrm{\Phi }(x_0x_3,x_1,x_2).$$
(10)
Substitution of the expression (10) into (1) gives the equation $`\mathrm{exp}((im/2)(x_0+x_3))(2im\mathrm{\Phi }_\tau +\mathrm{\Phi }_{11}+\mathrm{\Phi }_{22})=F(u,u^{}).`$ Here we adopted the following notations: $`\tau =x_0+x_3`$ is the new time variable, $`\mathrm{\Phi }_\tau =\frac{\mathrm{\Phi }}{\tau }`$, $`\mathrm{\Phi }_a=\frac{\mathrm{\Phi }}{x_a}`$, $`\mathrm{\Phi }_{ab}=\frac{^2\mathrm{\Phi }}{x_ax_b}.`$

Further on we adopt the convention that summation is implied over the repeated indices. If not stated otherwise, small Latin indices run from 1 to 2.

If the nonlinearity in the equation (1) has the form $`F=uf(|u|)`$, then it reduces to the Schrödinger equation

$$2im\mathrm{\Phi }_\tau +\mathrm{\Phi }_{11}+\mathrm{\Phi }_{22}=\mathrm{\Phi }f(|\mathrm{\Phi }|).$$
(11)
Such reduction allowed construction of numerous new solutions for the nonlinear wave equation by means of the solutions of a nonlinear Schrödinger equation . We show that this reduction allowed also to describe additional symmetry properties for the equation (1), related to the symmetry properties of the equation (11).

Lie symmetry of the equation (11) was described in . With an arbitrary function $`f`$ it is invariant under the Galilei algebra with basis operators

$$_\tau =\frac{}{\tau },_a=\frac{}{x_a},J_{12}=x_1_2x_2_1,$$

$$G_a=t_a+ix_a(\mathrm{\Phi }_\mathrm{\Phi }\mathrm{\Phi }^{}_\mathrm{\Phi }^{})(a=1,2),J=(\mathrm{\Phi }_\mathrm{\Phi }\mathrm{\Phi }^{}_\mathrm{\Phi }^{}).$$
(12)
When $`f=\lambda |u|^2`$, where $`\lambda `$ is an arbitrary constant, the equation (11) is invariant under the extended Galilei algebra that contains besides the operators (12) also the dilation operator

$$D=2\tau _\tau +x_a_aI,$$
(13)
where $`I=\mathrm{\Phi }_\mathrm{\Phi }+\mathrm{\Phi }^{}_\mathrm{\Phi }^{}`$, and the projective operator

$$A=\tau ^2_\tau +\tau x_a_a+\frac{im}{2}x_ax_aJ\tau I.$$
(14)
Lie reductions and families of exact solutions for multidimensional nonlinear Schrödinger equations were found at . Note that the ansatz (10) is the general solution of the equation

$$u_0+u_3+imu=0.$$
(15)
We can regard the equation (15) as the additional condition imposed on the nonlinear wave equation with the nonlinearity $`F=\lambda u|u|^2`$. Solution of the resulting system

$$\mathrm{}u=\lambda u|u|^2,$$
(16)
with the equation (15) would allow to reduce number of independent variables by one, and obtain the same reduced equation, invariant under the extended Galilei algebra with the projective operator. This allows establishing conditional invariance of the nonlinear wave equation (16) under the projective operator. It is well-known that it is not invariant under this operator in the Lie sense.

The maximal invariance algebra of the equation (1) that may be found according to the Lie algorithm (see e.g. ) is defined by the following basis operators:

$$p_\mu =ig_{\mu \nu }\frac{}{x_\nu },J_{\mu \nu }=x_\mu p_\nu x_\nu p_\mu ,$$
(17)
where $`\mu ,\nu `$ take the values $`0,1,\mathrm{},3`$; the summation is implied over the repeated indices (if they are small Greek letters) in the following way: $`x_\nu x_\nu x_\nu x^\nu x^\nu x_\nu =x_0^2x_1^2\mathrm{}x_n^2`$, $`g_{\mu \nu }=\mathrm{diag}(1,1,\mathrm{},1).`$

However, summation for all derivatives of the function $`u`$ is assumed as follows: $`u_\nu u_\nu u_\nu u^\nu u^\nu u_\nu =u_0^2+u_1^2+\mathrm{}+u_n^2`$.

Unlike the standard convention on summation of the repeated upper and lower indices we consider $`x_\nu `$ and $`x^\nu `$ equal with respect to summation not to mix signs of derivatives and numbers of functions.

Theorem 1 The nonlinear wave equation (16) is conditionally invariant with the condition (15) under the projective operator

$$A_1=\frac{1}{2}(x_0x_3)^2(_0_3)+(x_0x_3)(x_1_1+x_2_2)$$

$$+\frac{imx^2}{2}(u_uu^{}_u^{})+\frac{n1}{2}(x_0x_3)(u_u+u^{}_u^{}).$$
(18)
To prove Theorem 1 it is sufficient to show that the system (16), (15) is invariant under the operator (18) by means of the classical Lie algorithm.

Our further study aims at construction of other Poincaré-invariant equations possessing the same conditional invariance property.

## 4 Example: construction of conditional differential invariants

Now we adduce fundamental bases of differential invariants that will be utilised for construction of our example of conditional differential invariants.

First we present a functional basis of differential invariants for the Poincaré algebra (17) of the second order for the complex-valued scalar function $`u=u(x_0,x_1,\mathrm{},x_3).`$ It consists of 24 invariants

$$u^r,R_k(u_\mu ^r,u_{\mu \nu }^1),S_{jk}(u_{\mu \nu }^r,u_{\mu \nu }^1).$$
(19)
In (19) everywhere $`k=1,\mathrm{},4`$; $`j=0,\mathrm{},k`$. A functional basis of differential invariants for the Galilei algebra (12), mass $`m0`$, of the second order for the complex-valued scalar function $`\mathrm{\Phi }=\mathrm{\Phi }(\tau ,x_1,\mathrm{},x_2)`$ consists of 16 invariants.

For simplification of the expressions for differential invariants we introduced the following notations:

$$\mathrm{\Phi }=\mathrm{exp}\varphi ,\mathrm{Im}\mathrm{\Phi }=\mathrm{arctan}\frac{\mathrm{Re}\varphi }{\mathrm{Im}\varphi }.$$

The elements of the functional basis may be chosen as follows:

$$\varphi +\varphi ^{},M_1=2im\varphi _t+\varphi _a\varphi _a,M_1^{},M_2=m^2\varphi _{tt}+2im\varphi _a\varphi _{at}+\varphi _a\varphi _b\varphi _{ab},M_2^{},$$

$$S_{jk}(\varphi _{ab},\varphi _{ab}^{}),R_j^1=R_j(\theta _a,\varphi _{ab}),R_j^2=R_j(\theta _a^{},\varphi _{ab}),R_j^3=R_j(\varphi _a+\varphi _a^{},\varphi _{ab}).$$
(20)
Here $`\theta _a=im\varphi _{at}+\varphi _a\varphi _{ab},\varphi _{ab}`$ are covariant tensors for the Galilei algebra.

A functional basis of differential invariants for the Galilei algebra (12) extended by the dilation operator (13) and the projective operator (14) may be chosen as follows:

$$N_1e^{2(\varphi +\varphi ^{})},\frac{N_1}{N_1^{}},\frac{N_2}{N_1^2},\frac{N_2^{}}{(N_1^{})^2},S_{jk}(\rho _{ab},\rho _{ab}^{}),R_j(\rho _a,\rho _{ab}),$$

$$R_j(\rho _a^{},\rho _{ab}),R_j(\varphi _a+\varphi _a^{},\rho _{ab})N_1^1,(\varphi _{aa}+\varphi _{aa}^{})N_1^1,$$
(21)
where

$$N_1=M_1+\varphi _{aa}=2im\varphi _t+\varphi _{aa}+\varphi _a\varphi _a,N_2=\frac{1}{n}\varphi _{aa}N_1+\frac{\varphi _{aa}^2}{2n}+M_2$$
(22)
and the covariant tensors have the form

$$\rho _a=\theta _aN_1^{3/2},\rho _{ab}=\left(\varphi _{ab}\frac{\delta _{ab}}{n}\varphi _{cc}\right)N_1^1.$$

An algorithm for construction of conditional differential invariants may be derived directly from the Definition 4. Such invariants may be found by means of the solution of the system (8), (9).

We can construct conditional differential invariants of the Poincaré algebra (17) and the projective operator (18) solving the system

$$\underset{2}{A_1}F(\mathrm{Inv}_P)=0,u_0+u_3+imu=0,$$

where $`\mathrm{Inv}_P`$ are all differential invariants (19) of the Poincaré algebra (17). Using the fact that the ansatz (10) is the general solution of the additional condition (15), we can directly substitute this ansatz into differential invariants (19). To avoid cumbersome formulae here we did not list expressions for all differential invariants from (19).

The expression $`\mathrm{}u`$ transforms into the following:

$$\mathrm{}u=u(2im\varphi _\tau +\varphi _{aa}+\varphi _a\varphi _a),$$

where $`N_1`$ is an expression entering into expression for differential invariants (20). Further we get

$$u_\mu u_\mu =u^2(2im\varphi _t+\varphi _a\varphi _a),$$

$$u_\mu u_\nu u_{\mu \nu }=u^3(\varphi _a\varphi _b\varphi _{ab}+(\varphi _a\varphi _a)^2m^2(\varphi _{tt}+4\varphi _t^2)+\varphi _a\varphi _b\varphi _{ab}+(\varphi _a\varphi _a)^2$$

$$m^2(\varphi _{tt}+4\varphi _t^2)+2im\varphi _a\varphi _{at}+4im\varphi _t\varphi _a\varphi _a),$$
(23)
Substituting the ansatz (10) to all elements of the fundamental basis (19) of second-order differential invariants of the Poincaré algebra similarly to (23), we can obtain reduced basis of differential invariants, that may be used for construction of all equations reducible by means of this ansatz. We can give the following representation of the Poincaré invariants using expressions $`M_k`$ (20) and $`N_k`$ (21), where in the expressions for $`M_k`$, $`N_k`$ $`(k=1,2)`$ time variable is $`\tau =x_0x_3`$:

$$\mathrm{}u=uN_1,u_\mu u_\mu =u^2M_1,u_\mu u_\nu u_{\mu \nu }=u^3\left(M_2+M_1^2\right),$$

$$u_{\mu \nu }u_{\mu \nu }=u^2\left(2M_2+M_1^2+\varphi _{ab}\varphi _{ab}\right),$$

$$u_\mu u_\mu ^{}=\frac{uu^{}}{2}\left(M_1+M_1^{}\left(\varphi _a+\varphi _a^{}\right)\left(\varphi _a+\varphi _a^{}\right)\right).$$
(24)
Here $`a`$, $`b`$ take values from 1 to 2.

Whence

$$M_1=u_\mu u_\mu u^2,\varphi _{aa}=N_1M_1=\frac{u\mathrm{}uu_\mu u_\mu }{u^2},$$

$$M_2=u_\mu u_\nu u_{\mu \nu }u^3(u_\mu u_\mu )^2u^4,N_1=\frac{\mathrm{}u}{u},$$

$$N_2=\frac{1}{n}\varphi _{aa}N_1+\frac{\varphi _{aa}^2}{2n}+M_2=u_\mu u_\nu u_{\mu \nu }u^3(u_\mu u_\mu )^2u^4$$

$$+\frac{1}{n}\frac{\mathrm{}u}{u}\frac{u\mathrm{}uu_\mu u_\mu }{u^2}+\frac{1}{2n}\frac{(u\mathrm{}uu_\mu u_\mu )^2}{u^4},$$

$$R_1(\varphi _a+\varphi _a^{},\rho _{ab})N_1^1=(\varphi _a+\varphi _a^{})(\varphi _a+\varphi _a^{})N_1^1$$

$$=\left(N_1+N_1^{}\frac{2}{uu^{}}u_\mu u_\mu ^{}\right)N_1^1=\frac{u^{}\mathrm{}u+u\mathrm{}u^{}2u_\mu u_\mu ^{}}{u^{}\mathrm{}u}.$$
(25)
We construct Poincaré-invariant conditional differential invariants of the projective operator (18) under the condition (15) using differential invariants (20)

$$I_1=N_1e^{2(\varphi +\varphi ^{})}=\frac{\mathrm{}u}{u(uu^{})^2},I_2=\frac{N_1}{N_1^{}}=\frac{u^{}\mathrm{}u}{u\mathrm{}u^{}},$$

$$I_3=\frac{N_2}{N_1^2}=(uu_\mu u_\nu u_{\mu \nu }+\frac{3}{2n}u^2(\mathrm{}u)^2+\left(\frac{1}{2n}1\right)(u_\mu u_\mu )^2\frac{2}{n}u\mathrm{}u(u_\mu u_\mu ))\left(u^2(\mathrm{}u)^2\right)^1,$$

$$I_4=R_1(\varphi _a+\varphi _a^{},\rho _{ab})N_1^1=\frac{u^{}\mathrm{}u+u\mathrm{}u^{}2u_\mu u_\mu ^{}}{u^{}\mathrm{}u}.$$
(26)
Whence, we may state that all equations of the form $`F(I_1,I_2,I_3,I_4)=0`$ are conditionally invariant with respect to the operator $`A_1`$ (18) with the additional condition (15).

Finding similar representations for all elements of the functional basis (20) of the second-order differential invariants of the Galilei algebra (12) extended by the dilation operator (13) and the projective operator (14), we can construct functional basis of conditional differential operators. Such basis would allow to describe all Poincaré-invariant equations for the scalar complex-valued functions that are conditionally invariant under the operator $`A_1`$ (18).

## 5 Conclusion

The procedure for finding conditional differential invariants outlined above may be used for other cases when the additional condition (8) has the general solution that may be used as ansatz, and when a functional basis of the operator (9) in the variables involved in such reduction is already known.

Besides finding new conditionally invariant equations, further developments of the ideas presented in this paper may be description of all equations reducible by means of a certain ansatz, and search of methods for restoration of original equations from the reduced equations.

The symmetry of the nonlinear wave equation discussed in the paper may also be interpreted as a hidden symmetry arising as symmetry of the reduced equation. Thus the method described (construction of conditional differential invariants) may also be used for description of equations possessing hidden symmetry (see e.g. ).


