Exact Calculation of The Fluctuation Spectrum For A Nonlinear Model

Exact Calculation of the Fluctuation Spectrum for a Nonlinear Model
System
N. G. Van Kampen

Citation: J. Math. Phys. 2, 592 (1961); doi: 10.1063/1.1703743
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JOURNAL OF MATHEMATICAL PHYSICS VOLUME 2, NUMBER 4 JULY-AUGUST, 1961
Exact Calculation of the Fluctuation Spectrum for a Nonlinear Model System
N. G. VAN KAMPEN
Physics Section, Convair San Diego, San Diego, California*
(Received January 23, 1961)
Fluctuations in a circuit consisting of a diode and a condenser have been treated by means of approximate
methods [C. T. J. Alkemade, Physica 24,1029 (1958); N. G. van Kampen, ibid. 26, 585 (1960)J. In the
present paper, exact eigenfunctions and eigenvalues of the master equation for this system are obtained,
and the spectral density of the equilibrium fluctuations is calculated. The most striking result is that the
spectrum of the eigenvalues (which are reciprocal relaxation times) has an accumulation point, corresponding
to the average time interval between two successive electron transitions.
1. INTRODUCTION
I
N this paper an exact calculation is presented of the
spectral density of the equilibrium fluctuations in
a simple model of a nonlinear system. The system is an
electrical circuit consisting of a condenser and a diode
in contact with a heat reservoir. It has been shown
1
that
the electrical fluctuations in this system are governed
by the master equation
ap(N)/at=p(N+1)-P(N)
+f{e-(N-l)P(N-1)-e-
N
P(N)}. (Ll)
P(N) is the probability of having N electrons on the left-hand
condenser plate (see Fig. 1); E=e2/kTC, e being the electron
charge, C the capacity of the condenser, T the temperature of the
whole system, k Boltzmann's constant;
W1-W
2
-e'/2C
l"=exp kT '
where W, and W2 are the work functions of the two electrodes;
t is time measured in appropriate units.
The reasons for this investigation are twofold.
Firstly, the problem of fluctuations in nonlinear
systems has been studied by several authors,t-lo but no
agreement has yet been reached. It therefore seems
worthwhile to obtain an explicit and rigorous result for
a nontrivial example. In particular, it will be shown
that there are terms in the spectral density that cannot
be obtained by the usual expansion methods.
Secondly, the model illustrates the distinction between
slow fluctuations, which involve large numbers of
particles, and rapid fluctuations connected with
individual particles. The relaxation times of the slow
fluctuations are mainly determined by the RC time
of the circuit; they are the ones that are found by the
* On leave of absence from the University at Utrecht,
Netherlands.
'N. G. van Kampen, Physica 26,585 (1960).
D. K. C. MacDonald, Phil. Mag. 45, 63 (1954); D. Polder,
ibid. 45, 69 (1954); D. K. C. MacDonald, Phys. Rev. 108, 541
(1957).
3 N. G. van Kampen, Phys. Rev. 110,319 (1958).
4 C. T. J. Alkemade, Physica 24, 1029 (1958).
6 R. O. Davies, Physica 24, 1055 (1958).
6 W. Bernard and H. B. Callen, Revs. Modern Phys. 31, 1017
(1959); Phys. Rev. 118, 1466 (1960).
7 A. Marek, Physica 25, 1358 (1959).
8 M. I_ax, Revs. Modern Phys. 32, 25 (1960).
9 A. Siegel, J. Math. Phys. 1, 378 (1960).
,. N. G. van Kampen, Can. J. Phys. 39,551 (1961).
592
usual approximate methods. The relaxation times of the
rapid fluctuations are determined by the average time
between two successive individual electron transitions.
The two kinds of fluctuations are separated by an
accumulation point in the spectrum of relaxation times.
It seems likely that such a distinction is a general
feature of fluctuations in nonlinear systems. In linear
systems, of course, there is just one relaxation time.
The mathematical problem consists of finding the
eigenvalues and eigenfunctions of the difference equation
(1.1), together with their relevant properties. Although
the mathematics is closely related to the theory of
"q-difference equations",!l some of the results appear
to be new and may have some interest by themselves.
As much of the mathematical work as seemed possible
has been removed from the text to a series of appendixes.
2. PRELIMINARIES
Equation (1.1) can be written more simply
ap(N)/at= P(N),
where E is the operator defined by Ef(N) = f(N+1).
