Authors’ note
With the exception of this note, this entire document is machine written. We have taken care to supervise this writing to ensure that the proofs meet a minimum standard of readability and that previous literature is appropriately cited. However, the resulting document remains lacking in exposition and overall coherence. We are nonetheless releasing this manuscript on Hexagon to disseminate the result as quickly as possible, because we believe it may be of interest to the mathematics and physics communities. We welcome suggestions concerning mathematical corrections, omitted citations, and attribution of ideas.
We thank Luca Leuzzi for many helpful comments on the theory of spherical spin glasses and his encouragement to explore their dynamics rigorously.
P.L. was partially supported by NSF grant DMS-2450004.
Introduction
Spin glass dynamics and aging
The static theory of mean-field spin glasses describes the Gibbs measure of a random Hamiltonian in high dimension. For the spherical p p p -spin model studied in this paper, the limiting free energy is given by the Crisanti–Sommers formula, a variational problem over probability measures on [ 0 , 1 ] [0,1] [ 0 , 1 ] whose minimizer is the Parisi measure [46]. This formula was proved by Talagrand for even models [120] and by Chen in general [42]. For the pure model, the Parisi measure is a point mass at zero at high temperature, and it has one step of replica symmetry breaking at every temperature below the static transition [6, Section 5]; the two-point support property follows from [120, Proposition 2.2]. These results concern the equilibrium measure. In this paper, we study the dynamics.
The natural dynamics is the Langevin diffusion on the sphere, in which the configuration moves in the direction of increasing Hamiltonian, perturbed by Brownian noise; the inverse temperature sets the strength of the drift relative to the noise. This diffusion is reversible with respect to the Gibbs measure, and for each fixed dimension N N N , it converges to the Gibbs measure as time tends to infinity. At sufficiently low temperature, however, the spectral gap of its generator is exponentially small in N N N , with probability tending to one over the disorder [77], so the slowest relaxation modes have relaxation times that grow exponentially with N N N . On time scales that do not grow with N N N , the dynamics can stay far from equilibrium. In this paper, we take the limit N → ∞ N \to\infty N → ∞ first, on every fixed time interval, and only then study the long-time behavior of the limiting dynamics. In this order of limits, the Gibbs measure and its Parisi measure need not describe the behavior at long times. The physical theory predicts instead that the system ages.
Aging is observed in disordered materials that do not reach equilibrium on any accessible time scale. After a rapid cooling to low temperature, called a quench, the response of such a material to a small perturbation depends on the time that has elapsed since the quench, and it becomes slower as the sample gets older. In spin glasses, Lundgren, Svedlindh, Nordblad, and Beckman found that magnetic relaxation in CuMn depends on the time spent at low temperature before the measurement [109]; the experimental picture is reviewed in [121]. In a trap model, the system jumps between traps and spends a random time in each of them. Bouchaud introduced weak ergodicity breaking through a trap model whose mean trapping time diverges: the system keeps aging, although the phase space does not split into mutually inaccessible regions [33, p. 1707]. Here the correlation measures the overlap of the configurations at two times, and the response measures the linear effect of a small force applied at the earlier time; we define both precisely in Section 1.2. In the formulation used for mean-field aging, the correlation with every fixed earlier configuration eventually vanishes, while relaxation becomes slower as the system gets older [52, arXiv version 1, Section 3].
Mean-field spin glasses with p p p -spin interactions are a setting in which aging can be derived from a microscopic dynamics. Derrida introduced the random energy model, in which the energies of different configurations are independent, as a limit of a family of p p p -spin models [62], and the Ising p p p -spin models themselves were studied by Gross and Mézard [85] and by Gardner [74]. Sompolinsky and Zippelius developed the dynamical mean-field theory of spin glass relaxation [115, 116]. This theory replaces the interaction of one coordinate with all the others by a random force and a memory of its own past, both determined self-consistently, and it describes the dynamics through closed equations for the correlation and response functions. Kirkpatrick and Thirumalai connected the dynamics of p p p -spin models with the glass transition of supercooled liquids, which are liquids cooled below their freezing temperature without crystallizing [97, 98]. For p ≥ 3 p \ge3 p ≥ 3 , the dynamical equations resemble those of the mode-coupling theory of supercooled liquids, a self-consistent theory in which correlation functions satisfy nonlinear equations with memory and, at low temperature, develop a plateau, that is, a positive limit at large time differences (see [83] for a review). In these equations, the correlation of the equilibrium dynamics stops decaying to zero below a dynamical transition temperature. This temperature is higher than the static transition temperature, at which the Parisi measure changes. Kirkpatrick, Thirumalai, and Wolynes built on this correspondence a scaling theory of glasses in finite dimension, in which relaxation below the dynamical transition proceeds by thermally activated rearrangements, where the noise carries the system across barriers of the energy landscape [99]. The spherical p p p -spin model was solved at equilibrium by Crisanti and Sommers [46]. Crisanti, Horner, and Sommers studied its dynamics in [48], including the dynamical transition above the static one and the power-law relaxation near it. Cugliandolo and Kurchan constructed an asymptotic solution of the nonequilibrium equations at long times [51]. We describe their predictions in Section 1.3, after we introduce the model and the equations that they analyzed.
The model and the Cugliandolo–Kurchan equations
We fix an integer p ≥ 3 p \ge3 p ≥ 3 and β > 0 \beta> 0 β > 0 , and write ξ ( q ) = q p \xi(q) = q^p ξ ( q ) = q p . For N ≥ 2 N \ge2 N ≥ 2 , let S N = { x ∈ R N : ∥ x ∥ 2 = N } S_N = \{x \in\mathbb{R}^N : \lVert x\rVert^2 = N\} S N = { x ∈ R N : ∥ x ∥ 2 = N } . The Hamiltonian H N H_N H N is a centered Gaussian process on R N \mathbb{R}^N R N with covariance
E H N ( x ) H N ( y ) = N ξ ( x ⋅ y N ) \mathbb{E}H_N(x)H_N(y) = N\xi\left(\frac{x \cdot y}{N}\right) E H N ( x ) H N ( y ) = N ξ ( N x ⋅ y )
realized as in (3.1). This is the pure spherical p p p -spin model in the normalization of the rigorous static theory. Its Gibbs measure at inverse temperature β \beta β has density proportional to e β H N e^{\beta H_N} e β H N with respect to the uniform probability measure on S N S_N S N . Let X t X_t X t be the Langevin dynamics on S N S_N S N with generator
Δ S + β ∇ S H N ⋅ ∇ S \Delta_S+\beta\nabla_S H_N\cdot\nabla_S Δ S + β ∇ S H N ⋅ ∇ S
where Δ S \Delta_S Δ S and ∇ S \nabla_S ∇ S are the Laplace–Beltrami operator and gradient on S N S_N S N ; equivalently, X t X_t X t solves (3.3), whose noise has amplitude 2 \sqrt{2} 2 . The Gibbs measure is reversible for this diffusion. The initial point X 0 X_0 X 0 is uniform on S N S_N S N and independent of the disorder and of the Brownian motion. Since the uniform measure is the Gibbs measure at β = 0 \beta=0 β = 0 , this initial condition models a quench from infinite temperature. The drift points in the direction of increasing H N H_N H N , so the limiting energies and the threshold energy in this paper are positive; physics works usually minimize the Hamiltonian, which reverses these signs.
Since the uniform initial law is not invariant for the dynamics, its natural observables depend on two times. The correlation
C N ( t , s ) = X t ⋅ X s N C_N(t,s)=\frac{X_t\cdot X_s}{N} C N ( t , s ) = N X t ⋅ X s
is the overlap of the configurations at times s s s and t t t . The response describes how the configuration at a time t t t reacts to a small force applied at an earlier time s s s . Precisely, for a deterministic locally square-integrable force h ( u ) h(u) h ( u ) projected onto the tangent space of S N S_N S N , the response is the zero-initial strong solution V t V_t V t of the forced linearized equation along X X X , with the drift and noise derivatives evaluated on X X X . It satisfies V t = ∫ 0 t U N ( t , u ) h ( u ) d u V_t=\int_0^t U_N(t,u)h(u)\,\mathrm{d}u V t = ∫ 0 t U N ( t , u ) h ( u ) d u for the random response matrix U N ( t , u ) U_N(t,u) U N ( t , u ) (§ 4.1.1 ). We write
r ˉ N ( t , s ) = 1 N E tr U N ( t , s ) , 0 ≤ s ≤ t , \bar r_N(t,s)=\frac{1}{N}\mathbb{E}\operatorname{tr}U_N(t,s),\qquad0\leq s\leq t, r ˉ N ( t , s ) = N 1 E tr U N ( t , s ) , 0 ≤ s ≤ t ,
for its normalized trace, averaged over the disorder, the initial point, and the noise. Thus r ˉ N ( t , s ) \bar r_N(t,s) r ˉ N ( t , s ) is the mean linear response of a coordinate at time t t t to a unit impulse of force on the same coordinate at time s s s , that is, to a force concentrated near time s s s with unit time integral. We measure the response to a force added to the drift without a factor β \beta β . The finite-dimensional response has diagonal value r ˉ N ( t , t ) = κ N = ( N − 1 ) / N \bar r_N(t,t)=\kappa_N=(N-1)/N r ˉ N ( t , t ) = κ N = ( N − 1 ) / N , because the force is projected onto the ( N − 1 ) (N-1) ( N − 1 ) -dimensional tangent space, and its limit below has diagonal value one (Remark 3.1).
As N → ∞ N\to\infty N → ∞ , these functions have deterministic limits on fixed time horizons. For every fixed 0 ≤ T < ∞ 0\leq T<\infty 0 ≤ T < ∞ , the correlation C N ( t , s ) C_N(t,s) C N ( t , s ) converges in probability to a function C ( t , s ) C(t,s) C ( t , s ) , uniformly on [ 0 , T ] 2 [0,T]^2 [ 0 , T ] 2 , and the averaged response r ˉ N ( t , s ) \bar r_N(t,s) r ˉ N ( t , s ) converges to a function R ( t , s ) R(t,s) R ( t , s ) , uniformly on $0 \le s \le t \le T$. Together with a function λ ( t ) \lambda(t) λ ( t ) , which keeps C ( t , t ) = 1 C(t,t) = 1 C ( t , t ) = 1 , the limits form the unique solution of the system of integro-differential equations
∂ t R ( t , s ) = − λ ( t ) R ( t , s ) + β 2 ∫ s t ξ ′ ′ ( C ( t , u ) ) R ( t , u ) R ( u , s ) d u , ∂ t C ( t , s ) = − λ ( t ) C ( t , s ) + β 2 ∫ 0 t ξ ′ ′ ( C ( t , u ) ) R ( t , u ) C ( u , s ) d u + β 2 ∫ 0 s ξ ′ ( C ( t , u ) ) R ( s , u ) d u , λ ( t ) = 1 + β 2 ∫ 0 t [ ξ ′ ( C ( t , u ) ) + C ( t , u ) ξ ′ ′ ( C ( t , u ) ) ] R ( t , u ) d u . \begin{aligned}
\partial_t R(t,s) &= -\lambda(t)R(t,s) + \beta^2 \int_s^t \xi''(C(t,u))R(t,u)R(u,s)\,\mathrm{d}u,\\
\partial_t C(t,s) &= -\lambda(t)C(t,s) + \beta^2 \int_0^t \xi''(C(t,u))R(t,u)C(u,s)\,\mathrm{d}u\\
&\quad+ \beta^2 \int_0^s \xi'(C(t,u))R(s,u)\,\mathrm{d}u,\\
\lambda(t) &= 1 + \beta^2 \int_0^t \left[\xi'(C(t,u)) + C(t,u)\xi''(C(t,u))\right]R(t,u)\,\mathrm{d}u.
\end{aligned} ∂ t R ( t , s ) ∂ t C ( t , s ) λ ( t ) = − λ ( t ) R ( t , s ) + β 2 ∫ s t ξ ′′ ( C ( t , u )) R ( t , u ) R ( u , s ) d u , = − λ ( t ) C ( t , s ) + β 2 ∫ 0 t ξ ′′ ( C ( t , u )) R ( t , u ) C ( u , s ) d u + β 2 ∫ 0 s ξ ′ ( C ( t , u )) R ( s , u ) d u , = 1 + β 2 ∫ 0 t [ ξ ′ ( C ( t , u )) + C ( t , u ) ξ ′′ ( C ( t , u )) ] R ( t , u ) d u .
for t ≥ s ≥ 0 t \ge s \ge0 t ≥ s ≥ 0 , with C ( t , t ) = R ( t , t ) = 1 C(t,t) = R(t,t) = 1 C ( t , t ) = R ( t , t ) = 1 , where C C C is extended to s > t s > t s > t by symmetry. We call these the Cugliandolo–Kurchan (CK) equations; they are stated with their conventions in (3.9)–(3.12). Existence and uniqueness of the solution were proved by Dembo, Guionnet, and Mazza [60, Proposition 1.1], and the solution satisfies 0 ≤ C ≤ 1 0 \le C \le1 0 ≤ C ≤ 1 and R ≥ 0 R \ge0 R ≥ 0 (see Proposition 3.2 ). Sellke proved fixed-horizon convergence of C N C_N C N and of the Brownian observable representing the integrated response [112, Theorem 4.3]. The force-response identification in Lemma 3.4 equates the annealed mean of its rescaled version Γ N ( t , s ) = X t ⋅ B s / ( 2 N ) \Gamma_N(t,s) = X_t \cdot B_s/(\sqrt{2}N) Γ N ( t , s ) = X t ⋅ B s / ( 2 N ) with ∫ 0 s r ˉ N ( t , u ) d u \int_0^s \bar r_N(t,u)\,\mathrm{d}u ∫ 0 s r ˉ N ( t , u ) d u , where B B B drives the diffusion. He built on the theorem of Ben Arous, Dembo, and Guionnet for the soft-spherical dynamics [24, Theorem 1.2], in which the constraint ∥ X t ∥ 2 = N \lVert X_t\rVert^2 = N ∥ X t ∥ 2 = N is replaced by a confining potential. We state these results in our normalization in Proposition 3.3 and Lemma 3.4 , and we deduce the uniform convergence of r ˉ N \bar r_N r ˉ N in Remark 3.5. Throughout the paper, the CK solution is this solution ( C , R , λ ) (C,R,\lambda) ( C , R , λ ) , which describes the Langevin dynamics started from the uniform point.
The CK equations involve only C C C , R R R , and λ \lambda λ ; the disorder no longer appears. The function λ \lambda λ is a Lagrange multiplier for the spherical constraint, and the integrals are memory terms. In the physical derivation through dynamical mean-field theory, each coordinate of X t X_t X t behaves in the limit like the solution x t x_t x t of the linear equation (see [49, arXiv version 2, Section 9.5])
d x t = ( − λ ( t ) x t + β 2 ∫ 0 t ξ ′ ′ ( C ( t , u ) ) R ( t , u ) x u d u + η t ) d t + 2 d b t . \mathrm{d}x_t = \left(-\lambda(t)x_t + \beta^2 \int_0^t \xi''(C(t,u))R(t,u)x_u\,\mathrm{d}u + \eta_t\right)\mathrm{d}t + \sqrt{2}\,\mathrm{d}b_t. d x t = ( − λ ( t ) x t + β 2 ∫ 0 t ξ ′′ ( C ( t , u )) R ( t , u ) x u d u + η t ) d t + 2 d b t .
Here x 0 x_0 x 0 , b b b , and η \eta η are independent; x 0 x_0 x 0 is a standard Gaussian variable, b b b is a standard Brownian motion, and η \eta η is a centered Gaussian process with covariance E η t η u = β 2 ξ ′ ( C ( t , u ) ) \mathbb{E}\eta_t\eta_u = \beta^2\xi'(C(t,u)) E η t η u = β 2 ξ ′ ( C ( t , u )) . The interaction of one coordinate with all the others produces the memory kernel β 2 ξ ′ ′ ( C ( t , u ) ) R ( t , u ) \beta^2\xi''(C(t,u))R(t,u) β 2 ξ ′′ ( C ( t , u )) R ( t , u ) , which weights the effect of the past values of x x x on its present drift, and the noise η \eta η , which is called colored because its values at different times are correlated. The CK equations express the self-consistency conditions that C ( t , s ) = E x t x s C(t,s) = \mathbb{E}x_t x_s C ( t , s ) = E x t x s , that R ( t , s ) R(t,s) R ( t , s ) is the response of x t x_t x t to a force applied at time s s s , and that E x t 2 = 1 \mathbb{E}x_t^2 = 1 E x t 2 = 1 , which determines λ \lambda λ . We use this effective process only as a guide. Its variation-of-constants formula writes C ( t , s ) C(t,s) C ( t , s ) as the sum of the contributions of the initial condition, of the Brownian noise, and of the colored noise, each propagated by the response. This is the Green covariance identity of Proposition 4.2, which we prove directly from the CK equations. We write
e β ( t ) = β p ∫ 0 t C ( t , u ) p − 1 R ( t , u ) d u , χ ( t , s ) = ∫ s t R ( t , u ) d u . e_\beta(t)=\beta p\int_0^t C(t,u)^{p-1}R(t,u)\,\mathrm{d}u,\qquad\chi(t,s)=\int_s^t R(t,u)\,\mathrm{d}u. e β ( t ) = β p ∫ 0 t C ( t , u ) p − 1 R ( t , u ) d u , χ ( t , s ) = ∫ s t R ( t , u ) d u .
The first quantity is the limit of the mean energy N − 1 E H N ( X t ) N^{-1}\mathbb{E}H_N(X_t) N − 1 E H N ( X t ) , and λ ( t ) = 1 + p β e β ( t ) \lambda(t)=1+p\beta e_\beta(t) λ ( t ) = 1 + pβ e β ( t ) (Proposition 4.1 ). The second is the integrated response, or susceptibility. It is the response at time t t t to a constant unit force switched on at time s s s . A field h h h added to the Hamiltonian adds the force β h \beta h β h to the drift, so the magnetization per unit field is β χ ( t , s ) \beta\chi(t,s) β χ ( t , s ) in our conventions. It is the analog of the magnetization measured in aging experiments after a small field is switched on at time s s s , the zero-field-cooled protocol [121].
We also use the entropy production of the dynamics. Fix the disorder, and let ρ t \rho_t ρ t be the law of X t X_t X t . Since the dynamics is reversible, the relative entropy of ρ t \rho_t ρ t with respect to the Gibbs measure decreases in time. Its rate of decrease is the relative Fisher information, the integral against ρ t \rho_t ρ t of the squared norm of the gradient of the logarithm of the density of ρ t \rho_t ρ t with respect to the Gibbs measure. We call this rate the entropy production at time t t t . The initial relative entropy is at most β 2 N / 2 \beta^2N/2 β 2 N /2 on average over the disorder, so the total entropy production per coordinate is at most β 2 / 2 \beta^2/2 β 2 /2 on average (Lemma 5.1 ). We write a N ( t ) a_N(t) a N ( t ) for the entropy production at time t t t , divided by N N N and averaged over the disorder. Following the usual terminology for disorder averages, we also call a N ( t ) a_N(t) a N ( t ) the normalized annealed Fisher information (Section 5).
Other works use other normalizations. Cugliandolo and Kurchan [51, Equations (1)–(2)] minimize a Hamiltonian whose couplings are indexed by distinct unordered p p p -tuples and have variance p ! / ( 2 N p − 1 ) p!/(2N^{p-1}) p ! / ( 2 N p − 1 ) . Their limiting covariance convention is N ξ ( x ⋅ y / N ) / 2 N\xi(x\cdot y/N)/2 N ξ ( x ⋅ y / N ) /2 , with an inverse temperature β C K \beta^{\mathrm{CK}} β CK in front of the drift and noise with variance rate 2 2 2 . At the level of the limiting equations, their convention agrees with ours when β C K = 2 β \beta^{\mathrm{CK}}=\sqrt{2}\,\beta β CK = 2 β , with no change of time. In the physical normalization of time, where the drift is the gradient itself and the noise has variance rate 2 θ 2\theta 2 θ at temperature θ \theta θ , a rescaling of time gives β C K = 1 / θ \beta^{\mathrm{CK}}=1/\theta β CK = 1/ θ , and hence β = 1 / ( 2 θ ) \beta=1/(\sqrt{2}\theta) β = 1/ ( 2 θ ) . The mathematical works [24, 60, 112] use Brownian noise with variance rate one; their drift parameter is α = β / 2 \alpha=\beta/2 α = β /2 , and their time is v = 2 t v=2t v = 2 t . Table 3.1 in § 4.1.3 collects the dictionary. All formulas in this paper are written in our conventions, and the formulas that we quote from [47, 51, 60, 112] have been translated.
Table 3.1. The dictionary between the conventions. The CK column refers to the normalization of the limiting CK equations. In each column, r r r and c c c denote the stationary response and correlation as functions of the lag measured in that column’s time, and β d 2 = ( p − 1 ) p − 1 / ( p ( p − 2 ) p − 2 ) \beta_{\mathrm{d}}^2 = (p-1)^{p-1}/(p(p-2)^{p-2}) β d 2 = ( p − 1 ) p − 1 / ( p ( p − 2 ) p − 2 ) and q d = ( p − 2 ) / ( p − 1 ) q_{\mathrm{d}} = (p-2)/(p-1) q d = ( p − 2 ) / ( p − 1 ) . In the convention of [51], the transition temperature for p = 3 p = 3 p = 3 is ( 3 / 8 ) 1 / 2 (3/8)^{1/2} ( 3/8 ) 1/2 .
The physical picture
We first recall what happens in equilibrium. Suppose that the diffusion is started from the Gibbs measure instead of the uniform measure. Then the process is stationary, and its correlation and response depend only on the time difference τ = t − s \tau= t - s τ = t − s , which we also call the lag: they have the form c ( τ ) c(\tau) c ( τ ) and r ( τ ) r(\tau) r ( τ ) . They satisfy the fluctuation–dissipation theorem (FDT),
r ( τ ) = − c ′ ( τ ) , τ > 0 , r(\tau) = -c'(\tau), \qquad\tau> 0, r ( τ ) = − c ′ ( τ ) , τ > 0 ,
which expresses the response to a small force through the spontaneous fluctuations of the system. FDT is a consequence of reversibility (Remark 3.1); see Kubo [100] for the general linear-response theory. Agarwal [1] treats response around nonthermal steady states under detailed balance; nonequilibrium diffusion response identities are discussed in [8]. In our conventions it carries no factor β \beta β . When C ( t , s ) = c ( t − s ) C(t,s) = c(t-s) C ( t , s ) = c ( t − s ) , it reads R ( t , s ) = ∂ s C ( t , s ) R(t,s) = \partial_s C(t,s) R ( t , s ) = ∂ s C ( t , s ) . Reversibility also gives a spectral representation. By the spectral theorem for the generator, the equilibrium correlation is a mixture of decaying exponentials, c ( τ ) = ∫ [ 0 , ∞ ) e − x τ ν ( d x ) c(\tau) = \int_{[0,\infty)} e^{-x\tau}\,\nu(\mathrm{d}x) c ( τ ) = ∫ [ 0 , ∞ ) e − xτ ν ( d x ) for a probability measure ν \nu ν . By Bernstein’s theorem [122], a continuous function c c c on [ 0 , ∞ ) [0,\infty) [ 0 , ∞ ) with c ( 0 ) = 1 c(0) = 1 c ( 0 ) = 1 has this form if and only if it is completely monotone on ( 0 , ∞ ) (0,\infty) ( 0 , ∞ ) , that is, infinitely differentiable there with
( − 1 ) n c ( n ) ( τ ) ≥ 0 , n ≥ 0 , τ > 0. (-1)^n c^{(n)}(\tau) \ge0, \qquad n \ge0,\ \tau> 0. ( − 1 ) n c ( n ) ( τ ) ≥ 0 , n ≥ 0 , τ > 0.
In particular, a completely monotone function is nonnegative, nonincreasing, and convex. We use the terms FDT and complete monotonicity in this sense throughout.
At high temperature, the dynamics started from the uniform point approaches this equilibrium behavior. Dembo, Guionnet, and Mazza proved that for β \beta β small enough, the CK solution relaxes exponentially fast and converges to a stationary solution that satisfies FDT [60, Proposition 1.2 and Theorem 1.3].
Below the dynamical transition, the picture is different. Let s s s be the waiting time, which is the age of the system when a measurement starts, and let τ = t − s \tau= t-s τ = t − s be the lag. Cugliandolo and Kurchan constructed an asymptotic solution of the CK equations at long times [51]. It has the following features; the equation numbers refer to the arXiv version of [51].
A stationary regime. When s → ∞ s \to\infty s → ∞ at fixed lag τ \tau τ , we have C ( s + τ , s ) → c ( τ ) C(s+\tau,s) \to c(\tau) C ( s + τ , s ) → c ( τ ) and R ( s + τ , s ) → r ( τ ) R(s+\tau,s) \to r(\tau) R ( s + τ , s ) → r ( τ ) , and the limits satisfy FDT. On bounded windows of late times, the correlation and the response behave as in equilibrium.
A positive plateau. The stationary correlation does not decay to zero. It decreases to a positive limit q = lim τ → ∞ c ( τ ) q = \lim_{\tau\to\infty} c(\tau) q = lim τ → ∞ c ( τ ) , called the plateau; in the physics literature, q q q is also called the dynamical Edwards–Anderson parameter.
Weak ergodicity breaking and an aging regime. Below the plateau, the correlation decays on time scales that grow with the waiting time s s s , and C ( t , s ) → 0 C(t,s) \to0 C ( t , s ) → 0 as t → ∞ t \to\infty t → ∞ for every fixed s s s . The aging regime consists of pairs of late times s < t s < t s < t with t − s → ∞ t-s \to\infty t − s → ∞ at which C ( t , s ) C(t,s) C ( t , s ) stays below the plateau.
Marginality. The plateau is fixed by a marginality condition [51, Equation (7)], which says that a stability eigenvalue vanishes; we explain its meaning below. In our conventions, it reads β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 \beta^2 p(p-1)q^{p-2}(1-q)^2=1 β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 .
A constant fluctuation–dissipation ratio. In the aging regime, FDT fails, and response and correlation are related instead by R ( t , s ) ≈ x ∂ s C ( t , s ) R(t,s)\approx x\partial_s C(t,s) R ( t , s ) ≈ x ∂ s C ( t , s ) , with a constant x = ( p − 2 ) ( 1 − q ) / q x=(p-2)(1-q)/q x = ( p − 2 ) ( 1 − q ) / q given in the paragraph after [51, Equation (12)]; the corresponding response moments are [51, Equation (13)]. Equilibrium FDT corresponds to x = 1 x=1 x = 1 , and below the dynamical transition x < 1 x<1 x < 1 . Cugliandolo, Kurchan, and Peliti later interpreted x x x as the ratio of the temperature of the noise to an effective temperature of the slow motion, which is therefore higher [55].
The energy. The limit of the energy e β ( t ) e_\beta(t) e β ( t ) as t → ∞ t\to\infty t → ∞ is given by [51, Equation (9)], combined with the relation between response and correlation in the aging regime; in our conventions, it is β [ 1 + ( p − 2 ) q p − 1 − ( p − 1 ) q p ] \beta[1+(p-2)q^{p-1}-(p-1)q^p] β [ 1 + ( p − 2 ) q p − 1 − ( p − 1 ) q p ] .
The first three features imply that the two iterated limits of the correlation differ:
lim τ → ∞ lim s → ∞ C ( s + τ , s ) = q > 0 , lim s → ∞ lim τ → ∞ C ( s + τ , s ) = 0. \lim_{\tau\to\infty}\lim_{s\to\infty}C(s+\tau,s)=q>0,\qquad\lim_{s\to\infty}\lim_{\tau\to\infty}C(s+\tau,s)=0. τ → ∞ lim s → ∞ lim C ( s + τ , s ) = q > 0 , s → ∞ lim τ → ∞ lim C ( s + τ , s ) = 0.
Taking the limit of large waiting time first describes the relaxation of an arbitrarily old system over a bounded time window. Taking the limit of large lag first asks whether the configuration at a fixed time is eventually forgotten. In equilibrium, both limits equal lim τ → ∞ c ( τ ) \lim_{\tau\to\infty}c(\tau) lim τ → ∞ c ( τ ) . In this model, their difference is a mathematical signature of aging: at large waiting times, the correlation first approaches the plateau, as it would in equilibrium, and it then decays further on a time scale that diverges with the waiting time. Thus stationarity on bounded windows does not describe the relaxation over the whole history. The noncommutation of the limits detects this slower relaxation without determining its time scale.
The dynamical transition is the temperature at which x x x reaches one [51]. In our conventions, the marginality condition and x = 1 x=1 x = 1 give the transition parameters
q d = p − 2 p − 1 , β d 2 = ( p − 1 ) p − 1 p ( p − 2 ) p − 2 . q_{\mathrm d}=\frac{p-2}{p-1},\qquad\beta_{\mathrm d}^{2}=\frac{(p-1)^{p-1}}{p(p-2)^{p-2}}. q d = p − 1 p − 2 , β d 2 = p ( p − 2 ) p − 2 ( p − 1 ) p − 1 .
For the cubic model, q d = 1 / 2 q_{\mathrm d}=1/2 q d = 1/2 and β d = 4 / 3 \beta_{\mathrm d}=\sqrt{4/3} β d = 4/3 . For β < β d \beta<\beta_{\mathrm d} β < β d , the physical picture predicts a zero plateau [48, 51]. Equivalently, β d \beta_{\mathrm d} β d is the smallest β \beta β for which the equation β 2 p q p − 2 ( 1 − q ) = 1 \beta^2p q^{p-2}(1-q)=1 β 2 p q p − 2 ( 1 − q ) = 1 has a solution q ∈ ( 0 , 1 ) q\in(0,1) q ∈ ( 0 , 1 ) , and this solution is q d q_{\mathrm d} q d (§ 4.1.3 ). In the physical picture, this is the equation for the plateau of the equilibrium dynamics in the replica symmetric phase, so the equilibrium dynamics stops decorrelating at the inverse temperature β d \beta_{\mathrm d} β d [48].