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# 1 Introduction

## 1 Introduction

Overwhelming evidence shows that correlations in discrete energy spectra of classically chaotic quantum systems generally follow the conjecture of Bohigas, Giannoni, and Schmit . According to this the spectral statistics can be described by random matrix theory (RMT), the universality classes being completely determined by symmetry. Berry  analysed spectral two-point correlations measured with the form factor $`K(\tau )`$ obtaining the leading order in its small-$`\tau `$ asymptotics in agreement with RMT. Recent developments suggest further asymptotic terms can be attributed to correlations between classical periodic orbits with (almost) self-intersections . Implicit to this method is the assumption that the $`\tau ^m`$-term in the form factor expansion is determined only by correlations between pairs of orbits where the order of sections of the orbit has been changed at $`m1`$ (almost) self-intersections. The original results of Sieber and Richter, concerning systems on surfaces of constant negative curvature, were extended to a class of graphs quantised with the Schrödinger operator by Berkolaiko, Schanz, and Whitney . They find agreement with the form factor $`K_{\text{COE}}(\tau )`$ of the circular orthogonal RMT-ensemble (COE) to third order in $`\tau `$ by considering correlations between orbits with up to two self-intersections.

In  we showed that a graph quantised with the Dirac operator and possessing time-reversal symmetry produces level statistics which agree numerically with those of the Gaussian symplectic ensemble (GSE), in accordance with . The form factor differs from that of the usual Schrödinger quantisation via weights determined by the spin transformations around classical periodic orbits. In the diagonal approximation we found an agreement of the form factor with $`K_{\text{GSE}}(\tau )`$ in first order. Here we show that the spin weights generate the additional pre-factors relating the expansions of $`K_{\text{CSE}}(\tau )`$ and $`K_{\text{COE}}(\tau )`$ in all orders. Our approach avoids the various ad hoc assumptions introduced in the related investigation by Heusler  and allows us to state precise conditions on the spin dynamics. The result also provides strong evidence for the hypothesis that the $`\tau ^m`$-term derives only from pairs of orbits differing in the order of sections at $`m1`$ self-intersections.

## 2 The form factor

In our previous work  we studied correlations in spectra of Dirac operators on graphs. Here we rather adopt the closely related point of view taken in  and consider the form factor derived from the spectrum of the $`S`$-matrix that was introduced in . On the side of RMT we hence have to consider the circular instead of the Gaussian ensembles.

We recall that a (compact) graph consists of $`V`$ vertices connected by $`B`$ bonds. The valency of a vertex $`i`$ is $`v_i`$. Let $`(ij)`$ label a transition from vertex $`i`$ to vertex $`j`$ along a bond $`\{ij\}`$. According to  for fixed energy there exist two linearly independent eigenspinors of the Dirac operator for each transition. The $`S`$-matrix $`𝕊`$ is the matrix of transition elements connecting the eigenspinors. It is therefore a square matrix of dimension $`4B`$. We divide the $`S`$-matrix into $`2\times 2`$ blocks $`𝕊^{(ij)(kl)}`$ defining transitions between the pair of eigenspinors traveling from $`k`$ to $`l`$ and a pair traveling from $`i`$ to $`j`$. The $`S`$-matrix is then defined by

$$𝕊^{(ij)(kl)}:=\delta _{il}\sigma _{(ij)(ki)}u^{(ij)(ki)}\text{e}^{\text{i}\varphi _{\{kl\}}},$$
(2.1)
where $`u^{(ij)(ki)}`$ is an element of $`\text{SU}(2)`$ describing the spin transformation at the vertex $`i`$ and the terms $`\sigma _{(ij)(ki)}`$ define a $`2v_i\times 2v_i`$ unitary matrix $`\mathrm{\Sigma }^{(i)}`$. The Kronecker-delta in (2.1) ensures transitions only occur between bonds connected at a vertex. The phases $`\varphi _{\{kl\}}`$ are random variables uniformly distributed in $`[0,2\pi ]`$. They define an ensemble of matrices $`𝕊_\varphi `$ over which we average. Such an average is equivalent to a spectral averaging when considering the level statistics of a Dirac operator on the graph.

Time-reversal invariance requires $`\mathrm{\Sigma }^{(i)}`$ to be symmetric and

$$𝕊^{(lk)(ji)}=\left|𝕊^{(ij)(kl)}\right|\left(𝕊^{(ij)(kl)}\right)^1.$$
(2.2)
To satisfy (2.2) we define spin transformations

$$u^{(ij)(ki)}:=u_j^{(i)}\left(u_k^{(i)}\right)^1.$$
(2.3)
The $`v_i`$ elements $`u_j^{(i)}\text{SU}(2)`$ define all spin transformations at the vertex $`i`$. See  for details.

Having defined the $`S`$-matrix of a Dirac graph the form factor may be introduced as in . We remove Kramers’ degeneracy present in systems with half-integer spin and time-reversal invariance as in . This leaves us with $`N=2B`$ eigenvalues of $`𝕊`$, leading to

$$K(\tau ):=\frac{1}{4N}|\mathrm{tr}𝕊_\varphi ^n|^2_\varphi .$$
(2.4)
The trace of $`𝕊^n`$ may be expanded as a sum over the set $`P_n`$ of periodic orbits of length $`n`$,

$$\mathrm{tr}𝕊_\varphi ^n=\underset{pP_n}{}\frac{n}{r_p}A_p\text{e}^{\text{i}\pi \mu _p}\mathrm{tr}(d_p)\text{e}^{\text{i}\varphi _p},$$
(2.5)
where the periodic orbit $`p`$ consists of a series of transitions $`(b_1,b_2,\mathrm{},b_n)`$ and

$$\begin{array}{cc}\hfill A_p\text{e}^{\text{i}\pi \mu _p}& :=\sigma _{b_nb_{n1}}\sigma _{b_{n1}b_{n2}}\mathrm{}\sigma _{b_2b_1},\hfill \\ \hfill d_p& :=u^{b_nb_{n1}}u^{b_{n1}b_{n2}}\mathrm{}u^{b_2b_1},\hfill \\ \hfill \varphi _p& :=\underset{j=1}{\overset{n}{}}\varphi _{\{b_j\}}.\hfill \end{array}$$
(2.6)
The phases $`\mu _p`$ are such that $`A_p>0`$, and $`r_p`$ is the repetition number of $`p`$ so that $`n/r_p`$ is the number of possible starting positions of an orbit up to cyclic permutations. Substituting the periodic orbit expansion (2.5) into (2.4) and carrying out the average over $`\varphi `$ we obtain

$$K_{\mathrm{sympl}}(\tau )=\frac{n^2}{4(2B)}\underset{p,qP_n}{}\frac{A_pA_q}{r_pr_q}\text{e}^{\text{i}\pi (\mu _p\mu _q)}\mathrm{tr}(d_p)\mathrm{tr}(d_q)\delta _{\varphi _p,\varphi _q}$$
(2.7)
where $`\tau =n/2B`$. We label the form factor $`K_{\mathrm{sympl}}`$ according to the symplectic symmetry introduced by time-reversal invariance in a system with spin-$`1/2`$. The Kronecker-delta fixes contributing terms in $`K_{\mathrm{sympl}}`$ to pairs of orbits in which each bond is visited the same number of times. On a metric graph with rationally independent bond lengths this is equivalent to requiring the lengths of $`p`$ and $`q`$ be equal.

For comparison the form factor studied in  for a graph quantised with the Schrödinger operator (spin-$`0`$) in a time-reversal symmetric fashion is

$$K_{\mathrm{orth}}(\tau )=\frac{n^2}{2B}\underset{p,qP_n}{}\frac{A_pA_q}{r_pr_q}\text{e}^{\text{i}\pi (\mu _p\mu _q)}\delta _{\varphi _p,\varphi _q},$$
(2.8)
where the definition of $`A_p`$ remains the same. This form factor is labeled by the orthogonal symmetry of the system.

It was pointed out in  that comparing the RMT form factors of the CSE and COE makes clear the close connection between them,

$$\begin{array}{cc}\hfill K_{\text{CSE}}(\tau )& =\frac{\tau }{2}+\frac{\tau ^2}{4}+\frac{\tau ^3}{8}+\frac{\tau ^4}{12}+\mathrm{},\hfill \\ \hfill \frac{1}{2}K_{\text{COE}}\left(\frac{\tau }{2}\right)& =\frac{\tau }{2}\frac{\tau ^2}{4}+\frac{\tau ^3}{8}\frac{\tau ^4}{12}+\mathrm{}.\hfill \end{array}$$
(2.9)
Calling $`K^m`$ the term containing $`\tau ^m`$ the relationship may be written

$$K_{\text{CSE}}^m(\tau )=\left(\frac{1}{2}\right)^{m+1}K_{\text{COE}}^m(\tau ).$$
(2.10)
According to the conjecture of Bohigas, Giannoni, and Schmit  in the semiclassical limit we expect the form factors of quantum graphs to correspond to those of random matrices. In particular,

$$K_{\mathrm{sympl}}^m(\tau )=\left(\frac{1}{2}\right)^{m+1}K_{\mathrm{orth}}^m(\tau ).$$
(2.11)
It is this relation we wish to demonstrate in quantum graphs.

## 3 Spin contributions to the form factor

The form factor on graphs may be studied analytically in the semiclassical limit. The system is defined by the matrix $`𝕊`$ of dimension $`4B`$ and so the semiclassical limit is $`B\mathrm{}`$. For small but finite $`\tau =n/2B`$ the limit of long orbits, $`n\mathrm{}`$, is also required. For details see . In this limit the proportion of orbits $`p`$ with $`r_p1`$ tends to zero so these orbits can effectively be ignored in equations (2.7) and (2.8). Following  the sum over orbit pairs is organised in terms of diagrams. A diagram consists of all pairs of orbits related by the same pattern of permutations of arcs between self-intersections and time-reversal of arcs. Consequently such pairs of orbits have identical phases $`\varphi _p=\varphi _q`$. Figures 1 and 2 provide examples of diagrams.

The contribution to the form factor from a specific diagram $`D`$ with $`m1`$ self-intersections is

$$K_{\mathrm{sympl}}^{m,D}(\tau ):=\frac{n^2}{4(2B)}\underset{(p,q)D_n}{}A_pA_q\text{e}^{\text{i}\pi (\mu _p\mu _q)}\mathrm{tr}(d_p)\mathrm{tr}(d_q).$$
(3.1)
Here $`D_n`$ is the set of pairs of orbits $`(p,q)`$ of length $`n`$ contained in $`D`$.

To separate spin contributions from this sum we assume that the elements $`d_p`$ are chosen randomly (independent of $`p`$) from a (sub-) group $`\mathrm{\Gamma }\text{SU}(2)`$. This can be achieved by selecting the elements $`u_j^{(i)}`$ randomly from $`\mathrm{\Gamma }`$. Then

$$K_{\mathrm{sympl}}^{m,D}(\tau )=\frac{1}{4}\left(\frac{1}{|D_n|}\underset{(p,q)D_n}{}\mathrm{tr}(d_p)\mathrm{tr}(d_q)\right)\times \left(\frac{n^2}{2B}\underset{(p,q)D_n}{}A_pA_q\text{e}^{\text{i}\pi (\mu _p\mu _q)}\right).$$
(3.2)
The second term is the equivalent contribution to the orthogonal form factor (2.8),

$$K_{\mathrm{orth}}^{m,D}(\tau ):=\frac{n^2}{2B}\underset{(p,q)D_n}{}A_pA_q\text{e}^{\text{i}\pi (\mu _p\mu _q)}.$$
(3.3)
We will show that in the semiclassical limit

$$\mathrm{tr}(d_p)\mathrm{tr}(d_q)^{m,D_n}:=\frac{1}{|D_n|}\underset{(p,q)D_n}{}\mathrm{tr}(d_p)\mathrm{tr}(d_q)\left(\frac{1}{2}\right)^{m1},$$
(3.4)
independent of the diagram $`D`$ for fixed $`m`$. Substituting into (3.2) generates the relation (2.11) between the orthogonal and symplectic form factors. At this point we remark that the spin contribution to the form factor defined in (3.4) is different from that in .

To determine the spin contributions we first take the case $`\mathrm{\Gamma }=\text{SU}(2)`$, ie random spin rotations are chosen from the whole of $`\text{SU}(2)`$ with Haar measure. Each arc of $`p`$ contributes a random element of $`\text{SU}(2)`$ to $`d_p`$. If $`(p,q)D`$ in $`d_q`$ the order of the product is changed and some elements are replaced with their inverse. In the semiclassical limit where the number of orbits tends to infinity the sum over pairs of orbits may be replaced by integrals over $`\text{SU}(2)`$ for each arc of the diagram. To evaluate the spin contributions we require three identities:

$`{\displaystyle _{\text{SU}(2)}}\mathrm{tr}(xuyu)du`$ $`=`$ $`{\displaystyle \frac{1}{2}}\mathrm{tr}(xy^1)`$ (3.5)
$`{\displaystyle _{\text{SU}(2)}}\mathrm{tr}(xuyu^1)du`$ $`=`$ $`{\displaystyle \frac{1}{2}}\mathrm{tr}(x)\mathrm{tr}(y)`$ (3.6)
$`{\displaystyle _{\text{SU}(2)}}\mathrm{tr}(xu)\mathrm{tr}(yu)du`$ $`=`$ $`{\displaystyle \frac{1}{2}}\mathrm{tr}(xy^1)`$ (3.7)
where $`u,x,y\text{SU}(2)`$. Equations (3.5)–(3.7) may be evaluated directly by parameterising $`\text{SU}(2)`$. To establish (3.4) we consider changing the order of arcs at one self-intersection or between a pair of intersections. All diagrams can be generated via these operations. Counting the number of intersections at which the order of elements is changed then proves the result.

### 3.1 Reordering at a single intersection

Figure 1 shows two alternative orders at a single intersection. For a pair of orbits with such a self-intersection the spin contribution in the semiclassical limit is

$$\mathrm{tr}(d_p)\mathrm{tr}(d_q)=_{\text{SU}(2)}\mathrm{}_{\text{SU}(2)}\mathrm{tr}(\alpha \beta l_1\gamma \delta l_2)\mathrm{tr}(\alpha \gamma ^1l_3^1\beta ^1\delta l_4)d\alpha d\beta d\gamma d\delta \mathrm{}$$
(3.8)
Changing variables so $`x:=\alpha \beta `$ and $`y:=\gamma \delta `$ and using (3.5) we obtain

$$\mathrm{tr}(d_p)\mathrm{tr}(d_q)=\frac{1}{2}_{\text{SU}(2)}\mathrm{}_{\text{SU}(2)}\mathrm{tr}(xl_1yl_2)\mathrm{tr}(xl_3yl_4)dxdy\mathrm{}$$
(3.9)
Reordering terms in $`d_q`$ at one vertex therefore introduces a factor of $`1/2`$ to the spin contribution.