This can be further simplified by replacing N with a
new variable s
N=s+g,
and choosing the constant g such that 1. Then,
ap(s)/at= (E-1)P(s)+ (E-l-1)e-P(s). (2.1)
Unless g happens to be an integer, s runs over a set of
noninteger values. Let 'Y denote the distance of g to the
FIG. 1.
11 W. Hahn, Mathematische Nachrichten 2, 4 (1949).
FLU C T U A T ION S PEe T RUM FOR A NON LIN EAR MOD E L S Y S T E M 593
next higher integer
12
:
g+'Y=integer, 0:::;'1'<1.
Then the set of values available to s is
S'Y= ( .. " - 2+'1', -1 +'1', '1', 1+'1', 2+'1',3+'1', ... ).
Summation over all values sES'Y will be denoted by S.
One readily verifies that one solution of (2.1) is
'l1o(s) = exp( -!fS
2
+!fS).
For future use, we note the property
E'l1 0 = e-''' o.
(2.2)
(2.3)
We introduce a Hilbert space JC'Y of real functions
if;(s) with sES'Y by defining the scalar product,
'l10 itself belongs to JC'Y' the square of its norm being
S exp( -!fS
2
+!fS)
+00
=exp(-!f'Y
2
+!f'Y) L exp[ -!fN2+(!-'Y)fNJ
(2.4)
Here {}s denotes a theta function.
Is
The quantity (2.4)
is the partition function of the equilibrium distribution
and will be denoted by Z.
It is convenient to introduce also the dual space Jc'Y
consisting of the functions
I/>(s) = if; (s)/'l1o(s), if; (s)EJC'Y'
with the scalar product
(1/>1,1/>2) = (if;1,if;2) =S'l1or!>I1/>2.
In particular,
<Po(s) = 1.
The operator on the right of (2.1) will be denoted by
F,
It has an eigenvalue zero with eigenfunction 'l10. We
show that it is negative definite for all other functions if;
(i.e., in the subspace orthogonal to 'l1
0
). By using (2.3)
and some obvious properties of the operator E, one
finds
S'l10-1if;Fif;= Scp(E-1)'l1or!>+Scp(E-l-1)e-'''or!>
= S'l1or!>(E-L l)I/>+SI/>(E-l_1) (E'l1
o
)1/>
= S'l1or!>(E-l_1)I/>+SI/>(1-E)'l1oE-
1
1/>
= -S'l1
0
[(1-E-l)I/>J2. (2.5)
12 The introduction of 'Y as distinct from g is convenient but
not strictly necessary.
13 For the theta functions, we follow the notation of E. T.
Whittaker and G. N. Watson, A Course of Modern Analysis
(Cambridge University Press, New York, 1946), Chap. 21. The
This is clearly negative, unless I/> is a constant and hence
proportional to <Po.
We also shall have to consider the operator
F = E-l_1 +e-
E8
(E-1),
with the properties
SI/>Fif;=Sif;FI/>,
F'l1 or!> = 'l1 of 1/>.
These relations show that F is the operator that
corresponds to F in the dual space.
The solution of the time-dependent equation (2.1)
is equivalent to solving the eigenvalue problem
Fif;=-Aif;,
or alternatively,
(2.6)
We shall indeed solve this last equation, but first an
auxiliary function has to be introduced.
3. AUXILIARY FUNCTION '7C(z)
Definition:
00 1-e-
k
1r(z)= II .
k=1 1-e-(k+
z
)
Fundamental property:
1r(Z) = (l-e-
EZ
)1r(z-l).
From this follows, as 1r(0) = 1,
m
1r(m)= II (l-e-
k
) for m=1,2,.
k=1
(3.1)
1r(Z) is periodic with period 21ri/ f. It has simple poles
at z= -m (m= 1, 2, ... ), the residues being given by
lim (z+m)1r(z)
(_l)m+l exp( -!fm
2
+!fm)
z--+-m
There are of course additional poles at z= - m+ 21rim' / f,
where m'=l, 2, .... Otherwise 1r(z) is regular and
it has no zeros. For all Z and all integral m,
1r(z-m)1r( -z-l +m)
1r(z)1r( - z-1)
= (-l)m exp[ -!em
2
+e(z+!)m]. (3.2)
As Re z ---+ 00, 1r(z) tends to a constant G,
00
lim 1r(Z) = II (l-e-
k
)=G. (3.3)
k=1
parameter q of all theta functions in this paper has the value e - ~ '
(and will, therefore, not be written explicitly). Accordingly, the
quasi-period is !i .