The picture can be compared with the static theory. Let β s \beta_{\mathrm s} β s be the static transition, so that the Parisi measure is the point mass at zero for β ≤ β s \beta\leq\beta_{\mathrm s} β ≤ β s and has two atoms for β > β s \beta>\beta_{\mathrm s} β > β s [6]. Then β d < β s \beta_d < \beta_s β d < β s ; for p = 3 p = 3 p = 3 , we have β d ≈ 1.155 \beta_d \approx1.155 β d ≈ 1.155 and β s ≈ 1.207 \beta_s \approx1.207 β s ≈ 1.207 (see [119, Theorem 1] for the equations that determine β s \beta_s β s in our normalization). Since ξ ′ ′ ( q ) = p ( p − 1 ) q p − 2 \xi^{\prime\prime}(q) = p(p - 1)q^{p-2} ξ ′′ ( q ) = p ( p − 1 ) q p − 2 , the marginality condition reads β 2 ξ ′ ′ ( q ) ( 1 − q ) 2 = 1 \beta^2\xi^{\prime\prime}(q)(1 - q)^2 = 1 β 2 ξ ′′ ( q ) ( 1 − q ) 2 = 1 . Consider a trial measure with one step of replica symmetry breaking, θ δ 0 + ( 1 − θ ) δ q \theta\delta_0 + (1 - \theta)\delta_q θ δ 0 + ( 1 − θ ) δ q with θ ∈ ( 0 , 1 ) \theta\in(0, 1) θ ∈ ( 0 , 1 ) , in the Crisanti–Sommers functional. In the replica calculation, its stability against perturbations of the overlaps within a block is measured by the replicon eigenvalue, which is a positive multiple of 1 − β 2 ξ ′ ′ ( q ) ( 1 − q ) 2 1 - \beta^2\xi^{\prime\prime}(q)(1 - q)^2 1 − β 2 ξ ′′ ( q ) ( 1 − q ) 2 . Thus the marginality condition says that the replicon eigenvalue vanishes, so that the solution is marginally stable. If, in addition, the derivative of the functional in q q q vanishes, then θ = x \theta= x θ = x . For β > β s \beta> \beta_s β > β s , the Parisi measure is obtained instead by optimizing the functional over both θ \theta θ and q q q , and it is strictly stable. Barrat, Franz, and Parisi identified the asymptotic dynamical condition with this static marginal stability [12, Section IV, Equation (25)]; see also [49, arXiv version 2, Section 15.1].
In this sense, the plateau and the energy of the dynamics are those of marginally stable states rather than those of the equilibrium states that the Parisi measure describes, and the fluctuation–dissipation ratio x x x is the weight θ \theta θ of the corresponding marginal solution. Cugliandolo and Kurchan noted that, in this model, the overlap distribution defined by the dynamics differs from the static one [51, the paragraph after Equation (15)]. Franz, Mézard, Parisi, and Peliti related the dynamical response to the static Parisi measure under additional hypotheses, and they pointed out that the pure spherical p p p -spin model does not satisfy this relation [73]. For β d < β ≤ β s \beta_d < \beta\le\beta_s β d < β ≤ β s , the Parisi measure carries no positive overlap, while the predicted dynamical plateau is positive.
The limiting energy also has a landscape interpretation, developed alongside the calculation of Cugliandolo and Kurchan. The Thouless–Anderson–Palmer (TAP) free energy is a function of the local magnetizations whose stable local minima represent candidate metastable states. Crisanti and Sommers counted the solutions of the TAP equations of the spherical model and computed the threshold energy at which these solutions become marginally stable [47, Equations (8)–(9)]. At this threshold, the lower edge of the limiting spectrum of the Hessian of the TAP free energy reaches zero [51, arXiv version 1, p. 4]; see also [49, arXiv version 2, Section 15.4]. The energy of these threshold states depends on the temperature, and it agrees with the limiting energy of Cugliandolo and Kurchan [47, Equation (14)]. As β → ∞ \beta\to\infty β → ∞ , it tends to the threshold energy E t h = 2 ( p − 1 ) / p E_{\mathrm{th}} = 2\sqrt{(p - 1)/p} E th = 2 ( p − 1 ) / p of the landscape, which is strictly smaller than the ground-state energy lim N → ∞ N − 1 E max S N H N \lim_{N\to\infty}N^{-1}\mathbb{E}\max_{S_N} H_N lim N → ∞ N − 1 E max S N H N ; for p = 3 p = 3 p = 3 , we have E t h ≈ 1.633 E_{\mathrm{th}} \approx1.633 E th ≈ 1.633 , while the ground-state energy is approximately 1.657 [43]. Kurchan and Laloux related slow dynamics to the geometry of the landscape near the threshold [103, Section V]. Related analyses of metastable states, barriers, and stationary points of the TAP free energy are in [38, 104].
Cugliandolo and Kurchan developed the structure of the aging regime further in [52], where they studied the Sherrington–Kirkpatrick model. They distinguished weak ergodicity breaking from weak long-term memory, which means that the integrated response to a force applied during any fixed time interval [ 0 , S ] [0,S] [ 0 , S ] vanishes as t → ∞ t \to\infty t → ∞ [52, arXiv version 1, Section 3]. They also observed that the asymptotic equations of the aging regime do not change when time is replaced by an increasing function of time and the response is transformed accordingly, so that these equations do not determine the time scale of aging [52, arXiv version 1, Section 4]. Further, they studied the relations between correlations at three widely separated times [52, arXiv version 1, Section 5]. Two important examples of such relations are the dynamical ultrametric relation C ( t , u ) = min { C ( t , s ) , C ( s , u ) } C(t,u) = \min\{C(t,s),C(s,u)\} C ( t , u ) = min { C ( t , s ) , C ( s , u )} for u < s < t u < s < t u < s < t , analogous to the ultrametric organization of equilibrium overlaps, and a product relation; for spherical p p p -spin models, they discussed a product relation [52, arXiv version 1, Section 5.1, Equation (5.1.8)]. Reviews of the two regimes and their response are given in [35, 49]. The idealized mode-coupling scenario of the glass transition was developed by Bengtzelius, Götze, and Sjölander and by Leutheusser [27, 107]. Mode-coupling theory also describes how a critical or marginal stationary correlation c ( τ ) c(\tau) c ( τ ) approaches its plateau: c ( τ ) − q c(\tau)-q c ( τ ) − q decays like τ − a \tau^{-a} τ − a , where a ∈ ( 0 , 1 / 2 ) a \in(0,1/2) a ∈ ( 0 , 1/2 ) solves Γ ( 1 − a ) 2 / Γ ( 1 − 2 a ) = λ M C T \Gamma(1-a)^2/\Gamma(1-2a)=\lambda_{\mathrm{MCT}} Γ ( 1 − a ) 2 /Γ ( 1 − 2 a ) = λ MCT , Γ \Gamma Γ is Euler’s gamma function, and the constant λ M C T \lambda_{\mathrm{MCT}} λ MCT , called the exponent parameter, is not to be confused with the multiplier λ ( t ) \lambda(t) λ ( t ) . The correspondence between disordered models and mode-coupling theory was worked out by Bouchaud, Cugliandolo, Kurchan, and Mézard in [34]. They gave this exponent relation at equilibrium [34, arXiv version, Equation (IV.3)] and for the stationary profile of the aging solution [34, arXiv version, Equation (IV.6)], where they attribute the calculation to Cugliandolo and Le Doussal [53]. For the pure spherical model, the exponent parameter of the aging solution is x / 2 = ( p − 2 ) ( 1 − q ) / ( 2 q ) x/2=(p-2)(1-q)/(2q) x /2 = ( p − 2 ) ( 1 − q ) / ( 2 q ) . This relation is written explicitly by Kim and Latz [96, the paragraph after Equation (12)]; see also [49, arXiv version 2, Equation (12.36)].
The order of limits is essential in this picture. As explained in § 2.1 , the dynamics converges to its Gibbs measure for each finite N N N . In the CK description, the dimension tends to infinity first, on every fixed time interval, and only then do the observation and waiting times tend to infinity. Aging in this sense is a property of a deterministic pair of functions ( C , R ) (C,R) ( C , R ) , and it is not a statement about time scales that grow with N N N . On such time scales, the dynamics can be activated, and the relevant mechanisms are different; we discuss the rigorous results on activated aging in Section 1.5. Neither a theorem about finite-dimensional mixing nor a formal solution of the asymptotic equations determines the behavior of the CK solution in the order of limits used here.
Main results
The goal of this paper is to prove the main features of the picture of Section 1.3 for pure p p p -spin models with p ≥ 3 p \ge3 p ≥ 3 started from a uniform point. The physical calculation imposes a long-time form on the solution and solves reduced asymptotic equations. We prove its conclusions for the CK solution itself, which is the limit of the Langevin dynamics, without assuming that form. At every positive temperature, we prove that the CK solution becomes stationary on bounded windows of lags and satisfies FDT there, that its energy converges, and that its correlation and response with every fixed earlier time tend to zero. For β ≥ β d \beta\ge\beta_d β ≥ β d , that is, at and below the dynamical transition temperature, we prove that the plateau is marginal and that the limiting energy is the one predicted by Cugliandolo and Kurchan. The two iterated limits of the correlation then differ, which is the sense in which the solution ages. We also prove that the response at a late time to forces applied at all earlier times concentrates at short lags in the mean-square sense, that the violation of FDT vanishes in a mean-square sense, and that, for β > β d \beta> \beta_d β > β d , its positive part keeps a positive integrated mass. For β ≥ β d \beta\ge\beta_d β ≥ β d , we prove that the stationary correlation approaches its plateau as a power law with a positive and finite amplitude. For the cubic model, we prove a lower bound on the susceptibility and an inequality between correlations at three times for β ≥ β d \beta\ge\beta_d β ≥ β d , and, for β > β d \beta> \beta_d β > β d , a lower bound that relates the time needed to relax below the plateau to the entropy production. We do not identify the time scale of aging, and we do not prove the full fluctuation–dissipation relation of the aging regime.
Let ( C , R , λ ) (C,R,\lambda) ( C , R , λ ) be the CK solution of § 2.2 . All long-time limits in the following statements concern this deterministic solution. They describe the Langevin dynamics only in the order of limits described in § 2.3 : first N → ∞ N \to\infty N → ∞ on a fixed time horizon, through Proposition 3.3 , and then the long-time limits.
Theorem 1.1 (Stationary limit, marginal plateau, and aging). Fix p ≥ 3 p \ge3 p ≥ 3 and β > 0 \beta> 0 β > 0 . There exist functions c β , r β : [ 0 , ∞ ) → R c_\beta,r_\beta\colon[0,\infty) \to\mathbb{R} c β , r β : [ 0 , ∞ ) → R and numbers e β ( ∞ ) e_\beta(\infty) e β ( ∞ ) and ℓ β \ell_\beta ℓ β such that e β ( T ) → e β ( ∞ ) e_\beta(T) \to e_\beta(\infty) e β ( T ) → e β ( ∞ ) as T → ∞ T \to\infty T → ∞ and
C ( T + t , T + s ) ⟶ c β ( t − s ) , R ( T + t , T + s ) ⟶ r β ( t − s ) , λ ( T ) ⟶ ℓ β , (1) C(T+t,T+s) \longrightarrow c_\beta(t-s), \qquad R(T+t,T+s) \longrightarrow r_\beta(t-s), \qquad\lambda(T) \longrightarrow\ell_\beta, \tag*{(1)} C ( T + t , T + s ) ⟶ c β ( t − s ) , R ( T + t , T + s ) ⟶ r β ( t − s ) , λ ( T ) ⟶ ℓ β , (1) where the first two limits are locally uniform in t ≥ s ≥ 0 t \ge s \ge0 t ≥ s ≥ 0 . The function c β c_\beta c β is completely monotone on ( 0 , ∞ ) (0,\infty) ( 0 , ∞ ) , r β = − c β ′ r_\beta=-c_\beta' r β = − c β ′ , and c β ( 0 ) = r β ( 0 ) = 1 c_\beta(0)=r_\beta(0)=1 c β ( 0 ) = r β ( 0 ) = 1 . For every finite S ≥ 0 S \ge0 S ≥ 0 ,
lim t → ∞ sup 0 ≤ s ≤ S { C ( t , s ) + R ( t , s ) } = 0. (2) \lim_{t\to\infty}\sup_{0\le s\le S}\{C(t,s)+R(t,s)\}=0. \tag*{(2)} t → ∞ lim 0 ≤ s ≤ S sup { C ( t , s ) + R ( t , s )} = 0. (2) If β ≥ β d \beta\ge\beta_d β ≥ β d , then the plateau q β = lim τ → ∞ c β ( τ ) q_\beta=\lim_{\tau\to\infty}c_\beta(\tau) q β = lim τ → ∞ c β ( τ ) is the larger of the two solutions q ∈ ( 0 , 1 ) q \in(0,1) q ∈ ( 0 , 1 ) of
β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 , (3) \beta^2p(p-1)q^{p-2}(1-q)^2=1, \tag*{(3)} β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 , (3) and q β ≥ q d q_\beta\ge q_d q β ≥ q d . In this range,
e β ( ∞ ) = β [ 1 + ( p − 2 ) q β p − 1 − ( p − 1 ) q β p ] , (4) e_\beta(\infty)=\beta\left[1+(p-2)q_\beta^{p-1}-(p-1)q_\beta^p\right], \tag*{(4)} e β ( ∞ ) = β [ 1 + ( p − 2 ) q β p − 1 − ( p − 1 ) q β p ] , (4) ℓ β = 1 1 − q β + β 2 p ( 1 − q β p − 1 ) . (5) \ell_\beta=\frac{1}{1-q_\beta}+\beta^2p\left(1-q_\beta^{p-1}\right). \tag*{(5)} ℓ β = 1 − q β 1 + β 2 p ( 1 − q β p − 1 ) . (5)
and the correlation limits do not commute:
lim τ → ∞ lim s → ∞ C ( s + τ , s ) = q β > 0 , lim s → ∞ lim τ → ∞ C ( s + τ , s ) = 0. (6) \lim_{\tau\to\infty}\lim_{s \to\infty} C(s+\tau,s)=q_{\beta}>0,\qquad\lim_{s \to\infty}\lim_{\tau\to\infty} C(s+\tau,s)=0. \tag*{(6)} τ → ∞ lim s → ∞ lim C ( s + τ , s ) = q β > 0 , s → ∞ lim τ → ∞ lim C ( s + τ , s ) = 0. (6)
Theorem 1.1 has two parts. The first holds at every temperature. It says that the CK solution becomes stationary at bounded lags: near every late time T T T , the correlation and the response are close to functions of the lag alone, these functions satisfy FDT, and the correlation has the spectral representation of an equilibrium correlation. Thus, on bounded windows of late times, the correlation and the response have the stationary FDT structure of an equilibrium dynamics, even at low temperature, where the dynamics keeps aging. The limits in (1) are taken along the whole family T → ∞ T \to\infty T → ∞ , so the stationary profile does not depend on a subsequence. By (2) , the solution also forgets every fixed earlier time: its correlation with the configuration at a fixed time s s s , and its response to a force applied at time s s s , tend to zero.
The second part concerns β ≥ β d \beta\ge\beta_d β ≥ β d , and it identifies the plateau and the energy with those of the asymptotic solution of Cugliandolo and Kurchan. The relation (3) is their marginality condition [51, Equation (7)], and (4) is their energy [51, Equation (9)], combined with the relation between response and correlation in the aging regime stated after [51, Equation (12)]; both are written here in the conventions of § 4.1.3 . Since the plateau is positive while the correlation with every fixed earlier time vanishes, the two iterated limits in (6) differ. We call this noncommutation correlation aging . It does not identify the time scale on which C ( s + τ , s ) C(s+\tau,s) C ( s + τ , s ) decreases below q β q_\beta q β . In physical terms, Theorem 1.1 shows that, for β ≥ β d \beta\ge\beta_d β ≥ β d , the dynamics started from a uniform point does not reach equilibrium: its plateau is the marginal one, and its limiting energy is the energy predicted for the threshold states. For example, if β d < β < β s \beta_d < \beta< \beta_s β d < β < β s , the Parisi measure is the point mass at zero and the equilibrium energy per coordinate is β \beta β , while by (4) , we have e β ( ∞ ) = β − β q β p − 1 [ ( p − 1 ) q β − ( p − 2 ) ] < β e_\beta(\infty)=\beta-\beta q_\beta^{p-1}\left[(p-1)q_\beta-(p-2)\right]<\beta e β ( ∞ ) = β − β q β p − 1 [ ( p − 1 ) q β − ( p − 2 ) ] < β , since q β > q d q_\beta>q_d q β > q d .
The theorem includes the transition point β = β d \beta=\beta_d β = β d , where q β = q d q_\beta=q_d q β = q d and e β ( ∞ ) = β d e_\beta(\infty)=\beta_d e β ( ∞ ) = β d . The value e β d ( ∞ ) = β d e_{\beta_d}(\infty)=\beta_d e β d ( ∞ ) = β d coincides with the value e β ( ∞ ) = β e_\beta(\infty)=\beta e β ( ∞ ) = β obtained whenever the plateau is zero (Remark 8.7). Letting β → ∞ \beta\to\infty β → ∞ in (4) , we find that e β ( ∞ ) → E t h = 2 ( p − 1 ) / p e_\beta(\infty)\to E_{\mathrm{th}}=2\sqrt{(p-1)/p} e β ( ∞ ) → E th = 2 ( p − 1 ) / p (Remark 8.6 ). This limit is the threshold energy of the pure p p p -spin landscape [7, Equation (2.13)], and it agrees with the low-temperature results of Sellke for Langevin dynamics on bounded time horizons [112, Theorems 1.1 and 1.7]. The limit β → ∞ \beta\to\infty β → ∞ is taken after all other limits, and it says nothing about gradient flow at zero temperature.
We prove Theorem 1.1 at the end of § 6.2.6 , by combining Proposition 8.4 , Theorems 8.5 and 8.8 , and Corollary 8.9 with Proposition 5.7 and Corollary 7.7. The main difficulty is that the correlation equation involves the whole history: on late windows of bounded length, its memory integrals involve the overlap of late states with the remote past, which a limit on such windows does not control. The selection of the plateau and the forgetting of earlier times rest on two facts, which we state as Proposition 8.1 in Section 8.1. To state them, we write C ( t , s ) = ⟨ v t , v s ⟩ C(t,s)=\langle v_t,v_s\rangle C ( t , s ) = ⟨ v t , v s ⟩ for unit vectors v t v_t v t in a deterministic Hilbert space whose components are indexed by trees, and we project v t v_t v t onto the components whose leaves record the initial condition or noise up to an earlier time, while their internal interaction times may be later (Section 7). The representation comes with an energy functional, the tree energy, which reproduces e β ( t ) e_\beta(t) e β ( t ) on v t v_t v t . The first fact says that, for every stationary limit with positive plateau, the tree energy of these projections, after normalization, does not exceed the threshold energy E t h E_{\rm th} E th in the limit. The second fact says that if the whole translated family converges to one stationary profile whose plateau is positive and marginal, then the solution forgets every fixed earlier time. We prove that proposition for p ∈ { 3 , 4 } p\in\{3,4\} p ∈ { 3 , 4 } in Section 9, using a deterministic inequality in this Hilbert space, and for every p ≥ 3 p\ge3 p ≥ 3 in Section 10, using the algorithmic threshold of Huang and Sellke [92, Theorem 1 and Corollary 1.8].
To describe what happens for β < β d \beta<\beta_d β < β d , we use the following elementary facts about the marginality equation. Let
q m = p − 2 p , β m 2 = p p − 1 4 ( p − 1 ) ( p − 2 ) p − 2 . q_{\mathrm m}=\frac{p-2}{p},\qquad\beta_{\mathrm m}^{2}=\frac{p^{p-1}}{4(p-1)(p-2)^{p-2}}. q m = p p − 2 , β m 2 = 4 ( p − 1 ) ( p − 2 ) p − 2 p p − 1 .
The function q ↦ p ( p − 1 ) q p − 2 ( 1 − q ) 2 q\mapsto p(p-1)q^{p-2}(1-q)^2 q ↦ p ( p − 1 ) q p − 2 ( 1 − q ) 2 attains its maximum β m − 2 \beta_{\mathrm m}^{-2} β m − 2 on [ 0 , 1 ] [0,1] [ 0 , 1 ] at q m q_{\mathrm m} q m , so the marginality equation β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 \beta^2p(p-1)q^{p-2}(1-q)^2=1 β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 has a solution in ( 0 , 1 ) (0,1) ( 0 , 1 ) if and only if β ≥ β m \beta\ge\beta_{\mathrm m} β ≥ β m ; the value β m \beta_{\mathrm m} β m is not a physical transition. For β ≥ β m \beta\ge\beta_{\mathrm m} β ≥ β m , we write q + ( β ) q_+(\beta) q + ( β ) for its solution in [ q m , 1 ) [q_{\mathrm m},1) [ q m , 1 ) . We have β m < β d \beta_{\mathrm m}<\beta_d β m < β d , q m < q d q_{\mathrm m}<q_d q m < q d , and q + ( β d ) = q d q_+(\beta_d)=q_d q + ( β d ) = q d , and for β ≥ β d \beta\ge\beta_d β ≥ β d we write q β = q + ( β ) q_\beta=q_+(\beta) q β = q + ( β ) ; see Sections 8.2 and 8.4.
For β < β d \beta<\beta_d β < β d , Theorem 1.1 does not determine the plateau on the whole interval. For β < β m \beta<\beta_{\mathrm m} β < β m , the plateau is zero. For β m ≤ β < β d \beta_{\mathrm m}\le\beta<\beta_d β m ≤ β < β d , the proof shows that it is either zero or q + ( β ) q_+(\beta) q + ( β ) , and it proves convergence in both cases (Proposition 8.4 and Remark 8.7). The physical picture predicts the zero plateau there [48, 51]. We return to this question in Section 17.4.
In the remaining statements, when p p p and β \beta β are fixed, we abbreviate c = c β c=c_\beta c = c β , r = r β r=r_\beta r = r β , q = lim τ → ∞ c β ( τ ) q=\lim_{\tau\to\infty}c_\beta(\tau) q = lim τ → ∞ c β ( τ ) , and ℓ = ℓ β \ell=\ell_\beta ℓ = ℓ β . All these statements use the stationary profile selected in Theorem 1.1. The only exception in notation is Theorem 1.4, where c c c denotes a level in ( 0 , q ) (0,q) ( 0 , q ) , as in Sections 14 and 15.
The stationary limit in Theorem 1.1 describes the response R ( t , s ) R(t,s) R ( t , s ) at bounded lags t − s t-s t − s , and the forgetting statement describes it at bounded earlier times s s s . The next theorem concerns the response at a late time t t t to forces applied at all earlier times s ∈ [ 0 , t ] s\in[0,t] s ∈ [ 0 , t ] simultaneously. We write it as a function of the lag v = t − s ∈ [ 0 , t ] v=t-s\in[0,t] v = t − s ∈ [ 0 , t ] , so that R ( t , t − v ) R(t,t-v) R ( t , t − v ) is the response at time t t t to an impulse at time t − v t-v t − v . We also write
E ( t , s ) = ∂ s C ( t , s ) − R ( t , s ) , t > s > 0 , E(t,s)=\partial_s C(t,s)-R(t,s),\qquad t>s>0, E ( t , s ) = ∂ s C ( t , s ) − R ( t , s ) , t > s > 0 ,
for the violation of FDT in the earlier time s s s , and z + = max { z , 0 } z_+=\max\{z,0\} z + = max { z , 0 } for z ∈ R z\in\mathbb{R} z ∈ R . In equilibrium, E = 0 E=0 E = 0 . For β > β d \beta>\beta_d β > β d , the physical picture predicts $E(t,s)\approx(1-x)\partial_s C(t,s)\ge 0 in the aging regime, and this quantity is expected to be small there, because the correlation changes on a diverging time scale.
Theorem 1.2 (Response at late times and the violation of FDT). Fix p ≥ 3 p \ge3 p ≥ 3 and β > 0 \beta> 0 β > 0 . Then, as t → ∞ t \to\infty t → ∞ ,
1 [ 0 , t ] ( v ) R ( t , t − v ) ⟶ r ( v ) , 1 [ 0 , t ] ( v ) ∂ s C ( t , s ) ∣ s = t − v ⟶ r ( v ) \begin{aligned}
\mathbf{1}_{[0,t]}(v)R(t,t-v)&\longrightarrow r(v),\\
\mathbf{1}_{[0,t]}(v)\left.\partial_s C(t,s)\right|_{s=t-v}&\longrightarrow r(v)
\end{aligned} 1 [ 0 , t ] ( v ) R ( t , t − v ) 1 [ 0 , t ] ( v ) ∂ s C ( t , s ) ∣ s = t − v ⟶ r ( v ) , ⟶ r ( v ) strongly in L 2 ( 0 , ∞ ) L^2(0,\infty) L 2 ( 0 , ∞ ) , {#eq:1.7}
where the functions on the left are set equal to zero for v > t v>t v > t . Moreover,
lim t → ∞ sup 0 ≤ s ≤ t ∣ R ( t , s ) − r ( t − s ) ∣ = 0 , χ ( t , 0 ) = o ( t ) . (7) \lim_{t\to\infty}\sup_{0\le s\le t}|R(t,s)-r(t-s)|=0,\qquad\chi(t,0)=o(\sqrt{t}). \tag*{(7)} t → ∞ lim 0 ≤ s ≤ t sup ∣ R ( t , s ) − r ( t − s ) ∣ = 0 , χ ( t , 0 ) = o ( t ) . (7) Let E ( t , s ) = ∂ s C ( t , s ) − R ( t , s ) E(t,s)=\partial_sC(t,s)-R(t,s) E ( t , s ) = ∂ s C ( t , s ) − R ( t , s ) . There exists a nonnegative integrable function a F a_{\mathrm F} a F on [ 0 , ∞ ) [0,\infty) [ 0 , ∞ ) , obtained as an L l o c 1 L^1_{\mathrm{loc}} L loc 1 limit of the normalized annealed Fisher informations along one subsequence of dimensions, such that ∫ 0 ∞ a F ( s ) d s ≤ β 2 / 2 \int_0^\infty a_{\mathrm F}(s)\,\mathrm{d}s\le\beta^2/2 ∫ 0 ∞ a F ( s ) d s ≤ β 2 /2 , ∣ E ( t , s ) ∣ 2 ≤ a F ( s ) |E(t,s)|^2\le a_{\mathrm F}(s) ∣ E ( t , s ) ∣ 2 ≤ a F ( s ) for t > s > 0 t>s>0 t > s > 0 , and sup s ≥ T a F ( s ) → 0 \sup_{s\ge T}a_{\mathrm F}(s)\to0 sup s ≥ T a F ( s ) → 0 as T → ∞ T\to\infty T → ∞ . Further,
lim t → ∞ ∫ 0 t ∣ E ( t , s ) ∣ 2 d s = 0. (8) \lim_{t\to\infty}\int_0^t |E(t,s)|^2\,\mathrm{d}s=0. \tag*{(8)} t → ∞ lim ∫ 0 t ∣ E ( t , s ) ∣ 2 d s = 0. (8) If β > β d \beta>\beta_{\mathrm d} β > β d , let
q = q β , x = ( p − 2 ) ( 1 − q ) q ∈ ( 0 , 1 ) , m ∞ = q ( 1 − x 1 / p ) > 0. q=q_\beta,\qquad x=\frac{(p-2)(1-q)}{q}\in(0,1),\qquad m_\infty=q(1-x^{1/p})>0. q = q β , x = q ( p − 2 ) ( 1 − q ) ∈ ( 0 , 1 ) , m ∞ = q ( 1 − x 1/ p ) > 0. Then
lim A → ∞ lim t → ∞ p ∫ 0 t − A C ( t , u ) p − 1 R ( t , u ) d u C ( t , t − A ) p − C ( t , 0 ) p = x , (9) \lim_{A\to\infty}\lim_{t\to\infty}\frac{p\int_0^{t-A}C(t,u)^{p-1}R(t,u)\,\mathrm{d}u}{C(t,t-A)^p-C(t,0)^p}=x, \tag*{(9)} A → ∞ lim t → ∞ lim C ( t , t − A ) p − C ( t , 0 ) p p ∫ 0 t − A C ( t , u ) p − 1 R ( t , u ) d u = x , (9) while, for every fixed S ≥ 0 S\ge0 S ≥ 0 ,
lim L → ∞ lim inf t → ∞ ∫ S t − L E ( t , u ) + d u ≥ m ∞ , lim inf t → ∞ ∫ 0 t E ( t , u ) + 2 d u ≥ m ∞ 2 . (10) \lim_{L\to\infty}\liminf_{t\to\infty}\int_S^{t-L}E(t,u)_+\,\mathrm{d}u\ge m_\infty,\qquad\liminf_{t\to\infty}\int_0^t E(t,u)_+^2\,\mathrm{d}u\ge m_\infty^2. \tag*{(10)} L → ∞ lim t → ∞ lim inf ∫ S t − L E ( t , u ) + d u ≥ m ∞ , t → ∞ lim inf ∫ 0 t E ( t , u ) + 2 d u ≥ m ∞ 2 . (10)
The first half of Theorem 1.2 says that the response and the derivative of the correlation in the earlier time concentrate at short lags. The stationary limit in Theorem 1.1 controls the response only on bounded windows of lags, while (1.7) concerns all lags v ∈ [ 0 , t ] v\in[0,t] v ∈ [ 0 , t ] , an interval whose length tends to infinity. In particular, for large A A A , the squared response integrated over lags larger than A A A is small at late times, and by (1.8), the response converges uniformly over all earlier times. This does not imply that the response integrated over these lags vanishes: the total susceptibility χ ( t , 0 ) \chi(t,0) χ ( t , 0 ) grows more slowly than t \sqrt{t} t , but we do not prove that it stays bounded. The convergence of the second function in (1.7) is a strong form of FDT in the earlier time: the violation E ( t , ⋅ ) E(t,\cdot) E ( t , ⋅ ) tends to zero in L 2 ( 0 , t ) L^2(0,t) L 2 ( 0 , t ) .