### 3.2 Reordering at a pair of intersections

The procedure in 3.1 uses the time-reversal invariance of the system to reverse the directions of arcs. There is a second type of reordering of arcs independent of this symmetry which is possible when multiple arcs run between a pair of self-intersections, figure 2. The sections $`\beta _1\mathrm{}\alpha _2`$ and $`\delta _1\mathrm{}\gamma _2`$ can then be taken in either order. The relevant spin contribution is

$$\begin{array}{cc}\hfill \mathrm{tr}(d_p)\mathrm{tr}(d_q)=& _{\text{SU}(2)}\mathrm{}_{\text{SU}(2)}\mathrm{tr}(\alpha _1\beta _1l_1\alpha _2\beta _2l_2\gamma _1\delta _1l_3\gamma _2\delta _2l_4)\mathrm{tr}(\alpha _1\delta _1l_7\gamma _2\beta _2l_6\gamma _1\beta _1l_5\alpha _2\delta _2l_8)\times \hfill \\ & \times \mathrm{d}\alpha _1\mathrm{d}\alpha _2\mathrm{d}\beta _1\mathrm{d}\beta _2\mathrm{d}\gamma _1\mathrm{d}\gamma _2\mathrm{d}\delta _1\mathrm{d}\delta _2\mathrm{}.\hfill \end{array}$$
(3.10)
We notice that exchanging the order of the central arcs changes the order of elements of $`\text{SU}(2)`$ at both self-intersections. From (3.6) and (3.7) it can be shown that

$$_{\text{SU}(2)}_{\text{SU}(2)}\mathrm{tr}(uav^1bu^1cvd)dudv=\frac{1}{4}\mathrm{tr}(cbad).$$
(3.11)
To apply this to (3.10) make substitutions $`x_j:=\alpha _j\beta _j,y_j:=\gamma _j\delta _j`$, then

$$\begin{array}{cc}\hfill \mathrm{tr}(d_p)\mathrm{tr}(d_q)=\frac{1}{4}_{\text{SU}(2)}\mathrm{}_{\text{SU}(2)}& \mathrm{tr}(x_1l_1x_2l_2y_1l_3y_2l_4)\mathrm{tr}(x_1l_5x_2l_6y_1l_7y_2l_8)\times \hfill \\ & \times \mathrm{d}x_1\mathrm{d}x_2\mathrm{d}y_1\mathrm{d}y_2\mathrm{}.\hfill \end{array}$$
(3.12)
Reordering by exchanging arcs of a diagram introduces a factor of $`1/4`$ to the spin contribution and requires changing the order at two self-intersections simultaneously.

### 3.3 Counting self-intersections

All diagrams can be constructed via combinations of the procedures described in sections 3.1 and 3.2. This is not obvious, for example a system of loops in which the same self-intersection is visited twice does not appear to fall within this classification, figure 3. In fact degenerate self-intersections allow both types of reordering at the intersection. To distinguish the cases it is necessary to follow the orbit counting each intersection when it is reached after determining if the order of arcs at the intersection has been changed. The number of self-intersections for a given diagram is then $`m1`$ (note our multiple counting of degenerate self-intersections differs from the definition in ). As each intersection effectively contributes a factor $`1/2`$ we obtain

$$\mathrm{tr}(d_p)\mathrm{tr}(d_q)^{m,D_n}\left(\frac{1}{2}\right)^{m1}_{\text{SU}(2)}\left(\mathrm{tr}(u)\right)^2du.$$
(3.13)
The final integral over $`\text{SU}(2)`$ is

$$_{\text{SU}(2)}\left(\mathrm{tr}(u)\right)^2du=1$$
(3.14)
as the defining representation of $`\text{SU}(2)`$ is naturally irreducible.

We remark that if diagrams with $`m^{}1m1`$ self-intersections contributed to $`K_{\text{orth}}^m(\tau )`$ in such a way that nevertheless $`K_{\text{orth}}(\tau )=K_{\text{COE}}(\tau )`$ the spin contribution would lead to $`K_{\text{sympl}}(\tau )K_{\text{CSE}}(\tau )`$. This observation supports the hypothesis that the $`\tau ^m`$-term derives only from diagrams with $`m1`$ self-intersections.

### 3.4 Spin rotations from subgroups of $`\text{SU}(2)`$

If instead of the whole of $`\text{SU}(2)`$ spin transformations are chosen from a subgroup $`\mathrm{\Gamma }`$ it is still possible to find the connection between CSE and COE statistics. Rather than averaging over $`\text{SU}(2)`$ the identities (3.5) – (3.7) must be understood in terms of an average over $`\mathrm{\Gamma }`$, ie

$$_{\text{SU}(2)}f(u)du\text{is replaced by}\frac{1}{|\mathrm{\Gamma }|}\underset{g\mathrm{\Gamma }}{}f(g)$$

when $`\mathrm{\Gamma }`$ is finite. Let $`\mathrm{\Gamma }\text{SU}(2)`$, viewed as a representation, be irreducible. The identities (3.6) and (3.7) can then be derived from Schur’s lemma. If and only if $`\mathrm{\Gamma }`$ is also a quaternionic representation (any representation equivalent to its complex conjugate but inequivalent to any real representation) the identity (3.5) may also be derived, see . As long as (3.5) – (3.7) hold the argument is unaffected by the use of a subgroup of spin transformations. CSE statistics hence depend on the subgroup of spin transformations providing an irreducible quaternionic representation.

An example of a finite group of spin transformations are Hamilton’s quaternions

$$\mathrm{\Gamma }=\{\pm \text{I},\pm \text{i}\sigma _x,\pm \text{i}\sigma _y,\pm \text{i}\sigma _z\},$$
(3.15)
where $`\sigma _j`$ is a Pauli matrix. In  spin transformations from this subgroup are applied to the cat map and CSE statistics observed. As $`\mathrm{\Gamma }`$ is both irreducible and quaternionic CSE statistics can indeed be expected with spin transformations taken even from such a small subgroup of $`\text{SU}(2)`$.

The conditions (3.5) – (3.7) depend only on the representation being irreducible and quaternionic consequently the argument also generalises to higher dimensional representations of $`\text{SU}(2)`$, ie higher spins. Let $`\mathrm{\Gamma }\text{SU}(2)`$ and $`R^s(\mathrm{\Gamma })`$ an irreducible representation of dimension $`2s+1`$, ie a spin $`s`$ representation, then

$$\frac{1}{|\mathrm{\Gamma }|}\underset{g\mathrm{\Gamma }}{}\mathrm{tr}\left(X\left(R^s(g)\right)^2\right)=\frac{c}{2s+1}\mathrm{tr}(X).$$
(3.16)
Here $`c=1`$ for real representations and $`c=1`$ for quaternionic representations, however only quaternionic representations can have even dimension . Therefore $`c=1`$, compare (3.5), implies $`s`$ half-integer. (3.6) and (3.7) generalise similarly. The RMT relation between the symplectic and orthogonal form factors (2.11) can hence be derived for half-integer spin provided spin-transitions generate a quaternionic irreducible representation of $`\mathrm{\Gamma }`$.

### Acknowledgments

We would like to thank Jonathan Robbins and Holger Schanz for their comments. This work has been fully supported by the European Commission under the Research Training Network (Mathematical Aspects of Quantum Chaos) no. HPRN-CT-2000-00103 of the IHP Programme.


text:
# The Brownian loop soup

## 1 Introduction

The recent study of conformally invariant scaling limits of two-dimensional lattice systems has shown that measures on paths that satisfy conformal invariance (or conformal covariance) and a certain restriction property are important. In particular, in , it is shown how to construct “restriction” measures by dynamically adding bubbles to Schramm-Loewner evolution (SLE) curves. As announced there, this construction has an equivalent formulation in terms of a Brownian soup of loops. The purpose of this paper is to describe these Brownian measures and to prove this equivalence.

This description will be given without reference to SLE and is interesting on its own, but since this is what initiated our own interest, let us now describe the link with SLE. In , Oded Schramm introduced the SLE processes. These are the only random non-self-crossing curves in a domain that combine conformal invariance and a certain Markovian-type property. The definition of SLE is based on these two facts and can be viewed as a dynamic construction: one constructs the law of the curve on the time-interval $`[t,t+dt]`$ given $`\gamma [0,t]`$ and then iterates this procedure. In , following ideas of  and partially motivated by the problem of the self-avoiding walks in the plane (see ), a different approach to SLE was described. Basically, one looks at how the law of the random curve (seen globally) is distorted by an infinitesimal perturbation of the domain it is defined in. It turns out that a one-dimensional family of random sets is in some sense invariant under such perturbation. These are called restriction measures in , where it is shown that all of these measures are closely related to Brownian excursions. The law of SLE, except for the special case of the SLE with parameter $`\kappa =8/3`$, is not a restriction measure. However, one can measure precisely the “restriction defect” (i.e., the Radon-Nikodym derivative) with a term involving the Schwarzian derivatives of the corresponding conformal maps. On interpretation for SLEκ with $`\kappa <8/3`$ goes as follows: if one adds a certain Poissonian cloud of Brownian bubbles to the SLE curve, then the resulting set is restriction invariant. This can be understood simply when $`\kappa =2`$. In that case, the SLE curve is  the scaling limit of the loop-erased random walk. In the scaling limit, the corresponding random walk converges to the Brownian excursion (which is restriction invariant). Hence, it is not surprising that if one puts the erased Brownian bubbles back onto the SLE2 curve, one obtains a restriction measure. This Poissonian cloud of Brownian bubbles provides a simple geometric picture of the distortion of the law of SLE under perturbation of the boundary of a domain. This “variational” approach to SLE is closely related some conformal field theory considerations of e.g. , as pointed out in . The density of the Poissonian cloud in particular plays the role of the (negative of the) central charge of the corresponding model in the theoretical physics language.

We will describe various measures on Brownian paths with an emphasis on two measures, the Brownian loop measure and the Brownian bubble measure. The latter was already defined and used in  for the previously described reasons.

The Brownian loop measure is an infinite measure on unrooted Brownian loops in the plane. It is defined on the set of periodic continuous functions in the plane, where two functions are considered to be indistinguishable if one is obtained by a simple translation in time ($`tt+c`$), and we call these equivalence classes “unrooted loops”. The Brownian loop measure is scale invariant, and translation-invariant. Furthermore, it is conformally invariant in the following sense: If there exists a conformal map $`\varphi `$ from $`D`$ onto $`D^{}`$, then the image under $`\varphi `$ of the Brownian loop measure restricted to those loops that stay in $`D`$ is exactly the Brownian loop measure restricted to those loops that stay in $`D^{}`$. This property is in fact very closely related to the restriction property.

This measure can also be considered a measure on “hulls” (compact sets $`K`$ such that $`K`$ is connected) by “filling in” the bounded loops. It is possible to argue that the Brownian loop measure is the only measure on hulls that is conformally invariant in the previous sense.

The Brownian loop soup of intensity $`\lambda >0`$ is a realization of a Poisson point process of density $`\lambda `$ times the Brownian loop measure. In other words, a sample of the Brownian loop soup is a countable family of Brownian unrooted loops. There is no non-intersection condition or other interaction between the loops. Each loop will intersect countably many other loops in the same realization of the loop soup. Although for some purposes it is sufficient to consider the hull generated by a loop, we will study the measure on loops with time parametrization in this paper. This is partially motivated by possible future applications.

A bubble in a domain $`D`$ will be a continuous path $`\gamma [0,T]`$ such that $`\gamma (0,T)D`$ and $`\gamma (0)=\gamma (T)D`$. We say that the bubble is rooted at $`x`$ if $`\gamma (0)=x`$. The Brownian bubble measure was introduced in  in order to construct the restriction measures via SLE. The Brownian bubble in $`D`$, rooted in $`xD`$ is a $`\sigma `$-finite measure on Brownian loops that start and end at $`x`$, and otherwise stay in $`D`$. The description is simplest if the considered domain is the upper half-plane $``$, and the root is the origin. We will see that it can be considered as a conditioned version of the Brownian loop measure. The relation between these two measures will lead to an equivalence that we now describe.

Loosely speaking, the relation is as follows. Imagine that a realization of the loop soup in $``$ has been chosen, but we cannot see a loop until we visit a point on that loop. Suppose that we travel along a simple curve $`\eta `$ with $`\eta (0)=0`$ and $`\eta (0,\mathrm{})`$. Each time $`t`$ at which one encounters a loop in the loop soup for the first time, we can see the whole loop. This prescribes the order in which one finds the loops that intersect the curve $`\eta [0,\mathrm{})`$. These loops are a priori unrooted; however, we can makes them into rooted loops by starting a loop found at time $`t`$ at the point $`\eta (t)`$ . If we use this point as a root, the loop becomes a bubble in the domain $`\eta [0,t]`$. The point is that this loop is “distributed” according to the bubble measure.

More precisely, let $`\eta `$ be as before. We do not make smoothness assumptions on $`\eta `$; in fact, the cases of most interest to us are SLE curves that have Hausdorff dimension greater than one. Assume that $`\eta `$ is parametrized by its “half-plane capacity” (as is customary for Loewner chains in the upper half-plane), i.e., that for all $`t`$, there exists a (unique) conformal map $`\stackrel{~}{g}_t`$ from $`\eta [0,t]`$ onto $``$ such that $`\stackrel{~}{g}_t(z)=z+2t/z+o(1/z)`$ when $`z\mathrm{}`$. We let $`g_t(z)=\stackrel{~}{g}_t(z)\stackrel{~}{g}_t(\eta _t)`$.

Suppose that the countable collection of loops $`\{\gamma _1,\gamma _2,\mathrm{}\}`$ in $``$ is a realization of the Brownian loop soup in $``$ with intensity $`\lambda >0`$. This is a random family of equivalence classes of curves $`\gamma _j:[0,t_j]`$ with $`\gamma _j(0)=\gamma _j(t_j)`$, under the equivalence $`\gamma ^1\gamma ^2`$ if the time-lengths $`t^1`$ and $`t^2`$ of $`\gamma ^1`$ and $`\gamma ^2`$ are identical, and if for some $`r`$, $`\gamma ^1(t)=\gamma ^2(t+r)`$ for all $`t`$ (with addition modulo $`t^1`$). For each $`j`$, let

$$r_j=inf\{s:\eta (s)\gamma _j[0,t_j]\}$$

with $`r_j=\mathrm{}`$ if $`\eta [0,\mathrm{})\gamma _j[0,t_j]=\mathrm{}`$. It is not difficult to see that with probability one for each $`j`$ with $`r_j<\mathrm{}`$ there is a unique $`t[0,t_j)`$ such that $`\gamma _j(t)=\eta (r_j)`$. Then we can choose the representative $`\gamma _j`$ so that $`\gamma _j(0)=\eta (r_j)`$. Note that $`\gamma _j`$ is a bubble in $`\gamma [0,r_j]`$. We define $`\stackrel{~}{\gamma }_{r_j}`$ as the image of $`\gamma _j`$ under the mapping $`g_{r_j}^1`$ where the time-parametrization of $`\stackrel{~}{\gamma }_{r_j}`$ is obtained from that of $`\gamma _j`$ using the usual Brownian time-change under conformal maps. Note that each $`\stackrel{~}{\gamma }_{r_j}`$ is a bubble rooted at the origin in $``$. Here, the parametrization of $`\eta `$ by its half-plane capacity is important since we index $`\stackrel{~}{\gamma }`$ by the time $`r_j`$.