594 N. G. VAN KAMPEN
This is the same constant G that occurs in the theory
of theta functions.1
3
As Rez - 00 avoiding the poles,
1r(z) tends to zero. More specifically, if m 00 through
integral values,
1r(Z)1r( - z-1)
1r(z-m)'"'"' (-1)m
G
Finally,
It is convenient to define as a separate function
1rl(Z) =1r(Z+1ri/ E),
with the fundamental property
(3.5)
(3.6)
1rl(Z) has no singularities on the real axis. Equation
(3.3) yields
1rl(z-m)1rl( -z-1 +m)
1rl(Z)1rl( -z-1)
while (3.4) becomes
1rl(Z)1rl ( -z-1)
1rl(z-m)'"'"':-----
G
Xexp[ -!Em2+E(z+!)m]. 00). (3.8)
The so-called q-binomial coefficients
l4
l5
can be
defined in terms of 1r(z) by
This is an entire analytic function of y, which equals
1 for y= 0, and vanishes for y= -1, - 2, .... From the
fundamental property (3.1) of 1r(z), the following three
identities are obtained.
From (3.2) follows
Xexp[!Em
2
- E(Z- y+!)m]. (3.13)
From (3.4) one finds for m + 00
[
Z 1r(z) (-1)m
y+mJ=1r(z-y)1r(y-z-1)
Xexp[!Em
2
-E(z-y+!)m]; (3.14)
and for - 00
[
Z],,-, 1r(z) (-1)m
y+m 1r(Y)7r( -y-l)
Xexp[!Em
2
+E(y+!)m]. (3.15)
It is convenient to define separately
[
Z] 1r1(Z) [Z+1ri/E]
Y 1 1r(y)1rl (z-y) Y
4. SOLUTION OF EQUATION (2.6)
In order to find solutions of the difference equation
(2.6),
(4.1)
we put
+00
cf>(s) = a.e
E
(.,.f-U)8.
a. and u are yet to be determined. Clearly u may be
restricted by
Reu< 1, Imu<21r/ E. (4.2)
Furthermore, we put
l6
i\=1-e-
ET
, (4.3)
Substituting this cf>(s) into the equation, one obtains a
two-term recursion formula for the a.,
e-
ET
{ e-(.,.f-u-r) -1 }a.+e(.,.f-o+l) {1-e-(,+u+I)}a.+l =0.
[
Z]= 1-e-EZ[Z-1],
y 1-e-'
Y
y-1
(3.10) This may be written in the form
(3.11)
(3.12)
14 c. F. Gauss, Werke II (GOttingen, 1863) 11, in particular
p.16.
15 G. Szego, Orthogonal Polynomials (American Mathematical
Society, New York, 1959), p. 33.
1r(V+u) 1r(v+u+l)
a.+e(.,.f-u+r+!) a'+1 = o.
1r(v+u- r-1) 1r(v+u- r)
It then follows immediately that
1r(v+u- r-l)
a,=c exp[ -!EV
2
-E(u+r+!)v],
1r(v+u)
16 The value X= 1 would have to be studied separately. How-
ever, in Sec. 8 is shown that it cannot contribute to the density
spectrum of the fluctuations.
with c independent of v. On account of (3.2), one also has
11"(7)
a.= c' (-1)' exp( -
11" (v+0")1I" ( T-O"- v)
=C'(-l)'[ T
v+O"
We thus have obtained the following general solution
of (4.1):
+00 [ T ]
cf>(S;O",T)= L (-1)'
v+O"
Xexp[ (4.4)
T being related to A by (4.3). It follows from (3.3) and
(3.4) that this series converges for all 0" and T, unless T
is a negative integer. If 0" is an integer, all terms with
V<O" are zero; if T-O" is an integer, all terms with
v> T-O" are zero.
cf>(s; O",T) has a number of obvious periodicity
properties with respect to 0" and T, but they are im-
material because of the restrictions (4.2) and (4.3).
However, there is also a quasi-periodicity in T, which is
expressed by the following important recursion relations.