The bound ∣ E ∣ 2 ≤ a F |E|^2 \le a_F ∣ E ∣ 2 ≤ a F explains why FDT holds in this sense. The function a F a_F a F is a limit, along one subsequence of dimensions, of the normalized entropy production a N a_N a N of § 2.2 , and its integral is at most β 2 / 2 \beta^2/2 β 2 /2 . The bound ∣ E ( t , s ) ∣ 2 ≤ a F ( s ) |E(t,s)|^2 \le a_F(s) ∣ E ( t , s ) ∣ 2 ≤ a F ( s ) says that the violation of FDT at an earlier time s s s is controlled by the entropy produced at time s s s . Since sup s ≥ T a F ( s ) → 0 \sup_{s\ge T} a_F(s) \to0 sup s ≥ T a F ( s ) → 0 as T → ∞ T \to\infty T → ∞ , the violation is uniformly small when the earlier time s s s is large. This is the mechanism of Cugliandolo, Dean, and Kurchan [54], which we make uniform in the dimension. We call a F a_F a F the Fisher majorant. It need not be unique, but we choose one dimension subsequence and one majorant and use them throughout, including in Theorem 1.4.
FDT also holds in the later time, uniformly over all earlier times, for every p ≥ 3 p \ge3 p ≥ 3 and β > 0 \beta> 0 β > 0 :
lim t → ∞ sup 0 ≤ s ≤ t ∣ ∂ t C ( t , s ) + r ( t − s ) ∣ = lim t → ∞ sup 0 ≤ s ≤ t ∣ ∂ t C ( t , s ) + R ( t , s ) ∣ = 0 \lim_{t\to\infty}\sup_{0\le s\le t} \left|\partial_t C(t,s) + r(t-s)\right| = \lim_{t\to\infty}\sup_{0\le s\le t} \left|\partial_t C(t,s) + R(t,s)\right| = 0 t → ∞ lim 0 ≤ s ≤ t sup ∣ ∂ t C ( t , s ) + r ( t − s ) ∣ = t → ∞ lim 0 ≤ s ≤ t sup ∣ ∂ t C ( t , s ) + R ( t , s ) ∣ = 0
(Theorem 11.4). On the diagonal, ∂ t C ( t , t ) = − 1 \partial_t C(t,t)=-1 ∂ t C ( t , t ) = − 1 denotes the derivative from the causal side with the earlier time held fixed; c ′ ( 0 ) = − 1 c'(0)=-1 c ′ ( 0 ) = − 1 is a right derivative.
The second half of Theorem 1.2 shows that the violation of FDT nevertheless carries a positive integrated mass in the aging regime. For every fixed S ≥ 0 S \ge0 S ≥ 0 , the integral of the positive part of E ( t , ⋅ ) E(t,\cdot) E ( t , ⋅ ) over [ S , t − L ] [S,t-L] [ S , t − L ] has lower limit at least m ∞ m_\infty m ∞ when first t → ∞ t \to\infty t → ∞ and then L → ∞ L \to\infty L → ∞ , as in (10) , while the L 2 L^2 L 2 norm of E ( t , ⋅ ) E(t,\cdot) E ( t , ⋅ ) tends to zero. These statements hold together because the violation is integrated over the growing interval [ S , t − L ] [S,t-L] [ S , t − L ] , whose length is of order t t t ; the theorem does not say how the violation is distributed over this interval. By the second inequality in (10) , the L 2 L^2 L 2 norm of E + E_+ E + cannot decay faster than t − 1 / 2 t^{-1/2} t − 1/2 . Cugliandolo, Dean, and Kurchan explained in [54] why entropy production allows small pointwise violations of FDT to coexist with a nonzero integrated violation over an expanding time interval. In Theorem 1.2, we prove such a coexistence for the CK solution.
The ratio in (9) identifies one moment of the slow response with the fluctuation–dissipation ratio x x x of [51]. Indeed, if the response satisfied R ( t , u ) = x ∂ u C ( t , u ) R(t,u)=x\,\partial_u C(t,u) R ( t , u ) = x ∂ u C ( t , u ) for u ≤ t − A u\le t-A u ≤ t − A , as the constant ratio of [51] predicts for large A A A , then the ratio would equal x x x , since
p ∫ 0 t − A C ( t , u ) p − 1 ∂ u C ( t , u ) d u = C ( t , t − A ) p − C ( t , 0 ) p . p\int_0^{t-A} C(t,u)^{p-1}\partial_u C(t,u)\,\mathrm{d}u = C(t,t-A)^p-C(t,0)^p. p ∫ 0 t − A C ( t , u ) p − 1 ∂ u C ( t , u ) d u = C ( t , t − A ) p − C ( t , 0 ) p .
We prove this weighted identity, but not the pointwise relation.
The Fisher majorant is constructed in Theorem 5.3. The convergence in (1.7) and the bound χ ( t , 0 ) = o ( t ) \chi(t,0)=o(\sqrt{t}) χ ( t , 0 ) = o ( t ) are proved in Theorems 11.1 and 11.5 and Corollary 11.2, the identity (9) in Proposition 12.1, and the bounds (10) in Theorem 12.4.
The convergence over all earlier times also shows where the correlation at the plateau comes from. The Green covariance identity of Proposition 4.2 writes C ( t , s ) C(t,s) C ( t , s ) as the sum of three terms: the contribution R ( t , 0 ) R ( s , 0 ) R(t,0)R(s,0) R ( t , 0 ) R ( s , 0 ) of the initial condition, a thermal term, which is the contribution of the Brownian noise, and a memory term, which is the contribution of the colored noise of the effective process. For t ≥ s t \ge s t ≥ s , the thermal term and its stationary counterpart are
B ( t , s ) = 2 ∫ 0 s R ( t , u ) R ( s , u ) d u , b t h ( τ ) = 2 ∫ 0 ∞ r ( τ + v ) r ( v ) d v . B(t,s) = 2\int_{0}^{s} R(t,u)R(s,u)\,\mathrm{d}u,\qquad b_{\mathrm{th}}(\tau) = 2\int_{0}^{\infty} r(\tau+v)r(v)\,\mathrm{d}v. B ( t , s ) = 2 ∫ 0 s R ( t , u ) R ( s , u ) d u , b th ( τ ) = 2 ∫ 0 ∞ r ( τ + v ) r ( v ) d v .
For every p ≥ 3 p \ge3 p ≥ 3 and β > 0 \beta> 0 β > 0 , we show in Corollary 11.7 that
lim S → ∞ sup t ≥ s ≥ S ∣ B ( t , s ) − b t h ( t − s ) ∣ = 0. (11) \lim_{S\to\infty}\sup_{t\ge s\ge S}\left|B(t,s)-b_{\mathrm{th}}(t-s)\right|=0. \tag*{(11)} S → ∞ lim t ≥ s ≥ S sup ∣ B ( t , s ) − b th ( t − s ) ∣ = 0. (11)
The function b t h b_{\mathrm{th}} b th is completely monotone and tends to zero. Hence the thermal term vanishes on every late pair of times whose lag diverges. The initial term also vanishes, by (1.2). Thus any correlation retained on such a pair is carried by the memory term, which comes from the interaction of each coordinate with the others.
For the cubic model, we prove two further predictions of the physical picture in one-sided form. Cugliandolo and Kurchan described the aging regime through the relations between correlations at three times [52, arXiv version 1, Section 5]. For spherical models, they discussed a relation in which correlations below the plateau compose multiplicatively: for three times that are far apart, C ( t , u ) / q C(t,u)/q C ( t , u ) / q is the product of C ( t , s ) / q C(t,s)/q C ( t , s ) / q and C ( s , u ) / q C(s,u)/q C ( s , u ) / q [52, arXiv version 1, Section 5.1, Equation (5.1.8)].
Theorem 1.3 (Three-time inequality and susceptibility in the cubic model). Let p = 3 p=3 p = 3 and β ≥ β d \beta\ge\beta_d β ≥ β d . For every sequence of triples u n < s n < t n u_n<s_n<t_n u n < s n < t n with u n → ∞ u_n\to\infty u n → ∞ , s n − u n → ∞ s_n-u_n\to\infty s n − u n → ∞ , and t n − s n → ∞ t_n-s_n\to\infty t n − s n → ∞ ,
lim inf n → ∞ { q C ( t n , u n ) − C ( t n , s n ) C ( s n , u n ) } ≥ 0. (12) \liminf_{n\to\infty}\left\{qC(t_n,u_n)-C(t_n,s_n)C(s_n,u_n)\right\}\ge0. \tag*{(12)} n → ∞ lim inf { q C ( t n , u n ) − C ( t n , s n ) C ( s n , u n ) } ≥ 0. (12) The same holds for q C ( t n , s n ) − C ( t n , u n ) C ( s n , u n ) qC(t_n,s_n)-C(t_n,u_n)C(s_n,u_n) q C ( t n , s n ) − C ( t n , u n ) C ( s n , u n ) and for q C ( s n , u n ) − C ( t n , s n ) C ( t n , u n ) qC(s_n,u_n)-C(t_n,s_n)C(t_n,u_n) q C ( s n , u n ) − C ( t n , s n ) C ( t n , u n ) . Further, under the same hypotheses,
lim inf t → ∞ χ ( t , 0 ) ≥ 2 ( 1 − q ) . (13) \liminf_{t\to\infty}\chi(t,0)\ge2(1-q). \tag*{(13)} t → ∞ lim inf χ ( t , 0 ) ≥ 2 ( 1 − q ) . (13)
For the cubic model, β d = 4 / 3 \beta_d=\sqrt{4/3} β d = 4/3 and q ≥ 1 / 2 q\ge1/2 q ≥ 1/2 , with q = 1 / 2 q=1/2 q = 1/2 at β = β d \beta=\beta_d β = β d ; all three product inequalities and the susceptibility bound include this point. The inequality (1.13) is a one-sided version of the product relation of Cugliandolo and Kurchan for the CK solution, with no assumption on the time scale of aging. In words, after dividing correlations by q q q , the correlation across two successive long time intervals is asymptotically at least the product of the correlations across the two intervals. For a level c ∈ ( 0 , q ) c\in(0,q) c ∈ ( 0 , q ) , consider the last time after s s s at which the correlation with the configuration at time s s s is at least c c c . The inequality (1.13) implies that these last times compose: for fixed levels c 1 , c 2 ∈ ( 0 , q ) c_1,c_2\in(0,q) c 1 , c 2 ∈ ( 0 , q ) and a fixed level below c 1 c 2 / q c_1c_2/q c 1 c 2 / q , and for all sufficiently large s s s , the last time for the lower level is at least the last time for c 2 c_2 c 2 , started from the last time for c 1 c_1 c 1 (Corollary 14.4). These statements allow the correlation to return above a level before its last crossing, and (1.13) does not assert a product equality.
The bound (13) concerns the total response to a constant force switched on at time zero. If FDT held at all pairs of times, we would have χ ( t , 0 ) = 1 − C ( t , 0 ) → 1 \chi(t,0)=1-C(t,0)\to1 χ ( t , 0 ) = 1 − C ( t , 0 ) → 1 . Of this amount, the stationary regime contributes ∫ 0 ∞ r ( v ) d v = 1 − q \int_0^\infty r(v)\,\mathrm{d}v=1-q ∫ 0 ∞ r ( v ) d v = 1 − q , so (13) forces at least another 1 − q 1-q 1 − q of integrated response outside every fixed window of lags. In the full physical prediction, including the absence of response mass at correlation zero, the aging regime contributes x q xq x q instead of q q q , which gives χ ( t , 0 ) → ( 1 − q ) + x q = ( p − 1 ) ( 1 − q ) \chi(t,0)\to(1-q)+xq=(p-1)(1-q) χ ( t , 0 ) → ( 1 − q ) + x q = ( p − 1 ) ( 1 − q ) ; for p = 3 p=3 p = 3 , this is 2 ( 1 − q ) 2(1-q) 2 ( 1 − q ) , which is smaller than one when q > 1 / 2 q>1/2 q > 1/2 . We prove only the lower bound. Both results come from the geometry of the tree vectors of Section 7 whose energies approach the threshold: the product inequality from Theorem 13.5, and the susceptibility bound from a limiting operator associated with such vectors (Theorem 13.2). They are proved in Theorems 14.3 and 14.7.
The next result relates relaxation below the plateau to entropy production. For a level c ∈ ( 0 , q ) c\in(0,q) c ∈ ( 0 , q ) and a waiting time s s s , we consider the time τ c ( s ) \tau_c(s) τ c ( s ) that elapses after s s s until the correlation with the configuration at time s s s first reaches the level c c c .
Theorem 1.4 (Entropy production and relaxation below the plateau in the cubic model). Let p = 3 p=3 p = 3 and β > β d \beta>\beta_d β > β d , and let a F a_F a F be the Fisher majorant of Theorem 1.2 . If s n → ∞ s_n\to\infty s n → ∞ , τ n → ∞ \tau_n\to\infty τ n → ∞ , and
τ n ∫ s n s n + τ n a F ( u ) d u ⟶ 0 , \tau_n\int_{s_n}^{s_n+\tau_n}a_F(u)\,\mathrm{d}u\longrightarrow0, τ n ∫ s n s n + τ n a F ( u ) d u ⟶ 0 , then C ( s n + τ n , s n ) → q C(s_n+\tau_n,s_n)\to q C ( s n + τ n , s n ) → q and χ ( s n + τ n , s n ) → 1 − q \chi(s_n+\tau_n,s_n)\to1-q χ ( s n + τ n , s n ) → 1 − q . For 0 < c < q 0<c<q 0 < c < q , the first passage time
τ c ( s ) = inf { τ ≥ 0 : C ( s + τ , s ) ≤ c } \tau_c(s)=\inf\{\tau\ge0:C(s+\tau,s)\le c\} τ c ( s ) = inf { τ ≥ 0 : C ( s + τ , s ) ≤ c } is finite, tends to infinity as s → ∞ s\to\infty s → ∞ , and satisfies
lim inf s → ∞ τ c ( s ) ∫ s s + τ c ( s ) a F ( u ) d u ≥ min { 1 , [ 3 β 2 ( 2 q − 1 ) ( q − c ) ℓ + 15 β 2 ] 2 } > 0. (14) \liminf_{s\to\infty}\tau_c(s)\int_s^{s+\tau_c(s)}a_F(u)\,\mathrm{d}u
\ge\min\left\{1,\left[\frac{3\beta^2(2q-1)(q-c)}{\ell+15\beta^2}\right]^2\right\}>0. \tag*{(14)} s → ∞ lim inf τ c ( s ) ∫ s s + τ c ( s ) a F ( u ) d u ≥ min { 1 , [ ℓ + 15 β 2 3 β 2 ( 2 q − 1 ) ( q − c ) ] 2 } > 0. (14) The same lower bound holds after replacing the integral by ∫ s ∞ a F ( u ) d u \int_s^\infty a_F(u)\,\mathrm{d}u ∫ s ∞ a F ( u ) d u .
The first statement concerns windows [ s n , s n + τ n ] [s_n,s_n+\tau_n] [ s n , s n + τ n ] whose starting times and lengths both tend to infinity. If the length of the window times the integral of a F a_F a F over it tends to zero, then at the end of the window, the correlation with its start tends to the plateau, and the susceptibility tends to its stationary value 1 − q = ∫ 0 ∞ r ( v ) d v 1-q=\int_0^\infty r(v)\,\mathrm{d}v 1 − q = ∫ 0 ∞ r ( v ) d v , as if the solution were stationary. Relaxation below the plateau therefore requires entropy production: to reach a fixed level c < q c<q c < q , the elapsed time multiplied by the integral of a F a_F a F over the elapsed time must stay bounded below, and (14) gives an explicit lower bound. As in Section 15, we call the quantity bounded in (14) the Fisher cost of the passage. Denoting the right side of (14) by κ c \kappa_c κ c , the bound with ∫ s ∞ a F \int_s^\infty a_F ∫ s ∞ a F shows that
τ c ( s ) ≥ κ c − o ( 1 ) ∫ s ∞ a F ( u ) d u ( s → ∞ ) . \tau_c(s)\ge\frac{\kappa_c-o(1)}{\int_s^\infty a_F(u)\,\mathrm{d}u}\qquad(s\to\infty). τ c ( s ) ≥ ∫ s ∞ a F ( u ) d u κ c − o ( 1 ) ( s → ∞ ) .
Since a F a_F a F is integrable, the right side tends to infinity: the time needed to relax below the plateau grows at least as fast as the reciprocal of the remaining integral ∫ s ∞ a F \int_s^\infty a_F ∫ s ∞ a F of the chosen Fisher majorant. This is a quantitative form of aging, but it does not give a growth law for τ c ( s ) \tau_c(s) τ c ( s ) , because we do not know how fast ∫ s ∞ a F \int_s^\infty a_F ∫ s ∞ a F decays. The strict condition β > β d \beta> \beta_d β > β d is essential to this positive bound: its factor 2 q − 1 2q - 1 2 q − 1 vanishes at the transition. The proof, in Theorem 15.1, combines the backward response equation with the product inequality of Theorem 1.3.
Our last main result says that, for β ≥ β d \beta\ge\beta_d β ≥ β d , the stationary correlation approaches its plateau algebraically: c ( t ) − q c(t)-q c ( t ) − q is asymptotic to a positive constant times t − a t^{-a} t − a , with the exponent predicted by mode-coupling theory.
Theorem 1.5 (Power-law approach to the plateau). Fix p ≥ 3 p \ge3 p ≥ 3 and β ≥ β d \beta\ge\beta_d β ≥ β d . There exists a unique a ∈ ( 0 , 1 / 2 ) a \in(0,1/2) a ∈ ( 0 , 1/2 ) such that
Γ ( 1 − a ) 2 Γ ( 1 − 2 a ) = ( p − 2 ) ( 1 − q ) 2 q , (15) \frac{\Gamma(1-a)^2}{\Gamma(1-2a)}=\frac{(p-2)(1-q)}{2q}, \tag*{(15)} Γ ( 1 − 2 a ) Γ ( 1 − a ) 2 = 2 q ( p − 2 ) ( 1 − q ) , (15) and there exists A β ∈ ( 0 , ∞ ) A_\beta\in(0,\infty) A β ∈ ( 0 , ∞ ) such that, as t → ∞ t \to\infty t → ∞ ,
c ( t ) − q ∼ A β t − a , ( − 1 ) n c ( n ) ( t ) ∼ A β ( a ) n t − a − n ( n ≥ 1 ) . (16) c(t)-q \sim A_\beta t^{-a}, \qquad(-1)^n c^{(n)}(t) \sim A_\beta(a)_n t^{-a-n}\quad(n\ge1). \tag*{(16)} c ( t ) − q ∼ A β t − a , ( − 1 ) n c ( n ) ( t ) ∼ A β ( a ) n t − a − n ( n ≥ 1 ) . (16) Here ( a ) n = a ( a + 1 ) ⋯ ( a + n − 1 ) (a)_n=a(a+1)\cdots(a+n-1) ( a ) n = a ( a + 1 ) ⋯ ( a + n − 1 ) , and n n n is fixed.
The relation (1.16) is the exponent relation of mode-coupling theory for the stationary profile of the aging solution, with exponent parameter x / 2 x/2 x /2 [34, arXiv version, Equation (IV.6)], [96]. At the transition, x = 1 x=1 x = 1 and a ≈ 0.395 a\approx0.395 a ≈ 0.395 for every p p p ; as β → ∞ \beta\to\infty β → ∞ , the right side of (1.16) tends to zero and a a a tends to 1 / 2 1/2 1/2 . The critical power law, with an amplitude that depends on the dynamics at finite time differences, is part of the classical asymptotic analysis of mode-coupling theory [81, Section 4, Equation (6), pp. 880–881]. In Theorem 16.1, we prove it for the stationary profile selected by the CK solution, together with a positive finite amplitude and the asymptotics of every fixed derivative. In particular, the response r = − c ′ r=-c' r = − c ′ decays like a A β t − a − 1 aA_\beta t^{-a-1} a A β t − a − 1 , and the approach to the plateau has no single exponential relaxation time. These exponents describe how the stationary profile approaches its plateau after the limit of large waiting time; they are not exponents of the aging regime. None of the geometric or Fisher-cost arguments uses this power law.
Relation to previous work
We now compare our results and methods with previous work.
The physical predictions and their later refinements. The predictions tested by our results come from the asymptotic solution of Cugliandolo and Kurchan [51], described in § 2.3 . Their derivation assumes that the stationary and aging regimes separate, and it imposes an asymptotic form on the correlation and response in the aging regime. The time scale of the aging regime is not determined by this calculation, because the asymptotic equations admit reparametrizations of time [52, arXiv version 1, Section 4]. In Theorem 1.1 , we prove the stationary FDT, the marginal plateau, the energy, and the forgetting of fixed earlier times for the CK solution itself, without assuming that the regimes separate. Theorem 1.2 identifies one weighted moment of the slow response with the ratio x x x , and Theorem 1.3 gives one side of the product relation between three times. The full slow fluctuation–dissipation relation and the time scale of aging remain open.
The effective-temperature interpretation of x x x was developed by Cugliandolo, Kurchan, and Peliti [55]. Franz, Mézard, Parisi, and Peliti related the dynamical response to the equilibrium overlap distribution under additional hypotheses [73], and they pointed out that the unperturbed spherical p p p -spin model does not satisfy this relation. We do not use equilibrium overlaps. Altieri, Biroli, and Cammarota developed a formulation of aging within dynamical mean-field theory in [2], and Chamon, Kennett, Castillo, and Cugliandolo developed the reparametrization invariance of the slow dynamics in [41]. Ghimenti, Berthier, Kurchan, and van Wijland related accelerated glass dynamics to time-reparametrization softness, through numerical comparisons and an asymptotic analysis of a nonreciprocally coupled spherical p p p -spin model [78, pp. 4–5 and SI Appendix, Section 7].
The picture has also been tested numerically and refined. Kim and Latz integrated the CK equations numerically over long times and compared the result with the predicted fluctuation–dissipation relation and with the crossover to the aging regime [96]. Andreanov and Lefèvre proposed a form of the time scale of aging by matching the stationary and aging regimes within a scaling expansion [3]. Folena, Franz, and Ricci-Tersenghi found that in zero-temperature quenches of mixed spherical models the long-time dynamics can depend on the initial condition and can reach energies below the threshold [70, Sections V–VII]. Folena and Zamponi tested weak ergodicity breaking numerically in mean-field spin glasses over long times, mainly in mixed models [69], and Lang, Sachdev, and Diehl developed a numerical renormalization method that reaches longer integration times [105]. Citro and Ricci-Tersenghi obtained numerical evidence for strong ergodicity breaking, in which the correlation with the initial configuration stays positive at long times, in the spherical 3 + 4 3+4 3 + 4 model quenched from near the dynamical transition to zero temperature [45]. The studies of mixed models and of other initial conditions indicate that the selection of the threshold in Theorem 1.1 depends on our hypotheses.
Rigorous limits on fixed time horizons and the CK equations. The rigorous derivation of mean-field dynamical equations began with the large deviation methods on path space of Ben Arous and Guionnet for Langevin dynamics of spin glasses: a large deviation principle for asymmetric interactions [17] and a large deviation upper bound for symmetric interactions [18], in regimes of short times or high temperature. Grunwald proved an analogous asymmetric large deviation principle and symmetric upper bound for Glauber dynamics, the spin-flip dynamics of Ising spin glasses, without restrictions on the fixed time horizon or temperature [86]. Guionnet obtained averaged propagation of chaos, that is, asymptotic independence of finitely many coordinates, and a quenched single-spin limit expressed as convergence in law over the disorder [87]. For spherical models, Ben Arous, Dembo, and Guionnet proved in [24, Theorem 1.2] that the empirical correlation and integrated response of the soft-spherical Langevin dynamics converge on fixed time horizons to the solution of the CK equations. Dembo, Guionnet, and Mazza took the limit of these deterministic equations as the soft constraint becomes hard [60, Proposition 1.1]. In the same paper, they proved exponential relaxation and convergence to a stationary FDT solution at sufficiently high temperature [60, Proposition 1.2 and Theorem 1.3], and they classified the solutions of the scalar memory equation by the largest admissible plateau and a stability inequality [60, Proposition 1.4]. They also showed that the CK solution has stationary FDT limits at every temperature, under the asymptotic conditions (6.5) and (6.6) of their paper [60, Proposition 6.1]. Sellke proved the convergence theorem for the hard-spherical diffusion itself [112, Theorem 4.3], by coupling it with soft-spherical diffusions [112, Lemmas 3.1 and 3.2]. Guionnet and Mazza studied the long-time behavior of nonlinear Kraichnan equations, which are integral equations for response kernels with a prescribed covariance, in [89], using positive noncrossing expansions: series with nonnegative terms indexed by pairings of ordered points whose arcs do not cross. Dembo and Subag derived dynamical equations on fixed time horizons for initial conditions in prescribed bands near critical points [58] and for Gibbs distributed initial conditions [59]. The latter result includes the initialization at inverse temperature zero, which is the uniform start, together with the limit of a hard spherical constraint [59, Theorem 1.8(a) and Proposition 1.10]. They also characterize stationary FDT dynamics and relaxation within equilibrium bands [59, Proposition 1.14 and Corollary 1.18]. The equilibrium relaxation conclusions concern Gibbs starts at the ambient temperature, whereas our long-time selection follows a quench from the uniform law to inverse temperature β > 0 \beta> 0 β > 0 . Dembo, Lubetzky, and Zeitouni proved universality on fixed time horizons for Langevin-like dynamics with independent asymmetric interactions [61, Theorem 1.1]. For diffusions with linear random matrix interactions, Dembo and Gheissari proved universality of averaged observables for both symmetric and asymmetric couplings, using a stochastic Taylor expansion [57, Theorem 1 and Corollary 3]. Surveys of this program are [14] and [88, pp. 117–121].
Rigorous dynamical mean-field theory has recently been extended to first-order methods with random data [39] and to stochastic gradient descent [76], and its equations have been derived by a dynamical cavity method [56]. Long-time results are known for Langevin dynamics in spiked matrix models, which are random matrices with a low-rank signal [108]. For Langevin diffusions with adaptive drift, Fan, Ko, Loureiro, Lu, and Shen proved convergence of the linear response on fixed horizons [65], and long-time results under an approximate time-translation invariance hypothesis, which they verify under a log-Sobolev inequality that is uniform in the dimension [66, Theorems 2.5 and 2.9]. For the orthogonally invariant Sherrington–Kirkpatrick model, Fan, Misiakiewicz, Wang, and Wen proved stationary FDT limits under rapid mixing on time scales that do not depend on the dimension and suitable confining curvature [67, Lemma 4.1]. The models and hypotheses of these works differ from ours.
We take the results of [24, 60, 112] as input, through Propositions 3.2 and 3.3 , and prove long-time statements for the CK solution at every temperature. The main difference from [60, Proposition 6.1] is that our stationary limits (Proposition 5.7 ) require no asymptotic hypothesis on the solution: entropy production supplies the needed control.
Aging for the two-spin model and on other time scales. Ben Arous, Dembo, and Guionnet proved aging for the soft-spherical model with p = 2 p = 2 p = 2 in the order of limits used here [21]. Their analysis uses the spectral decomposition of the interaction matrix, which reduces the dynamics to coupled Ornstein–Uhlenbeck processes. This linear structure is absent for p ≥ 3 p \ge3 p ≥ 3 , where a positive stationary plateau must satisfy the nonlinear marginality condition (3) .
A different rigorous theory of aging concerns time scales that grow with the dimension, on which the dynamics is activated and is trapped in deep states for long times. Ben Arous, Bovier, and Gayrard proved aging for the Glauber dynamics of the random energy model below the critical temperature [22, 23]. Ben Arous and Černý showed that the arcsine law of a stable subordinator is a universal aging scheme for trap models: under their hypotheses, the probability that the process occupies the same trap at two late times converges to a function of their ratio given by the generalized arcsine law [16]. For random-hopping-time dynamics, in which the jumps do not depend on the energy and the holding times do, Ben Arous, Bovier, and Černý proved that Ising p p p -spin models with p ≥ 3 p \ge3 p ≥ 3 age like the random energy model on intermediate exponential time scales [25], and Ben Arous and Gün obtained extremal aging, which is governed by the longest holding times, on subexponential time scales [19]. Bovier and Gayrard proved convergence of clock processes in random environments, and aging for random-hopping-time dynamics of the p p p -spin SK model [36]. For the Metropolis dynamics of the random energy model, Černý and Wassmer proved convergence of the clock process and explained why aging of the two-time correlation does not follow directly from it [40, Theorem 1.1 and Remark 1.2(3)], and Gayrard proved two-time aging [75]. These results let the observation times grow with N N N and describe the dynamics through clock processes, which record the total time spent in the states visited by the dynamics; this is the trap mechanism of [33]. In the CK limit, the dimension tends to infinity first on fixed horizons, activation is invisible, and the aging of Theorem 1.1 is a property of the deterministic CK solution. The differences between these orders of limits are discussed in the surveys [14, 15] and [88, pp. 120–121].