###### Theorem 1

The process $`(\stackrel{~}{\gamma }_r,r0)`$ is a Poisson point process with intensity $`\lambda `$ times the Brownian bubble measure in $``$.

Of course, this statement depends on the precise definitions of these measures, but it shows that adding the Poisson cloud of bubbles (as in ) to the path $`\eta `$ is exactly the same as adding to $`\eta `$ the set of loops in a loop soup that it does intersect.

One direct application is that adding Brownian bubbles to $`\eta `$ or to the time-reversal of $`\eta `$ (that is, viewing $`\eta `$ as a curve from $`\mathrm{}`$ to the origin) is the same (from the point of view of the outside hulls). In the case where $`\eta `$ is chordal $`SLE_2`$, it corresponds to the fact that loop-erasing a random walk does not depend (in law) on the chosen time-orientation. This result is more generally closely related to the question of reversibility of the SLE’s.

One other application is for the “duality” conjecture of the SLEs, see : Indeed, from the point of vue of the outside hulls, adding the loops of the loop soup to a curve or to its outer boundary is the same. Hence, the same is true if one adds (dynamically) bubbles to a curve or to its outer boundary. This leads to an identity in law between the set obtained by adding the same loop soup to a process closely related to $`SLE_\kappa `$ or to a process closely related to $`SLE_{16/\kappa }`$. See  for more details. Theorem 1 is also used in .

Another main point is just the definition of the Brownian loop measure. Despite its simplicity (and maybe its importance) and its nice properties, it does not seem (to our knowledge) to have been considered before.

The technical aspects of the present paper are not difficult. Once one has the correct definitions, the proofs are more or less standard exercises on Brownian motions, excursion theory and Green functions. In order to keep the pace of the paper flowing, we will at times be somewhat informal (we will not always describe precisely how to take the limit of one measure on paths, etc.), leaving the gaps to the interested reader. We will however not completely omit these problems (see, e.g., the next section).

The paper is organized as follows. In the next section, we mainly introduce some notation. In Section 3, we define some measures on Brownian paths, among which the Brownian bubbles. These are not new, but it is convenient to summarize some of their features in order to simplify the relation with the Brownian loop measure. This measure is defined and studied in Section 4, the relation with the bubble measure is described in Section 5. The final section is devoted to the question of time-parametrization of the Brownian “loop-adding” procedure.

## 2 Notations

We will write $`𝔻`$ for the unit disk, $`=\{x+iy:y>0\}`$ for the upper half-plane, and $`𝔻_+`$ for $`𝔻=\{z:|z|<1\}.`$

Let $`𝒦`$ be the set of all parametrized continuous planar curves $`\gamma `$ defined on a time-interval $`[0,t_\gamma ]`$. We consider $`𝒦`$ as a metric space with the metric

$$d_𝒦(\gamma ,\gamma ^1)=\underset{\theta }{inf}[\underset{0st_\gamma }{sup}|s\theta (s)|+|\gamma (s)\gamma ^1(\theta (s))|],$$
(1)
where the infimum is over all increasing homeomorphisms $`\theta :[0,t_\gamma ][0,t_{\gamma ^1}]`$. Note that $`𝒦`$ under this metric does not identify curves that are the same modulo time-reparametrization.

If $`\mu `$ is any measure on $`𝒦`$, we let $`|\mu |=\mu (𝒦)`$ denote the total mass. If $`0<|\mu |<\mathrm{}`$, then we let $`\mu ^\mathrm{\#}=\mu /|\mu |`$ be $`\mu `$ normalized to be a probability measure.

Let $``$ denote the set of finite Borel measures on $`𝒦`$. This is a metric space under the Prohorov metric $`d`$ (see \[2, Appendix III\], e.g., for details). When we say that a sequence of measures converges it will be with respect to this metric. Recall that one standard way to show that two probability measures $`\mu `$ and $`\nu `$ are close with respect to this metric is via coupling: one finds a probability measure $`m`$ on $`𝒦\times 𝒦`$ whose first marginal is $`\mu `$, whose second marginal is $`\nu `$, and such that

$$m[\{(\gamma ^1,\gamma ^2):d_𝒦(\gamma ^1,\gamma ^2)>ϵ\}]ϵ.$$

To show that a sequence of finite measures $`\mu _n`$ converges to a finite measure $`\mu `$, it suffices to show that $`|\mu _n||\mu |`$ and $`\mu _n^\mathrm{\#}\mu ^\mathrm{\#}.`$

If $`D`$ is a domain, we say that $`\gamma `$ is in $`D`$ if $`\gamma (0,t_\gamma )D`$; note that we do not require the endpoints of $`\gamma `$ to be in $`D`$. Let $`𝒦(D)`$ be the set of $`\gamma 𝒦`$ that are in $`D`$. If $`z,w`$, let $`𝒦_z`$ (resp., $`𝒦^w)`$ be the set of $`\gamma 𝒦`$ with $`\gamma (0)=z`$ (resp., $`\gamma (t_\gamma )=w`$). We let $`𝒦_z^w=𝒦_z𝒦^w`$ and we define $`𝒦_z(D),𝒦^w(D),𝒦_z^w(D)`$ similarly.

If $`\gamma ,\gamma ^1𝒦`$ with $`\gamma (t_\gamma )=\gamma ^1(0)`$, we define the concatenation $`\gamma \gamma ^1`$ by $`t_{\gamma \gamma ^1}=t_\gamma +t_{\gamma ^1}`$ and

$$\gamma \gamma ^1(t)=\{\begin{array}{cc}\gamma (t),\hfill & 0tt_\gamma \hfill \\ \gamma ^1(tt_\gamma ),\hfill & t_\gamma tt_\gamma +t_{\gamma ^1}.\hfill \end{array}$$

For every $`w`$, the map $`(\gamma ,\gamma ^1)\gamma \gamma ^1`$ is continuous from $`𝒦^w\times 𝒦_w`$ to $`𝒦`$.

Suppose $`f:DD^{}`$ is a conformal transformation and $`\gamma 𝒦(D)`$. Let

$$s_t=s_{t,\gamma }=_0^t|f^{}(\gamma (s))|^2𝑑s.$$

If $`s_t<\mathrm{}`$ for all $`t<t_\gamma `$, we define $`f\gamma `$ by $`f\gamma (s_t)=f(\gamma (t))`$. If $`s_{t_\gamma }<\mathrm{}`$ and $`f`$ extends continuously to the endpoints of $`\gamma `$, then $`f\gamma 𝒦(D^{})`$ and $`t_{f\gamma }=s(t_\gamma )`$. If $`\mu `$ is a measure supported on the set of curves $`\gamma `$ in $`𝒦(D)`$ such that $`f\gamma `$ is well defined and in $`𝒦(D^{})`$, then $`f\mu `$ will denote the measure

$$f\mu (V)=\mu [\{\gamma :f\gamma V\}].$$

If $`\gamma 𝒦`$, we let $`\gamma ^R`$ denote the time reversal of $`\gamma `$, i.e., $`t_{\gamma ^R}=t_\gamma `$ and $`\gamma ^R(s)=\gamma (t_\gamma s),0st_\gamma `$. Similarly if $`\mu `$ is measure on $`𝒦`$, we define the measure $`\mu ^R`$ in the obvious way.

Suppose $`\{\mu _D\}`$ is a family of measures indexed by a family of domains $`D`$ in $``$. We say that $`\mu _D`$ satisfies the restriction property if

* $`\mu _D`$ is supported on $`𝒦(D)`$;
* if $`D^{}D`$, then $`\mu _D^{}`$ is $`\mu _D`$ restricted to the curves in $`𝒦(D^{})`$.

Note that if $`\mu `$ is any measure on $`𝒦`$ and $`\mu _D`$ is defined as $`\mu `$ restricted to $`𝒦(D)`$, then the family $`\{\mu _D\}`$ satisfies the restriction property. Conversely, suppose that

* $`\{\mu _D\}`$ satisfies the restriction property
* $`D_n`$ is an increasing sequence of domains whose union is $``$
* $`\mu =lim_n\mathrm{}\mu _{D_n}`$.

Then, for each $`D`$, $`\mu _D`$ is $`\mu `$ restricted to $`𝒦(D)`$.

If $`A`$ is any compact set, we define $`\mathrm{rad}(A)=sup\{|z|:zA\}`$. The half-plane capacity of a subset $`A`$ of $`\overline{}`$ is defined by

$$\mathrm{hcap}(A)=\underset{y\mathrm{}}{lim}y𝐄^{iy}[\mathrm{Im}(B_{\rho _A})],$$
(2)
where $`\rho _A=inf\{t:B_tA\}.`$ It is not difficult to see that the limit exists, satisfies the scaling rule $`\mathrm{hcap}(rA)=r^2\mathrm{hcap}(A)`$, and is monotone in $`A`$. If $`A`$ is such that $`A`$ is simply connected, then we use $`\stackrel{~}{g}_A`$ to denote the unique conformal transformation of $`A`$ onto $``$ such that $`\stackrel{~}{g}_A(z)z=o(1)`$ as $`z\mathrm{}`$. Then $`\stackrel{~}{g}_A`$ has an expansion at infinity

$$\stackrel{~}{g}_A(z)=z+\frac{\mathrm{hcap}(A)}{z}+O(|z|^2).$$

Since $`zz+(1/z)`$ maps $`\{z:|z|>1\}`$ conformally onto $``$, we can see that $`\mathrm{hcap}(\overline{𝔻_+})=1`$.

If $`\eta :[0,\mathrm{})`$ is a curve, we will sometimes write $`\stackrel{~}{g}_t`$ for $`\stackrel{~}{g}_{\eta [0,t]}`$ and define $`g_t(z)=\stackrel{~}{g}_t(z)g_t(\eta _t)`$ as in the introduction.

## 3 Brownian bridges, Brownian bubbles

We will start defining some bridge-type Brownian measures on curves that we will use. These are measures on Brownian paths with prescribed starting point and prescribed terminal point. Since we are interested in conformally invariant properties, the standard bridges with prescribed time duration are not well-suited.

In our notation, $`\mu _D(z,w)`$ will always be a measure on Brownian paths that remain in the domain $`D`$, that start at $`z`$ and end at $`w`$, but this notation will have different meanings depending on whether $`z,w`$ are boundary or interior points of the domain $`D`$. We hope this will not cause confusion. Since the content of this section is rather standard, we will just review these definitions. The excursion measures have been defined in , the bubble measures in .

### 3.1 First definitions

#### 3.1.1 Interior to interior

Let $`\mu (z,;t)`$ denote the law of a standard complex Brownian motion $`(B_s,0st)`$, with $`B_0=z`$, viewed as an element of $`𝒦`$. We can write

$$\mu (z,;t)=_{}\mu (z,w;t)𝑑A(w),$$

where $`A`$ denotes area and $`\mu (z,w;t)`$ is a measure supported on $`\gamma 𝒦_z^w`$ with $`t_\gamma =t`$. In other words, $`\mu (z,w;t)`$ is $`|\mu (z,w;t)|`$ times the law $`\mu ^\mathrm{\#}(z,w;t)`$ of the Brownian bridge from $`z`$ to $`w`$ in time $`t`$, where $`|\mu (z,w;t)|=(2\pi t)^1\mathrm{exp}\{|zw|^2/(2t)\}`$.

The measure $`\mu (z,w)`$ is defined by

$$\mu (z,w)=_0^{\mathrm{}}\mu (z,w;t)𝑑t.$$

This is a $`\sigma `$-finite measure (the integral explodes at infinity so that the total mass of large loops is infinite; when $`z=w`$, it also diverges at $`0`$).

The measure $`\mu (z,z)`$ is an infinite measure on Brownian loops that start and end at $`z`$. We can write

$$\mu (z,z)=_0^{\mathrm{}}\frac{1}{2\pi t}\mu ^\mathrm{\#}(z,z;t)𝑑t.$$

where $`\mu ^\mathrm{\#}(z,z;t)`$ is the usual probability measure of a Brownian bridge from $`z`$ to $`z`$.

If $`D`$ is a domain and $`z,wD`$, we define $`\mu _D(z,w)`$ to be $`\mu (z,w)`$ restricted to $`𝒦(D)`$. For fixed $`z,w`$, the family $`\{\mu _D(z,w),D\{z,w\}\}`$ clearly satisfies the restriction property.

If $`zw`$, and if the domain $`D`$ is such that a Brownian motion in $`D`$ eventually exits $`D`$, then $`|\mu _D(z,w)|<\mathrm{}`$. In fact,

$$|\mu _D(z,w)|=\frac{G_D(z,w)}{\pi },$$

where $`G_D`$ denotes the Green’s function normalized so that $`G_𝔻(0,z)=\mathrm{log}|z|`$. Note that $`\mu _D(z,z)`$ is well defined and has infinite total mass. The reversibility of the Brownian bridge immediately implies that $`[\mu _D(z,w)]^R=\mu _D(w,z)`$.

#### 3.1.2 Interior to boundary

Let $`D`$ be a connected domain in $``$ whose boundary is a finite union of curves (we allow the curves to be in the sphere and for infinity to be a boundary point). We will call $`D`$ nice if it is piecewise analytic, i.e., if it is a finite union of analytic curves. A nice boundary point will be any point at which the boundary is locally an analytic curve.

Let $`B`$ be a Brownian motion starting at $`zD`$ and stopped at its exit time of $`D`$, i.e., at

$$\tau _D=inf\{t:B_tD\}.$$

Define $`\mu _D(z,D)`$ to be the law of $`(B_t,0t\tau _D)`$. If $`D`$ has a nice boundary we can write

$$\mu _D(z,D)=_D\mu _D(z,w)|dw|,$$

where $`\mu _D(z,w)`$ for $`zD`$ and $`wD`$ denotes a measure supported on $`𝒦_z^w(D)`$ with total mass $`H_D(z,w)`$, where $`H_D(z,w)`$ denotes the usual Poisson kernel. The normalized probability measure $`\mu _D^\mathrm{\#}(z,w)`$ is the law of Brownian motion conditioned to exit $`D`$ “at $`w`$”.