Firstly, using (3.11) one finds
1I"(T)
(l-e-
ET
E)cf>(s;O",T) cf>(s;0",T-1). (4.5)
1I"(T-1)
Secondly, introducing the dual function
w(s; O",T)=WO(S)cf>(s; O",T),
one finds with the use of (3.12)
(l-e-
T
E-l)it(s; O",T) =it(s; 0", T+ 1). (4.6)
Thirdly, either by using (3.10) or by using (4.5) and
the difference equation (4.1) itself,
(l-E-l)cf>(s; O",T)
= - (l-e-
T
)e(-I)E-2cf>(s; 0", T-1). (4.7)
5. NORMALIZATION CONDITION
In order to determine the eigenfunctions of F, those
values of 0" and T have to be selected for which the
normalization condition
S'l10(s)[cf>(Sj O",T)]2< 00 (5.1)
is satisfied. If 0" is an integer (necessarily zero), and
T=n (=0,1,2, .), the series (4.4) breaks off and
reduces to a polynomial in e" of degree n. Hence, (5.1)
is satisfied. This gives us a first type of eigenfunctions:
cf>n(l) (s)=<p(s; O,n)
= i (_1).[n] exp( - (5.2)
=0 v
These polynomials have been studied in the mathe-
matical literature.t
5
,17
In order to find the other types of eigenfunctions, the
behavior of cf>(s; O",T) for s 00 has now to be
investigated.
Behavior for s 00
If the series does not break off for negative v.
Thus, for s - 00, the terms with large negative v will
predominate, so that the asymptotic expression (3.15)
may be inserted. Thus,
- 00 ; O",T)
+00
'" L exp[
-00
The sum on the right is
e ..
On account of the quasi-periodicity of the theta
function, this is equal to
e .. s+ 1) )e-'("-s)
,-,),-1
II e-( .. -+k)
k==O
(O"-!)].
Because of the factor this asymptotic
behavior is irreconcilable with the normalization
condition (5.1), unless the theta function is zero. Hence,
has to coincide with one of the zeros of t1
3
,
!-'Y) = (m' +!)11"+ (n' +!)
with any integers m
'
, n'. The only solution within the
restriction (4.2) is
Behavior for s + 00
If T-O" is not an integer, the series does not break off
for v + 00. Then, for s + 00, the terms with large
positive v will predominate, so that the asymptotic
expression (3.14) may be used. Hence
+00 ;O",T)
+00
'" L exp[
This can be worked out like the previous example, with
the result that the normalization condition can only be
17 S. Wigert, Arkiv Mat. Astron. Fysik 17, No. 18 (1923);
G. Szego, Sitzber. Preuss. Akad. Wiss. Physik.-Math. Kl. (1926)
242; L. Carlitz, Ann. Mat. Pura Appl. (4) 41,359 (1956). Szego's
polynomials are related to our oI>n(1) by
oI>n(l)(s)=Kn(-e"+', e-).
It should be noted that his orthogonality relation involves an
integral, whereas our Eq. (7.5) involves a summation over .
satisfied if
liE(o+r+!-'Y)= (m"+!)1r+ (n"+!) (iE/2).
This yields a denumerable set of solutions, viz.,
o+r=n"+'Y+1ri/E, (n"=O, 1, 2, ... ).
6. VARIOUS TYPES OF EIGENFUNCTIONS
Summarizing the results, one finds four possible sets
of values for u and r.
(1) q=O, r=n (n=O, 1, 2, .);
(2) q= 0, r= n+'Y+1ri/ E
(n=, -2, -1,0,1,2, ... );
(3) q='Y+1ri/E, r=n+'Y+1ri/E
(n=, -2, -1,0,1, 2, .);
(n=, -2, -1,0,1,2, ... ).
They give rise to the following four possible types of
eigenfunctions.
First type: polynomials in e", see (5.2).
<l>n (1) (s) ==(s; 0, n) = t (_1),[n] exp( - Ev2+EJIS);
,=0 P
Second type :
<l>n(2) (s)==(s; 0, n+'Y+1ri/E)
An (2) = 1 +e-(n+r) (n= ., - 2, -1, 0, 1, 2, ... ).
Third type:
<l>n(3) (s) ==(s; 'Y+1ri/E, n+'Y+1ri/E)
n 1rl(n+'Y)
= exp[(E'Y+1ri)sJ L: (-1)"-----
-00 1rlC'Y+p)1r(n-p)
Xexp( - Ep2- 2E'YP+EPS); (6.2)
An (3) = 1 +e-(n+
r
) (n=, - 2, -1,0, 1, 2, ... ).