Landscape and algorithmic thresholds, shattering, and metastability. In physics, the threshold energy E t h = 2 ( p − 1 ) / p E_{\mathrm{th}} = 2\sqrt{(p-1)/p} E th = 2 ( p − 1 ) / p is the energy of the marginal TAP states at zero temperature [47, Equation (9)]. Auffinger, Ben Arous, and Černý used random matrix theory to compute the complexity of the critical points of the pure spherical p p p -spin Hamiltonian, that is, the exponential growth rate of their number. Up to the sign convention, E t h E_{\mathrm{th}} E th is the energy E ∞ E_{\infty} E ∞ of their analysis [7, Equation (2.13)]. Auffinger and Ben Arous extended these computations to mixed models [5]. In pure models, Subag proved by a second moment computation that, for each fixed energy strictly between the threshold and the ground-state energy, the number of critical points with energy above it, divided by its expectation, converges to one in L 2 L^2 L 2 , in our sign convention [117, Theorem 1 and Corollary 2]. In optimization, E t h E_{\mathrm{th}} E th is the algorithmic threshold of pure models, that is, the largest energy that algorithms of a natural stable class can reach. Subag constructed an algorithm for spherical models, based on the Hessian, that reaches the energy ∫ 0 1 ξ ′ ′ ( u ) d u \int_0^1 \sqrt{\xi''(u)}\,\mathrm{d}u ∫ 0 1 ξ ′′ ( u ) d u , which equals E t h E_{\mathrm{th}} E th for ξ ( u ) = u p \xi(u)=u^p ξ ( u ) = u p [118]. Montanari [110] and El Alaoui, Montanari, and Sellke [63] constructed message passing algorithms for Ising models. These algorithms iteratively use the gradient of the Hamiltonian, and with probability tending to one, they reach energies arbitrarily close to the ground-state energy under a no-overlap-gap assumption on the Parisi order parameter: in [110, Assumption 1], that the support of the Parisi measure is an interval [ 0 , q ∗ ( β ) ] [0,q_*(\beta)] [ 0 , q ∗ ( β )] for all sufficiently large β \beta β , and in [63, arXiv version 1, Assumption 2], that the zero-temperature Parisi minimizer is strictly increasing on [ 0 , 1 ) [0,1) [ 0 , 1 ) . Huang and Sellke proved a matching hardness result. Consider algorithms that map the Gaussian disorder coefficients to points of the ball of radius N \sqrt{N} N in R N \mathbb{R}^N R N , with Lipschitz constants, in the Euclidean metrics, bounded independently of N N N . Then the probability that the energy per coordinate of the output exceeds the algorithmic threshold by a fixed positive amount tends to zero as N → ∞ N\to\infty N → ∞ . They proved this for even models in [94], and for multi-species spherical models, including odd pure models and external fields, in [92, Theorem 1 and Corollary 1.8]. Sellke proved that at low temperature, Langevin dynamics reaches energies close to E t h E_{\mathrm{th}} E th on bounded time horizons [112, Theorem 1.1]. He also proved that, from an initial point independent of the disorder, it stays below E t h E_{\mathrm{th}} E th on each fixed time horizon with probability tending to one as N → ∞ N\to\infty N → ∞ [112, Theorem 1.7]. Our energy formula agrees with these results when the zero-temperature limit is taken after the long-time limits (Remark 8.6).
For every stationary limit with positive plateau, we use E t h E_{\mathrm{th}} E th as an upper bound for the limiting energy of normalized prefix centers, which are the projections of late tree vectors described in § 2.4 (Proposition 8.1). For p ∈ { 3 , 4 } p\in\{3,4\} p ∈ { 3 , 4 } , we prove this bound with a deterministic inequality for unit vectors in a Hilbert space graded by ordered trees. (Theorem 9.2 and Lemma 9.3 ). The inequality has a sharp constant, and the deficit from this constant controls the squared norm of the components of a vector at every fixed height, where the height of a tree is the largest distance from its root to a leaf. Branching constructions appear in the algorithms of Subag [118, Remark 6] and in the overlap geometry of Huang and Sellke [94, Remarks 1.2 and 1.3]; here we retain quantitative height defects inside the causal covariance realization. For general p p p , we use the theorem of Huang and Sellke [92] together with the coupling of Sellke [112, Lemmas 3.1 and 3.2].
Sellke’s work on the marginal stability of approximate ground states [113] concerns a different part of the landscape, and we do not relate the stationary response to a Hessian. The finite-dimensional dynamics has also been studied directly. Gheissari and Jagannath estimated the spectral gap of spherical spin glass dynamics [77], and Ben Arous, Gheissari, and Jagannath bounded the evolution of the energy and the gradient by differential inclusions [26]. Ben Arous and Jagannath separated shattering, a decomposition into exponentially many well-separated and individually subdominant regions whose union has the full limiting free energy, from metastability, which concerns long residence times near a region before escape [20]. El Alaoui, Montanari, and Sellke proved shattering of the Gibbs measure of pure spherical models in a range of temperatures, and showed that Langevin dynamics started from the Gibbs measure keeps a large correlation with its initial point on exponentially long time scales [64, Corollary 2.9]. This plateau concerns equilibrium initial data and time scales that grow with N N N . The plateau in Theorem 1.1 concerns a uniform initial point and the limit in which the dimension tends to infinity first.
Methods. We describe the origin of the main tools of the proofs; Section 2 explains how they fit together.
Entropy production and FDT. Agarwal [1] treats response around nonthermal steady states under detailed balance; nonequilibrium diffusion response identities are given in [8]. Cugliandolo, Dean, and Kurchan bounded violations of FDT by the entropy production in [54, arXiv version 2, Equations (12)–(14) and (18)]. We use the Bochner formula for a Laplacian with a gradient drift [9, Proposition 3] and the calculus of reversible diffusions [10]. In Section 5, we establish dimension-uniform bounds for the projected hard-spherical response and pass them to a single Fisher majorant for the CK solution, which controls the violation of FDT at all pairs of times t > s > 0 t > s > 0 t > s > 0 and gives stationary FDT limits.
Effective processes and the Green identity. The covariance identity of Proposition 4.2 has the variation-of-constants interpretation of the linear effective single-spin equation with white and colored Gaussian noise [49, arXiv version 2, Section 9.5, Equation (9.56), p. 55]. We prove the identity directly from the CK equations in § 4.2 .
Expansions with nonnegative terms. Positive noncrossing expansions of the response equation appear in the work of Guionnet and Mazza [89, Section 2.1] and of Dembo, Guionnet, and Mazza [60, Section 2]. In Section 7, we expand the covariance instead. We organize the expansion by ordered trees whose leaves record either the initial condition or a time of the thermal noise. This realizes C ( t , s ) C(t,s) C ( t , s ) as the inner product of unit vectors in one deterministic Hilbert space, and the projection onto trees with early leaves plays the role of conditioning on the early noise.
Independent futures. Trajectories with a common past and independent future noise were used by Cugliandolo and Dean [50, arXiv version 1, Section II] and by Barrat, Burioni, and Mézard, who classified aging by the overlaps of such trajectories [11, Section 2]. The overlap of two independent continuations of lengths a a a and b b b equals the correlation at the reflected lag a + b a+b a + b in equilibrium [11, Section 2, Equation (9)]. Franz and Virasoro proposed averaging cloned futures to estimate the magnetization of the region of configurations that the dynamics explores on intermediate time scales [72, arXiv version 3, Section III], and noise-averaged magnetizations and their relation to the threshold are central to the dynamical TAP approach of Biroli [31, arXiv version 2, Section III.B]. Time-averaged magnetizations whose normalized squared norm tends to q q q also appear in [52, arXiv version 1, Section 5.1, Equation (5.1.9)]. Our prefix centers are deterministic counterparts of these averages. In Proposition 7.5, we prove the reflected formula for the stationary limits of the CK solution: the older memory cancels exactly in a closed integral equation for the times after the earlier time, before any limit is taken. For general p p p , Section 10 uses finitely many branched future trajectories of the diffusion.
Complete monotonicity. The reflected kernel ( a , b ) ↦ c ( a + b ) (a,b) \mapsto c(a+b) ( a , b ) ↦ c ( a + b ) is positive semidefinite, and together with the boundedness and continuity of c c c , this implies that c c c is completely monotone, by the Bernstein–Widder theorem and its semigroup form [28, 122]. Franosch and Voigtmann proved complete monotonicity for Brownian mode-coupling equations of mixtures by a different route, an iteration argument [71, arXiv version 1, Section III].
Gaussian conditioning. In Section 10, we prove forgetting for general p p p by revealing the disorder in stages, through the gradients of the Hamiltonian at finitely many points chosen from the history, and by applying the external-field threshold of [92, Theorem 1 and Corollary 1.8] at each stage. An Euler approximation of an earlier state lies in the span of the initial point, finitely many Brownian increments, and the computed gradients, and we condition on the Gaussian coefficients needed to determine the gradients on this span. Gaussian conditioning is classical [95]. Adaptive Gaussian conditioning is used by Bayati and Montanari for approximate message passing [13, arXiv version 4, Section 3.8] and by Bolthausen for the iterative construction of solutions of the TAP equations [32, Section 3]. El Alaoui, Montanari, and Sellke conditioned the disorder tensor on adaptive gradient observations in their analysis of message passing for spin glasses [63, arXiv version 1, Appendix A], and Huang and Sellke extended this conditioning to multi-species spherical models [93, Appendix A]. We adapt the method to a fixed finite history of the Langevin dynamics.
Mode-coupling and renewal tools. The scalar memory equation of a stationary profile belongs to the class studied in mode-coupling theory [83, Sections 3.1–3.2] and [82, Section 4.2.1, Equations (4.15)–(4.17), pp. 192–193]. The structural theory of these equations is developed in [84] and [71], including the characterization of the plateau [71, arXiv version 1, Section IV], and Sjögren interpreted them through regenerative processes, which restart at random times [114]. Our proof of Theorem 1.5 in Section 16 combines comparison principles, a weighted Schur inequality for the convolution in the scalar equation, a factorization of gamma variables, which turns a quadratic balance into a renewal equation, the key renewal theorem [68], and the monotone density theorem [30, Section 1.7.3].
The three-time inequality. The product relation for three times is part of the physical analysis of Cugliandolo and Kurchan [52, arXiv version 1, Section 5.1, Equation (5.1.8)]. We prove a uniform one-sided inequality for the CK solution in Theorem 14.3, from the constrained geometry of tree vectors whose energies approach the threshold (Theorem 13.5). We use it for the bound on the Fisher cost in Theorem 1.4.
Concurrent work. Several recent works study related questions with different models, initial conditions, or hypotheses. Dembo and Subag analyzed dynamics started from Gibbs measures, including limits on fixed time horizons and the stationary FDT dynamics and equilibrium band relaxation described above [59]. Their theorem includes the initialization at inverse temperature β 0 = 0 \beta_0 = 0 β 0 = 0 , hence the uniform start [59, Theorem 1.8(a) and Proposition 1.10]; for initialization from a low-temperature Gibbs measure, [59, Theorem 1.8(b)] assumes additional conditions on the mixture and on the equilibrium Parisi measure (genericity and strict one-step replica symmetry breaking, in the sense of [59, Section 1]). The works [65–67] on dynamical mean-field equations, described above, concern other models; their long-time results use approximate time-translation invariance or mixing hypotheses. Lang, Citro, Leuzzi, and Ricci-Tersenghi computed the aging phase diagram and the asymptotic energies of mixed spherical models at zero temperature, within a formal asymptotic analysis [106]. Cipolloni and Cugliandolo studied coupled spherical p p p -spin systems, including their aging regimes and fluctuation–dissipation relations [44]. Our contribution relative to these works is the set of long-time conclusions for the uniformly initialized CK solution of pure models: the selection of the plateau and the energy, the forgetting of fixed earlier times, and the results on the response.
Scope and open problems
Our conclusions concern the CK solution started from a uniform point, not an arbitrary solution of a reduced asymptotic system, and they apply to Langevin dynamics only through the limit on fixed time horizons of Proposition 3.3. For every p ≥ 3 p \ge3 p ≥ 3 , the stationary limits, the convergence of the energy, the forgetting of fixed earlier times, and the convergence of the response over all earlier times hold at every positive temperature. The identification of the plateau and the energy, correlation aging, and the stationary power law hold for β ≥ β d \beta\ge\beta_{\mathrm{d}} β ≥ β d , and the weighted ratio and the persistent violation of FDT hold for β > β d \beta> \beta_{\mathrm{d}} β > β d . For the cubic model, the three-time inequality and the susceptibility bound hold for β ≥ β d \beta\ge\beta_{\mathrm{d}} β ≥ β d , while the positive Fisher cost requires β > β d \beta> \beta_{\mathrm{d}} β > β d .
Several parts of the physical picture remain open, and we formulate them in Section 17:
the full slow fluctuation–dissipation relation, of which (9) is one weighted moment (Section 17.1);
an upper bound matching (13) for the susceptibility (Section 17.2);
the time scale of aging, which the three-time inequality and the Fisher cost constrain but do not determine (Section 17.3);
the selection of the plateau for β m ≤ β < β d \beta_{\mathrm{m}} \le\beta< \beta_{\mathrm{d}} β m ≤ β < β d (Section 17.4);
the behavior on time scales that grow with the dimension, and at zero temperature (Section 17.5).
Organization of the paper
Section 2 gives an overview of the proofs. They have three main ingredients. From entropy production, we obtain stationary FDT limits on bounded late windows. The representation of the correlation by vectors in a Hilbert space indexed by trees separates the contributions of the earlier and the later noise. An energy bound for the earlier contributions selects the marginal plateau and shows that fixed earlier configurations are forgotten. The rest of the paper has five parts.
Part I contains the foundations. Section 3 states the model, the conventions, the CK equations, and the published inputs, including the limit theorem on fixed time horizons. In § 4.2 , we prove the energy identity, the Green covariance identity, and estimates that are uniform in time. In Section 5, we use entropy production to construct the Fisher majorant and to show that all limits of the CK solution on late time windows are stationary and satisfy FDT.
Part II proves Theorem 1.1 . § 6 derives the scalar equation of a stationary limit and its constraints. Section 7 realizes C C C as the Gram kernel of unit vectors in a Hilbert space graded by trees, and proves the reflection identity and complete monotonicity. Section 8 states the two threshold inputs (Proposition 8.1) and deduces from them the selection of the plateau, the forgetting of earlier times, and correlation aging. § 6.3 proves the threshold inputs for p ∈ { 3 , 4 } p \in\{3,4\} p ∈ { 3 , 4 } with deterministic inequalities in the tree space, and § 6.4 proves them for every p ≥ 3 p \ge3 p ≥ 3 .
Part III proves Theorem 1.2 . In Section 11, we prove the convergence of the response and of the derivatives of the correlation over all earlier times, and the convergence of the thermal term. In § 7.2 , we prove the weighted ratio and the persistent violation of FDT.
Part IV concerns the cubic model and proves Theorems 1.3 and 1.4 . Section 13 studies tree vectors near the threshold, Section 14 transfers their geometry to the CK correlations and proves the susceptibility bound, and Section 15 proves the bound on the Fisher cost.
Part V contains Section 16, which proves Theorem 1.5 , and Section 17, which discusses the open problems. Section 16 can be read once Part II is available.
Table 1.1 lists, for each main theorem, where it is proved and the main results that the proof uses.
Table 1.1. The main results, the sections and results in which they are proved, and the main inputs of their proofs.
Overview of the proofs
In this section, we explain the main steps of the proofs and the ideas behind them. We describe each step informally and point to the precise statements in later sections. In Section 2.1, we explain what makes the long-time behavior of the CK solution hard to analyze. Sections 2.2 to 2.6 describe the proof of Theorem 1.1, and Sections 2.7 to 2.9 describe the proofs of the other main theorems. Throughout, p ≥ 3 p \ge3 p ≥ 3 and β > 0 \beta> 0 β > 0 are fixed, m = p − 1 m = p - 1 m = p − 1 , and ( C , R , λ ) (C,R,\lambda) ( C , R , λ ) is the CK solution of Section 1.2. We illustrate several formulas in the cubic model, where m = 2 m = 2 m = 2 , β d = 4 / 3 \beta_d = \sqrt{4/3} β d = 4/3 , and q d = 1 / 2 q_d = 1/2 q d = 1/2 .
The difficulty
After the dimension limit, which we take first on every fixed time horizon (Proposition 3.3 ), we must study the deterministic solution ( C , R , λ ) (C,R,\lambda) ( C , R , λ ) of the integro-differential equations (3.9)–(3.11) as both of its times tend to infinity. The aging statement (6) combines two assertions of different kinds. The first concerns bounded windows of lags at late times, where we must show that the solution becomes stationary and that its stationary correlation decreases to a positive plateau q β q_\beta q β . The second concerns the whole history: we must show that C ( t , s ) → 0 C(t,s) \to0 C ( t , s ) → 0 as t → ∞ t \to\infty t → ∞ for every fixed s s s . Note that a positive stationary plateau implies neither the second assertion nor the noncommutation of the two limits in (6) . The stationary profile records C ( T + t , T + s ) C(T+t,T+s) C ( T + t , T + s ) only for bounded t − s t-s t − s , and it carries no information about C ( t , s ) C(t,s) C ( t , s ) for fixed s s s .
Cugliandolo and Kurchan derived the plateau, the energy, and the loss of memory from an asymptotic solution of the CK equations [51]. Their derivation separates a stationary regime at bounded lags from an aging regime below the plateau, in which it imposes an asymptotic relation between response and correlation; within this ansatz, the plateau is fixed by the marginality condition. A proof cannot start from these assumptions. We do not know in advance that the two regimes separate, on which time scale the aging regime lives, or how response and correlation are related there, and our results determine neither the time scale nor the full relation.
The difficulty is visible in the equations. If we translate both observation times to late times and keep their difference bounded, the memory integral of the response equation (36) involves only the times between them. The memory integrals of the correlation equation (37) , however, run over [ 0 , t ] [0,t] [ 0 , t ] and [ 0 , s ] [0,s] [ 0 , s ] , and on a late window they involve the overlap of late states with the remote past, which a limit on late windows does not control.
We make no assumption on this older memory. There are three main ingredients. The first is entropy production. We prove that the total entropy produced by the diffusion relative to its Gibbs measure is at most β 2 N / 2 \beta^2N/2 β 2 N /2 on average over the disorder, and deduce that every limit of the solution on late windows is stationary and satisfies FDT (§ 3.2 ). The closed response equation then constrains the plateau, but it does not select it (§ 3.3 ). The second ingredient is a realization of C C C as the Gram kernel of unit vectors v t v_t v t in a Hilbert space graded by trees, whose leaves record the times of the thermal noise. Projecting a late state onto the trees with early leaves plays the role of conditioning on the early noise, and the Gram kernel of these projections satisfies an equation from which the older memory cancels exactly (§ 3.4 ). The third ingredient is an energy ceiling for normalized projections of late states. Together with the scalar constraints, it forces every positive plateau to be marginal, and when it is saturated, it forces the projections to forget every fixed earlier state (§ 3.5 and § 3.6 ). For p ∈ { 3 , 4 } p \in\{3,4\} p ∈ { 3 , 4 } , the ceiling is a deterministic inequality in the tree space; for general p p p , we use the algorithmic threshold of Huang and Sellke [92, Theorem 1 and Corollary 1.8].
From the diffusion to stationary clusters
Inputs. The bridge of Proposition 3.3 is Sellke’s convergence theorem for hard-spherical Langevin dynamics [112, Theorem 4.3]: on every fixed time horizon, empirical correlations and a Brownian observable converge, and by Lemma 3.4, this observable is the integrated response to an additive force. In finite dimension, the normalized trace response has diagonal κ N = ( N − 1 ) / N \kappa_N=(N-1)/N κ N = ( N − 1 ) / N . Its annealed mean converges to R R R uniformly on fixed causal triangles, by the compact-time modulus of the tangent flow and uniqueness of the limit identified by the primitives (Remark 3.5); this is stronger than the convergence of primitives that the published bridge gives. Integrating by parts in the Gaussian disorder, we find that e β ( t ) e_\beta(t) e β ( t ) is the limit of the mean energy and that λ = 1 + p β e β \lambda=1+p\beta e_\beta λ = 1 + pβ e β (Proposition 4.1). Our basic structural tool is the Green covariance identity of Proposition 4.2,
C ( t , s ) = R ( t , 0 ) R ( s , 0 ) + 2 ∫ 0 t ∧ s R ( t , u ) R ( s , u ) d u + β 2 p ∫ 0 t ∫ 0 s R ( t , u ) R ( s , w ) C ( u , w ) p − 1 d w d u , (17) \begin{aligned}
C(t,s) &= R(t,0)R(s,0)+2\int_{0}^{t\wedge s}R(t,u)R(s,u)\,\mathrm{d}u \\
&\quad+\beta^2p\int_{0}^{t}\int_{0}^{s}R(t,u)R(s,w)C(u,w)^{p-1}\,\mathrm{d}w\,\mathrm{d}u, \tag*{(17)}
\end{aligned} C ( t , s ) = R ( t , 0 ) R ( s , 0 ) + 2 ∫ 0 t ∧ s R ( t , u ) R ( s , u ) d u + β 2 p ∫ 0 t ∫ 0 s R ( t , u ) R ( s , w ) C ( u , w ) p − 1 d w d u , (17)
whose three terms come from the initial condition, the thermal noise, and the colored memory, each propagated by the response. It has the variation-of-constants interpretation of the linear effective single-spin equation with white and colored Gaussian noise [49, arXiv version 2, Section 9.5, equation (9.56), p. 55]. We prove the identity directly from the CK equations, whose derivation and rigorous fixed-horizon limits are discussed in [24, 51, 58]. We also show that 1 ≤ λ ≤ Λ 1 \le\lambda\le\Lambda 1 ≤ λ ≤ Λ and 0 ≤ R ≤ C 0 \le R \le C 0 ≤ R ≤ C , and that the translated kernels C T ( a , b ) = C ( T + a , T + b ) C_T(a,b) = C(T+a,T+b) C T ( a , b ) = C ( T + a , T + b ) , R T ( a , b ) = R ( T + a , T + b ) R_T(a,b) = R(T+a,T+b) R T ( a , b ) = R ( T + a , T + b ) , and λ T ( a ) = λ ( T + a ) \lambda_T(a) = \lambda(T+a) λ T ( a ) = λ ( T + a ) are precompact as T → ∞ T \to\infty T → ∞ (§ 4.2 ).
Entropy production. Fix the disorder, let ρ t \rho_t ρ t be the density of X t X_t X t with respect to the uniform measure ω N \omega_N ω N on S N S_N S N , and recall that the diffusion is reversible with respect to the Gibbs density g N ∝ e β H N g_N \propto e^{\beta H_N} g N ∝ e β H N . The relative entropy of ρ t \rho_t ρ t with respect to g N g_N g N decreases at the rate I H ( t ) I_H(t) I H ( t ) , the relative Fisher information. Since the initial law is uniform, the initial relative entropy is log Z N , β − β ∫ H N d ω N \log Z_{N,\beta} - \beta\int H_N\,\mathrm{d}\omega_N log Z N , β − β ∫ H N d ω N , whose mean is at most log E Z N , β = β 2 N / 2 \log\mathbb{E}Z_{N,\beta} = \beta^2N/2 log E Z N , β = β 2 N /2 by Jensen’s inequality. With a N ( t ) = N − 1 E I H ( t ) a_N(t) = N^{-1}\mathbb{E}I_H(t) a N ( t ) = N − 1 E I H ( t ) , we arrive at the budget
∫ 0 ∞ a N ( t ) d t ≤ β 2 2 (18) \int_0^\infty a_N(t)\,\mathrm{d}t \le\frac{\beta^2}{2} \tag*{(18)} ∫ 0 ∞ a N ( t ) d t ≤ 2 β 2 (18)
of Lemma 5.1 . The link with FDT is the exact identity of Lemma 5.2 . If c H c_H c H and r H r_H r H are the correlation and the response at fixed disorder, and m τ ( x ) m_\tau(x) m τ ( x ) is the conditional mean of X s + τ X_{s+\tau} X s + τ given X s = x X_s=x X s = x , then for t > s t>s t > s we have
r H ( t , s ) − ∂ s c H ( t , s ) = 1 N ∫ ρ s ⟨ m t − s , ∇ S log ρ s g N ⟩ d ω N . r_H(t,s)-\partial_s c_H(t,s)=\frac{1}{N}\int\rho_s\left\langle m_{t-s},\nabla_S\log\frac{\rho_s}{g_N}\right\rangle\,\mathrm{d}\omega_N. r H ( t , s ) − ∂ s c H ( t , s ) = N 1 ∫ ρ s ⟨ m t − s , ∇ S log g N ρ s ⟩ d ω N .
At s = 0 s=0 s = 0 , the derivative in the earlier time is taken from the right. The right side vanishes in equilibrium, and by the Cauchy–Schwarz inequality its square is at most I H ( s ) / N I_H(s)/N I H ( s ) / N . After averaging over the disorder, we find that ∣ r ˉ N ( t , s ) − ∂ s c ˉ N ( t , s ) ∣ 2 ≤ a N ( s ) \left|\bar r_N(t,s)-\partial_s\bar c_N(t,s)\right|^2 \le a_N(s) ∣ r ˉ N ( t , s ) − ∂ s c ˉ N ( t , s ) ∣ 2 ≤ a N ( s ) : the violation of FDT at the earlier time s s s is controlled by the entropy production at time s s s . This is the mechanism of Cugliandolo, Dean, and Kurchan [54, arXiv version 2, equations (12)–(13), p. 3, and (18), p. 4].
A single Fisher majorant. We need this bound for the CK solution at every pair of times. However, the budget (18) bounds a N a_N a N only in L 1 L^1 L 1 , and the integrability of a limit of a N a_N a N would not make it small at every late time. To overcome this, we turn to the Bochner formula [9, Proposition 3, equation (4b), p. 187], which shows that e − K t I H ( t ) e^{-Kt}I_H(t) e − K t I H ( t ) is nonincreasing on an event of overwhelming probability for the disorder, with K K K depending only on p p p and β \beta β . We apply Helly’s selection theorem to the Fisher informations restricted to this disorder event (compare the selection proof in [29, Theorem 25.9, p. 336]), and use the landscape moments and entropy budget to show that the disorder outside this event contributes an L 1 L^1 L 1 mass that vanishes as N → ∞ N \to\infty N → ∞ . This gives one subsequence ( N j ) (N_j) ( N j ) , which we keep for the rest of the paper, along which the full normalized annealed Fisher information a N j a_{N_j} a N j converges in L l o c 1 L^1_{\mathrm{loc}} L loc 1 to a function a F a_F a F , the Fisher majorant. We prove in Theorem 5.3 that
∫ 0 ∞ a F ( u ) d u ≤ β 2 2 , lim sup T → ∞ sup s ≥ T a F ( s ) = 0 , ∣ ∂ s C ( t , s ) − R ( t , s ) ∣ 2 ≤ a F ( s ) , t > s > 0 , (19) \begin{aligned}
\int_0^\infty a_F(u)\,\mathrm{d}u &\le\frac{\beta^2}{2}, \qquad\limsup_{T\to\infty}\sup_{s\ge T} a_F(s)=0,\\
\left|\partial_s C(t,s)-R(t,s)\right|^2 &\le a_F(s), \qquad t>s>0, \tag*{(19)}
\end{aligned} ∫ 0 ∞ a F ( u ) d u ∣ ∂ s C ( t , s ) − R ( t , s ) ∣ 2 ≤ 2 β 2 , T → ∞ lim sup s ≥ T sup a F ( s ) = 0 , ≤ a F ( s ) , t > s > 0 , (19)
where the decay of sup s ≥ T a F ( s ) \sup_{s \ge T} a_F(s) sup s ≥ T a F ( s ) follows from integrability and the monotonicity of e − K t a F ( t ) e^{-K_t a_F(t)} e − K t a F ( t ) . We choose the right-continuous representative of this limit and use the same a F a_F a F below, including for the physical relaxation cost. One function thus dominates the backward defect E ( t , s ) = ∂ s C ( t , s ) − R ( t , s ) E(t,s) = \partial_s C(t,s) - R(t,s) E ( t , s ) = ∂ s C ( t , s ) − R ( t , s ) on the whole triangle. In the same way, using a second current identity and the gradient bound for the semigroup, we show that a correlation at fixed lag changes little when both times are shifted. For 0 ≤ τ ≤ L 0 \le\tau\le L 0 ≤ τ ≤ L and 0 ≤ w 1 ≤ w 2 0 \le w_1 \le w_2 0 ≤ w 1 ≤ w 2 , the difference ∣ C ( w 2 + τ , w 2 ) − C ( w 1 + τ , w 1 ) ∣ |C(w_2+\tau,w_2)-C(w_1+\tau,w_1)| ∣ C ( w 2 + τ , w 2 ) − C ( w 1 + τ , w 1 ) ∣ is at most B L ∫ w 1 w 2 a F ( u ) d u B_L \int_{w_1}^{w_2}\sqrt{a_F(u)}\,\mathrm{d}u B L ∫ w 1 w 2 a F ( u ) d u , where B L B_L B L depends only on p p p , β \beta β , and L L L (Lemma 5.5); compare [54, arXiv version 2, equation (15), p. 3].