### 3.2 First properties

#### 3.2.1 Conformal invariance

It is well known that planar Brownian motion is conformally invariant. In our interior to interior notation, this can be phrased as follows. Suppose $`f:DD^{}`$ is a conformal transformation and $`z,w`$ are two interior points in $`D`$. Then,

$$f\mu _D(z,w)=\mu _{f(D)}(f(z),f(w)).$$
(3)
If $`zw`$, this is a combination of the two classical results: $`G_{f(D)}(f(z),f(w))=G_D(z,w)`$ and $`[f\mu _D]^\mathrm{\#}(z,w)=\mu _{f(D)}^\mathrm{\#}(f(z),f(w)).`$ For $`z=w`$ (in which case the measures are infinite), one can prove this by taking a limit.

Similarly, in the interior to boundary case, if $`zD`$ is an interior point and $`w`$ a boundary point, and if both $`w`$ and $`f(w)`$ are nice, then

$$f\mu _D(z,w)=|f^{}(w)|\mu _{f(D)}(f(z),f(w)).$$
(4)
This is a consequence of the two relations: $`H_D(z,w)=|f^{}(w)|H_D^{}(f(z),f(w))`$ and $`f\mu _D^\mathrm{\#}(z,w)=\mu _{f(D)}^\mathrm{\#}(f(z),f(w))`$. It implies that one can define the probability measure $`\mu _D^\mathrm{\#}(z,w)`$ for any simply connected $`D`$ and any boundary point (i.e. prime end) $`w`$ by conformal invariance. For instance, it suffices to put $`\mu _D^\mathrm{\#}(z,w)=f\mu _𝔻^\mathrm{\#}(0,1)`$ where $`f:𝔻D`$ is the conformal transformation with $`f(0)=z`$ and $`f(1)=w`$.

#### 3.2.2 Regularity

Note that the measures $`\mu _D(z,w)`$ are continuous functions of $`z,w`$ in the Prohorov metric. For instance, for any two interior points $`z_0w_0`$ in the fixed domain $`D`$, the mapping $`(z,w)\mu _D(z,w)`$ is continuous at $`(z_0,w_0)`$. This can for instance be proved using a coupling argument.

Similarly, it is not difficult to show in the interior to boundary case that for a fixed boundary point $`w`$, the mapping $`z\mu _D(z,w)`$ is continuous. When one wishes to let $`w`$ vary, one can for instance first note that $`w\mu _𝔻(0,w)`$ is clearly continuous on the unit circle. Furthermore, for a conformal map $`f`$ from $`𝔻`$ onto $`D`$, the derivative $`f^{}`$ is uniformly bounded when restricted to any $`r𝔻`$ for $`r<1`$, so that one can control the variation of the time-parametrization. We will discuss this in more detail later in the (slightly more complicated) case of the excursion measures.

#### 3.2.3 Relation between the two

If $`z,w`$ are distinct points in $`D`$, then the normalized interior to interior measure $`\mu _D^\mathrm{\#}(z,w)`$ can be given as a limit of boundary measures. Let $`D_ϵ=\{z^{}D:|z^{}w|>ϵ\}`$, and let $`\nu _ϵ`$ denote $`\mu (z,D_ϵ)`$ restricted to curves whose terminal point is distance $`ϵ`$ from $`w`$. As $`ϵ0+`$, $`|\nu _ϵ|G_D(z,w)[\mathrm{log}(1/ϵ)]^1`$ and $`\nu _ϵ^\mathrm{\#}\mu _D^\mathrm{\#}(z,w)`$.

The interior to boundary measure can also be viewed as the limit of an appropriately rescaled interior to interior measure: If $`w_nD`$ and $`w_nw`$ where $`wD`$, then it is not hard to show that the corresponding probability measures converge $`\mu _D^\mathrm{\#}(z,w_n)\mu _D^\mathrm{\#}(z,w)`$, for instance using a coupling argument. Also, if $`w`$ is a nice boundary point, and $`𝐧_w`$ denotes the inward normal at $`w`$, then as $`ϵ0+`$,

$$G_D(z,wϵ𝐧_w)2\pi ϵH_D(z,w)$$

(the multiplicative constant can be worked out immediately using the case $`D=𝔻,z=0,w=1`$). Hence,

$$\underset{ϵ0+}{lim}\frac{1}{2ϵ}\mu _D(z,wϵ𝐧_ϵ)=\mu _D(z,w),$$
(5)
for any interior point $`z`$ and any nice boundary point of $`w`$.

### 3.3 Excursion measures

#### 3.3.1 Definition and conformal invariance

Suppose that $`D`$ is a nice domain, and that $`z`$ and $`w`$ are different nice boundary points of $`D`$. We will define the Brownian measure on paths from $`z`$ to $`w`$ in $`D`$. This Brownian excursion measure $`\mu _D(z,w)`$ can be defined by various means (see e.g. ). It can be viewed as limits of the previous measures:

$$\mu _D(z,w)=\underset{ϵ0+}{lim}\frac{1}{2ϵ^2}\mu _D(z+ϵ𝐧_z,w+ϵ𝐧_w)=\underset{ϵ0+}{lim}\frac{1}{ϵ}\mu _D(z+ϵ𝐧_z,w).$$
(6)
Again we can write $`\mu _D(z,w)=H_D(z,w)\mu _D^\mathrm{\#}(z,w)`$ where

$$H_D(z,w)=\underset{ϵ0+}{lim}ϵ^1H_D(z+ϵ𝐧_z,w).$$

Under this normalization $`H_{}(0,x)=1/(\pi x^2)`$.

The probability measures $`\mu _D^\mathrm{\#}(z,w)`$ are conformally invariant, i.e.,

$$f\mu _D^\mathrm{\#}(z,w)=\mu _{f(D)}^\mathrm{\#}(f(z),f(w))$$

for a conformal transformation such that the four boundary points $`z`$, $`w`$, $`f(z)`$ and $`f(w)`$ are nice. This shows that one can define $`\mu _D^\mathrm{\#}(z,w)`$ by conformal invariance even if $`z,w`$ are not nice boundary points.

It is sometimes easier to consider $`\mu _{}^\mathrm{\#}(0,\mathrm{})`$ where $``$ denotes the upper half-plane. This is the distribution of $``$-excursions, which are Brownian motions in the first component and independent three-dimensional Bessel processes in the second component, see . One could choose this as the definition of $`\mu _{}^\mathrm{\#}(0,\mathrm{})`$, define the measures $`\mu _D^\mathrm{\#}(z,w)`$ by conformal invariance, and define the measures $`\mu _D(z,w)`$ by multiplying by the total mass, and finally verify (6). (The measure $`\mu _{}^\mathrm{\#}(0,\mathrm{})`$ is not supported on $`𝒦`$ since curves under this measure have infinite time duration; however, this does not present a problem. In particular, the image of $`\mu _{}^\mathrm{\#}(0,\mathrm{})`$ under a conformal transformation onto a bounded domain is supported on paths of finite time duration.)

If $`f:DD^{}`$ is a conformal transformation, and $`z,w,f(z),f(w)`$ are nice boundary points, then

$$f\mu _D(z,w)=|f^{}(z)||f^{}(w)|\mu _{f(D)}(f(z),f(w))$$
(7)
The “integrated measure”

$$\mu _D:=_D_D\mu _D(z,w)|dz||dw|,$$

is therefore conformally invariant:

$$f\mu _D=\mu _{f(D)}$$
(8)
as was pointed out in .

#### 3.3.2 Regularity

We now study the regularity of the excursion measures with respect to the domain $`D`$. For this we will need some simple lemmas.

###### Lemma 2

For any simply connected domain $`D`$ and any two distinct points $`w`$ and $`w^{}`$ on the boundary of $`D`$, the expected time spent in an open subset $`U`$ of $`D`$ by an excursion defined under the probability measure $`\mu _D^\mathrm{\#}(w,w^{})`$ is bounded from above by $`2\mathrm{area}(U)/\pi `$.

Proof. If $`zD`$, let $`G_D^\mathrm{\#}(w,w^{};z)`$ denote the Green’s function for $`\mu _D^\mathrm{\#}(w,w^{})`$. This can be obtained as the limit of $`G_D^\mathrm{\#}(w_n,w^{};z)`$ where $`w_n`$ is a sequence of points in $`D`$ converging to $`w`$. If $`f:DD^{}`$ is a conformal transformation, then

$$G_D^\mathrm{\#}(w,w^{};z)=G_{f(D)}^\mathrm{\#}(f(w),f(w^{});f(z)).$$

Also

$$G_{}^\mathrm{\#}(0,\mathrm{};z)=\underset{ϵ0+}{lim}\frac{\mathrm{Im}(z)}{2ϵ}\mathrm{log}\frac{\mathrm{Re}(z)^2+(ϵ+\mathrm{Im}(z))^2}{\mathrm{Re}(z)^2+(ϵ\mathrm{Im}(z))^2}=2\frac{\mathrm{Im}(z)^2}{|z|^2}2.$$
(9)
By conformal invariance, we get $`G_D^\mathrm{\#}(w,w^{};z)2`$ for all simply connected $`D`$ and all $`w,w^{},z`$. This readily implies the lemma. $`\mathrm{}`$

###### Lemma 3

There is a constant $`c<\mathrm{}`$ such that the following holds. Suppose $`D,D^{}`$ are simply connected domains and $`f:DD^{}`$ is a conformal transformation with $`|f(z_1)z_1|\delta 1`$ for all $`z_1D`$. Then for any path $`\gamma `$ in $`D`$,

$`d_𝒦(\gamma ,f\gamma )`$ $``$ $`c[\delta +\delta ^{1/2}t_\gamma +{\displaystyle _0^{t_\gamma }}1\{\mathrm{dist}(\gamma (s),D)\delta ^{1/2}\}ds`$
$`+{\displaystyle _0^{t_{f\gamma }}}1\{\mathrm{dist}(f\gamma (u),D^{})c\delta ^{1/2}\}du].`$
Proof. For any $`\gamma `$ let

$$\theta _\gamma (s)=_0^s|f^{}(\gamma (r))|^2𝑑r.$$

Then,

$$d_𝒦(\gamma ,f\gamma )\underset{0st_\gamma }{sup}|s\theta _\gamma (s)|+\underset{0st_\gamma }{sup}|\gamma (s)f(\gamma (s))|.$$

The second term on the right is bounded above by $`\delta `$ and the first term is bounded above by $`_0^{t_\gamma }Y_s𝑑s,`$ where $`Y_s=||f^{}(\gamma (s))|^21|`$. Let

$$\stackrel{~}{D}=\stackrel{~}{D}_\delta =\{zD:\mathrm{dist}(z,D)\delta ^{1/2}\}.$$

For $`zD\stackrel{~}{D}`$, a standard estimate gives $`|f^{}(z)1|c\delta /\mathrm{dist}(z,D)c\delta ^{1/2}`$. Hence,

$$_0^{t_\gamma }Y_s\mathrm{\hspace{0.17em}1}_{\gamma (s)\stackrel{~}{D}}𝑑sc\delta ^{1/2}t_\gamma .$$

For the other part, write

$$_0^{t_\gamma }Y_s\mathrm{\hspace{0.17em}1}_{\gamma (s)\stackrel{~}{D}}𝑑s_0^{t_\gamma }1_{\gamma (s)\stackrel{~}{D}}𝑑s+_0^{t_\gamma }|f^{}(\gamma (s))|^2\mathrm{\hspace{0.33em}1}_{\gamma (s)\stackrel{~}{D}}𝑑s.$$

The first term on the right hand side is the amount of time that $`\gamma `$ spends within distance $`\delta ^{1/2}`$ of the boundary. Since $`|f(z)z|\delta `$, the second term on the right is less than the amount of time that $`f\gamma `$ spends within distance $`2\delta ^{1/2}`$ of $`D^{}`$. Combining these estimates gives the lemma. $`\mathrm{}`$ .

###### Lemma 4

Suppose that $`D𝔻_+`$ is a simply connected domain with $`𝔻_+D\delta 𝔻_+`$ for some $`\delta >0`$. Let $`z,z^{},w`$ on $`D`$ with $`|z|=|z^{}|=1`$, $`|w|\delta `$ and $`|zz^{}|\delta `$. Then, the distance between $`\mu _D^\mathrm{\#}(z,w)`$ and $`\mu _{𝔻_+}^\mathrm{\#}(z^{},0)`$ goes to zero with $`\delta `$, uniformly with respect to the choice of $`w,z,z^{}`$ and $`D`$.

Proof. Let $`f`$ denote the conformal mapping from $`D`$ onto $`𝔻_+`$ such that $`f(w)=0`$, $`f(z)=z^{}`$ and $`|f^{}(i)|=1`$. It is standard that for some constant $`c`$, $`|f(x)x|c\delta `$ for all $`xD`$. The total area in $`D`$ or $`D^{}`$ of the set of points that is at distance less than $`\delta ^{1/2}`$ from the boundary is no larger than $`c^{}\delta ^{1/2}`$. Hence, a combination of the two previous lemmas shows that

$$𝐄[d_𝒦(\gamma ,f\gamma )]c\delta ^{1/2},$$

where the expectation is with respect to $`\mu _D^\mathrm{\#}(z,w)`$. Since the law of $`f\gamma `$ is $`\mu _{𝔻_+}^\mathrm{\#}(z^{},0)`$, the lemma follows. $`\mathrm{}`$

### 3.4 Brownian Bubbles

#### 3.4.1 Definition

The Brownian bubble measure in $``$ at the origin is the $`\sigma `$-finite measure

$$\mu _{}^{\mathrm{bub}}(0)=\underset{z0}{lim}\frac{\pi }{\mathrm{Im}(z)}\mu _{}(z,0)(z)$$
(10)
or equivalently (see (5)),

$$\mu _{}^{\mathrm{bub}}(0)=\underset{z,w0}{lim}\frac{\pi }{2\mathrm{Im}(z)\mathrm{Im}(w)}\mu _{}(z,w)(z,w).$$
(11)
When we speak of the limit, we mean that for every $`r>0`$, if we restrict the measures on the right to loops that intersect the circle of radius $`r`$ (so that this is a finite measure), then the limit exists and equals $`\mu _{}^{\mathrm{bub}}(0;r)`$ which is $`\mu _{}^{\mathrm{bub}}(0)`$ restricted to loops that intersect $`\{|z|=r\}`$. It is not hard to show the limit exists and the normalization is chosen so that $`|\mu _{}^{\mathrm{bub}}(0;r)|=1/r^2`$. If $`r>0`$ and $`f_r(z)=rz`$, then $`\mu _{}^{\mathrm{bub}}(0)`$ satisfies the scaling rule

$$f_r\mu _{}^{\mathrm{bub}}(0)=r^2\mu _{}^{\mathrm{bub}}(0).$$

We can also define $`\mu _D^{\mathrm{bub}}(z)`$ for other domains, at least if $`D`$ is smooth near $`z`$, using conformal covariance,

$$f\mu _D^{\mathrm{bub}}(z)=|f^{}(z)|^2\mu _{f(D)}^{\mathrm{bub}}(f(z)).$$

These measures satisfy the restriction property: if $`D^{}D`$, then $`\mu _D^{}^{\mathrm{bub}}(0)`$ is $`\mu _D^{\mathrm{bub}}(0)`$ restricted to loops that are in $`D^{}`$.