An alternative form is
<l>n (3) (s)= (-1)n exp( - En
2
- 2E'Yn)
Xexp[(en+E'Y+1ri)SJ f:. (_O'[n+'Y]
p=Q p11
Xexp[ (6.3)
Fourth type :
<l>n(4) (s)==(s; 'Y+1ri/E, n)
+00 1r(n)
=exp[(E'Y+1ri)sJL: (-1),------
-00 1rl(V+'Y)1rl(n-p-'Y)
(6.4)
A
n
(4)=1-e-
n
(n=O, 1,2, ... ).
For negative n this expression is meaningless because
1r(n) is infinite. We therefore define for n<O
(s; 'Y+1ri/E, r)
<l>n(4)(S)== lim ------
T->n 1r(r)
+00 (-1)'
=exp[(E'Y+1ri)sJ L: ------
-00 1rl(P+'Y)1rl(n-p-'Y)
Xexp( - Ep2- 2E'YV+EPS). (6.5)
A
n
(4)=1-e-
n
, (n=,-2,-1,0).
For n=O, either (6.4) or (6.5) may be used.
In Appendix A, it is proved that <l>n (4) for n<O
vanishes identically (i.e., for all sES
r
), and that <l>n (4)
for is proportional to <l>n (1). This shows that the
eigenvalues A
n
(4) for negative n are spurious. Moreover,
it is proved in Appendix B that the <l>n (3) are propor-
tional to the <l>n (2). Hence, only the first two types
remain, and all eigenvalues are nondegenerate.
It still has to be verified that <l>n (2) actually does
satisfy the normalization condition. For this, it is
sufficient to note that from (6.1) follows
-<Xl)=1+0(e"),
and from (6.3), with the aid of (B.3),
+ <Xl )=O(e(n+r)8).
7. NORMALIZATION
In Appendix C, the following identities are proved
S'l1
0
[n (I)J2= 1r(n)e
w
Z,
1rl(n+'Y)
S'l1
0
[n(2)J2 enZ'.
1rl('Y)
(7.1)
(7.2)
Here Z is the quantity defined by (2.4) and Z' is an
abbreviation for
Z' == S'l1 0 (<1>0 (2))2,
which is computed in Appendix E to be
G3
.
1rl(-'Y-1)
(7.3)
(7.4)
It is convenient to define normalized eigenfunctions
..yo and 'l>n in the following way:
-.IfO=Z-l'1ro,
'l>n (1)= (1),
or, with the aid of (3.1), (3.6), and (7.10),
2[ 00 e-
n
1l"(n-1)
SN(W)=- :E ----
11" n=l (1- e-
w
)2+w2
Z' e-
2
.'Y +00 e-n1l"1(n+'Y-1) ]
+--:E .
Z 11"1(1') -00 (1+e-(n+y2+
w
2
The general orthonormality relation is
SWon (i)'l>n W =
Accordingly, we also put
-.If"U)=-.Ifo'l>,,(i).
In order to compare this with the result of reference 1, one has
to replace w by ow and multiply the whole expression with
(7.5) because of the difference in time scale. The first term then agrees
with Eq. (44) of reference 1. It involves the relaxation times
A special example of (7.5) is
S-.If n (i) = (7.6)
We here mention a result, which is obtained by
similar methods in Appendix D :
Ss'lrn(l) = -1I"(n-1)Z, 1) (7.7)
11"1 (n+'Y-1)
Ss'lr n (2) Z" .
11"1(1'-1)
Here Z" is a third constant defined by
Z" = Ss'lr 0 (2)
It is shown in Appendix F that
G8 Z'
(7.8)
(7.9)
Z"= -exp( -!E'Y2+!ey) __ -= ---. (7.10)
11"1(-1') l-e''Y
It should be noted that, on account of (7.6), the relations
(7.7) and (7.8) remain valid if the factor s on the left
is replaced with N=s+g.
8. FLUCTUATION SPECTRUM
The spectral density of the fluctuations in the number
N of electrons is given byB
(8.1)
the summation extending over all normalized eigen-
functions -.Ir with their eigenvalues Inserting the
results of the previous section, one gets
2 00 1-e-
n
{1I"(n-1)}2
SN(W)=- :E -------
11" n=l (1-e-
n
)2+w2 1I"(n)e
w
2+00 l+e-(n+y) {1I"1(n+'Y-1)}2
+-:E ----- ----
11" -00 (1 +e-(n+y2+
w
2 11"1(1'-1)
Z"2 11"1 (-y)
X- e-en,
ZZ'1I"1(n+'Y)
1
--RoC=-RoC+O(.)