Stationary clusters. As a F a_F a F is integrable, the right sides of these bounds vanish on late windows of bounded length. Combining this with the precompactness of the translated kernels, we prove in Proposition 5.7 that every limit of ( C T n , R T n , λ T n ) (C_{T_n},R_{T_n},\lambda_{T_n}) ( C T n , R T n , λ T n ) along a sequence T n → ∞ T_n \to\infty T n → ∞ has the form c ( ∣ a − b ∣ ) c(|a-b|) c ( ∣ a − b ∣ ) , r ( a − b ) r(a-b) r ( a − b ) , and ℓ \ell ℓ , where c ( 0 ) = r ( 0 ) = 1 c(0)=r(0)=1 c ( 0 ) = r ( 0 ) = 1 , 0 ≤ c ≤ 1 0 \le c \le1 0 ≤ c ≤ 1 , r = − c ′ ≥ 0 r=-c' \ge0 r = − c ′ ≥ 0 , and the constant ℓ \ell ℓ equals 1 + p β e ∞ 1+p\beta e_\infty 1 + pβ e ∞ for the limit e ∞ e_\infty e ∞ of the energies. Stationarity comes from the flatness bound, and FDT from integrating the Fisher bound over a bounded window. As the memory integral of the response equation runs only between the two observation times, we also obtain the closed stationary response equation
r ′ ( τ ) = − ℓ r ( τ ) + β 2 p ( p − 1 ) ∫ 0 τ c ( τ − u ) p − 2 r ( τ − u ) r ( u ) d u (20) r'(\tau)=-\ell r(\tau)+\beta^2p(p-1)\int_0^\tau c(\tau-u)^{p-2}r(\tau-u)r(u)\,\mathrm{d}u \tag*{(20)} r ′ ( τ ) = − ℓ r ( τ ) + β 2 p ( p − 1 ) ∫ 0 τ c ( τ − u ) p − 2 r ( τ − u ) r ( u ) d u (20)
in which the coefficient β 2 p ( p − 1 ) \beta^2p(p-1) β 2 p ( p − 1 ) is 6 β 2 6\beta^2 6 β 2 for p = 3 p=3 p = 3 . We call ( c , r , ℓ ) (c,r,\ell) ( c , r , ℓ ) a stationary cluster and q = lim τ → ∞ c ( τ ) q=\lim_{\tau\to\infty}c(\tau) q = lim τ → ∞ c ( τ ) its plateau. Note that Proposition 5.7 determines neither q q q nor ℓ \ell ℓ , that different sequences T n T_n T n may a priori lead to different clusters, and that it says nothing about C ( t , s ) C(t,s) C ( t , s ) for fixed s s s .
The scalar equation and its constraints
Integrating (20) once, we obtain the scalar memory equation of Proposition 6.1,
c ′ ( t ) = − 1 + ∫ 0 t ϕ ( c ( t − u ) ) r ( u ) d u , ϕ ( y ) = ℓ − β 2 p + β 2 p y p − 1 (21) c'(t)=-1+\int_0^t\phi(c(t-u))r(u)\,\mathrm{d}u,\qquad\phi(y)=\ell-\beta^2p+\beta^2py^{p-1} \tag*{(21)} c ′ ( t ) = − 1 + ∫ 0 t ϕ ( c ( t − u )) r ( u ) d u , ϕ ( y ) = ℓ − β 2 p + β 2 p y p − 1 (21)
which is the equation classified by Dembo, Guionnet, and Mazza [60, arXiv version 1, Proposition 1.4, p. 5, and Section 5, pp. 17–20]. We derive its consequences directly, because Section 8 needs the constants and a strict inequality in exactly the following form. As t → ∞ t \to\infty t → ∞ , the integral tends to ϕ ( q ) ( 1 − q ) \phi(q)(1-q) ϕ ( q ) ( 1 − q ) , and the limit of c ′ ( t ) c'(t) c ′ ( t ) must vanish because c c c is bounded. This gives the plateau identity
ϕ ( q ) ( 1 − q ) = 1 , that is, ℓ = L ( q ) = 1 1 − q + β 2 p ( 1 − q p − 1 ) . \phi(q)(1-q)=1,\qquad\text{that is,}\qquad\ell=L(q)=\frac{1}{1-q}+\beta^2p(1-q^{p-1}). ϕ ( q ) ( 1 − q ) = 1 , that is, ℓ = L ( q ) = 1 − q 1 + β 2 p ( 1 − q p − 1 ) .
Next, ϕ \phi ϕ is nondecreasing and c c c is nonincreasing. Replacing c ( t − u ) c(t-u) c ( t − u ) by c ( t ) c(t) c ( t ) in (21) , we find that c ′ ( t ) ≥ F ( c ( t ) ) c'(t) \ge F(c(t)) c ′ ( t ) ≥ F ( c ( t )) , where F ( y ) = ϕ ( y ) ( 1 − y ) − 1 F(y)=\phi(y)(1-y)-1 F ( y ) = ϕ ( y ) ( 1 − y ) − 1 . The memory term of the stationary response equation is nonnegative, so r ( t ) ≥ e − ℓ t > 0 r(t) \ge e^{-\ell t}>0 r ( t ) ≥ e − ℓ t > 0 . Then c c c decreases strictly from 1 1 1 to q q q , every y ∈ ( q , 1 ) y \in(q,1) y ∈ ( q , 1 ) equals c ( t y ) c(t_y) c ( t y ) for some t y t_y t y , and F ( y ) ≤ c ′ ( t y ) < 0 F(y) \le c'(t_y)<0 F ( y ) ≤ c ′ ( t y ) < 0 . We have obtained the strict sign condition
F ( q ) = 0 , F ( y ) < 0 ( q < y < 1 ) . F(q)=0,\qquad F(y)<0\quad(q<y<1). F ( q ) = 0 , F ( y ) < 0 ( q < y < 1 ) .
In particular, F ′ ( q ) ≤ 0 F'(q)\le0 F ′ ( q ) ≤ 0 , which is the submarginality inequality β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 ≤ 1 \beta^2p(p-1)q^{p-2}(1-q)^2\le1 β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 ≤ 1 . In the cubic model, these read ℓ = ( 1 − q ) − 1 + 3 β 2 ( 1 − q 2 ) \ell=(1-q)^{-1}+3\beta^2(1-q^2) ℓ = ( 1 − q ) − 1 + 3 β 2 ( 1 − q 2 ) , F ( y ) = ( ℓ − 3 β 2 + 3 β 2 y 2 ) ( 1 − y ) − 1 F(y)=(\ell-3\beta^2+3\beta^2y^2)(1-y)-1 F ( y ) = ( ℓ − 3 β 2 + 3 β 2 y 2 ) ( 1 − y ) − 1 , and 6 β 2 q ( 1 − q ) 2 ≤ 1 6\beta^2q(1-q)^2\le1 6 β 2 q ( 1 − q ) 2 ≤ 1 . Finally, Lemma 6.2 states that, for a prescribed multiplier, the stationary system has at most one solution.
These are constraints on a possible cluster, not a selection of its plateau. If q = 0 q=0 q = 0 , then ℓ = 1 + β 2 p \ell=1+\beta^2p ℓ = 1 + β 2 p and the inequality says nothing. If q > 0 q>0 q > 0 , then ℓ \ell ℓ is determined by q q q , and the plateau is submarginal. To prove equality in the marginality relation, we need an inequality in the opposite direction. It will come from an upper bound on the energy of the part of a late state that was already determined at an earlier time.
The causal tree realization and reflection
The tree space. In the Green identity (17) , the first two terms form the inner product of R ( t , 0 ) e 0 + 2 1 [ 0 , t ] R ( t , ⋅ ) R(t,0)e_0+\sqrt{2}\,1_{[0,t]}R(t,\cdot) R ( t , 0 ) e 0 + 2 1 [ 0 , t ] R ( t , ⋅ ) and R ( s , 0 ) e 0 + 2 1 [ 0 , s ] R ( s , ⋅ ) R(s,0)e_0+\sqrt{2}\,1_{[0,s]}R(s,\cdot) R ( s , 0 ) e 0 + 2 1 [ 0 , s ] R ( s , ⋅ ) in R e 0 ⊕ L 2 ( R + ) \mathbb{R}e_0\oplus L^2(\mathbb{R}_+) R e 0 ⊕ L 2 ( R + ) , where a unit vector e 0 e_0 e 0 represents the initial condition. If C ( u , w ) = ⟨ v u , v w ⟩ C(u,w)=\langle v_u,v_w\rangle C ( u , w ) = ⟨ v u , v w ⟩ , then C ( u , w ) m = ⟨ v u ⊗ m , v w ⊗ m ⟩ C(u,w)^m=\langle v_u^{\otimes m},v_w^{\otimes m}\rangle C ( u , w ) m = ⟨ v u ⊗ m , v w ⊗ m ⟩ , and the third term is an inner product as well. We therefore look for unit vectors such that
v t = R ( t , 0 ) e 0 + 2 1 [ 0 , t ] R ( t , ⋅ ) + β p ∫ 0 t R ( t , u ) I ( v u ⊗ m ) d u (22) v_t=R(t,0)e_0+\sqrt{2}\,1_{[0,t]}R(t,\cdot)+\beta\sqrt{p}\int_0^t R(t,u)\mathcal{I}\left(v_u^{\otimes m}\right)\,du \tag*{(22)} v t = R ( t , 0 ) e 0 + 2 1 [ 0 , t ] R ( t , ⋅ ) + β p ∫ 0 t R ( t , u ) I ( v u ⊗ m ) d u (22)
where I \mathcal{I} I is an isometry from m m m -fold tensor powers into a space orthogonal to the first two terms. Iterating (22) , we expand v t v_t v t into terms indexed by finite rooted trees in which every vertex has either no children or m m m ordered children (§ 6.1.1 ). Each leaf carries the initial vector or the time of a noise increment, and each internal vertex records one use of the memory integral. For example, when p = 3 p=3 p = 3 , the component of v t v_t v t indexed by the tree with two leaves, evaluated at two noise times y 1 , y 2 ≤ t y_1,y_2\le t y 1 , y 2 ≤ t , is
w t ( y 1 , y 2 ) = 2 3 β ∫ y 1 ∨ y 2 t R ( t , u ) R ( u , y 1 ) R ( u , y 2 ) d u . w_t(y_1,y_2)=2\sqrt{3}\,\beta\int_{y_1\vee y_2}^{t}R(t,u)R(u,y_1)R(u,y_2)\,du. w t ( y 1 , y 2 ) = 2 3 β ∫ y 1 ∨ y 2 t R ( t , u ) R ( u , y 1 ) R ( u , y 2 ) d u .
Noise received at times y 1 y_1 y 1 and y 2 y_2 y 2 is transported to a time u u u by the response, combined there by the cubic interaction, and transported to time t t t ; at a leaf that carries the initial vector, a factor 2 R ( u , y i ) \sqrt{2}R(u,y_i) 2 R ( u , y i ) becomes R ( u , 0 ) R(u,0) R ( u , 0 ) (Example 7.2 ). Accordingly, H \mathcal{H} H is an orthogonal sum, over trees, of tensor powers of R e 0 ⊕ L 2 ( R + ) \mathbb{R}e_0\oplus L^2(\mathbb{R}_+) R e 0 ⊕ L 2 ( R + ) , and I \mathcal{I} I grafts m m m trees onto a new root.
We write Π j \Pi_j Π j for the projection onto trees of height j j j , and P T P_T P T for the prefix projection, which keeps each component only where all of its leaf times are at most T T T . As the leaves of a graft are the leaves of its subtrees, P T P_T P T commutes with grafting.
The realization. In Proposition 7.1, we construct a norm-continuous curve of unit vectors v t ∈ H v_t \in\mathcal{H} v t ∈ H that solves (2.6) and satisfies
⟨ v t , v s ⟩ = C ( t , s ) , P t v t = v t , h ( v t ) = e β ( t ) , where h ( v ) = p ⟨ v , I ( v ⊗ m ) ⟩ . \langle v_t,v_s\rangle= C(t,s), \qquad P_t v_t = v_t, \qquad h(v_t) = e_{\beta}(t), \qquad\text{where } h(v) = \sqrt{p}\,\langle v,\mathcal{I}(v^{\otimes m})\rangle. ⟨ v t , v s ⟩ = C ( t , s ) , P t v t = v t , h ( v t ) = e β ( t ) , where h ( v ) = p ⟨ v , I ( v ⊗ m )⟩ .
We call h h h the tree energy. Every component of v t v_t v t is a nonnegative function of the leaf labels. The construction is a positive Picard iteration: the Gram kernels of the truncations at height n n n increase with n n n , because R R R and C C C are nonnegative, and their limit solves the Green equation, whose solution with values in [ − 1 , 1 ] [-1,1] [ − 1 , 1 ] is unique. Positive noncrossing expansions of the response equation appear in [89, Section 2.1] and [60, Section 2]; here we expand the covariance.
Prefix centers. For T , a ≥ 0 T,a \ge0 T , a ≥ 0 , we call M T ( a ) = P T v T + a M_T(a)=P_Tv_{T+a} M T ( a ) = P T v T + a a prefix center. It retains the components whose initial and thermal-noise leaf labels lie at or before T T T ; their internal memory integrals may still extend beyond T T T . For s ≤ T s \le T s ≤ T , we have P T v s = v s P_Tv_s=v_s P T v s = v s , and therefore ⟨ v T + a , v s ⟩ = ⟨ M T ( a ) , v s ⟩ \langle v_{T+a},v_s\rangle=\langle M_T(a),v_s\rangle ⟨ v T + a , v s ⟩ = ⟨ M T ( a ) , v s ⟩ ; that is, the correlation of a late state with any state up to time T T T is carried by its prefix center. At first sight, the Gram kernel of the prefix centers is as hard to compute as C C C , since the centers are built from the whole older history. However, the older memory cancels exactly. Let K T ( t , s ) = ⟨ P T v t , P T v s ⟩ K_T(t,s)=\langle P_Tv_t,P_Tv_s\rangle K T ( t , s ) = ⟨ P T v t , P T v s ⟩ . Applying P T P_T P T to (2.6), we see that K T K_T K T satisfies a Green identity in which the noise integral stops at T T T . If u ≤ T u \le T u ≤ T , then P T v u = v u P_Tv_u=v_u P T v u = v u , and therefore K T ( u , w ) = C ( u , w ) K_T(u,w)=C(u,w) K T ( u , w ) = C ( u , w ) . When we subtract the identity for K T K_T K T from (2.1), the initial terms, the noise integrals over [ 0 , T ] [0,T] [ 0 , T ] , and every block of the memory integral with u ≤ T u \le T u ≤ T or w ≤ T w \le T w ≤ T cancel. For t , s ≥ T t,s \ge T t , s ≥ T , only the future rectangle remains:
C ( t , s ) − K T ( t , s ) = 2 ∫ T t ∧ s R ( t , u ) R ( s , u ) d u + β 2 p ∫ T t ∫ T s R ( t , u ) R ( s , w ) { C ( u , w ) m − K T ( u , w ) m } d w d u . \begin{aligned}
C(t,s)-K_T(t,s)={}&2\int_T^{t\wedge s}R(t,u)R(s,u)\,du \\
&+\beta^2p\int_T^t\int_T^s R(t,u)R(s,w)\left\{C(u,w)^m-K_T(u,w)^m\right\}\,dw\,du.
\end{aligned} C ( t , s ) − K T ( t , s ) = 2 ∫ T t ∧ s R ( t , u ) R ( s , u ) d u + β 2 p ∫ T t ∫ T s R ( t , u ) R ( s , w ) { C ( u , w ) m − K T ( u , w ) m } d w d u .
In the variables a = t − T a=t-T a = t − T and b = s − T b=s-T b = s − T , this is the closed equation (7.20) for Q T ( a , b ) = ⟨ M T ( a ) , M T ( b ) ⟩ Q_T(a,b)=\langle M_T(a),M_T(b)\rangle Q T ( a , b ) = ⟨ M T ( a ) , M T ( b )⟩ on a fixed rectangle. It holds for every T T T , before any limit is taken, and it uses no decay of the older memory.
Reflection. Let T n → ∞ T_n\to\infty T n → ∞ be a sequence along which the translated kernels converge to a stationary cluster ( c , r , ℓ ) (c,r,\ell) ( c , r , ℓ ) . The coefficients of the closed equation converge, and by a Gronwall argument, every solution of the limiting equation with values in [ 0 , 1 ] [0,1] [ 0 , 1 ] is the limit of Q T n Q_{T_n} Q T n . Comparing double Laplace transforms, and using only the stationary response equation, we check that c ( a + b ) c(a+b) c ( a + b ) is such a solution. This proves the reflection identity of Proposition 7.5 : for every A < ∞ A<\infty A < ∞ ,
lim n → ∞ sup 0 ≤ a , b ≤ A ∣ ⟨ M T n ( a ) , M T n ( b ) ⟩ − c ( a + b ) ∣ = 0. (23) \lim_{n\to\infty}\sup_{0\leq a,b\leq A}\left|\langle M_{T_n}(a),M_{T_n}(b)\rangle-c(a+b)\right|=0. \tag*{(23)} n → ∞ lim 0 ≤ a , b ≤ A sup ∣ ⟨ M T n ( a ) , M T n ( b )⟩ − c ( a + b ) ∣ = 0. (23)
In particular, ∥ M T n ( L ) ∥ 2 → d L = c ( 2 L ) \lVert M_{T_n}(L)\rVert^2\to d_L=c(2L) ∥ M T n ( L ) ∥ 2 → d L = c ( 2 L ) . We compute the energy of a center by the same kind of exact subtraction. When we subtract h ( v t ) = e β ( t ) h(v_t)=e_\beta(t) h ( v t ) = e β ( t ) from h ( P T v t ) h(P_Tv_t) h ( P T v t ) , only an integral over the last L L L units of time remains (7.27). Passing to the limit, we find that
h ( M T n ( L ) ) ⟶ h L = e ∞ + β p ∫ 0 L r ( τ ) { c ( 2 L − τ ) p − 1 − c ( τ ) p − 1 } d τ . (24) h(M_{T_n}(L))\longrightarrow h_L=e_\infty+\beta p\int_0^L r(\tau)\left\{c(2L-\tau)^{p-1}-c(\tau)^{p-1}\right\}\,\mathrm{d}\tau. \tag*{(24)} h ( M T n ( L )) ⟶ h L = e ∞ + β p ∫ 0 L r ( τ ) { c ( 2 L − τ ) p − 1 − c ( τ ) p − 1 } d τ . (24)
These limits hold for every stationary cluster, whatever its plateau.
We may think of M T ( a ) M_T(a) M T ( a ) as the average of the state at time T + a T+a T + a over independent continuations of the thermal noise after time T T T . For a stationary reversible Markov process, the conditional means of two such continuations of lengths a a a and b b b have overlap c ( a + b ) c(a+b) c ( a + b ) (Remark 7.6); this reflected formula appears in the work of Barrat, Burioni, and Mézard [11, Section 2, Equation (9)]. Averages over independent futures and time-averaged magnetizations [31, 50, 52, 72] are discussed in § 2.5 . In our proof, the reflected overlap comes from the exact cancellation above.
Complete monotonicity. By (2.7), the Hankel kernel ( a , b ) ↦ c ( a + b ) (a,b)\mapsto c(a+b) ( a , b ) ↦ c ( a + b ) is a limit of Gram kernels, and it is positive semidefinite. Using a short semigroup argument in the spirit of the Bernstein–Widder theorem [28, 122], we deduce the representation of Corollary 7.7,
c ( t ) = ∫ [ 0 , ∞ ) e − x t ν ( d x ) , ν ( { 0 } ) = q , c(t)=\int_{[0,\infty)}e^{-xt}\,\nu(\mathrm{d}x),\qquad\nu(\{0\})=q, c ( t ) = ∫ [ 0 , ∞ ) e − x t ν ( d x ) , ν ({ 0 }) = q ,
for a probability measure ν \nu ν . In particular, c c c and r r r are completely monotone. Franosch and Voigtmann proved complete monotonicity for Brownian mode-coupling equations of mixtures by a different route, an iteration argument [71, arXiv version 1, Section III]. Finally, after time T T T no new noise leaf survives the projection P T P_T P T . By Lemma 7.3 , the curve t ↦ P T v t t\mapsto P_Tv_t t ↦ P T v t is then differentiable on ( T , ∞ ) (T,\infty) ( T , ∞ ) , and its derivative is the image under P T P_T P T of an explicit polynomial function of v t v_t v t . We use this in Section 11 to bound ∂ t C \partial_t C ∂ t C far from the diagonal.
Selection of the plateau from two threshold inputs
The threshold inputs. Besides the fact that the correlation of a late state with an earlier state is carried exactly by the center, Section 8 takes as input two facts about prefix centers, which we state as Proposition 8.1 . Recall that h h h is homogeneous of degree p p p , so that h L / d L p / 2 h_L/d_L^{p/2} h L / d L p /2 is the limiting energy of the normalized center M T n ( L ) / ∥ M T n ( L ) ∥ M_{T_n}(L)/\lVert M_{T_n}(L)\rVert M T n ( L ) / ∥ M T n ( L )∥ . Let E t h = E_{\mathrm{th}}= E th = 2 ( p − 1 ) / p 2\sqrt{(p-1)/p} 2 ( p − 1 ) / p be the threshold energy of the pure p p p -spin landscape [7, Equation (2.13)]. Informally, Proposition 8.1 states the following.
For every stationary cluster with positive plateau, the limiting center energies satisfy h L ≤ E t h d L p / 2 h_L \le E_{\mathrm{th}}d_L^{p/2} h L ≤ E th d L p /2 for every L ≥ 0 L \ge0 L ≥ 0 .
If the translated kernels converge along every sequence T → ∞ T \to\infty T → ∞ to one stationary profile, and if its plateau is positive and marginal, then the solution forgets every fixed earlier state: sup 0 ≤ s ≤ S C ( t , s ) → 0 \sup_{0 \le s \le S} C(t,s) \to0 sup 0 ≤ s ≤ S C ( t , s ) → 0 as t → ∞ t \to\infty t → ∞ , for every S < ∞ S < \infty S < ∞ .
We prove Theorem 1.1 from these inputs in Section 8, and we prove the inputs in Sections 9 and 10.
An algebraic identity. Since c c c decreases to q q q , we have d L → q d_L \to q d L → q . Using dominated convergence in (24) and p ∫ 0 ∞ c p − 1 r = 1 − q p p\int_0^\infty c^{p-1}r=1-q^p p ∫ 0 ∞ c p − 1 r = 1 − q p , we find that
h L ⟶ h = e ∞ − β { 1 − q p − p q p − 1 ( 1 − q ) } . h_L \longrightarrow h=e_\infty-\beta\{1-q^p-pq^{p-1}(1-q)\}. h L ⟶ h = e ∞ − β { 1 − q p − p q p − 1 ( 1 − q )} .
If q > 0 q>0 q > 0 , inserting the plateau identity ℓ = L ( q ) \ell=L(q) ℓ = L ( q ) and e ∞ = ( ℓ − 1 ) / ( p β ) e_\infty=(\ell-1)/(p\beta) e ∞ = ( ℓ − 1 ) / ( pβ ) into this formula, we obtain the identity of Lemma 8.2 ,
h q p / 2 = p − 1 p ( z + 1 z ) ≥ E t h , z = β p ( p − 1 ) q ( p − 2 ) / 2 ( 1 − q ) . (25) \frac{h}{q^{p/2}}=\sqrt{\frac{p-1}{p}}\left(z+\frac{1}{z}\right)\ge E_{\mathrm{th}},\qquad z=\beta\sqrt{p(p-1)}q^{(p-2)/2}(1-q). \tag*{(25)} q p /2 h = p p − 1 ( z + z 1 ) ≥ E th , z = β p ( p − 1 ) q ( p − 2 ) /2 ( 1 − q ) . (25)
Equality holds if and only if z = 1 z=1 z = 1 , that is, if and only if β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 \beta^2p(p-1)q^{p-2}(1-q)^2=1 β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 . For p = 3 p=3 p = 3 , we have h = e ∞ − β { 1 − q 3 − 3 q 2 ( 1 − q ) } h=e_\infty-\beta\{1-q^3-3q^2(1-q)\} h = e ∞ − β { 1 − q 3 − 3 q 2 ( 1 − q )} , z = β 6 q ( 1 − q ) z=\beta\sqrt{6q}(1-q) z = β 6 q ( 1 − q ) , and E t h = 2 2 / 3 E_{\mathrm{th}}=2\sqrt{2/3} E th = 2 2/3 . Note that this identity is algebra about a stationary cluster, and that it uses no threshold input.
Marginality. Let ( c , r , ℓ ) (c,r,\ell) ( c , r , ℓ ) be a stationary cluster with q > 0 q>0 q > 0 . Letting L → ∞ L\to\infty L → ∞ in part (a) of Proposition 8.1, we find that h ≤ E t h q p / 2 h\le E_{\mathrm{th}}q^{p/2} h ≤ E th q p /2 , while (25) gives h ≥ E t h q p / 2 h\ge E_{\mathrm{th}}q^{p/2} h ≥ E th q p /2 . Equality must hold, and the plateau is marginal. This is the inequality in the opposite direction that the scalar constraints were missing. For β > β m \beta>\beta_{\mathrm{m}} β > β m , the marginality equation has two roots in ( 0 , 1 ) (0,1) ( 0 , 1 ) , and the strict sign condition excludes the smaller one. Indeed, at a marginal plateau we have F ( q ) = F ′ ( q ) = 0 F(q)=F'(q)=0 F ( q ) = F ′ ( q ) = 0 , and if q < q m = ( p − 2 ) / p q<q_{\mathrm{m}}=(p-2)/p q < q m = ( p − 2 ) / p , then F ′ ′ ( q ) > 0 F''(q)>0 F ′′ ( q ) > 0 , so that F F F would be positive just above $q. Hence q = q + ( β ) q=q_+(\beta) q = q + ( β ) , the root in [ q m , 1 ) [q_{\mathrm{m}},1) [ q m , 1 ) (Lemma 8.3 ).
Convergence at every temperature. It remains to show that the cluster does not depend on the sequence T n T_n T n . By marginality and the plateau identity, the multiplier of every cluster is either 1 + β 2 p 1+\beta^2p 1 + β 2 p , when q = 0 q=0 q = 0 , or L ( q + ( β ) ) L(q_+(\beta)) L ( q + ( β )) ; it lies in a set with at most two elements. The function λ \lambda λ is continuous and bounded. By the intermediate value theorem, every point between lim inf t → ∞ λ ( t ) \liminf_{t\to\infty}\lambda(t) lim inf t → ∞ λ ( t ) and lim sup t → ∞ λ ( t ) \limsup_{t\to\infty}\lambda(t) lim sup t → ∞ λ ( t ) is the limit of λ ( T n ) \lambda(T_n) λ ( T n ) along some sequence T n → ∞ T_n\to\infty T n → ∞ , and by compactness, each such limit is the multiplier of a cluster. An interval contained in a set with at most two elements is a single point, so λ \lambda λ converges. Once the multiplier is fixed, Lemma 6.2 identifies the profile, and precompactness upgrades subsequential convergence to convergence of the whole translated family (Proposition 8.4 ). This holds for every β > 0 \beta> 0 β > 0 , and the energy converges as well.
The selected plateau. For β ≥ β d \beta\ge\beta_d β ≥ β d , we exclude the zero plateau with the same sign condition. If q = 0 q = 0 q = 0 , then ℓ = 1 + β 2 p \ell= 1 + \beta^2 p ℓ = 1 + β 2 p and F ( y ) = y { β 2 p y p − 2 ( 1 − y ) − 1 } F(y) = y\{\beta^2 p y^{p-2}(1-y) - 1\} F ( y ) = y { β 2 p y p − 2 ( 1 − y ) − 1 } , and we find that
F ( q d ) = q d ( β 2 β d 2 − 1 ) ≥ 0 , F(q_d) = q_d\left(\frac{\beta^2}{\beta_d^2} - 1\right) \ge0, F ( q d ) = q d ( β d 2 β 2 − 1 ) ≥ 0 ,
which contradicts the sign condition on ( 0 , 1 ) (0,1) ( 0 , 1 ) . For p = 3 p = 3 p = 3 , this reads F ( 1 / 2 ) = ( 3 β 2 / 4 − 1 ) / 2 F(1/2) = (3\beta^2/4 - 1)/2 F ( 1/2 ) = ( 3 β 2 /4 − 1 ) /2 . At β = β d \beta= \beta_d β = β d , we have F ( q d ) = 0 F(q_d) = 0 F ( q d ) = 0 , and the contradiction comes from the strictness of the sign condition; the endpoint needs no continuity argument in β \beta β . We conclude that q = q β = q + ( β ) ≥ q d q = q_\beta= q_+(\beta) \ge q_d q = q β = q + ( β ) ≥ q d , and the energy formula (1.4) follows from ℓ = L ( q β ) \ell= L(q_\beta) ℓ = L ( q β ) and marginality (Theorem 8.5 ). For β < β m \beta< \beta_m β < β m , only the zero plateau is possible. For β m ≤ β < β d \beta_m \le\beta< \beta_d β m ≤ β < β d , we prove convergence, but we do not decide between the two alternatives (Remark 8.7).
Forgetting and aging. If q > 0 q > 0 q > 0 , the convergence of the whole translated family and marginality are the hypotheses of part (b) of Proposition 8.1 , which implies that sup s ≤ S C ( t , s ) → 0 \sup_{s \le S} C(t,s) \to0 sup s ≤ S C ( t , s ) → 0 . If q = 0 q = 0 q = 0 , we need no threshold input. For s ≤ t − L s \le t - L s ≤ t − L , we have C ( t , s ) = ⟨ M t − L ( L ) , v s ⟩ ≤ ∥ M t − L ( L ) ∥ C(t,s) = \langle M_{t-L}(L), v_s\rangle\le\lVert M_{t-L}(L)\rVert C ( t , s ) = ⟨ M t − L ( L ) , v s ⟩ ≤ ∥ M t − L ( L )∥ by the Cauchy–Schwarz inequality. The right side tends to c ( 2 L ) 1 / 2 c(2L)^{1/2} c ( 2 L ) 1/2 as t → ∞ t \to\infty t → ∞ , and c ( 2 L ) → 0 c(2L) \to0 c ( 2 L ) → 0 as L → ∞ L \to\infty L → ∞ . Using the domination R ≤ C R \le C R ≤ C , we transfer forgetting to the response (Theorem 8.8 ). For β ≥ β d \beta\ge\beta_d β ≥ β d , the ordered limits (1.6) follow: the first inner limit is c ( τ ) c(\tau) c ( τ ) , which tends to q β > 0 q_\beta> 0 q β > 0 , and the second vanishes by forgetting (Corollary 8.9 ).