Suppose $`D`$ is a simply connected domain containing $`r𝔻_+`$ for some $`r>0`$, and let $`A`$ be the image of $`D`$ under the map $`z1/z`$. Then \[9, (7.2)\] tells us that the $`\mu _{}^{\mathrm{bub}}(0)`$ measure of the set of loops that do not stay in $`D`$ is $`\mathrm{hcap}(A)`$. The reader can check that both the definition in the present paper and the definition in  give measure $`1`$ to the set of loops that intersect the unit circle, and hence the two definitions use the same normalization. In particular, this shows immediately that

$$\mu _{}^{\mathrm{bub}}(0)[\{\gamma :\gamma (0,t_\gamma )D\}]=\frac{S_\mathrm{\Phi }(0)}{6},$$
(12)
where $`\mathrm{\Phi }`$ is a conformal map from $`D`$ onto $``$ that keeps the origin fixed, say, and $`S_\mathrm{\Phi }`$ denotes the Schwarzian derivative

$$S_\mathrm{\Phi }(z)=\frac{\mathrm{\Phi }^{\prime \prime \prime }(z)}{\mathrm{\Phi }^{}(z)}\frac{3\mathrm{\Phi }^{\prime \prime }(z)^2}{2\mathrm{\Phi }^{}(z)^2}.$$

#### 3.4.2 Path decomposition

The next proposition relates $`\mu _{}^{\mathrm{bub}}(0)`$ to excursion measures. This expression for $`\mu _{}^{\mathrm{bub}}(0)`$ splits the bubble at the point $`se^{i\theta }`$ at which its distance to the origin is maximal.

###### Proposition 5

One has

$`\mu _{}^{\mathrm{bub}}(0)`$ $`=`$ $`\pi {\displaystyle _0^{\mathrm{}}}{\displaystyle _0^\pi }[\mu _{r𝔻_+}(0,re^{i\theta })\mu _{r𝔻_+}(re^{i\theta },0)]r𝑑\theta 𝑑r`$ (13)
$`=`$ $`{\displaystyle _0^{\mathrm{}}}{\displaystyle \frac{4}{\pi r^3}}{\displaystyle _0^\pi }[\mu _{r𝔻_+}^\mathrm{\#}(0,re^{i\theta })\mu _{r𝔻_+}^\mathrm{\#}(re^{i\theta },0)]\mathrm{sin}^2\theta d\theta dr.`$ (14)
Proof. Let $`r>0,\delta >0`$. By the strong Markov property,

$`\mu _{}^{\mathrm{bub}}(0;r)\mu _{}^{\mathrm{bub}}(0;r+\delta )`$
$`=`$ $`\underset{ϵ0+}{lim}{\displaystyle \frac{\pi }{ϵ}}{\displaystyle _0^\pi }[\mu _{r𝔻_+}(ϵi,re^{i\theta })\mu _{(r+\delta )𝔻_+}(re^{i\theta },0)]r𝑑\theta .`$
$`=`$ $`\pi {\displaystyle _0^\pi }[\mu _{r𝔻_+}(0,re^{i\theta })\mu _{(r+\delta )𝔻_+}(re^{i\theta },0)]r𝑑\theta .`$
But as

$$\underset{\delta 0+}{lim}\delta ^1\mu _{(r+\delta )𝔻_+}(re^{i\theta },0)=\mu _{r𝔻_+}(re^{i\theta },0),$$

we get that

$$\frac{d}{dr}\mu _{}^{\mathrm{bub}}(0;r)=\pi _0^\pi [\mu _{r𝔻_+}(0,re^{i\theta })\mu _{r𝔻_+}(re^{i\theta },0)]r𝑑\theta ,$$

which gives (13). Identity (14) follows from the fact (see Lemma 9) that

$$|\mu _{r𝔻_+}(0,re^{i\theta })|=r^2|\mu _{𝔻_+}(0,e^{i\theta })|=\frac{2\mathrm{sin}\theta }{\pi r^2}.$$

$`\mathrm{}`$

Note that

$$\frac{d}{dr}|\mu _{}^{\mathrm{bub}}(0;r)|=4/(\pi r^3)_0^\pi \mathrm{sin}^2\theta d\theta =2/r^3,$$

which is consistent with $`|\mu _{}^{\mathrm{bub}}(0;r)|=r^2`$.

Similarly, one can decompose the Brownian bubble measure in $``$ at the point where the imaginary part is maximal. This gives a joint description of the real and imaginary parts using one-dimensional excursions and Brownian bridges (as briefly mentioned in ).

## 4 (Unrooted) loop measure

### 4.1 Definition, restriction and conformal invariance

We will now define the most important object for this paper, the Brownian loop measure $`\mu ^{\mathrm{loop}}`$. Let $`\stackrel{~}{𝒦}`$ be the set of loops, i.e., the set of $`\gamma 𝒦`$ with $`\gamma (0)=\gamma (t_\gamma )`$. Such a $`\gamma `$ can also be considered as a function with domain $`(\mathrm{},\mathrm{})`$ satisfying $`\gamma (s)=\gamma (s+t_\gamma )`$.

Define $`\theta _r:\stackrel{~}{𝒦}\stackrel{~}{𝒦}`$ by $`t_{\theta _r\gamma }=t_\gamma `$ and $`\theta _r\gamma (s)=\gamma (s+r)`$. We say that two loops $`\gamma `$ and $`\gamma ^{}`$ are equivalent if for some $`r`$, $`\gamma ^{}=\theta _r\gamma `$. We write $`[\gamma ]`$ for the equivalence class of $`\gamma `$. Let $`\stackrel{~}{𝒦}_\mathrm{U}`$ be the set of unrooted loops, i.e., the equivalence classes in $`\stackrel{~}{𝒦}`$. Note that $`\stackrel{~}{𝒦}_\mathrm{U}`$ is a metric space under the metric

$$d_{p,U}(\gamma ,\gamma ^{})=\underset{r[0,t_\gamma ]}{inf}d_𝒦(\theta _r\gamma ,\gamma ^{}).$$

Any measure supported on $`\stackrel{~}{𝒦}`$ gives a measure on $`\stackrel{~}{𝒦}_\mathrm{U}`$ by “forgetting the root”, i.e., by considering the map $`\gamma [\gamma ]`$. If $`D`$ is a domain, we define $`\stackrel{~}{𝒦}(D),\stackrel{~}{𝒦}_\mathrm{U}(D)`$ to be the set of loops that lie entirely in $`D`$, i.e., $`\gamma [0,t_\gamma ]D`$.

We define the Brownian loop measure $`\mu ^{\mathrm{loop}}`$ on $`\stackrel{~}{𝒦}_\mathrm{U}`$ by

$$\mu ^{\mathrm{loop}}=_{}\frac{1}{t_\gamma }\mu (z,z)𝑑A(z)=_{}_0^{\mathrm{}}\frac{1}{2\pi t^2}\mu ^\mathrm{\#}(z,z;t)𝑑t𝑑A(z),$$
(15)
where $`dA`$ denote the Lebesgue measure on $``$. We insist on the fact that the measure $`\mu ^{\mathrm{loop}}`$ is a measure on unrooted loops.

We will call a Borel measurable function $`T:\stackrel{~}{𝒦}[0,\mathrm{})`$ a unit weight if for every $`\gamma \stackrel{~}{𝒦}`$,

$$_0^{t_\gamma }T(\theta _r\gamma )𝑑r=1.$$

One example of a unit weight is $`T(\gamma )=1/t_\gamma `$. Note that $`\mu ^{\mathrm{loop}}`$ satisfies

$$\mu ^{\mathrm{loop}}=_{}T\mu (z,z)𝑑A(z)$$
(16)
(considered as a measure on $`\stackrel{~}{𝒦}_\mathrm{U}`$) for any unit weight $`T`$.

If $`D`$ is a domain, we define $`\mu _D^{\mathrm{loop}}`$ to be $`\mu ^{\mathrm{loop}}`$ restricted to the curves in $`\stackrel{~}{𝒦}_\mathrm{U}(D)`$; this is the same as the right-hand side of (16) with $`D`$ replacing $``$ and $`\mu _D(z,z)`$ replacing $`\mu (z,z)`$. By construction, the family $`\{\mu _D^{\mathrm{loop}}\}`$ satisfies the restriction property. Not as obviously, these measures are also conformally invariant:

###### Proposition 6

If $`f:DD^{}`$ is a conformal transformation, then $`f\mu _D^{\mathrm{loop}}=\mu _{f(D)}^{\mathrm{loop}}`$.

Proof. Showing this requires two observations. One, which we have already noted, is the conformal invariance of interior to interior measures, $`f\mu _D(z,z)=\mu _{f(D)}(f(z),f(z))`$. The other is the fact that we can define a unit weight $`T_f`$ by $`T_f(\gamma )=1/t_\gamma `$ if $`\gamma \stackrel{~}{𝒦}(D)`$, and if $`T\stackrel{~}{𝒦}(D)`$, $`T_f(\gamma )=|f^{}(\gamma (0))|^2/t_{f\gamma }`$. To check that this is a unit weight, note that

$$_0^{t_\gamma }T_f(\theta _r\gamma )𝑑r=(1/t_{f\gamma })_0^{t_\gamma }|f^{}(\gamma (r))|^2𝑑r=1.$$

Therefore,

$`f\mu _D^{\mathrm{loop}}`$ $`=`$ $`f{\displaystyle _D}T_f\mu _D(z,z)𝑑A(z)`$
$`=`$ $`{\displaystyle _D}(1/t_{f\gamma })|f^{}(z)|^2f\mu _D(z,z)𝑑A(z)`$
$`=`$ $`{\displaystyle _D}(1/t_{f\gamma })\mu _D^{}(f(z),f(z))[|f^{}(z)|^2dA(z)]`$
$`=`$ $`{\displaystyle _D^{}}T\mu _D^{}(w,w)𝑑A(w)=\mu _D^{}^{\mathrm{loop}}.`$
Here $`T`$ denotes the simple unit weight $`T(\gamma )=1/t_\gamma `$. $`\mathrm{}`$

Note that the same argument shows that $`\mu ^{\mathrm{loop}}`$ is invariant under the inversions $`z1/(zz_0)`$ for all fixed $`z_0`$.

### 4.2 Decompositions

The definition of $`\mu ^{\mathrm{loop}}`$ makes it conformally invariant and hence independent of the choice of coordinate axes. It will be however convenient to have expressions for $`\mu ^{\mathrm{loop}}`$ that do depend on the axes. We will write the measure on unrooted loops $`[\gamma ]`$ as a measure on rooted loops by choosing the representative $`\gamma `$ whose initial point is the (unique) point on the loop of minimal imaginary part (the same works of course also for the maximal imaginary part). Note that this choice of “root” of the loop is not conformally invariant.

###### Proposition 7

$$\mu ^{\mathrm{loop}}=\frac{1}{2\pi }_{\mathrm{}}^{\mathrm{}}_{\mathrm{}}^{\mathrm{}}\mu _{+iy}^{\mathrm{bub}}(x+iy)𝑑x𝑑y$$

Proof. There are various simple ways to prove this. The main point is to get the multiplicative constants right. We therefore opt for a self-contained elementary proof that does not rely on other multiplicative conventions (i.e., excursions). We start by recalling some facts about one dimensional Brownian motion. Suppose $`Y_t`$ is a one-dimensional Brownian motion started at the origin. Let $`t^{}`$ be the time in $`[0,1]`$ at which $`Y_t`$ is minimal, let $`M=Y_t^{}`$, and let $`\mathrm{\Psi }=(Y_0M)(Y_1M)`$. It is easy to see that the law of $`t^{}`$ is the arcsine law with density $`1/(\pi \sqrt{t(1t)})`$ on $`[0,1]`$. Given $`t^{}`$, $`Y_0M`$ and $`Y_1M`$ are independent random variables with the distribution of Brownian motion “conditioned to stay positive”. It is not difficult to show that $`𝐄[Y_0Mt^{}=t]=\sqrt{\pi t/2}`$ and hence that $`𝐄[\mathrm{\Psi }]=1/2`$.

We now define a unit weight $`T_ϵ`$ on $`\gamma \stackrel{~}{𝒦}`$ that will approximate the Dirac mass at the time of the minimal imaginary part of $`\gamma `$. If $`t_\gamma <ϵ`$, then $`T_ϵ(\gamma )=1/t_\gamma `$. Suppose $`t_\gamma ϵ`$ and there is a unique $`r_0[0,t_\gamma )`$ such that $`\mathrm{Im}[\gamma (r)]<\mathrm{Im}[\gamma (t)]`$ for $`t[0,t_\gamma )\{r_0\}`$. Then $`T_ϵ(\theta _r\gamma )=1/ϵ`$ for $`r_0ϵrr_0`$ and $`T_ϵ(\theta _r\gamma )=0`$ for other $`r_0<t<r_0+ϵ`$ (here $`\gamma `$ is considered as a periodic function of period $`t_\gamma `$). If no such unique $`r_0`$ exists, set $`T_ϵ(\gamma )=1/t_\gamma `$ (the choice here is irrelevant since this is a set of loops of measure zero). Note that the measures $`\mu (z,z)`$ are supported on loops for which a unique $`r_0`$ exists. It is easy to see that $`T_ϵ`$ is a unit weight, and hence for every $`ϵ`$,

$$\mu ^{\mathrm{loop}}=_{}T_ϵ\mu (z,z)dA(z)=\underset{ϵ0+}{lim}_{}ϵ^1\mu (z,z;ϵ)dA(z),$$

where $`\mu (z,z;ϵ)`$ denotes $`\mu (z,z)`$ restricted to curves $`\gamma `$ with $`t_\gamma ϵ`$ and

$$inf\{\mathrm{Im}(\gamma (t));0tϵ\}=inf\{\mathrm{Im}(\gamma (t)):0t<t_\gamma \}.$$

For fixed $`ϵ`$, $`_{}ϵ^1\mu (z,z;ϵ)dA(z)`$ is the same as $`\mu ^{\mathrm{loop}}`$ restricted to curves with $`t_\gamma ϵ`$. Let us consider the measure $`ϵ^1\mu (z,z;ϵ)`$. For ease let $`z=0`$. Start a Brownian motion $`B_t`$ at $`0`$ and let it run until time $`ϵ`$; let us write $`B_ϵ=\sqrt{ϵ}w`$. We let $`b\sqrt{ϵ}=\mathrm{min}\{\mathrm{Im}(B_t):0tϵ\}.`$ Then given $`B_t,0tϵ`$, the remainder of the curve is obtained from the measure $`ϵ^1\mu _{ib\sqrt{ϵ}}(0,w\sqrt{ϵ})`$. As $`ϵ0+`$, this looks like $`ϵ^1\mu _{}(ib\sqrt{ϵ},i(b+w)\sqrt{ϵ})`$, which in turn has the same limit as $`ϵ^1b[b+\mathrm{Im}(w)]\mu _{}(i\sqrt{ϵ},i\sqrt{ϵ}).`$ Hence (see (11)),

$`\underset{ϵ0+}{lim}ϵ^1\mu (0,0;ϵ)`$ $`=`$ $`\underset{ϵ0+}{lim}𝐄[b(b+\mathrm{Im}(w))]ϵ^1\mu _{}(i\sqrt{ϵ},i\sqrt{ϵ})`$
$`=`$ $`{\displaystyle \frac{1}{2\pi }}\mu _{}^{\mathrm{bub}}(0).`$
$`\mathrm{}`$

The next proposition is similar. It gives an expression for $`\mu _{}^{\mathrm{loop}}`$ by associating to an unrooted loop the rooted loop whose root has maximal absolute value.