1-e-
n
n '
where RoC is the RC time of the circuit in the linear region. The
second term is new; it involves relaxation times of order
E ffJRo
1+e .(n+yloC=kT"+. ..
The physical meaning has been discussed in the introduction,
and in reference 1. Of course, these relaxation times loose their
physical meaning when they become comparable with the time of
flight of the electrons between both electrodes.
The expansion of SN(W) for large W is
(8.2)
It has been shown before
1
,4 that this should be in-
dependent of the nonlinearity, which implies that the
quantity [ ] should be unity. It can readily be verified
(by comparing powers of e-
E
on both sides) that
00
:E e-
En
1l"(n-l)=1-G.
n=l
Moreover, it is shown in Appendix G that
+00
:E e-
En
1l"1(n+'Y- 1)=Ge
E
'Y. (8.3)
-
Substituting this in (8.2) and using (2.4), (7.4), and
(3.5), one finds the desired result.
This check is important for the following reason.
Equation (8.1) has been derived for a complete set of
normalized eigenfunctions. Unfortunately, we have not
been able to prove that the set consisting of the functions
-.Irn(l) and is complete. However, it is clear that
completeness is not actually necessary for (8.1); it is
sufficient that no eigenfunction has been skipped for
which

The fact that the quantity [ ] in (8.2) is actually
unity guarantees that this condition is met. In particu-
lar, it follows that eigenfunctions belonging to A= 1, if
any, cannot contribute.
APPENDIX A. PROOF THAT 4n(4) IS
PROPORTIONAL TO 4n(l)
According to (6.S) and (3.7),
exp[ ( e'Y +1I'i)s J
<1>-1 (4) (s)
11'1 ( -1-'Y)1I'1('Y)
+00
XL (-1)" exp[ -!ep2+e(s-'Y+!)P].
-00
The infinite sum is
t?-4( -!ie(s-'Y+!=O.
Thus, <1>_1(4) = 0. Moreover, the relation (4.5) when
applied to _m (4) with m ~ takes the form
(1-e.
m
E)_m(4) = _m-l (4).
Substituting successively m= 1, 2, "', one finds that
all _m(4) are zero. Substituting m=O, one finds
(1- E)O(4) = 0; hence, <1>0(4) = constant.
Thus <1>0(4) is proportional to <1>0 (1). It then follows
immediately from (4.6) that each <l>n (4) for n ~ is
proportional to <l>n (1) (with the same proportionality
constant).
APPENDIX B. PROOF THAT 4n(3) IS
PROPORTIONAL TO 4n(l)
First one obtains from (6.2) directly
<1>" (3) (2n+2'Y-s) = (-l)n<J>n (2) (s)
Xexp[ -e(n+y+1I'i/ e)s+en2+2e'Yn+2e'Y2+211'i'Y J.
Substitute n=O, S='Y,
<1>0(3) ('Y)=O(2) ('Y) exp(e'Y2+1I'i'Y)' (B.1)
Substitute s='Y+1,
<1>0(3) ('Y-1) = -<1>0(2) ('Y+ 1) exp(e'Y2+1I'i'Y- E'Y).
On the other hand, from the difference equation for
<1>0(2) ,
Hence,
<1>0(3) ('Y-1)=O(2)('Y-1) exp(E'Y2+1I'i'Y). (B.2)
From (B.1) and (B.2) and the fact that <l>0(2)(S) and
<l>0(3)(S) satisfy the same difference equation (4.1), it
follows that they must be proportional to each other.
Finally, using the relations (4.5) and (4.6), one finds
generally
<1>" (3) (s) =<1>" (2) (s) exp( E'Y
2
+II"i'Y). (B.3)
APPENDIX C. PROOF OF THE NORMALIZATION
FORMULAS (7.1) AND (7.2)
If u and 7' have such values that the norm exists, one
finds using the result (2.5)
SWO(s)[ (s ; U,7')]2= X-lSWO(S)[ (1-E-l)(S; U,7')J2.
From (4.7), this may be written
(l-e-
OT
)Swo(s)e2e(&-Il[E-2<f>(s; u, 7'-1)]2,
which according to (2.3) is equal to
(1-e-OT)e'S[E-2wo(s)J[E-2<f>(s; u, 7'-1)]2
= (1-e-'
T
)e'Swo(s)[(s; u, 7'-1)]2.
Thus, we have obtained a recursion formula for the
norm. When applied to the <l>n(1), it yields
SWO[n (1)J2= (1-e-
w
) (1-e-(n-l . ..