The order of the argument. But there is an apparent circularity here, since the threshold inputs are proved in later sections, and part (b) assumes a marginal plateau, which is what part (a) is used to prove. The way out is the order of deduction. Part (a) concerns an arbitrary stationary cluster with positive plateau, and its proofs in § 6.3 and § 6.4 use only Sections 3 to 7. We deduce marginality from part (a) and the identity (25) , which uses no threshold input. Convergence at every temperature and marginality are then the hypotheses of part (b), from which we deduce forgetting.
Why the threshold inputs hold
The cubic tree ceiling
For p = 3 p = 3 p = 3 , grafting is binary, the tree energy is h = 3 f h = \sqrt{3}f h = 3 f with f ( v ) = ⟨ v , I ( v ⊗ v ) ⟩ f(v) = \langle v, \mathcal{I}(v \otimes v)\rangle f ( v ) = ⟨ v , I ( v ⊗ v )⟩ , and E t h = 3 F ∗ E_{\mathrm{th}} = \sqrt{3}F_\ast E th = 3 F ∗ with F ∗ = 2 2 / 3 F_\ast= 2\sqrt{2}/3 F ∗ = 2 2 /3 . We prove in Theorem 9.2 that ∣ f ( v ) ∣ < F ∗ \lvert f(v)\rvert< F_\ast ∣ f ( v )∣ < F ∗ for every unit vector v v v , that F ∗ F_* F ∗ is the supremum, and that, with b j = ∥ Π j v ∥ 2 b_j = \lVert\Pi_j v\rVert^2 b j = ∥ Π j v ∥ 2 ,
∑ j ≥ 0 b j 2 ≤ 4 2 ( F ∗ − f ( v ) ) . (26) \sum_{j \ge0} b_j^2 \le4\sqrt{2}\left(F_* - f(v)\right). \tag*{(26)} j ≥ 0 ∑ b j 2 ≤ 4 2 ( F ∗ − f ( v ) ) . (26)
The proof is a heightwise Cauchy–Schwarz inequality followed by a Riemann sum. Let B j = b 0 + ⋯ + b j B_j = b_0 + \cdots+ b_j B j = b 0 + ⋯ + b j , with B − 1 = B − 2 = 0 B_{-1} = B_{-2} = 0 B − 1 = B − 2 = 0 . Since a graft is one level taller than its taller subtree, the component of I ( v ⊗ v ) \mathcal{I}(v \otimes v) I ( v ⊗ v ) at height j j j is built from the components of v v v below height j j j , and its squared norm is B j − 1 2 − B j − 2 2 = b j − 1 s j B_{j-1}^2 - B_{j-2}^2 = b_{j-1}s_j B j − 1 2 − B j − 2 2 = b j − 1 s j , where s j = ( B j − 1 + B j − 2 ) 1 / 2 s_j = (B_{j-1} + B_{j-2})^{1/2} s j = ( B j − 1 + B j − 2 ) 1/2 (Lemma 9.1). Using the Cauchy–Schwarz inequality at each height, and then 2 b j b j − 1 ≤ b j + b j − 1 2\sqrt{b_jb_{j-1}} \le b_j + b_{j-1} 2 b j b j − 1 ≤ b j + b j − 1 , we find that
f ( v ) = ∑ j ≥ 1 ⟨ Π j v , Π j I ( v ⊗ v ) ⟩ ≤ ∑ j ≥ 1 b j b j − 1 s j ≤ 1 2 ∑ j ≥ 1 ( b j + b j − 1 ) s j . f(v) = \sum_{j \ge1} \langle\Pi_jv,\Pi_j\mathcal{I}(v \otimes v)\rangle\le\sum_{j \ge1} \sqrt{b_jb_{j-1}}s_j \le\frac{1}{2}\sum_{j \ge1}(b_j+b_{j-1})s_j. f ( v ) = j ≥ 1 ∑ ⟨ Π j v , Π j I ( v ⊗ v )⟩ ≤ j ≥ 1 ∑ b j b j − 1 s j ≤ 2 1 j ≥ 1 ∑ ( b j + b j − 1 ) s j .
We have s j ≤ 2 B j − 1 s_j \le\sqrt{2B_{j-1}} s j ≤ 2 B j − 1 and s j + 1 ≤ 2 B j s_{j+1} \le\sqrt{2B_j} s j + 1 ≤ 2 B j , and the last sum is therefore at most the trapezoid sum of the concave function 2 y \sqrt{2y} 2 y over the partition 0 ≤ B 0 ≤ B 1 ≤ … 0 \le B_0 \le B_1 \le\ldots 0 ≤ B 0 ≤ B 1 ≤ … of [ 0 , 1 ] [0,1] [ 0 , 1 ] . This trapezoid sum is at most
∫ 0 1 2 y d y = 2 2 3 = F ∗ , \int_0^1 \sqrt{2y}\,\mathrm{d}y = \frac{2\sqrt{2}}{3} = F_*, ∫ 0 1 2 y d y = 3 2 2 = F ∗ ,
and keeping track of the gaps in these steps gives (2.10). The supremum is approached by unit vectors with mass 1 / ( n + 1 ) 1/(n+1) 1/ ( n + 1 ) at each of the heights 0 , … , n 0,\ldots,n 0 , … , n , whose component at each height j ≥ 1 j \ge1 j ≥ 1 is a positive multiple of the graft of the lower components. For these vectors, the first inequality above is an equality, and f ( v ) f(v) f ( v ) is the midpoint Riemann sum of the same integral over the first n n n of the n + 1 n+1 n + 1 intervals of the partition; the omitted interval contributes at most 2 / ( n + 1 ) \sqrt{2}/(n+1) 2 / ( n + 1 ) .
The defect bound says more than f ( v ) < F ∗ f(v) < F_* f ( v ) < F ∗ . Together with the Cauchy–Schwarz inequality, it implies that ∥ Π ≤ H v ∥ 2 ≤ ( 4 2 ( H + 1 ) ( F ∗ − f ( v ) ) ) 1 / 2 \lVert\Pi_{\le H}v\rVert^2 \le\left(4\sqrt{2}(H+1)(F_* - f(v))\right)^{1/2} ∥ Π ≤ H v ∥ 2 ≤ ( 4 2 ( H + 1 ) ( F ∗ − f ( v )) ) 1/2 for every H ≥ 0 H \ge0 H ≥ 0 , where Π ≤ H = Π 0 + ⋯ + Π H \Pi_{\le H} = \Pi_0 + \cdots+ \Pi_H Π ≤ H = Π 0 + ⋯ + Π H : a unit vector close to the ceiling has little mass at every fixed set of heights. The proof also retains the gaps of the two inequalities above, an angular defect and a Young defect (9.3), which we use in Section 13. For p = 4 p=4 p = 4 , a difference of cubes replaces the difference of squares, and the ceiling is f ( v ) = ⟨ v , I ( v ⊗ 3 ) ⟩ < 3 / 2 f(v)=\langle v,\mathcal{I}(v^{\otimes3})\rangle< \sqrt{3}/2 f ( v ) = ⟨ v , I ( v ⊗ 3 )⟩ < 3 /2 for unit vectors v v v , with h = 2 f h=2f h = 2 f and E t h = 3 E_{\mathrm{th}}=\sqrt{3} E th = 3 (Lemma 9.3). To prove part (a) for p ∈ { 3 , 4 } p \in\{3,4\} p ∈ { 3 , 4 } , we apply the ceiling to the normalized centers M T n ( L ) / ∥ M T n ( L ) ∥ M T_n(L)/\lVert M T_n(L)\rVert M T n ( L ) / ∥ M T n ( L )∥ and let n → ∞ n \to\infty n → ∞ using Proposition 7.5. The ceilings are elementary inequalities in the tree space, and their proofs use neither the landscape results of [ref-7 ] nor the algorithmic results of [ref-92 , ref-94 ].
Height escape and forgetting
Under the hypotheses of part (b), the limits of Proposition 7.5 hold as T → ∞ T \to\infty T → ∞ without passing to a sequence, and the normalized centers saturate the threshold. Indeed, the deficit δ L = E t h − h L / d L p / 2 \delta_L = E_{\mathrm{th}} - h_L/d_L^{p/2} δ L = E th − h L / d L p /2 is nonnegative by part (a), and h L / d L p / 2 h_L/d_L^{p/2} h L / d L p /2 tends to h / q p / 2 h/q^{p/2} h / q p /2 , which equals E t h E_{\mathrm{th}} E th by the equality case of (25) . Then δ L → 0 \delta_L \to0 δ L → 0 , and by the defect bound, the mass of the centers leaves every fixed set of heights (Proposition 9.5 ):
lim sup t → ∞ ∥ Π ≤ H P t − L v t ∥ 2 ≤ d L { κ p ( H + 1 ) δ L } 1 / 2 . \limsup_{t\to\infty}\lVert\Pi_{\le H}P_{t-L}v_t\rVert^2 \le d_L\left\{\kappa_p(H+1)\delta_L\right\}^{1/2}. t → ∞ lim sup ∥ Π ≤ H P t − L v t ∥ 2 ≤ d L { κ p ( H + 1 ) δ L } 1/2 .
with κ 3 = 4 2 / 3 \kappa_3 = 4\sqrt{2/3} κ 3 = 4 2/3 and κ 4 = 3 \kappa_4 = \sqrt{3} κ 4 = 3 . An earlier state behaves in the opposite way. The curve s ↦ v s s \mapsto v_s s ↦ v s is norm-continuous, so the set { v s : s ≤ S } \{v_s:s\le S\} { v s : s ≤ S } is compact, and ∥ ( Id − Π ≤ H ) v s ∥ → 0 \lVert(\operatorname{Id}-\Pi_{\le H})v_s\rVert\to0 ∥( Id − Π ≤ H ) v s ∥ → 0 as H → ∞ H\to\infty H → ∞ , uniformly in s ≤ S s\le S s ≤ S . For s ≤ S ≤ t − L s\le S\le t-L s ≤ S ≤ t − L , we have C ( t , s ) = ⟨ P t − L v t , v s ⟩ C(t,s)=\langle P_{t-L}v_t,v_s\rangle C ( t , s ) = ⟨ P t − L v t , v s ⟩ , and splitting v s v_s v s at height H H H , we find that
∣ C ( t , s ) ∣ ≤ ∥ Π ≤ H P t − L v t ∥ + ∥ ( Id − Π ≤ H ) v s ∥ . \lvert C(t,s)\rvert\le\lVert\Pi_{\le H}P_{t-L}v_t\rVert+\lVert(\operatorname{Id}-\Pi_{\le H})v_s\rVert. ∣ C ( t , s )∣ ≤ ∥ Π ≤ H P t − L v t ∥ + ∥( Id − Π ≤ H ) v s ∥ .
We first let t → ∞ t\to\infty t → ∞ with L L L and H H H fixed, then let L → ∞ L\to\infty L → ∞ , and finally let H → ∞ H\to\infty H → ∞ . This proves part (b) for p ∈ { 3 , 4 } p\in\{3,4\} p ∈ { 3 , 4 } .
General pure models
For general p p p , we have no deterministic ceiling in the tree space. In § 6.4 , we prove both inputs for every p ≥ 3 p\ge3 p ≥ 3 by an argument in finite dimension, which does not use the tree ceilings.
Forks. In finite dimension, the analog of a prefix center is a mean over independent futures. At a late time T T T , we continue the trajectory by K K K independent Brownian futures of length L L L , which we call a fork. We let m N , T m_{N,T} m N , T be the average of their endpoints, the center of the fork. With a current identity of the kind used in Section 5, we show that the overlap of two branches of lengths a a a and d d d concentrates near c ( a + d ) c(a+d) c ( a + d ) along T n T_n T n ; this is the reflection identity in finite dimension (Lemma 10.3 ). We compute the energy of the center exactly by a Gaussian integration by parts, and subtracting the energy of a single branch removes the common past in the dimension limit. Unlike the cancellation of Section 7, this one holds only in the limit, because on a fixed time horizon the overlaps of all branches with a state of the common past concentrate around the same value. As N = N j → ∞ N=N_j\to\infty N = N j → ∞ and then T = T n → ∞ T=T_n\to\infty T = T n → ∞ , we find that (Proposition 10.4 )
∥ m N , T ∥ 2 N ⟶ Q K , L = 1 K + ( 1 − 1 K ) c ( 2 L ) , E H N ( m N , T ) N ⟶ h K , L , \frac{\lVert m_{N,T}\rVert^2}{N}\longrightarrow Q_{K,L}=\frac{1}{K}+\left(1-\frac{1}{K}\right)c(2L),\qquad\frac{\mathbb{E}H_N(m_{N,T})}{N}\longrightarrow h_{K,L}, N ∥ m N , T ∥ 2 ⟶ Q K , L = K 1 + ( 1 − K 1 ) c ( 2 L ) , N E H N ( m N , T ) ⟶ h K , L ,
where h K , L h_{K,L} h K , L is explicit. Using the hard–soft approximation of Sellke [112, Lemmas 3.1 and 3.2], we approximate the normalized center in mean square by Lipschitz functions of the disorder, with constants that do not depend on N N N . The algorithmic threshold of Huang and Sellke [92, Theorem 1 and Corollary 1.8] applies to these approximations, and it implies that h K , L ≤ E t h Q K , L p / 2 h_{K,L}\le E_{\mathrm{th}}Q_{K,L}^{p/2} h K , L ≤ E th Q K , L p /2 ; this follows the argument by which Sellke showed that the energy of the dynamics itself stays below the threshold [112, Section 3]. Letting K → ∞ K \to\infty K → ∞ , we have Q K , L → d L Q_{K,L} \to d_L Q K , L → d L and h K , L → h L h_{K,L} \to h_L h K , L → h L , which proves part (a). Every horizon, number of branches, and approximation parameter is fixed while the dimension tends to infinity, and the limits are taken in the order
N j → ∞ , n → ∞ , ε ↓ 0 , K → ∞ , L → ∞ , M → ∞ N_j \to\infty,\qquad n \to\infty,\qquad\varepsilon\downarrow0,\qquad K \to\infty,\qquad L \to\infty,\qquad M \to\infty N j → ∞ , n → ∞ , ε ↓ 0 , K → ∞ , L → ∞ , M → ∞
of (10.1), where ε \varepsilon ε is the accuracy of the Lipschitz approximation and M M M is the number of steps of the Euler–Maruyama scheme below.
Adaptive disclosure. Part (b) needs more. Under marginality, the normalized fork centers saturate the threshold as K → ∞ K \to\infty K → ∞ and then L → ∞ L \to\infty L → ∞ (Lemma 10.5). If a fork ends at time t t t , the mean overlap of its center with the earlier state X s X_s X s is the mean of X t ⋅ X s / N X_t \cdot X_s/N X t ⋅ X s / N , which tends to C ( t , s ) C(t,s) C ( t , s ) . We must therefore show that a Lipschitz algorithm close to the threshold is almost orthogonal to X s X_s X s . For directions independent of the disorder, this follows from the external-field version of the threshold [92, Corollary 1.8], which by convex duality implies the overlap penalty of Lemma 10.2. Let ζ N \zeta_N ζ N be an auxiliary seed independent of the disorder tensor J J J , let w = w ( ζ N ) w = w(\zeta_N) w = w ( ζ N ) satisfy ∥ w ∥ = N \lVert w\rVert= \sqrt{N} ∥ w ∥ = N , and let A N ( J , ζ N ) A_N(J,\zeta_N) A N ( J , ζ N ) take values in the ball of radius N \sqrt{N} N . If, for almost every value of the seed, J ↦ A N ( J , ζ N ) J \mapsto A_N(J,\zeta_N) J ↦ A N ( J , ζ N ) is L L i p L_{\mathrm{Lip}} L Lip -Lipschitz, with a deterministic constant L L i p L_{\mathrm{Lip}} L Lip that does not depend on N N N , then
lim sup N → ∞ { E H N ( A N ) N + β d E ∣ ⟨ w , A N ⟩ N ∣ p } ≤ E t h . \limsup_{N \to\infty}\left\{\mathbb{E}\frac{H_N(A_N)}{N}+\beta_d\mathbb{E}\left|\frac{\langle w,A_N\rangle}{N}\right|^p\right\}\le E_{\mathrm{th}}. N → ∞ lim sup { E N H N ( A N ) + β d E N ⟨ w , A N ⟩ p } ≤ E th .
However, X s X_s X s depends on the disorder. To overcome this, we disclose the disorder in stages (Lemma 10.6). At each stage, we reveal the part of the tensor that determines the next gradient query. Conditionally on what has been revealed, the rest of the tensor is standard Gaussian on a smaller space, and the overlap penalty applies to the new query direction. By induction over finitely many stages, we show that an algorithm that saturates the threshold is asymptotically orthogonal to every span obtained in this way from a seed-measurable initial span of fixed dimension by a fixed number of gradient queries (Proposition 10.7). In the proof of Proposition 10.8, we apply this only on the fixed fork product law, whose seed consists of X 0 X_0 X 0 , the full trunk Wiener path, and the K K K full future Wiener paths, jointly independent of J J J . For its Euler–Maruyama scheme with M M M steps, the initial span is generated by X 0 X_0 X 0 and the M M M trunk Brownian increments, and the scheme adds at most M M M gradient queries. The resulting span contains a vector approximating this fork’s trunk state X s X_s X s , with dimension-limit normalized mean-square error at most C s / M C_s/M C s / M , where C C C depends only on p p p , β \beta β , and s s s . We take the limits in (10.1), using ε = 1 / ( m + 1 ) \varepsilon= 1/(m+1) ε = 1/ ( m + 1 ) , and let M → ∞ M \to\infty M → ∞ last. This proves that C ( t , s ) → 0 C(t,s) \to0 C ( t , s ) → 0 for every fixed s s s (Proposition 10.8), uniformly in s ≤ S s \le S s ≤ S by the modulus of continuity of C C C . Adaptive Gaussian conditioning of this kind goes back to Bolthausen [32, Section 3] and to Bayati and Montanari [13, arXiv version 4, Section 3.8]. Conditioning of the disorder tensor on adaptive gradient observations was developed for message passing in spin glasses in [63, arXiv version 1, Appendix A] and extended to multi-species spherical models in [93, Appendix A]; we combine it with the external-field threshold.
Response localization and persistent violation
The remote response. Theorem 1.1 controls the response only on bounded windows of lags, while a row s ↦ R ( t , s ) s \mapsto R(t,s) s ↦ R ( t , s ) has length t t t . Convergence on every bounded window does not exclude a small contribution spread over the remote part [ 0 , t − L ] [0,t-L] [ 0 , t − L ] of the row. In Section 11, we first prove that the remote part carries no squared mass:
lim L → ∞ lim sup t → ∞ ∫ 0 t − L R ( t , u ) 2 d u = 0. (27) \lim_{L \to\infty}\limsup_{t \to\infty}\int_{0}^{t-L} R(t,u)^2\,\mathrm{d}u = 0. \tag*{(27)} L → ∞ lim t → ∞ lim sup ∫ 0 t − L R ( t , u ) 2 d u = 0. (27)
Again we use the prefix centers. The component of v T + L v_{T+L} v T + L at height zero is the leaf vector R ( T + L , 0 ) e 0 + 2 1 [ 0 , T + L ] R ( T + L , ⋅ ) R(T+L,0)e_0+\sqrt{2}\mathbb{1}_{[0,T+L]}R(T+L,\cdot) R ( T + L , 0 ) e 0 + 2 1 [ 0 , T + L ] R ( T + L , ⋅ ) , and P T P_T P T restricts its noise part to [ 0 , T ] [0,T] [ 0 , T ] . This yields
2 ∫ 0 T R ( T + L , u ) 2 d u ≤ ∥ Π 0 M T ( L ) ∥ 2 ≤ ∥ M T ( L ) ∥ 2 ⟶ c ( 2 L ) ( T → ∞ ) , 2\int_{0}^{T} R(T+L,u)^2\,\mathrm{d}u \le\lVert\Pi_0 M_T(L)\rVert^2 \le\lVert M_T(L)\rVert^2 \longrightarrow c(2L) \qquad(T \to\infty), 2 ∫ 0 T R ( T + L , u ) 2 d u ≤ ∥ Π 0 M T ( L ) ∥ 2 ≤ ∥ M T ( L ) ∥ 2 ⟶ c ( 2 L ) ( T → ∞ ) ,
which proves (2.11) when q = 0 q=0 q = 0 . If q > 0 q>0 q > 0 , then c ( 2 L ) → q c(2L)\to q c ( 2 L ) → q , and we need to show that the normalized centers have vanishing mass at height zero. For p = 3 p=3 p = 3 , this follows from the term j = 0 j=0 j = 0 of (2.10), because the normalized centers saturate the threshold. For general p p p , we test the center of a fork against the Gaussian vector G N = ∫ 0 T k ( u ) d B u G_N=\int_{0}^{T} k(u)\,\mathrm{d}B_u G N = ∫ 0 T k ( u ) d B u , built from the Brownian path with a weight k k k proportional to R ( T + L , ⋅ ) R(T+L,\cdot) R ( T + L , ⋅ ) . A weighted form of the Brownian response identity shows that the mean overlap of m N , T m_{N,T} m N , T with G N G_N G N tends to ( 2 ∫ 0 T R ( T + L , u ) 2 d u ) 1 / 2 \left(2\int_{0}^{T}R(T+L,u)^2\,\mathrm{d}u\right)^{1/2} ( 2 ∫ 0 T R ( T + L , u ) 2 d u ) 1/2 . Since G N G_N G N is independent of the disorder, the overlap penalty forces this overlap to be small, with no adaptive disclosure (Proposition 11.11 ).
Whole rows. Together with convergence on recent strips, (2.11) implies that the lag rows v ↦ 1 [ 0 , t ] ( v ) R ( t , t − v ) v\mapsto\mathbb{1}_{[0,t]}(v)R(t,t-v) v ↦ 1 [ 0 , t ] ( v ) R ( t , t − v ) converge to r r r in L 2 ( 0 , ∞ ) L^2(0,\infty) L 2 ( 0 , ∞ ) , and by the Cauchy–Schwarz inequality, we have χ ( t , 0 ) = o ( t ) \chi(t,0)=o(\sqrt{t}) χ ( t , 0 ) = o ( t ) (Theorem 11.1). By the backward response equation, we have ∂ s R ≤ Λ R \partial_s R\leq\Lambda R ∂ s R ≤ Λ R , so that a large remote value R ( t , s ) R(t,s) R ( t , s ) would force squared mass on [ s − 1 , s ] [s-1,s] [ s − 1 , s ] ; this upgrades the convergence to the uniform norm (Corollary 11.2 ). For the earlier derivative, we differentiate the Green identity in its earlier time. On a bounded interval of earlier times, forgetting makes every term vanish as t → ∞ t\to\infty t → ∞ , except a colored term ∫ 0 t R ( t , u ) C ( u , s ) p − 1 d u \int_{0}^{t}R(t,u)C(u,s)^{p-1}\,\mathrm{d}u ∫ 0 t R ( t , u ) C ( u , s ) p − 1 d u , which we control by positivity and a modulus of continuity uniform in t t t : the Green identity bounds C ( t , s ) C(t,s) C ( t , s ) from below by a weighted integral of this term over earlier times, with positive weights; forgetting makes that integral vanish, and the uniform modulus in (11.17) then forces the term to vanish pointwise. This shows that E ( t , s ) → 0 E(t,s) \to0 E ( t , s ) → 0 for every fixed s > 0 s > 0 s > 0 . Since ∣ E ( t , s ) ∣ 2 ≤ a F ( s ) |E(t,s)|^2 \le a_F(s) ∣ E ( t , s ) ∣ 2 ≤ a F ( s ) with an integrable a F a_F a F , dominated convergence over the whole row then shows that ∫ 0 t ∣ E ( t , s ) ∣ 2 d s → 0 \int_0^t |E(t,s)|^2\,ds \to0 ∫ 0 t ∣ E ( t , s ) ∣ 2 d s → 0 (Theorem 11.5 ). This is where we need one majorant for the whole triangle. For every p ≥ 3 p \ge3 p ≥ 3 , the projected drift and the reflection identity also bound ∂ t C \partial_t C ∂ t C far from the diagonal (Theorem 11.4 ). More precisely, for every L > 0 L > 0 L > 0 ,
lim sup t → ∞ sup 0 ≤ s ≤ t − L ∣ ∂ t C ( t , s ) ∣ ≤ c ′ ′ ( 2 L ) ≤ 1 − q e L . \limsup_{t\to\infty}\sup_{0\le s\le t-L}|\partial_t C(t,s)| \le\sqrt{c^{\prime\prime}(2L)} \le\frac{\sqrt{1-q}}{eL}. t → ∞ lim sup 0 ≤ s ≤ t − L sup ∣ ∂ t C ( t , s ) ∣ ≤ c ′′ ( 2 L ) ≤ e L 1 − q .
and, using convergence on bounded lag windows, we obtain
lim sup t → ∞ sup 0 ≤ s ≤ t ∣ ∂ t C ( t , s ) + r ( t − s ) ∣ = lim sup t → ∞ sup 0 ≤ s ≤ t ∣ ∂ t C ( t , s ) + R ( t , s ) ∣ = 0. \limsup_{t\to\infty}\sup_{0\le s\le t}|\partial_t C(t,s)+r(t-s)|=\limsup_{t\to\infty}\sup_{0\le s\le t}|\partial_t C(t,s)+R(t,s)|=0. t → ∞ lim sup 0 ≤ s ≤ t sup ∣ ∂ t C ( t , s ) + r ( t − s ) ∣ = t → ∞ lim sup 0 ≤ s ≤ t sup ∣ ∂ t C ( t , s ) + R ( t , s ) ∣ = 0.
The diagonal derivative is taken from the causal side and equals − 1 -1 − 1 , while c ′ ( 0 ) = − 1 c'(0)=-1 c ′ ( 0 ) = − 1 is a right derivative. These conclusions about forward FDT hold at every positive temperature. For every p ≥ 3 p \ge3 p ≥ 3 , we also deduce (1.12) from complete-row convergence (Corollary 11.7).
Persistent integrated violation. These statements about squared norms are compatible with a persistent violation of FDT. Let β > β d \beta> \beta_d β > β d , and recall that x = ( p − 2 ) ( 1 − q ) / q ∈ ( 0 , 1 ) x=(p-2)(1-q)/q \in(0,1) x = ( p − 2 ) ( 1 − q ) / q ∈ ( 0 , 1 ) . The energy identity fixes one weighted integral of the response over the whole row,
p ∫ 0 t C ( t , u ) p − 1 R ( t , u ) d u = e β ( t ) β ⟶ 1 − d ∗ , p\int_0^t C(t,u)^{p-1}R(t,u)\,du=\frac{e_\beta(t)}{\beta}\longrightarrow1-d_*, p ∫ 0 t C ( t , u ) p − 1 R ( t , u ) d u = β e β ( t ) ⟶ 1 − d ∗ ,
where d ∗ = 1 − e β ( ∞ ) / β = ( 1 − x ) q p d_*=1-e_\beta(\infty)/\beta=(1-x)q^p d ∗ = 1 − e β ( ∞ ) / β = ( 1 − x ) q p by the energy formula (1.4). A recent strip of length A A A contributes p ∫ 0 A c p − 1 r = 1 − c ( A ) p p\int_0^A c^{p-1}r=1-c(A)^p p ∫ 0 A c p − 1 r = 1 − c ( A ) p , as it would for an equilibrium profile. The rest of the row carries the weighted response c ( A ) p − d ∗ c(A)^p-d_* c ( A ) p − d ∗ , while C ( t , ⋅ ) p C(t,\cdot)^p C ( t , ⋅ ) p rises across it from C ( t , 0 ) p → 0 C(t,0)^p\to0 C ( t , 0 ) p → 0 to C ( t , t − A ) p → c ( A ) p C(t,t-A)^p\to c(A)^p C ( t , t − A ) p → c ( A ) p . It follows that the ratio in (1.10) tends to 1 − d ∗ / c ( A ) p 1-d_*/c(A)^p 1 − d ∗ / c ( A ) p , and then to x x x as A → ∞ A\to\infty A → ∞ (Proposition 12.1 ). In the same way, we find the exact identity
p ∫ 0 t C ( t , u ) p − 1 E ( t , u ) d u = 1 − C ( t , 0 ) p − e β ( t ) β ⟶ d ∗ > 0. p\int_0^t C(t,u)^{p-1}E(t,u)\,du=1-C(t,0)^p-\frac{e_\beta(t)}{\beta}\longrightarrow d_*>0. p ∫ 0 t C ( t , u ) p − 1 E ( t , u ) d u = 1 − C ( t , 0 ) p − β e β ( t ) ⟶ d ∗ > 0.