###### Proposition 8

$$\mu _{}^{\mathrm{loop}}=\frac{1}{2\pi }_0^{\mathrm{}}_0^\pi \mu _{r𝔻_+}^{\mathrm{bub}}(re^{i\theta })𝑑\theta r𝑑r.$$

Proof. Let

$``$ $`=`$ $`\{x+iy:\mathrm{}<x<\mathrm{},0<y<\pi \}`$
$`_b`$ $`=`$ $`\{z:\mathrm{Re}(z)<b\}`$
and let $`\varphi (z)=e^z`$. Conformal invariance tells us that $`\varphi \mu _{}^{\mathrm{loop}}=\mu _{}^{\mathrm{loop}}`$. But Proposition 7 (rotated ninety degrees) and restriction tell us that

$$\mu _{}^{\mathrm{loop}}=\frac{1}{2\pi }_{\mathrm{}}^{\mathrm{}}_0^\pi \mu __x^{\mathrm{bub}}(x+iy)𝑑y𝑑x.$$

The scaling rule for $`\mu ^{\mathrm{bub}}`$ gives $`\varphi \mu __x^{\mathrm{bub}}(x+iy)=e^{2x}\mu _{e^x𝔻_+}^{\mathrm{bub}}(e^{x+iy})`$. Therefore

$`\mu _{}^{\mathrm{loop}}=\varphi \mu _{}^{\mathrm{loop}}`$ $`=`$ $`{\displaystyle \frac{1}{2\pi }}{\displaystyle _{\mathrm{}}^{\mathrm{}}}{\displaystyle _0^\pi }e^{2x}\mu _{e^x𝔻_+}^{\mathrm{bub}}(e^{x+iy})𝑑y𝑑x`$
$`=`$ $`{\displaystyle \frac{1}{2\pi }}{\displaystyle _0^{\mathrm{}}}{\displaystyle _0^\pi }\mu _{r𝔻_+}^{\mathrm{bub}}(re^{iy})𝑑yr𝑑r.`$
$`\mathrm{}`$

Remark. If we combine this description with the invariance of the unrooted loop measure under the inversion $`z1/z`$, we get that, when $`r0`$, the measure $`\mu _{}^{\mathrm{loop}}`$ restricted to those loops that intersect $`r𝔻_+`$ is close to a multiple of the Brownian bubble measure in $``$ at the origin.

## 5 Bubbles and loops

The goal of this section is to derive the relation between the Poissonian cloud of loops that intersect a given curve and the Poisson point process of bubbles that we briefly described in the introduction. In order to prove this, we need a clean generalization of the previous remark to shapes other than disks, and to show that the convergence holds uniformly over all shapes.

### 5.1 Some estimates

We will need some standard estimates about the Poisson kernel on rectangles and half-infinite rectangles, or, more precisely, on the images of these domains under the exponential map.

###### Lemma 9

There exist a constant $`c`$ such that if $`r(0,1/2)`$ and $`\theta ,\phi (0,\pi )`$,

$$|H_{𝔻_+}(re^{i\theta },e^{i\phi })\frac{2}{\pi }r\mathrm{sin}\theta \mathrm{sin}\phi |cr^2\mathrm{sin}\theta \mathrm{sin}\phi ,$$
(17)
$$|H_{\overline{𝔻_+}}(r^1e^{i\theta },e^{i\phi })\frac{2}{\pi }r\mathrm{sin}\theta \mathrm{sin}\phi |cr^2\mathrm{sin}\theta \mathrm{sin}\phi .$$
(18)
Proof. The map $`f(z)=z(1/z)`$ maps $`𝔻_+`$ onto $``$. Hence

$`H_{𝔻_+}(re^{i\theta },e^{i\phi })`$ $`=`$ $`|f^{}(e^{i\phi })|H_{}(f(re^{i\theta }),f(e^{i\phi }))`$
$`=`$ $`2\mathrm{sin}\phi H_{}(f(re^{i\theta }),f(e^{i\phi })).`$
But if $`|z|5/2,|x|2`$,

$$H_𝔻(z,x^{})=\frac{\mathrm{Im}(z)}{\pi [(\mathrm{Re}(z)x^{})^2+\mathrm{Im}(z)^2]}=\frac{\mathrm{Im}(z)}{\pi |z|^2}[1+O(\frac{1}{|z|})],$$

and

$$f(re^{i\theta })=\frac{1}{r}e^{i(\pi \theta )}+O(r),$$

$$\mathrm{Im}[f(re^{i\theta })]=\frac{\mathrm{sin}\theta }{r}+\mathrm{sin}\theta O(r).$$

This gives the first expression, and the second is obtained from the first using the map $`z1/z`$. $`\mathrm{}`$

###### Lemma 10

There exists a constant $`c`$ such that if $`e^s(3/4,1)`$, $`r(0,1/2)`$, and $`\theta ,\phi (0,\pi )`$, then

$$|H_{𝔻_{+,r}}(e^{s+i\theta },re^{i\phi })\frac{4}{\pi }\mathrm{sinh}s\mathrm{sin}\theta \mathrm{sin}\phi |crs\mathrm{sin}\theta \mathrm{sin}\phi ,$$
(19)
where $`𝔻_{+,r}=\{z𝔻_+:|z|>r\}.`$

Proof. Separation of variables gives an exact form for the Poisson kernel on a rectangle, and the logarithm maps $`𝔻_{+,r}`$ onto a rectangle. Doing this we see, in fact, that

$$H_{𝔻_{+,r}}(e^{s+i\theta },re^{i\phi })=\frac{4}{\pi r}\underset{n=1}{\overset{\mathrm{}}{}}\mathrm{sin}(n\theta )\mathrm{sin}(n\phi )\mathrm{sinh}(ns)\frac{r^n}{1+r^{2n}},$$

from which the estimate comes easily. $`\mathrm{}`$

### 5.2 Bubble measure and loop measure

Suppose $`V_n`$ is a sequence of sets in $``$ with $`u_n=\mathrm{rad}(V_n)0`$ and such that $`V_n`$ is simply connected. Let $`m_n`$ be $`\mu _{}^{\mathrm{loop}}`$ restricted to loops that intersect both $`V_n`$ and the unit circle. We set $`h_n=\mathrm{hcap}(V_n)`$.

###### Proposition 11

When $`n\mathrm{}`$,

$$m_n=\frac{h_n}{2}\mu _{}^{\mathrm{bub}}(0,1)(1+o(1)),$$

where $`o(1)`$ is uniformly bounded by a function of $`u_n`$ that goes to zero with $`u_n`$.

Note that scaling implies the corresponding results for the measures restricted to paths that intersect any given circle $`r𝔻`$.

Proof. We will use the decomposition of the measures according to the point at which the loop (or the bubble) has maximal absolute value. Recall that

$$m_n=\frac{1}{2\pi }_1^{\mathrm{}}_0^\pi \mu _{r𝔻_+}^{\mathrm{bub}}(re^{i\theta }|V_n)𝑑\theta r𝑑r,$$

where $`\mu _{r𝔻_+}^{\mathrm{bub}}(re^{i\theta }|V_n)`$ denotes $`\mu _{r𝔻_+}^{\mathrm{bub}}(re^{i\theta })`$ restricted to loops that intersect $`V_n`$. Recall also that

$$\mu _{}^{\mathrm{bub}}(0,1)=_1^{\mathrm{}}\frac{4}{\pi r^3}_0^\pi [\mu _{r𝔻_+}^\mathrm{\#}(0,re^{i\theta })\mu _{r𝔻_+}^\mathrm{\#}(re^{i\theta },0)]\mathrm{sin}^2\theta d\theta dr.$$
(20)
It is not difficult to show that

$$[\mu _{r𝔻_+}^{\mathrm{bub}}(re^{i\theta }|V_n)]^\mathrm{\#}\mu _{r𝔻_+}^\mathrm{\#}(re^{i\theta },0)\mu _{r𝔻_+}^\mathrm{\#}(0,re^{i\theta }),$$

uniformly on $`\{1rR\}`$ and $`\theta (0,\pi )`$. (Note that there is a conformal transformation $`g:V_n`$ with $`\mathrm{max}|g(z)z|cu_n`$).

We now focus on the total masses. We claim that

$$|\mu _{𝔻_+}^{\mathrm{bub}}(e^{i\theta }|V_n)|=4h_n\mathrm{sin}^2\theta [1+O(u_n)].$$
(21)
By the scaling rules for $`\mu ^{\mathrm{bub}}`$ and $`\mathrm{hcap}`$ this implies that for all $`r1`$,

$$|\mu _{r𝔻_+}^{\mathrm{bub}}(re^{i\theta }|V_n)|=4r^4h_n\mathrm{sin}^2\theta [1+O(u_n)],$$

and the proposition follows, using (20).

To prove (21), we first note that

$$|\mu _{𝔻_+}^{\mathrm{bub}}(e^{i\theta }|V_n)|=\underset{ϵ0+}{lim}\frac{\pi }{ϵ}\mu _{𝔻_+}(\mathrm{exp}(ϵ+i\theta ),\mathrm{exp}(i\theta ))[B\text{ hits }V_n].$$

The estimates (18) and (19) show that the following two measures are very close (for all large $`R`$, and $`r`$ is small):

* The measure of $`1_{\sigma _u<T}\mathrm{arg}(B_{\sigma _u})`$ when $`B`$ is defined under the measure $`R𝐏^{iR}`$.
* The measure of $`1_{\sigma _u<T,\sigma _u<\sigma _1}\mathrm{arg}(B_{\sigma _u})`$ when $`B`$ is defined under the measure

$$(2\mathrm{sin}\theta \mathrm{sinh}(ϵ))^1𝐏^{(1ϵ)\mathrm{exp}(i\theta )}.$$

After these hitting times, it is possible to “couple” the two paths up to their first hitting of $`V_n`$. After the hitting of $`V_n`$, we want to estimate the probability that the path go back to the unit circle without hitting $``$ and that they hit it in the neighborhood of $`\mathrm{exp}(i\theta )`$. By (17), this will occur with a probability

$$\frac{2}{\pi }\mathrm{Im}(B_{\rho _{V_n}})\mathrm{sin}\theta d\theta .$$

Hence, we get finally that (recall that the estimates are uniform in $`\theta `$, $`ϵ`$ and $`R`$)

$`|\mu _{𝔻_+}^{\mathrm{bub}}(e^{i\theta }V_n)|`$ $``$ $`\underset{ϵ0,R\mathrm{}}{lim}{\displaystyle \frac{2\pi }{ϵ}}R\mathrm{sin}\theta \mathrm{sinh}ϵ𝐄^{iR}[{\displaystyle \frac{2}{\pi }}\mathrm{Im}(B_{\rho _{V_n}})\mathrm{sin}\theta ]`$
$``$ $`4\mathrm{sin}^2\theta \underset{R\mathrm{}}{lim}R𝐄^{iR}[\mathrm{Im}(B_{\rho _{V_n}})]`$
$``$ $`4h_n\mathrm{sin}^2\theta `$
when $`u_n0`$. $`\mathrm{}`$

### 5.3 Bubble soup and loop soup

We define a bubble soup with intensity $`\lambda 0`$ to be a Poisson point process with intensity $`\lambda \mu _{}^{\mathrm{bub}}`$. One can also view it as a Poissonian sample from the measure $`\lambda \mu _{}^{\mathrm{bub}}(0)\times (\mathrm{length})`$ on $`𝒦_0^0()\times [0,\mathrm{})`$. We can write a realization of the bubble soup as a countable collection $`𝒰=\{(\gamma _j,s_j)\}`$. Recall that the law of $`𝒰`$ is characterized by the fact that:

* For any two disjoint measurable subsets $`U_1`$ and $`U_2`$ of $`𝒦_0^0()\times [0,\mathrm{})`$, $`𝒰U_1`$ and $`𝒰U_2`$ are independent.
* The law of the number of elements in $`𝒰U`$ is the Poisson law with mean $`\lambda \mu _{}^{\mathrm{bub}}(0)\times (\mathrm{length})[U]`$ (when this quantity is finite).

We will think of the bubble $`\gamma _j`$ as being created at time $`s_j`$. Clearly, with probability one $`s_js_k`$ for $`jk`$.

A Brownian loop soup with intensity $`\lambda `$ is a Poissonian sample from the measure $`\lambda \mu ^{\mathrm{loop}}`$. We will use $`_{}`$ to denote a realization of the loop soup. A sample of the Brownian loop soup is a countable collection of (unrooted) Brownian loops in the plane. We will use $``$ to denote the family of loops in $`_{}`$ that are in $``$. This is the Brownian loop soup in the half-plane.

If $`D`$ is a domain, then we write

* $`(D)`$ for the family of loops in $``$ that are in $`D`$
* $`^{}(D)`$ for $`(D)`$, i.e., the family of loops that intersect $`D`$.

By definition, for any fixed $`D`$, the two random families $`(D)`$ and $`^{}(D)`$ are independent.

Note that the (law of the) families $`(D)`$ inherit the conformal invariance and restriction properties of the Brownian loop measure.