X (1-e-)e
n
Swo[o(l)J2,
which is just (7.1). When applied to <l>n(2), it yields in a
similar way (7.2).
APPENDIX D. PROOF OF (7.7) AND (7.8)
We first derive a recursion formula with the aid of
(4.6).
Ssw(s; U,7') =Ss(1-e-'(T-l)E-l)w(s; u, 1'-1)
=S'l'(s; u, 1'-1) (1-e-(T-!)E)s
= (1-e-(T-lSsw(s; u, 7'-1)
-e-(T-l)Sw(s; u, 7'-1).
According to (7.6), the last term vanishes unless 7'= 1
and u=O. By iterating this recursion formula,
Ssw" (1) (s)= -1I'(n-1)Z,
SSW
n
(2) (s)/1I'1(n+'Y-1) = independent of n.
These are the relations (7.7) and (7.8), respectively.
It should be noted that these equations do not give
Ss'l'o(1), but this quantity does not occur in the fluctua-
tion spectrum either. Actually, it is easy to compute
Sswo(l) (s) = 'YZ+ (2i)-1t?-3'(!iE('Y-! exp( _!e-y2+!E'Y),
where the prime denotes differentiation with respect to
the argument of the theta function.
APPENDIX E. COMPUTATION OF Z'
In the definition (7.3) of Z', we substitute one factor
<1>0(2) from (6.1) and the other from (6.3), using (B.3).
Z'=S exp( -!eS
2
+tES)
X { E (-1)"[1 exp( -EP2+EPS)}
X { exp( - E'Y2-1I'i'Y) exp[ (E'Y+1I'i)S J
X f. (_1)1'['Y] eXP(-EJ.L2+2E'YJ.L-EJ.LS)}.
1'=0 J.L 1
Put s='Y+N, so that tke summation variable N takes
integral values,
+Nl
X lim L: exp( +7riN)
Nl-+oo -Nl
Since we have cut off the range of N, the triple sum is
absolutely convergent, and is therefore equal to
+Nl
X L: (_1)N exp[ JL+t)N]. (E.1)
-Nl
It is readily checked that for integral V-IJ.,
+00
L: (_1)N exp[ -tEN2+E(V-IJ.+t)N]=O. (E.2)
-00
Hence, the summation over N in (E.1) may be replaced,
+Nl 00 -Nl
L: -t- L: - L: . (E.3)
-Nl Nl
We consider the contribution of the first of these two
terms to the sum (E.1).
First put N - v+IJ.= N' in (E.1);
00
X L: (_1)N' exp[
Nl-..tjl
The last sum clearly tends to zero as N 1 -t 00 for any
finite value of v (regardless of JL). Hence, one makes no
error by using the asymptotic value (3.14),
[
'YJ,....., 1 exp[tEv2-E('Y+t)V],
v 1 7rl(-'Y-1)
Moreover, put v=N1+IJ.+X; the result is
00
X L: exp( - EJ.lX)

00
X L: (_1)N' exp( -tEN'2+tEN'). (E.4)
N'-X
Consider separately the terms with J.I) 1. Summation
by parts yields for the repeated sum over X and N
00 e-'jlX
L: --( -1)X exp( -tEX2_hX)
-Nl-jl 1-e-p.
The second term, when inserted in the sum over J.I, gives
rise to a sum which in absolute value is less than
[1'] exp[
jl-l J.I 1 1-e-'
Obviously, this vanishes in the limit Nl -t 00. The
first term in (E.5) is majorized by
When inserted in the sum (E.4), the result is less than
Hence, only the term with J.I=O survives in the limit
Nl -t 00. Its value is found from (E.4)
-1 00 00
---- lim L: L: (_1)N' exp(-tEN'2+tEN').
7rl( -1'-1) Nl-+OO X-Nl -x
Again, summing by parts, one finds for the sum
00
- L: (X+N
1
)(-1)-(Hl) exp[ -tE(X+1)2_tE(X+1)]
-Nl
00
+ L: (_1)N' exp( -tEN'2+hN').
Nl
The last term vanishes in the limit and so does
00
-(N
1
-1) L (-I'exp(-!X2-tE:X)
-NI+l
-NI
= (N
1
-1) L (-I)}. exp( _!X2_!fX)
[using the identity (E.2) for 1'-Jl. = -1]. The remaining
term is
+00
- L X(-I)}.exp(-tfX2-hX)
= - (2i)-II1/(lif)= -GJ.