To remove the weight C p − 1 C^{p-1} C p − 1 , we prove the transport inequality of Lemma 12.3: if z ≥ 0 z\ge0 z ≥ 0 is absolutely continuous on [ u , v ] [u,v] [ u , v ] , r 0 ≥ 0 r_0\ge0 r 0 ≥ 0 , and J = ∫ u v z p − 1 r 0 J=\int_u^v z^{p-1}r_0 J = ∫ u v z p − 1 r 0 , then ∫ u v ( z ′ − r 0 ) + ≥ [ z ( v ) − ( z ( u ) p + p J ) 1 / p ] + \int_u^v(z'-r_0)_+\ge[z(v)-(z(u)^p+pJ)^{1/p}]_+ ∫ u v ( z ′ − r 0 ) + ≥ [ z ( v ) − ( z ( u ) p + p J ) 1/ p ] + . Applying this on [ S , t − L ] [S,t-L] [ S , t − L ] with z = C ( t , ⋅ ) z=C(t,\cdot) z = C ( t , ⋅ ) and r 0 = R ( t , ⋅ ) r_0=R(t,\cdot) r 0 = R ( t , ⋅ ) , we find that, in the limit t → ∞ t\to\infty t → ∞ , the positive part of the defect has integral at least m L = c ( L ) − [ c ( L ) p − d ∗ ] 1 / p m_L=c(L)-[c(L)^p-d_*]^{1/p} m L = c ( L ) − [ c ( L ) p − d ∗ ] 1/ p there. As L → ∞ L\to\infty L → ∞ , m L m_L m L increases to m ∞ = q ( 1 − x 1 / p ) m_\infty=q(1-x^{1/p}) m ∞ = q ( 1 − x 1/ p ) (Theorem 12.4). This lower bound holds on an interval whose length is of order t t t , and by the Cauchy–Schwarz inequality, we have lim inf t → ∞ t ∫ 0 t E ( t , u ) + 2 d u ≥ m ∞ 2 \liminf_{t\to\infty}t\int_0^t E(t,u)_+^2\,du\ge m_\infty^2 lim inf t → ∞ t ∫ 0 t E ( t , u ) + 2 d u ≥ m ∞ 2 . This is the coexistence of small pointwise violation and integrated violation over an expanding interval described by Cugliandolo, Dean, and Kurchan [54].
Three-time geometry, susceptibility, and the Fisher cost
In the cubic model, we use more of the tree geometry than the energy ceiling. Throughout this section, p = 3 p=3 p = 3 .
Saturated tree vectors. In Section 13, which is deterministic, we study unit vectors v ∈ H v\in\mathcal{H} v ∈ H with a small deficit δ ( v ) = F ∗ − f ( v ) \delta(v)=F_* - f(v) δ ( v ) = F ∗ − f ( v ) . Using the retained defects, we bound weighted sums of the variations of the height amplitudes ∥ Π j v ∥ \lVert\Pi_jv\rVert ∥ Π j v ∥ and of the angular errors between each component Π j v \Pi_jv Π j v and the graft Π j I ( v ⊗ v ) \Pi_j\mathcal{I}(v\otimes v) Π j I ( v ⊗ v ) of the lower components. We deduce that the root operator I ∗ v \mathcal{I}^*v I ∗ v , viewed as a Hilbert–Schmidt operator on H \mathcal{H} H , is then close to an operator whose coefficients in the normalized height directions depend only on the height masses (Lemma 13.1). In the coordinate x ∈ ( 0 , 1 ) x\in(0,1) x ∈ ( 0 , 1 ) given by the cumulative mass, these operators converge to one universal operator. More precisely, if ∥ v n ∥ = 1 \lVert v_n\rVert=1 ∥ v n ∥ = 1 and f ( v n ) → F ∗ f(v_n)\to F_* f ( v n ) → F ∗ , there exist isometric embeddings V n V_n V n of H \mathcal{H} H into L 2 ( 0 , 1 ) ⊕ K L^2(0,1)\oplus\mathcal{K} L 2 ( 0 , 1 ) ⊕ K , where K \mathcal{K} K is a fixed auxiliary Hilbert space, such that V n v n = 1 V_nv_n=1 V n v n = 1 and
V n I ∗ v n V n ∗ ⟶ T ⊕ 0 in Hilbert–Schmidt norm, V_n\mathcal{I}^*v_nV_n^* \longrightarrow\mathcal{T}\oplus0 \quad\text{in Hilbert--Schmidt norm,} V n I ∗ v n V n ∗ ⟶ T ⊕ 0 in Hilbert–Schmidt norm,
where T \mathcal{T} T is the integral operator with kernel T ( x , y ) = ( 2 max ( x , y ) ) − 1 / 2 \mathcal{T}(x,y)=(2\max(x,y))^{-1/2} T ( x , y ) = ( 2 max ( x , y ) ) − 1/2 (Theorem 13.2). The operator T \mathcal{T} T is positive and trace class, with tr T = 2 \operatorname{tr}\mathcal{T}=\sqrt{2} tr T = 2 and ⟨ 1 , T 1 ⟩ = F ∗ \langle1,\mathcal{T}1\rangle=F_* ⟨ 1 , T 1 ⟩ = F ∗ . For two vectors with nonnegative inner products at every height, the same defects show that little of their overlap is carried by heights at which a smoothed cosine between their prefixes is far from one (Lemma 13.4). For three such vectors, the prefixes that carry the overlaps of two of the pairs are nested, which leads to the product inequality of Theorem 13.5,
⟨ v 1 , v 2 ⟩ ≥ ⟨ v 1 , v 3 ⟩ ⟨ v 2 , v 3 ⟩ − ω ( max i δ ( v i ) ) , lim δ ↓ 0 ω ( δ ) = 0. \langle v_1,v_2\rangle\geq\langle v_1,v_3\rangle\langle v_2,v_3\rangle-\omega\left(\max_i\delta(v_i)\right),\qquad\lim_{\delta\downarrow0}\omega(\delta)=0. ⟨ v 1 , v 2 ⟩ ≥ ⟨ v 1 , v 3 ⟩ ⟨ v 2 , v 3 ⟩ − ω ( i max δ ( v i ) ) , δ ↓ 0 lim ω ( δ ) = 0.
Three times. Let β ≥ β d \beta\geq\beta_d β ≥ β d , including β = β d \beta=\beta_d β = β d , where q = 1 / 2 q=1/2 q = 1/2 . To apply these results to the CK solution, we use the normalized centers U s , D = M s , D / ∥ M s , D ∥ U_{s,D}=M_{s,D}/\lVert M_{s,D}\rVert U s , D = M s , D / ∥ M s , D ∥ of a fixed smoothing age D D D , where M s , D = P s − D v s M_{s,D}=P_{s-D}v_s M s , D = P s − D v s . Their components are nonnegative, and by Proposition 9.5 their deficits are small when D D D is large. The obstacle is to relate their overlaps to the correlations. A center is close to the average D − 1 ∫ s − D s v u d u D^{-1}\int_{s-D}^{s}v_u\,du D − 1 ∫ s − D s v u d u of the trajectory over the preceding window (Lemma 14.1), and the overlap of two such averages is close to C ( t , s ) C(t,s) C ( t , s ) when the derivatives of C C C are small far from the diagonal, which is what Section 11 provides. We find that ⟨ U t , D , U s , D ⟩ ≈ C ( t , s ) / q \langle U_{t,D},U_{s,D}\rangle\approx C(t,s)/q ⟨ U t , D , U s , D ⟩ ≈ C ( t , s ) / q for late pairs whose distance is large compared with D D D (Proposition 14.2), and the product inequality becomes Theorem 14.3: for late triples u < s < t u<s<t u < s < t with diverging gaps,
q C ( t , u ) ≥ C ( t , s ) C ( s , u ) − o ( 1 ) . qC(t,u)\geq C(t,s)C(s,u)-o(1). q C ( t , u ) ≥ C ( t , s ) C ( s , u ) − o ( 1 ) .
This is a one-sided version of the spherical product relation of Cugliandolo and Kurchan [52, arXiv version 1, Section 5.1, Equation (5.1.8)], which we prove for the actual CK solution without any assumption on the time scale of aging. It implies composition bounds for the last times at which the correlation crosses given levels (Corollary 14.4).
The susceptibility. For the bound on χ ( t , 0 ) \chi(t,0) χ ( t , 0 ) , we use the root operator of a center. For p = 3 p=3 p = 3 , the root frame (7.6) reads
T ∗ P T v t = β 3 ∫ 0 t R ( t , u ) ∣ P T v u ⟩ ⟨ P T v u ∣ d u , \mathcal{T}^{*}P_{T}v_{t}=\beta\sqrt{3}\int_{0}^{t}R(t,u)\lvert P_{T}v_{u}\rangle\langle P_{T}v_{u}\rvert\,\mathrm{d}u, T ∗ P T v t = β 3 ∫ 0 t R ( t , u ) ∣ P T v u ⟩ ⟨ P T v u ∣ d u ,
so that its trace is a weighted response mass. We take t n → ∞ t_n\to\infty t n → ∞ along which χ ( t n , 0 ) \chi(t_n,0) χ ( t n , 0 ) tends to its lower limit, ages L n → ∞ L_n\to\infty L n → ∞ , and the normalized centers U n U_n U n of M T n ( L n ) M_{T_n}(L_n) M T n ( L n ) , where T n = t n − L n T_n=t_n-L_n T n = t n − L n ; these centers approach the ceiling. We split their root operators into an old part A n A_n A n , the integral over u ≤ T n u\le T_n u ≤ T n , and a recent part B n B_n B n . On recent windows of fixed length, the projected states P T n v u P_{T_n}v_u P T n v u are close to q U n \sqrt{q}\,U_n q U n by reflection, and in the coordinates of the universal operator, B n B_n B n converges to β 3 q ( 1 − q ) ∣ 1 ⟩ ⟨ 1 ∣ \beta\sqrt{3}\sqrt{q}(1-q)\lvert1\rangle\langle1\rvert β 3 q ( 1 − q ) ∣ 1 ⟩ ⟨ 1 ∣ , which equals 2 − 1 / 2 ∣ 1 ⟩ ⟨ 1 ∣ 2^{-1/2}\lvert1\rangle\langle1\rvert 2 − 1/2 ∣ 1 ⟩ ⟨ 1 ∣ by marginality. By Theorem 13.2, the old part then converges in Hilbert–Schmidt norm to T − 2 − 1 / 2 ∣ 1 ⟩ ⟨ 1 ∣ \mathcal{T}-2^{-1/2}\lvert1\rangle\langle1\rvert T − 2 − 1/2 ∣ 1 ⟩ ⟨ 1 ∣ , a positive operator with trace 2 − 1 / 2 2^{-1/2} 2 − 1/2 .
However, convergence in Hilbert–Schmidt norm does not give convergence of the trace. To overcome this, we rely on the lower semicontinuity of the trace on positive operators, after replacing each old term ∣ v u ⟩ ⟨ v u ∣ \lvert v_u\rangle\langle v_u\rvert ∣ v u ⟩ ⟨ v u ∣ by ∣ M u , D ⟩ ⟨ M u , D ∣ \lvert M_{u,D}\rangle\langle M_{u,D}\rvert ∣ M u , D ⟩ ⟨ M u , D ∣ , whose norm converges. By causality, the errors on time strips at distance at least D D D from each other are orthogonal (Lemma 14.6), and their total is controlled by the squared remote response, which vanishes by (27) . The trace of the smoothed old part is asymptotically β 3 q − 1 / 2 c ( 2 D ) \beta\sqrt{3}\,q^{-1/2}c(2D) β 3 q − 1/2 c ( 2 D ) times the old response mass χ ( t n , 0 ) − ( 1 − q ) \chi(t_n,0)-(1-q) χ ( t n , 0 ) − ( 1 − q ) , and comparing it with 2 − 1 / 2 2^{-1/2} 2 − 1/2 , we find that
lim inf t → ∞ χ ( t , 0 ) ≥ ( 1 − q ) + q ( 1 − q ) c ( 2 D ) ⟶ 2 ( 1 − q ) ( D → ∞ ) , \liminf_{t\to\infty}\chi(t,0)\ge(1-q)+\frac{q(1-q)}{c(2D)}\longrightarrow2(1-q)\qquad(D\to\infty), t → ∞ lim inf χ ( t , 0 ) ≥ ( 1 − q ) + c ( 2 D ) q ( 1 − q ) ⟶ 2 ( 1 − q ) ( D → ∞ ) ,
which is Theorem 14.7. This holds for every β ≥ β d \beta\ge\beta_d β ≥ β d , including the endpoint, but we have no matching upper bound.
A Fisher cost. In Section 15, we combine the same Fisher majorant a F a_F a F from (19) with the product inequality. Let β > β d \beta>\beta_d β > β d , so that q > 1 / 2 q>1/2 q > 1/2 , and consider windows [ s n , t n ] [s_n,t_n] [ s n , t n ] with s n → ∞ s_n\to\infty s n → ∞ , t n − s n → ∞ t_n-s_n\to\infty t n − s n → ∞ , and C ( t n , s n ) → z ∈ ( 0 , q ) C(t_n,s_n)\to z\in(0,q) C ( t n , s n ) → z ∈ ( 0 , q ) , such that
ε n 2 = ( t n − s n ) ∫ s n t n a F ( u ) d u ⟶ ε 2 ≤ 1. \varepsilon_n^2=(t_n-s_n)\int_{s_n}^{t_n}a_F(u)\,\mathrm{d}u\longrightarrow\varepsilon^2\le1. ε n 2 = ( t n − s n ) ∫ s n t n a F ( u ) d u ⟶ ε 2 ≤ 1.
By the Cauchy–Schwarz inequality and ∣ E ( w , u ) ∣ 2 ≤ a F ( u ) \lvert E(w,u)\rvert^2\le a_F(u) ∣ E ( w , u ) ∣ 2 ≤ a F ( u ) , the integrated backward defect on every subinterval of the window is at most ε n \varepsilon_n ε n ; in particular, the response mass of the window is 1 − C ( t n , s n ) 1-C(t_n,s_n) 1 − C ( t n , s n ) up to ε n \varepsilon_n ε n . Integrating the backward response equation (76) over the window, we find that 1 − ℓ ( 1 − C ( t n , s n ) ) + 3 β 2 I n 1-\ell(1-C(t_n,s_n))+3\beta^2I_n 1 − ℓ ( 1 − C ( t n , s n )) + 3 β 2 I n is at most of order ε n \varepsilon_n ε n in the limit, where
I n = ∫ s n t n [ 1 − C ( u , s n ) ] 2 R ( t n , u ) d u . I_n=\int_{s_n}^{t_n}\left[1-C(u,s_n)\right]^2R(t_n,u)\,\mathrm{d}u. I n = ∫ s n t n [ 1 − C ( u , s n ) ] 2 R ( t n , u ) d u .
In the bulk of the window, we have C ( t n , u ) C ( u , s n ) ≤ q C ( t n , s n ) + o ( 1 ) C(t_n,u)C(u,s_n)\le qC(t_n,s_n)+o(1) C ( t n , u ) C ( u , s n ) ≤ q C ( t n , s n ) + o ( 1 ) by the product inequality. As the row u ↦ C ( t n , u ) u\mapsto C(t_n,u) u ↦ C ( t n , u ) has derivative R ( t n , u ) + E ( t n , u ) R(t_n,u)+E(t_n,u) R ( t n , u ) + E ( t n , u ) , a clipped primitive turns this into an explicit lower bound for I n I_n I n , and we compute the recent strip from stationary convergence. With the calibration 6 β 2 q ( 1 − q ) 2 = 1 6\beta^2q(1-q)^2=1 6 β 2 q ( 1 − q ) 2 = 1 and ℓ = ( 1 − q ) − 1 + 3 β 2 ( 1 − q 2 ) \ell=(1-q)^{-1}+3\beta^2(1-q^2) ℓ = ( 1 − q ) − 1 + 3 β 2 ( 1 − q 2 ) , the two estimates are compatible only if
3 β 2 ( 2 q − 1 ) ( q − z ) 2 ≤ ( ℓ + 9 β 2 ) ε + 6 β 2 ε 2 3\beta^2(2q-1)(q-z)^2 \le(\ell+9\beta^2)\varepsilon+6\beta^2\varepsilon^2 3 β 2 ( 2 q − 1 ) ( q − z ) 2 ≤ ( ℓ + 9 β 2 ) ε + 6 β 2 ε 2
(Lemma 15.3), and the left side is positive because q > 1 / 2 q>1/2 q > 1/2 . This strict margin vanishes at β = β d \beta=\beta_d β = β d , which is why the positive Fisher cost is restricted to β > β d \beta>\beta_d β > β d , even though the product inequality includes the endpoint. For ε = 0 \varepsilon=0 ε = 0 , this is impossible, which excludes every limit z ∈ ( 0 , q ) z\in(0,q) z ∈ ( 0 , q ) of C ( t n , s n ) C(t_n,s_n) C ( t n , s n ) along windows on which τ J a F \tau J_{aF} τ J a F tends to zero. Limits above q q q are excluded by the remote envelope (14.6). We also exclude a zero limit: the first crossing of a fixed level z ′ ∈ ( 0 , q ) z'\in(0,q) z ′ ∈ ( 0 , q ) occurs inside the window, at a lag that tends to infinity, and the crossing windows have no larger Fisher cost, so that the obstruction applies to them. Every such window therefore ends at the plateau. At the first passage below a level c ∈ ( 0 , q ) c\in(0,q) c ∈ ( 0 , q ) , the inequality bounds ε \varepsilon ε from below, which gives (14) (Theorem 15.1).
The stationary power law
For every p ≥ 3 p\ge3 p ≥ 3 , let β ≥ β d \beta\ge\beta_d β ≥ β d . In Section 16, we study the scalar equation (21) for the selected profile, using only this equation with its plateau identity, marginality, and complete monotonicity. The function u ( z ) = [ c ( ( 1 − q ) z ) − q ] / ( 1 − q ) u(z)=[c((1-q)z)-q]/(1-q) u ( z ) = [ c (( 1 − q ) z ) − q ] / ( 1 − q ) satisfies (Lemma 16.3)
u ′ + u + M ( u ) ∗ u ′ = 0 , u ( 0 ) = 1 , u' + u + M(u) * u' = 0,\qquad u(0)=1, u ′ + u + M ( u ) ∗ u ′ = 0 , u ( 0 ) = 1 ,
where ∗ * ∗ is the convolution on [ 0 , ∞ ) [0,\infty) [ 0 , ∞ ) and M M M is a polynomial with nonnegative coefficients such that M ( y ) = y + ϑ y 2 + O ( y 3 ) M(y)=y+\vartheta y^2+O(y^3) M ( y ) = y + ϑ y 2 + O ( y 3 ) , with ϑ = ( p − 2 ) ( 1 − q ) / ( 2 q ) \vartheta=(p-2)(1-q)/(2q) ϑ = ( p − 2 ) ( 1 − q ) / ( 2 q ) . For p = 3 p=3 p = 3 , we have M ( y ) = y + ϑ y 2 M(y)=y+\vartheta y^2 M ( y ) = y + ϑ y 2 . The linear coefficient of M M M is exactly one, by marginality. For a pure power w ( t ) = t − a w(t)=t^{-a} w ( t ) = t − a , the beta integral gives
( w ∗ w ) ′ = Γ ( 1 − a ) 2 Γ ( 1 − 2 a ) w 2 , (w*w)'=\frac{\Gamma(1-a)^2}{\Gamma(1-2a)}w^2, ( w ∗ w ) ′ = Γ ( 1 − 2 a ) Γ ( 1 − a ) 2 w 2 ,
so that the exponent relation (15) says that the two quadratic terms of the equation balance for w w w . This is the classical exponent relation of mode-coupling theory [81, Section 4, p. 881], in its version for the aging state [34, Equation (IV.6)] and [96]. As the balance is quadratic, it fixes the exponent but not the amplitude. The proof of an amplitude has three further steps.
Comparison. Using a comparison principle (Lemma 16.4), we turn the sign of the residual of an explicit profile into an inequality between that profile and u u u . For the shifted power g ( t ) = ( 1 + t ) − a g(t)=(1+t)^{-a} g ( t ) = ( 1 + t ) − a , the choice of a a a makes the quadratic part of the residual positive but smaller than g 3 g^3 g 3 . The sign of the residual is then decided by cubic terms. We fix it by correcting g g g with a small multiple of g 2 g^2 g 2 (Lemmas 16.5 and 16.6). Our comparison profiles keep u u u itself up to a fixed time and continue it by a rescaled corrected power, which absorbs the memory of the initial segment. We obtain A − ( 1 + t ) − a ≤ u ( t ) ≤ A + ( 1 + t ) − a A_{-}(1+t)^{-a} \le u(t) \le A_{+}(1+t)^{-a} A − ( 1 + t ) − a ≤ u ( t ) ≤ A + ( 1 + t ) − a with constants 0 < A − ≤ A + < ∞ 0 < A_{-} \le A_{+} < \infty 0 < A − ≤ A + < ∞ (Proposition 16.7). These bounds determine the exponent, but they still allow t a u ( t ) t^a u(t) t a u ( t ) to oscillate between A − A_{-} A − and A + A_{+} A + on a logarithmic time scale.
A logarithmic Dirichlet form. The convolution square u ∗ u u \ast u u ∗ u satisfies the quadratic balance ( u ∗ u ) ′ = ϑ u 2 + E (u \ast u)' = \vartheta u^2 + \mathcal{E} ( u ∗ u ) ′ = ϑ u 2 + E , where the error E \mathcal{E} E is integrable against the weight t − ( 1 − 2 a ) t^{-(1-2a)} t − ( 1 − 2 a ) (Lemma 16.8). We integrate the balance against this weight and compare the result with the Schur test for a homogeneous kernel, keeping its exact remainder. We find that the function D ( x ) = e a x u ( e x ) D(x) = e^{ax}u(e^x) D ( x ) = e a x u ( e x ) has finite energy for an explicit Dirichlet form on the line (Lemma 16.9), which implies that D ( x + y ) − D ( x ) → 0 D(x+y)-D(x) \to0 D ( x + y ) − D ( x ) → 0 as x → ∞ x \to\infty x → ∞ , for every fixed y y y . This still allows D D D to vary slowly without converging.
A renewal equation. We take the Laplace transform of the balance at the point e − x e^{-x} e − x . Since the product of independent gamma and beta variables with suitable parameters has a gamma distribution (Lemma 16.13), the transformed balance becomes a linear renewal equation for a smoothed version of D 2 D^2 D 2 . Its source is integrable: the variance part of the source is controlled by the Dirichlet form, and the rest by E \mathcal{E} E . Using the key renewal theorem [68, Chapter XI, Section 1], with a renewal density that we control near zero and at infinity (Lemma 16.12), we show that the smoothed function converges. Its difference from D 2 D^2 D 2 tends to zero by the second step, so that D D D converges, and the bounds of the first step make the limit positive and finite. This proves that c ( t ) − q ∼ A β t − a c(t)-q \sim A_{\beta}t^{-a} c ( t ) − q ∼ A β t − a . Finally, complete monotonicity and the monotone density theorem [30, Section 1.7.3] give the asymptotics of every fixed derivative, without differentiating an asymptotic relation (Theorem 16.1). The tools are classical, and the structural theory of these memory equations is developed in [ref-71 , ref-84 , ref-114 ]; we apply them to the stationary profile selected by the CK solution.
Dependencies between the sections
Table 1.1 lists, for each main theorem, the section in which it is proved and the main results that its proof uses. We add three remarks on the order of reading. First, for Theorem 1.1 , a reader interested in p ∈ { 3 , 4 } p \in\{3,4\} p ∈ { 3 , 4 } may read § 6.3 and skip § 6.4 , and a reader interested in general p p p may skip § 6.3 , since § 6.4 does not use the tree ceilings. For Theorem 1.2 with p ≠ 3 p \ne3 p = 3 and a positive plateau, § 7.1.5 uses the forks and the overlap penalty of § 6.4 . Second, Section 13 uses only the tree space and the cubic ceiling with its retained defects. Third, Part V uses only Propositions 5.7 and 6.1 , Theorem 8.5 , and Corollary 7.7, and the power law is not used in the proofs of the other main theorems; it serves only to verify the power-law hypotheses in the last assertions of Corollaries 11.6 and 11.7.
I The Cugliandolo–Kurchan system and its stationary limits
The model and the hard-spherical Cugliandolo–Kurchan equations
In this section, we fix the model, the dynamics, and our conventions, and state the hard-spherical Cugliandolo–Kurchan (CK) equations together with the published results that connect them with the Langevin dynamics. We prove three statements. Proposition 3.3 transfers Sellke’s convergence theorem for the hard-spherical diffusion on fixed time horizons [112, arXiv version 5, Theorem 4.3, p. 23] to our normalization and to a uniform initial point. Lemma 3.4 identifies the Brownian observable in that theorem with the integrated response to an additive force. Lemma 3.6 collects bounds on the Hamiltonian and its derivatives that are uniform in the dimension. This section also uses the variational-response estimates from Steps 1 and 2 of the proof of Proposition 4.1 , which depend only on Lemma 3.6 : Remark 3.1 uses the actual L 2 L^2 L 2 derivative and the quenched moment estimate (4.3), and the proof of Lemma 3.4 uses (4.4).
These results are the finite-dimensional input of the paper, and we use them throughout § 4.2 . The landscape bounds enter again in the entropy estimates of Section 5 and in the branched trajectories of § 6.4 , and we use the bridge wherever we obtain a statement about the CK solution as a limit of the diffusion, in Sections 5, § 6.4 , and 11.
Throughout the paper, p ≥ 3 p \ge3 p ≥ 3 and β > 0 \beta> 0 β > 0 are fixed, and ξ ( q ) = q p \xi(q) = q^p ξ ( q ) = q p .
The Langevin dynamics
For N ≥ 2 N \ge2 N ≥ 2 , let S N = { x ∈ R N : ∥ x ∥ 2 = N } S_N = \{x \in\mathbb{R}^N : \lVert x\rVert^2 = N\} S N = { x ∈ R N : ∥ x ∥ 2 = N } , and let ω N \omega_N ω N be the uniform probability measure on S N S_N S N . The disorder is an ordered coefficient tensor J = ( J i 1 ⋯ i p ) i 1 , … , i p = 1 N J = (J_{i_1\cdots i_p})_{i_1,\ldots,i_p=1}^N J = ( J i 1 ⋯ i p ) i 1 , … , i p = 1 N whose N p N^p N p entries are independent standard Gaussian random variables. The Hamiltonian is
H N ( x ) = N − ( p − 1 ) / 2 ∑ i 1 , … , i p = 1 N J i 1 ⋯ i p x i 1 ⋯ x i p , x ∈ R N . (28) H_N(x) = N^{-(p-1)/2} \sum_{i_1,\ldots,i_p=1}^N J_{i_1\cdots i_p} x_{i_1}\cdots x_{i_p}, \qquad x \in\mathbb{R}^N. \tag*{(28)} H N ( x ) = N − ( p − 1 ) /2 i 1 , … , i p = 1 ∑ N J i 1 ⋯ i p x i 1 ⋯ x i p , x ∈ R N . (28)
Since the entries of J J J are independent and the tensor is not symmetrized, we have
E H N ( x ) H N ( y ) = N − ( p − 1 ) ∑ i 1 , … , i p = 1 N ∏ j = 1 p x i j y i j = N − ( p − 1 ) ( x ⋅ y ) p = N ξ ( x ⋅ y N ) (29) \mathbb{E}H_N(x)H_N(y) = N^{-(p-1)} \sum_{i_1,\ldots,i_p=1}^N \prod_{j=1}^p x_{i_j}y_{i_j} = N^{-(p-1)}(x \cdot y)^p = N\xi\left(\frac{x \cdot y}{N}\right) \tag*{(29)} E H N ( x ) H N ( y ) = N − ( p − 1 ) i 1 , … , i p = 1 ∑ N j = 1 ∏ p x i j y i j = N − ( p − 1 ) ( x ⋅ y ) p = N ξ ( N x ⋅ y ) (29)
for all x , y ∈ R N x,y \in\mathbb{R}^N x , y ∈ R N . No factor p ! p! p ! appears, because the coefficients are ordered.
We write ∇ H N \nabla H_N ∇ H N and ∇ 2 H N \nabla^2 H_N ∇ 2 H N for the Euclidean gradient and Hessian. For x ∈ R N x \in\mathbb{R}^N x ∈ R N , let P x = I − x x T / N P_x = I - xx^{\mathsf{T}}/N P x = I − x x T / N . For x ∈ S N x \in S_N x ∈ S N , the matrix P x P_x P x is the orthogonal projection onto the tangent space T x S N = { v ∈ R N : v ⋅ x = 0 } T_xS_N = \{v \in\mathbb{R}^N : v \cdot x = 0\} T x S N = { v ∈ R N : v ⋅ x = 0 } . We write ∇ S \nabla_S ∇ S , ∇ S 2 \nabla_S^2 ∇ S 2 , and Δ S \Delta_S Δ S for the gradient, the Riemannian Hessian, and the Laplace–Beltrami operator of S N S_N S N , with the metric induced from R N \mathbb{R}^N R N . Note that ∇ S H N ( x ) = P x ∇ H N ( x ) \nabla_S H_N(x) = P_x\nabla H_N(x) ∇ S H N ( x ) = P x ∇ H N ( x ) . We also write
κ N = N − 1 N . \kappa_N = \frac{N-1}{N}. κ N = N N − 1 .