Now suppose that $`\eta :[0,\mathrm{})`$ is a simple curve with $`\eta (0,\mathrm{})`$ and $`|\eta (t)|\mathrm{}`$ as $`t\mathrm{}`$. Assume that $`\eta `$ is parametrized by capacity, i.e., that $`\mathrm{hcap}[\eta [0,t]]=2t`$. Let $`H_t=\eta [0,t]`$ and let $`g_t`$ be the unique conformal transformation of $`H_t`$ onto $``$ such that $`g_t(\eta (t))=0`$ and $`g_t(z)z`$ as $`z\mathrm{}`$. We let $`f_t=g_t^1`$ which maps $``$ conformally onto $`H_t`$ with $`f_t(0)=\eta (t)`$.

Given a realization $`𝒰`$ of the bubble soup, consider the set of loops

$$𝒰_{\eta ,t}=\{f_{s_j}\gamma _j:(\gamma _j,s_j)𝒰,s_jt\}.$$

We consider this as realization of unrooted loops by forgetting the loop.

###### Theorem 12

For every $`t<\mathrm{}`$, if $`𝒰`$ is a bubble soup with intensity $`\lambda >0`$, then $`𝒰_{\eta ,t}`$, considered as a collection of unrooted loops, is a realization of $`^{}(H_t)`$ with intensity $`\lambda `$.

It is useful to consider this theorem in the other direction, i.e. to see that it is equivalent to Theorem 1. Let $``$ be a realization of the loop soup in $``$ with intensity $`\lambda `$. We write elements of $``$ as $`[\gamma ]`$ since they are equivalence classes of loops. We write $`V_\gamma `$ for the hull generated by $`[\gamma ]`$, i.e. $`V_\gamma `$ is the complement of the unbounded component of $`\gamma [0,t_\gamma ]`$ (this does not depend on the choice of representative of $`[\gamma ]`$). Let $`\eta `$ be as before and let us write $`^{}=\{[\gamma _1],[\gamma _2],\mathrm{}\}`$ for $`^{}(\eta [0,\mathrm{}))`$, i.e., for the set of loops in $``$ that intersect $`\eta [0,\mathrm{})`$. For every $`[\gamma _j]`$, let $`r_j`$ denote the smallest $`r`$ such that $`\eta (r)\gamma [0,t_\gamma ]`$. Note that this does not depend on which representative $`\gamma _j`$ of $`[\gamma _j]`$ that we choose.

Let us now briefly justify the fact that with probability one, for each $`j`$ there is a unique representative of $`[\gamma _j]`$, which we write as just $`\gamma _j`$, such that $`\gamma _j(0)=\eta (r_j)`$ and $`\gamma _j(0,t_{\gamma _j})H_{r_j}`$. It follows for instance readily from the fact that if $`B`$ is a Brownian bridge (from $`z`$ to $`w`$ in time $`t`$), conditioned to stay in $``$, then for each rational $`0<q_1<q_2<t`$, if one defines the first time $`s(q_1)`$ at which $`\eta `$ hits $`B[0,q_1]`$, then

$$𝐏[\{s(q_1)<\mathrm{};\eta (s(q_1))B[q_2,t]\}]=0,$$

since complex Brownian motion does not hit points.

From now on we consider $`[\gamma _j]`$ as a rooted loop by choosing this representative $`\gamma _j`$. Note that this choice depends on $`\eta `$. The set of times $`𝒯=\{r_j:\gamma _j^{}\}`$ is countable and dense in $`[0,\mathrm{})`$ since with probability one for each rational $`t`$ there exists loops in $``$ of arbitrarily small diameter surrounding $`\eta (t)`$. Also, $`r_jr_k`$ if $`jk`$. We let $`_t^{}`$ denote the set of $`\gamma _j`$ with $`r_jt`$, i.e., the set of loops that intersect $`\eta [0,t]`$. Recall that if $`t<t_1`$, then $`_t^{}`$ and $`_{t_1}^{}_t^{}`$ are independent.

Proof. For $`r>0`$, let $`_t^{}(r)`$ denote the set of $`\gamma _j_t^{}`$ such that $`\mathrm{rad}[g_{r_j}\gamma _j]:=sup\{g_{r_j}\gamma _j(s):0st_{g_{r_j}\gamma _j}\}r`$. Note that with probability one $`_t(r)`$ is finite for each $`t<\mathrm{},r>0`$. It suffices to show that for every $`r>0`$ the set of loops

$$\{g_{r_j}\gamma _j:\gamma _j_t^{}(r)\}$$

is a Poissonian realization of the measure $`\lambda t\mu _{}^{\mathrm{bub}}(0;r)`$ We only need to do this for the case $`r=1`$; the other cases are essentially the same. Let $`𝒜_t=\{g_{r_j}\gamma _j:\gamma _j_t(1)^{}\}`$. We have already noted that for $`ϵ>0`$, $`𝒜_{t+ϵ}𝒜_t`$ is independent of $`𝒜_t`$. If $`t>0`$, the curve $`\eta ^t(s)=g_t[\eta (t+s)],0s<\mathrm{}`$, is also a simple curve parametrized by capacity. Conformal invariance of $`\mu ^{\mathrm{loop}}`$ tells us that the distribution of $`g_t[𝒜_{t+ϵ}𝒜_t]`$, derived from the curve $`\eta `$, is the same as the distribution of $`𝒜_ϵ`$ derived from the curve $`\eta ^t`$. Hence it suffices to prove the two conditions above for $`t=0`$. But this is the estimate that was done in §5.2 so we have the result. $`\mathrm{}`$

This implies (with (12)) in particular immediately the following fact: Suppose that $`D`$ is simply connected, and that the curve $`\eta (0,T]D`$ is parametrized as before. Define $`D_t=g_t(D)`$ (where $`g_t`$ is the conformal map from $`\eta [0,t]`$ onto $``$ with $`g_t(z)z`$ at infinity, and $`g_t(\eta _t)=O`$). As in (12), define also a conformal map $`\varphi _t`$ from $`D_t`$ onto $``$ that fixes the origin. Then,

$$𝐏[\gamma :\gamma \eta [0,T]=\mathrm{}\text{ or }\gamma D]=\mathrm{exp}(\lambda _0^T\frac{S_{\varphi _t}(O)}{6}dt).$$
(22)
### 5.4 Parametrization

Suppose $`\eta :[0,\mathrm{})`$ is a curve as before, and let $`_t^{}`$ denote a realization of the loop soup in $``$ restricted to curves that intersect $`\eta [0,t]`$. We are going to show that if the path $`\eta [0,\mathrm{})`$ has dimension strictly less than two, then the sum of all the time-lengths of the loops in $`_t^{}`$ is almost surely finite. This will imply that one can construct a continuous path by attaching these loops “chronologically” to $`\eta `$.

###### Lemma 13

Suppose that for some $`ϵ>0`$ and $`T>0`$,

$$\underset{\delta 0+}{lim}\delta ^ϵ\mathrm{area}(\{z:\mathrm{dist}[z,\eta [0,T]]\delta \})=0.$$
(23)
Then with probability one,

$$\underset{\gamma _T^{}}{}t_\gamma <\mathrm{}.$$

Proof. Fix $`T,ϵ`$, and let $`r=\mathrm{rad}(\eta [0,T])<\mathrm{}`$. Constants in this proof may depend on $`T,r,ϵ`$. It suffices to prove two facts:

$$\mathrm{\#}\{\gamma _T^{}:t_\gamma >1\}<\mathrm{}\text{ a.s., and }𝐄[\underset{\gamma _T^{}}{}t_\gamma \mathrm{\hspace{0.33em}1}_{t_\gamma 1}]<\mathrm{}.$$

Note that the first one is equivalent to

$$\mu _{}^{\mathrm{loop}}[\{\gamma _T^{}:t_\gamma >1\}]<\mathrm{}.$$

But on the one hand

$`\mu ^{\mathrm{loop}}[\{\gamma :\gamma 2r𝔻:t_\gamma >1\}]`$ $`=`$ $`{\displaystyle _{2r𝔻}}{\displaystyle _1^{\mathrm{}}}𝑑A(z){\displaystyle \frac{dt}{2\pi t^2}}\mu ^\mathrm{\#}(z,z;t)[\{\gamma :\gamma 2r𝔻\}]`$
$``$ $`{\displaystyle \frac{A(2r𝔻)}{2\pi }}<\mathrm{}.`$
On the other hand,

$`\mu _{}^{\mathrm{loop}}[\{\gamma :t_\gamma >1,\gamma 2r𝔻,\gamma r𝔻\mathrm{}\}]`$
$``$ $`{\displaystyle \frac{1}{2\pi }}{\displaystyle _0^r}{\displaystyle _0^\pi }\mu _{u𝔻_+}^{\mathrm{bub}}(u\mathrm{exp}(i\theta ))[\{\gamma :\gamma 2r𝔻\}]𝑑u𝑑\theta .`$
It is easy (using conformal invariance) to see that $`\mu _{u𝔻_+}^{\mathrm{bub}}(u\mathrm{exp}(i\theta ))[\{\gamma 2r𝔻\}]`$ is bounded independently from $`ur`$ and $`\theta [0,\pi ]`$. Hence, the last displayed expression is finite, which completes the proof of the fact that the number of loops in $``$ of length greater than one and that do intersect $`\eta [0,T]`$ is almost surely finite.

Note that

$$𝐄[\underset{\gamma _T^{}}{}t_\gamma \mathrm{\hspace{0.33em}1}_{t_\gamma 1}]=_{}_0^1|\stackrel{~}{\mu }_{}(z,z;t)|𝑑t𝑑A(z),$$

where $`\stackrel{~}{\mu }_{}(z,z;t)`$ denotes $`\mu _{}(z,z;t)`$ restricted to loops that intersect $`\eta [0,T]`$ (the $`t_\gamma ^1`$ in the definition of the loop measure cancels with the $`t_\gamma `$ in the expression on the left hand side). Let

$$F(z)=_0^1|\stackrel{~}{\mu }_{}(z,z;t)|𝑑t,$$

and let $`d_z=\mathrm{dist}(z,\eta [0,T])`$. It is standard to see that there exist constants $`c,a`$ such that

$$|\stackrel{~}{\mu }_{}(z,z;t)|ct^1e^{ad_z^2/t}.$$

Hence, we get $`F(z)c\mathrm{log}(1/d_z)`$ and

$$\mathrm{area}\{z:F(z)s\}\mathrm{area}\{z:\mathrm{dist}(z,\eta [0,T])e^{s/c}\}e^{sϵ/c}.$$
(24)
Also we get $`F(z)ce^{a|z|^2}`$ for $`|z|3r`$, and hence we can see that $`F(z)𝑑A(z)<\mathrm{}`$. $`\mathrm{}`$

Remark. From (24) we can see that (23) can be weakened to

$$\mathrm{area}\{z:\mathrm{dist}(z,\eta [0,T])e^s\}g(s),$$

where $`_1^{\mathrm{}}g(s)𝑑s<\mathrm{}`$. However, if $`\eta `$ is space-filling, then the result does not hold as the following shows:

###### Proposition 14

If $`D`$ is any nonempty open domain, then $`_{\gamma (D)}t_\gamma =\mathrm{}`$ almost surely.

Proof. Note first that

$$𝐄[\underset{\gamma (D)}{}t_\gamma ]=\mathrm{}.$$

This can be seen easily from the scaling rule

$$𝐄[\underset{\gamma (rD)}{}t_\gamma ]=r^2𝐄[\underset{\gamma (D)}{}t_\gamma ].$$

For example, if $`D`$ is a square, we can divide $`D`$ into $`4`$ squares of half the side length, $`D_1,\mathrm{},D_4`$. The scaling rule tells us that

$$𝐄[\underset{\gamma (D)}{}t_\gamma ]=\underset{j=1}{\overset{4}{}}𝐄[\underset{\gamma (D_j)}{}t_\gamma ].$$
(25)
But

$$\underset{\gamma (D)}{}t_\gamma =\underset{j=1}{\overset{4}{}}\underset{\gamma (D_j)}{}t_\gamma +\underset{(D)[(D_1)\mathrm{}(D_4)]}{}t_\gamma .$$

Since the last term has strictly positive expectation, the expectations in (25) must be infinite.

Furthermore (by dividing the square into $`2^m`$ smaller squares), $`_{\gamma (D)}t_\gamma `$ is larger than the mean of the values of $`2^m`$ independent copies of itself (i.e. the same random variable with infinite expectation) for any $`m`$. The result follows. $`\mathrm{}`$

With Lemma 13 we can give a Brownian parametrization to the curve “$`\eta `$ with the loops added.” Let $``$ be a realization of the Brownian loop soup, and let $`\{[\gamma _1],[\gamma _2],\mathrm{}\}`$ be the (unrooted) loops that intersect $`\eta [0,\mathrm{})`$. As before, choose $`r_j`$ and representative $`\gamma _j`$ so that $`\gamma _j(0)=\eta (r_j)`$ and $`\gamma _j[0,t_{\gamma _j}]\eta [0,r_j)=\mathrm{}`$. Define

$$S(r)=\underset{r_j<r}{}t_{\gamma _j},S(r+)=\underset{r_jr}{}t_{\gamma _j}.$$

Then $`S(r)`$ is an increasing function with jumps at $`r_j`$ of size $`t_{\gamma _j}`$. Define the process $`Y_s`$ by

$$Y_{S(r)}=\eta (r),$$

and if $`S(r)<S(r+)`$,

$$Y_{S(r)+s}=\gamma _j(s),\mathrm{\hspace{0.33em}\hspace{0.33em}\hspace{0.33em}\hspace{0.33em}0}st_\gamma .$$

The density of the loop-soup implies readily that $`tY_t`$ is continuous (provided $`\eta `$ is a simple curve for instance).

The results of  strongly suggest that the following conjecture holds.

###### Conjecture 1

If the curve $`\eta `$ is chordal $`SLE_2`$, and $`\lambda =1`$, then the law of $`Y`$ is $`\mu _{}^\mathrm{\#}(0,\mathrm{})`$.

There seem to be different possible ways to prove this. One can use the convergence of loop-erased random walk to the $`SLE_2`$ curve . The main missing step is the convergence of discrete bubbles towards the Brownian bubbles.

Acknowledgements. We would like to thank Oded Schramm for many inspiring conversations. Part of this work was carried at the Centre Emile Borel of the Institut Henri Poincaré.

Gregory Lawler

Department of Mathematics

310 Malott Hall

Cornell University

Ithaca, NY 14853-4201, USA

lawler@math.cornell.edu

Wendelin Werner

Laboratoire de Mathématiques

Bât. 425

Université Paris-Sud

91405 Orsay cedex, France

wendelin.werner@math.u-psud.fr


text:
# Burghelea-Friedlander-Kappeler’s gluing formula and the adiabatic decomposition of the zeta-determinant of a Dirac Laplacian.

E-mail address : ywleemath.inha.ac.kr