The second term in (E.3) may be shown, in a very
similar way, to vanish. Thus, collecting results, one
finds (7.4).
APPENDIX F. COMPUTATION OF Z"
According to the definition (7.9) and (7.6),
+00
Z"= L C'Y+N)'l10(2)('Y+N)
-00
+00
= exp( - f'Y2-'Il"i'Y) L N'l1
0
if>0(3).
+00
L (-I)NNexp(-!fN2+tfN)
N ~ o o
If N is cut off at the lower end, the summations may be
interchanged so that one gets
lim i:, (_1)'[1'] exp(-V2+f'YV)
Nl---+-OO v=0 V 1
00
X L (-I)NN exp(-tN2+!E:N-mV). (F.1)
-NI
It can be shown, by methods similar to those in
Appendix E, that
00 -NI-l
lim L ... L =0.
Nl-OO p=o N ~ o o
Hence, in (F.l) one may simply replace N 1 with 00, so
that the summation over N becomes
+00
L (-I)NNexp[-hNLf(v-t)N]
= (2i)-lt1
4
'(tif(V-!
= (2i)-I( _1)'-1 exp(tfv
2
-!fV)I1/ (lif)
= (_1)'-1 exp(!eJl
2
-!ev)GJ.
It remains to evaluate the sum
We shall first show
Define for p=O, 1, 2, ...
By use of (3.12), one finds the recurrence relation
Qp= (l-e-
P
)Qp-l.
From this follows by iteration
Hence, it suffices to find Qp for p 00. For fixed VI,
Vl P 00
Qp= L + L + L
(F.3)
p=o '1+1 P+l
For the second term, one has
00
~ const. L exp( -tfV2).
PI+l
The third term in (F.3) approaches, for large p,
00 1
L exp[ -!V
2
+f('Y-!)V]
P+l 'Il"1('Y+P-V)
exp[ -!p2+f('Y-!)P] 00
=G L 'Il"1(-'Y- 1+ v)
'Il"1 C'Y)'Il"1 ( -1'-1) v=1
Xexp( -fPV-fV),
which obviously vanishes as P 00. The first term,
for P ~ 00, is
PI 1
L -- exp[ -!fV
2
+('Y-t)v].
v=O 'Il"(v)
Now let VI also go to infinity; the result is (F.2).
In order to evaluate the series (F.2), define
00 1
Rp== L --exp[ -!fV
2
+f('Y-!)V- epv],
v=0 11"(1')
FLUCTUATION SPECTRUM FOR A NONLINEAR MODEL SYSTEM 601
so that Ro=GQo. With the aid of (3.1), one finds the
recurrence relation
Rp= exp ( - ey+ ep) (Rp--1- Rp).
RO= 7r1(P-,),)/7r1( -')').
As R",= 1, one finally has RO=G/7r1( -')'). On collecting
results, one finds (7.10).
APPENDIX G. COMPUTATION OF
+00
P(z) = e-n?t(z+n-l)
Define
+00
Pp= L: e-
pn
7r(z+n-p).
Inserting for 7r(z+n-p) the identity (3.1), one finds the
recurrence relation
P p=e-'PP p-e-'(z-p)P pooH.
7r(p-1)
P p= (-l)r----
7r(p+r-1)
Xexp[!er
2
+e(p-z-!)r]Pp+r. (G.1)
Hence, it suffices to find the asymptotic value of P p for
large p.
For this purpose, write
+00
P p= exp( - ep) L: 7r(z+n) exp( - epn)
00 -nl
=exp( -ep){ L: + L: }.
-n1+1 -00
The first term is in absolute value not greater than
00
exp(-ep2+m1p) L: [7r(z+n) [ exp(-en)
= o (exp[ -ep]) for fixed n1.
In the second term, the asymptotic value (3.4) for
7r(z+n) may be used because n1 may be chosen arbi-
trarily large.
-"1
exp( - ep2) L: 7r(z+n) exp( - mp)
7r(z)7r( - z-l)
- ep)----
G
-nt
X L: (-l)n exp[ -!m
2
-e(p+!+z)nJ
On account of (3.5),
P exp[ -!ep+ep(z+!)].
By inserting this result in (G.1) for P p+r, one obtains
In particular for p= 1,
P(z)= -Ge
EZ

On substituting z="y+7ri/ e, one obtains (8.3).

Exact Calculation of The Fluctuation Spectrum For A Nonlinear Model - Van Kampen

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