We consider the diffusion
d X t = β P X t ∇ H N ( X t ) d t + 2 P X t d B t − κ N X t d t , (30) \mathrm{d}X_t = \beta P_{X_t}\nabla H_N(X_t)\,\mathrm{d}t + \sqrt{2}P_{X_t}\,\mathrm{d}B_t - \kappa_N X_t\,\mathrm{d}t, \tag*{(30)} d X t = β P X t ∇ H N ( X t ) d t + 2 P X t d B t − κ N X t d t , (30)
where B B B is a standard Brownian motion in R N \mathbb{R}^N R N . The initial point X 0 X_0 X 0 has law ω N \omega_N ω N , and X 0 X_0 X 0 , J J J , and B B B are independent. The equation has a unique strong solution up to its explosion time, because its coefficients are polynomials. The solution stays on S N S_N S N . By Itô’s formula, Z t = ∥ X t ∥ 2 − N Z_t = \lVert X_t\rVert^2 - N Z t = ∥ X t ∥ 2 − N satisfies a linear equation d Z t = Z t d A t \mathrm{d}Z_t = Z_t\,\mathrm{d}A_t d Z t = Z t d A t for a continuous semimartingale A A A , because x ⋅ P x v = − ( ∥ x ∥ 2 − N ) ( x ⋅ v ) / N x \cdot P_xv = -(\lVert x\rVert^2 - N)(x \cdot v)/N x ⋅ P x v = − (∥ x ∥ 2 − N ) ( x ⋅ v ) / N and 2 tr ( P x 2 ) − 2 κ N ∥ x ∥ 2 2\operatorname{tr}(P_x^2) - 2\kappa_N\lVert x\rVert^2 2 tr ( P x 2 ) − 2 κ N ∥ x ∥ 2 vanishes on S N S_N S N ; since Z 0 = 0 Z_0 = 0 Z 0 = 0 , we have Z ≡ 0 Z \equiv0 Z ≡ 0 , and there is no explosion.
For a smooth function F F F on R N \mathbb{R}^N R N and x ∈ S N x \in S_N x ∈ S N , Itô’s formula shows that the generator of (30) is
L N F ( x ) = tr ( P x ∇ 2 F ( x ) ) − κ N x ⋅ ∇ F ( x ) + β ∇ S H N ( x ) ⋅ ∇ F ( x ) . (31) \mathcal{L}_N F(x) = \operatorname{tr}\left(P_x\nabla^2F(x)\right) - \kappa_N x \cdot\nabla F(x) + \beta\nabla_S H_N(x) \cdot\nabla F(x). \tag*{(31)} L N F ( x ) = tr ( P x ∇ 2 F ( x ) ) − κ N x ⋅ ∇ F ( x ) + β ∇ S H N ( x ) ⋅ ∇ F ( x ) . (31)
The first two terms are Δ S F ( x ) \Delta_SF(x) Δ S F ( x ) , by the classical formula for the Laplacian of a sphere of radius N \sqrt{N} N , and the last one is β ∇ S H N ⋅ ∇ S F \beta\nabla_S H_N \cdot\nabla_S F β ∇ S H N ⋅ ∇ S F . This shows that L N = Δ S + β ∇ S H N ⋅ ∇ S \mathcal{L}_N = \Delta_S + \beta\nabla_S H_N \cdot\nabla_S L N = Δ S + β ∇ S H N ⋅ ∇ S . Equivalently, L N F = g N − 1 div S ( g N ∇ S F ) \mathcal{L}_N F = g_N^{-1}\operatorname{div}_S(g_N\nabla_SF) L N F = g N − 1 div S ( g N ∇ S F ) with
g N = Z N , β − 1 e β H N , Z N , β = ∫ e β H N d ω N , g_N = Z_{N,\beta}^{-1}e^{\beta H_N}, \qquad Z_{N,\beta} = \int e^{\beta H_N}\,\mathrm{d}\omega_N, g N = Z N , β − 1 e β H N , Z N , β = ∫ e β H N d ω N ,
so that the Gibbs measure g N d ω N g_N\,\mathrm{d}\omega_N g N d ω N is reversible. The sign convention is gradient ascent, in the sense that the drift pushes X t X_t X t toward large values of H N H_N H N , and the limiting energies of this paper are positive. Because the noise amplitude is 2 \sqrt{2} 2 , the diffusion part of L N \mathcal{L}_N L N is the Laplacian itself.
We write
C N ( t , s ) = X t ⋅ X s N , s , t ≥ 0 , C_N(t,s) = \frac{X_t \cdot X_s}{N}, \qquad s,t \ge0, C N ( t , s ) = N X t ⋅ X s , s , t ≥ 0 ,
for the empirical correlation.
Response. We measure the response to an additive tangent force in the drift, without a factor β \beta β . Write
b ( x ) = β P x ∇ H N ( x ) − κ N x , σ j ( x ) = 2 P x e j , j = 1 , … , N . b(x) = \beta P_x\nabla H_N(x) - \kappa_Nx, \qquad\sigma_j(x) = \sqrt{2}P_xe_j,\qquad j = 1,\ldots,N. b ( x ) = β P x ∇ H N ( x ) − κ N x , σ j ( x ) = 2 P x e j , j = 1 , … , N .
On each finite horizon, using a measurable representative, the response to a deterministic h ∈ L l o c 2 ( [ 0 , ∞ ) ; R N ) h \in L^2_{\mathrm{loc}}([0,\infty);\mathbb{R}^N) h ∈ L loc 2 ([ 0 , ∞ ) ; R N ) is the zero-initial-state strong solution of the forced linearized equation
d V t = D b ( X t ) [ V t ] d t + P X t h ( t ) d t + ∑ j = 1 N D σ j ( X t ) [ V t ] d B t j , V 0 = 0. (32) \mathrm{d}V_t = Db(X_t)[V_t]\,\mathrm{d}t + P_{X_t}h(t)\,\mathrm{d}t + \sum_{j=1}^{N}D\sigma_j(X_t)[V_t]\,\mathrm{d}B_t^j,\qquad V_0=0. \tag*{(32)} d V t = D b ( X t ) [ V t ] d t + P X t h ( t ) d t + j = 1 ∑ N D σ j ( X t ) [ V t ] d B t j , V 0 = 0. (32)
It is constructed on each finite horizon in the space of predictable square-integrable processes. For each fixed waiting time u ≥ 0 u \ge0 u ≥ 0 and finite horizon H ≥ u H \ge u H ≥ u , the response matrix U N ( t , u ) U_N(t,u) U N ( t , u ) , u ≤ t ≤ H u \le t \le H u ≤ t ≤ H , is the continuous adapted matrix whose columns solve the homogeneous variational equation along the actual trajectory X X X :
d ( U N ( t , u ) v ) = D b ( X t ) [ U N ( t , u ) v ] d t + ∑ j = 1 N D σ j ( X t ) [ U N ( t , u ) v ] d B t j , \mathrm{d}\bigl(U_N(t,u)v\bigr)=Db(X_t)[U_N(t,u)v]\,\mathrm{d}t+\sum_{j=1}^{N}D\sigma_j(X_t)[U_N(t,u)v]\,\mathrm{d}B_t^j, d ( U N ( t , u ) v ) = D b ( X t ) [ U N ( t , u ) v ] d t + j = 1 ∑ N D σ j ( X t ) [ U N ( t , u ) v ] d B t j ,
U N ( u , u ) v = P X u v , (33) U_N(u,u)v=P_{X_u}v, \tag*{(33)} U N ( u , u ) v = P X u v , (33)
for v ∈ R N v \in\mathbb{R}^N v ∈ R N . The equation is constructed from the N N N coordinate columns; linearity and pathwise uniqueness identify every direction with their linear combination. The choices on different finite horizons agree on their common time interval, on one event for all vectors. The matrix acts as zero in the normal direction X u X_u X u and maps every vector into T X t S N T_{X_t}S_N T X t S N . For each fixed H > u H>u H > u , its terminal values are also the Fréchet derivatives into L 2 ( P B ; R N ) L^2(\mathbb{P}_B;\mathbb{R}^N) L 2 ( P B ; R N ) of the nonlinear solution restarted at X u + P X u v X_u+P_{X_u}v X u + P X u v , evaluated at v = 0 v=0 v = 0 . For this ambient restart, choose smooth compactly supported extensions agreeing with the displayed coefficients on a neighborhood of the sphere; the variational equation along X X X uses those physical coefficients. This definition needs no simultaneous samplewise smoothness in all starting points. For classical background on smooth spatial stochastic flows, see [101, Section 1, pp. 1022–1023] and [102, Section 4.6, Theorem 4.6.5, p. 173].
For every such deterministic h h h , the forced variational equation has the Bochner integral representation in L 2 ( P B ; R N ) L^2(\mathbb{P}_B;\mathbb{R}^N) L 2 ( P B ; R N ) ,
V t = ∫ 0 t U N ( t , u ) h ( u ) d u . (34) V_t=\int_0^t U_N(t,u)h(u)\,\mathrm{d}u. \tag*{(34)} V t = ∫ 0 t U N ( t , u ) h ( u ) d u . (34)
To justify the representation, first take a bounded continuous force on a fixed horizon. Integrating the causal homogeneous response in its forcing time and applying stochastic Fubini gives the forced variational equation; pathwise uniqueness identifies the result with V V V . The fixed-horizon L 2 L^2 L 2 estimates make both the forced terminal solution and the kernel integral continuous linear maps of the deterministic force in L 2 ( [ 0 , T ] ; R N ) L^2([0,T];\mathbb{R}^N) L 2 ([ 0 , T ] ; R N ) . Density of bounded continuous functions extends the identity to every deterministic L 2 L^2 L 2 force. The same causal-source argument applies to bounded continuous adapted random directions, including the disorder directions used in Proposition 4.1. In words, U N ( t , u ) U_N(t,u) U N ( t , u ) is the homogeneous linearized response to a tangent-projected impulse at time u u u . We define its annealed normalized trace by
r ˉ N ( t , u ) = 1 N E tr U N ( t , u ) , 0 ≤ u ≤ t . (35) \bar r_N(t,u)=\frac{1}{N}\mathbb{E}\operatorname{tr}U_N(t,u), \qquad0\le u\le t. \tag*{(35)} r ˉ N ( t , u ) = N 1 E tr U N ( t , u ) , 0 ≤ u ≤ t . (35)
This expectation is finite by the fourth-moment bound (4.4) below. The finite-N N N diagonal is r ˉ N ( t , t ) = κ N \bar r_N(t,t)=\kappa_N r ˉ N ( t , t ) = κ N , because U N ( t , t ) = P X t U_N(t,t)=P_{X_t} U N ( t , t ) = P X t and tr P x = N − 1 \operatorname{tr}P_x=N-1 tr P x = N − 1 on S N S_N S N ; the limiting response will have diagonal value one.
Remark 3.1 (The equilibrium fluctuation–dissipation relation in this convention). In this convention, stationary equilibrium FDT reads r = − c ′ r=-c' r = − c ′ , with no factor of β \beta β ; at lag zero, the derivative is taken from the right. To see this, fix J J J and let P τ H = e τ L N P_\tau^H=e^{\tau\mathcal{L}_N} P τ H = e τ L N . For the Gibbs initial law, the correlation and response at lag τ \tau τ are
c N , G ( τ ) = 1 N ∑ i = 1 N ∫ x i P τ H x i g N d ω N , r N , G ( τ ) = 1 N ∑ i = 1 N ∫ ∇ S x i ⋅ ∇ S P τ H x i g N d ω N . c_{N,G}(\tau)=\frac{1}{N}\sum_{i=1}^{N}\int x_iP_\tau^H x_i g_N\,d\omega_N,\qquad
r_{N,G}(\tau)=\frac{1}{N}\sum_{i=1}^{N}\int\nabla_Sx_i\cdot\nabla_SP_\tau^H x_i g_N\,d\omega_N. c N , G ( τ ) = N 1 i = 1 ∑ N ∫ x i P τ H x i g N d ω N , r N , G ( τ ) = N 1 i = 1 ∑ N ∫ ∇ S x i ⋅ ∇ S P τ H x i g N d ω N .
The second formula is the trace of the mean of U N U_N U N for the Gibbs initial law. The actual tangent-projected restart is Fréchet differentiable into L 2 L^2 L 2 , and the bounded linear expectation operator commutes with that derivative. The Markov restart property identifies the expected response with the expected derivative of P t − u H id P_{t-u}^H\operatorname{id} P t − u H id at the waiting state. Gibbs stationarity then gives the displayed integral, whose integrand is ∑ i ∇ S x i ⋅ ∇ S P t − u H x i \sum_i\nabla_Sx_i\cdot\nabla_SP_{t-u}^H x_i ∑ i ∇ S x i ⋅ ∇ S P t − u H x i because ∇ S x i = P x e i \nabla_Sx_i=P_xe_i ∇ S x i = P x e i . The fixed-disorder moment estimate (4.3) ensures integrability. Since L N \mathcal{L}_N L N is symmetric with respect to g N d ω N g_N\,d\omega_N g N d ω N , we have
c N , G ′ ( τ ) = 1 N ∑ i = 1 N ∫ x i L N P τ H x i g N d ω N = − r N , G ( τ ) . c'_{N,G}(\tau)=\frac{1}{N}\sum_{i=1}^{N}\int x_i\mathcal{L}_NP_\tau^H x_i g_N\,d\omega_N=-r_{N,G}(\tau). c N , G ′ ( τ ) = N 1 i = 1 ∑ N ∫ x i L N P τ H x i g N d ω N = − r N , G ( τ ) .
A force written as β P x h \beta P_xh β P x h would have response β r N , G \beta r_{N,G} β r N , G , and the relation would read r = − β c ′ r=-\beta c' r = − β c ′ in that convention.
The hard-spherical CK system
By a solution of the hard-spherical CK system, we mean a triple ( C , R , λ ) (C,R,\lambda) ( C , R , λ ) of continuous functions, with C C C defined and symmetric on [ 0 , ∞ ) 2 [0,\infty)^2 [ 0 , ∞ ) 2 , R R R defined on the causal triangle { ( t , s ) : 0 ≤ s ≤ t } \{(t,s):0\le s\le t\} {( t , s ) : 0 ≤ s ≤ t } , and λ \lambda λ defined on [ 0 , ∞ ) [0,\infty) [ 0 , ∞ ) , such that, for every s ≥ 0 s\ge0 s ≥ 0 , the functions t ↦ C ( t , s ) t \mapsto C(t,s) t ↦ C ( t , s ) and t ↦ R ( t , s ) t \mapsto R(t,s) t ↦ R ( t , s ) are continuously differentiable on [ s , ∞ ) [s,\infty) [ s , ∞ ) and satisfy, for t ≥ s t \ge s t ≥ s ,
∂ t R ( t , s ) = − λ ( t ) R ( t , s ) + β 2 ∫ s t ξ ′ ′ ( C ( t , u ) ) R ( t , u ) R ( u , s ) d u (36) \partial_t R(t,s)=-\lambda(t)R(t,s)+\beta^2\int_s^t \xi''(C(t,u))R(t,u)R(u,s)\,\mathrm{d}u \tag*{(36)} ∂ t R ( t , s ) = − λ ( t ) R ( t , s ) + β 2 ∫ s t ξ ′′ ( C ( t , u )) R ( t , u ) R ( u , s ) d u (36)
∂ t C ( t , s ) = − λ ( t ) C ( t , s ) + β 2 ∫ 0 t ξ ′ ′ ( C ( t , u ) ) R ( t , u ) C ( u , s ) d u + β 2 ∫ 0 s ξ ′ ( C ( t , u ) ) R ( s , u ) d u , (37) \begin{aligned}
\partial_t C(t,s)&=-\lambda(t)C(t,s)+\beta^2\int_0^t \xi''(C(t,u))R(t,u)C(u,s)\,\mathrm{d}u\\
&\quad+\beta^2\int_0^s \xi'(C(t,u))R(s,u)\,\mathrm{d}u, \tag*{(37)}
\end{aligned} ∂ t C ( t , s ) = − λ ( t ) C ( t , s ) + β 2 ∫ 0 t ξ ′′ ( C ( t , u )) R ( t , u ) C ( u , s ) d u + β 2 ∫ 0 s ξ ′ ( C ( t , u )) R ( s , u ) d u , (37)
λ ( t ) = 1 + β 2 ∫ 0 t [ ξ ′ ( C ( t , u ) ) + C ( t , u ) ξ ′ ′ ( C ( t , u ) ) ] R ( t , u ) d u = 1 + β 2 p 2 ∫ 0 t C ( t , u ) p − 1 R ( t , u ) d u , (38) \begin{aligned}
\lambda(t)&=1+\beta^2\int_0^t\left[\xi'(C(t,u))+C(t,u)\xi''(C(t,u))\right]R(t,u)\,\mathrm{d}u\\
&=1+\beta^2p^2\int_0^t C(t,u)^{p-1}R(t,u)\,\mathrm{d}u, \tag*{(38)}
\end{aligned} λ ( t ) = 1 + β 2 ∫ 0 t [ ξ ′ ( C ( t , u )) + C ( t , u ) ξ ′′ ( C ( t , u )) ] R ( t , u ) d u = 1 + β 2 p 2 ∫ 0 t C ( t , u ) p − 1 R ( t , u ) d u , (38)
with the boundary data
C ( t , t ) = R ( t , t ) = 1 , t ≥ 0. (39) C(t,t)=R(t,t)=1,\qquad t\ge0. \tag*{(39)} C ( t , t ) = R ( t , t ) = 1 , t ≥ 0. (39)
At t = s t=s t = s , the derivatives are one-sided. The second line of (38) holds because ξ ′ ( q ) + q ξ ′ ′ ( q ) = p q p − 1 + p ( p − 1 ) q p − 1 = p 2 q p − 1 \xi'(q)+q\xi''(q)=pq^{p-1}+p(p-1)q^{p-1}=p^2q^{p-1} ξ ′ ( q ) + q ξ ′′ ( q ) = p q p − 1 + p ( p − 1 ) q p − 1 = p 2 q p − 1 .
The correlation equation (37) describes C C C only on the causal side t ≥ s t\ge s t ≥ s , and the diagonal requires a word. At s = t s=t s = t , the symmetry C ( u , t ) = C ( t , u ) C(u,t)=C(t,u) C ( u , t ) = C ( t , u ) and (38) turn (37) into
∂ t C ( t , s ) ∣ s = t = − λ ( t ) + ( λ ( t ) − 1 ) = − 1. (40) \left.\partial_t C(t,s)\right|_{s=t}=-\lambda(t)+(\lambda(t)-1)=-1. \tag*{(40)} ∂ t C ( t , s ) ∣ s = t = − λ ( t ) + ( λ ( t ) − 1 ) = − 1. (40)
The derivative in (40) holds the earlier argument fixed and approaches the diagonal from the causal side. The function t ↦ C ( t , t ) t\mapsto C(t,t) t ↦ C ( t , t ) is constant; its derivative is zero. For the diffusion, Itô’s formula gives d ( X t ⋅ X t ) / N = 2 X t ⋅ d X t / N + 2 κ N d t \mathrm{d}(X_t\cdot X_t)/N=2X_t\cdot\mathrm{d}X_t/N+2\kappa_N\,\mathrm{d}t d ( X t ⋅ X t ) / N = 2 X t ⋅ d X t / N + 2 κ N d t , where the drift part of 2 X t ⋅ d X t / N 2X_t\cdot\mathrm{d}X_t/N 2 X t ⋅ d X t / N is − 2 κ N d t -2\kappa_N\,\mathrm{d}t − 2 κ N d t . Thus the inward drift and the quadratic variation balance exactly at finite N N N , and their coefficients tend to − 2 -2 − 2 and + 2 +2 + 2 as N → ∞ N\to\infty N → ∞ . The multiplier λ \lambda λ enforces the limiting balance and keeps C ( t , t ) = 1 C(t,t)=1 C ( t , t ) = 1 ; this is the meaning of the term 1 in (38) .
We write
e β ( t ) = β p ∫ 0 t C ( t , u ) p − 1 R ( t , u ) d u , χ ( t , s ) = ∫ s t R ( t , u ) d u . (41) e_\beta(t)=\beta p\int_0^t C(t,u)^{p-1}R(t,u)\,\mathrm{d}u,\qquad\chi(t,s)=\int_s^t R(t,u)\,\mathrm{d}u. \tag*{(41)} e β ( t ) = β p ∫ 0 t C ( t , u ) p − 1 R ( t , u ) d u , χ ( t , s ) = ∫ s t R ( t , u ) d u . (41)
By (38) , we have λ ( t ) = 1 + p β e β ( t ) \lambda(t)=1+p\beta e_\beta(t) λ ( t ) = 1 + pβ e β ( t ) , and Proposition 4.1 shows that e β ( t ) e_\beta(t) e β ( t ) is the limit of the mean energy N − 1 E H N ( X t ) N^{-1}EH_N(X_t) N − 1 E H N ( X t ) . The quantity χ ( t , s ) \chi(t,s) χ ( t , s ) is the integrated response, or susceptibility.
We use the following published facts throughout the paper.
Proposition 3.2 (Well-posedness and positivity). The hard-spherical CK system (36) –(39) has a unique solution ( C , R , λ ) (C,R,\lambda) ( C , R , λ ) . It satisfies
0 ≤ C ( t , s ) ≤ 1 ( s , t ≥ 0 ) , R ( t , s ) ≥ 0 ( t ≥ s ≥ 0 ) , (42) 0\le C(t,s)\le1\quad(s,t\ge0),\qquad R(t,s)\ge0\quad(t\ge s\ge0), \tag*{(42)} 0 ≤ C ( t , s ) ≤ 1 ( s , t ≥ 0 ) , R ( t , s ) ≥ 0 ( t ≥ s ≥ 0 ) , (42)
and C C C is a positive-semidefinite kernel: for all n ≥ 1 n \ge1 n ≥ 1 , times t 1 , … , t n ≥ 0 t_1,\ldots,t_n \ge0 t 1 , … , t n ≥ 0 , and a ∈ R n a \in\mathbb{R}^n a ∈ R n , we have
∑ i , j = 1 n a i a j C ( t i , t j ) ≥ 0. \sum_{i,j=1}^{n} a_i a_j C(t_i,t_j) \ge0. i , j = 1 ∑ n a i a j C ( t i , t j ) ≥ 0.
Existence and uniqueness, the bounds (42) , and the positive semidefiniteness of C C C are proved by Dembo, Guionnet, and Mazza [60, arXiv version 1, Proposition 1.1, p. 4, and Lemma 2.1, p. 6] for the hard-spherical equations in the noise-one convention recalled in Section 3.3. Their hypotheses are met by the polynomial ξ ( q ) = q p \xi(q)=q^p ξ ( q ) = q p , the initial value C ( 0 , 0 ) = 1 C(0,0)=1 C ( 0 , 0 ) = 1 , and any fixed temperature; their Proposition 1.1 has no restriction to high temperature. Existence and uniqueness in the noise-one convention are also recorded in [112, arXiv version 5, Proposition 4.2, p. 23]. The time change (46) below, which is a bijection between solutions of the two systems, transfers all of these properties to (3.9)–(3.12). The positive semidefiniteness of C C C can also be read off from Proposition 3.3 . For fixed times t i t_i t i and coefficients a i a_i a i , we have
∑ i , j = 1 n a i a j C N ( t i , t j ) = 1 N ∥ ∑ i = 1 n a i X t i ∥ 2 ≥ 0 , \sum_{i,j=1}^{n} a_i a_j C_N(t_i,t_j)=\frac{1}{N}\left\|\sum_{i=1}^{n}a_iX_{t_i}\right\|^2\ge0, i , j = 1 ∑ n a i a j C N ( t i , t j ) = N 1 i = 1 ∑ n a i X t i 2 ≥ 0 ,
and the left side converges in probability to ∑ i , j a i a j C ( t i , t j ) \sum_{i,j}a_i a_j C(t_i,t_j) ∑ i , j a i a j C ( t i , t j ) .
We record two consequences that are used constantly. Because C C C and R R R are continuous, each of them is bounded on every compact set of its domain. The right sides of (36) and (37) are continuous on the causal triangle { 0 ≤ s ≤ t } \{0\le s\le t\} { 0 ≤ s ≤ t } , and so are the partial derivatives ∂ t R \partial_tR ∂ t R and ∂ t C \partial_tC ∂ t C .
Comparison of conventions
The factors of two in the CK equations depend on the noise amplitude, on the normalization of time, temperature, and covariance, and on how an external force enters the drift. We compare our convention with the two conventions of the works on which we rely.
The noise-one convention. The works of Ben Arous, Dembo, and Guionnet [24], of Dembo, Guionnet, and Mazza [60], and of Sellke [112] use the noise coefficient one. On S N S_N S N , the generator is
1 2 Δ S + α ∇ S H N ⋅ ∇ S , \frac{1}{2}\Delta_{S}+\alpha\nabla_{S}H_N\cdot\nabla_{S}, 2 1 Δ S + α ∇ S H N ⋅ ∇ S ,
with the same covariance N ξ ( x ⋅ y / N ) N\xi(x\cdot y/N) N ξ ( x ⋅ y / N ) . Here α > 0 \alpha>0 α > 0 is the drift coefficient, which Sellke denotes by β \beta β ; his Gibbs measure is proportional to e 2 α H N e^{2\alpha H_N} e 2 α H N [112, arXiv version 5, Equation (1.2) and the following paragraph, p. 2]. In [60], the dynamics descends a Hamiltonian, and reversing its sign gives the law of H N H_N H N . In [24, Equations (1.2), (1.6), and (1.7)], specialized to ν ( q ) = q p \nu(q)=q^p ν ( q ) = q p , the displayed Hamiltonian H B A G H^{\mathrm{BAG}} H BAG has the law of − 2 H N -2H_N − 2 H N , and the force in the drift is − ∇ H B A G / 2 -\nabla H^{\mathrm{BAG}}/2 − ∇ H BAG /2 , which has the law of ∇ H N \nabla H_N ∇ H N . If x v x_v x v is the noise-one diffusion with α = β / 2 \alpha=\beta/2 α = β /2 , then X t = x 2 t X_t=x_{2t} X t = x 2 t is our diffusion; this is Step 1 of the proof of Proposition 3.3 .
Under this time change, the multiplier of the noise-one system is multiplied by two, its memory coefficient α 2 \alpha^2 α 2 is multiplied by four, and its noise diagonal one becomes two. This produces exactly (3.9)–(3.11). We do not rescale the covariance N ξ N\xi N ξ .
The convention of Cugliandolo and Kurchan. In [51, Equations (1)–(4)], the couplings J i 1 ⋯ i p J_{i_1\cdots i_p} J i 1 ⋯ i p , i 1 < ⋯ < i p i_1<\cdots<i_p i 1 < ⋯ < i p , have variance p ! / ( 2 N p − 1 ) p!/(2N^{p-1}) p ! / ( 2 N p − 1 ) , so that the Hamiltonian H C K H^{\mathrm{CK}} H CK has covariance N ( x ⋅ y / N ) p / 2 N(x\cdot y/N)^p/2 N ( x ⋅ y / N ) p /2 up to terms that do not affect the limiting equations, and the energy is minimized. The Langevin equation is ∂ t s = − β C K ∇ H C K ( s ) − z ( t ) s + η \partial_t s=-\beta^{\mathrm{CK}}\nabla H^{\mathrm{CK}}(s)-z(t)s+\eta ∂ t s = − β CK ∇ H CK ( s ) − z ( t ) s + η , with white noise of variance 2 2 2 , and the response has diagonal value one. At the level of the limiting CK equations, the covariance of − 2 H C K -\sqrt{2}H^{\mathrm{CK}} − 2 H CK has the normalization of the covariance of H N H_N H N , and the identification is
H N ↔ − 2 H C K , β C K = 2 β H_N\leftrightarrow-\sqrt{2}H^{\mathrm{CK}},\qquad\beta^{\mathrm{CK}}=\sqrt{2}\,\beta H N ↔ − 2 H CK , β CK = 2 β
with no change of time. With these substitutions, the causal forms of equations (3)–(4) of [51], for t > s t>s t > s , coincide with (3.9)–(3.10),1 their multiplier z ( t ) = 1 − p β C K E ( t ) z(t)=1-p\beta^{\mathrm{CK}}E(t) z ( t ) = 1 − p β CK E ( t ) is λ ( t ) \lambda(t) λ ( t ) , and their energy per spin is E ( t ) = − e β ( t ) / 2 E(t)=-e_\beta(t)/\sqrt{2} E ( t ) = − e β ( t ) / 2 . Their equation (7) for the threshold plateau is the marginality relation β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 \beta^2p(p-1)q^{p-2}(1-q)^2=1 β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 .
Table 3.1 collects the dictionary.
In our convention, the predicted dynamical transition ( β d , q d ) (\beta_d,q_d) ( β d , q d ) is the point of the marginality curve β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 \beta^2p(p-1)q^{p-2}(1-q)^2=1 β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 at which x = ( p − 2 ) ( 1 − q ) / q x=(p-2)(1-q)/q x = ( p − 2 ) ( 1 − q ) / q equals one; see the text after equation (12) and the concluding discussion in [51]. The condition x = 1 x=1 x = 1 gives q d = ( p − 2 ) / ( p − 1 ) q_d=(p-2)/(p-1) q d = ( p − 2 ) / ( p − 1 ) . Substituting this value into the marginality relation, we obtain β d 2 = ( p − 1 ) p − 1 / ( p ( p − 2 ) p − 2 ) \beta_d^2=(p-1)^{p-1}/(p(p-2)^{p-2}) β d 2 = ( p − 1 ) p − 1 / ( p ( p − 2 ) p − 2 ) . Equivalently, β d 2 = 1 / ( p g ( q d ) ) \beta_d^2=1/(p\,g(q_d)) β d 2 = 1/ ( p g ( q d )) with g ( q ) = q p − 2 ( 1 − q ) g(q)=q^{p-2}(1-q) g ( q ) = q p − 2 ( 1 − q ) . Indeed, we have g ′ ( q ) = q p − 3 [ ( p − 2 ) − ( p − 1 ) q ] g'(q)=q^{p-3}[(p-2)-(p-1)q] g ′ ( q ) = q p − 3 [( p − 2 ) − ( p − 1 ) q ] , and g g g is maximal on [ 0 , 1 ] [0,1] [ 0 , 1 ] at q d q_d q d , with g ( q d ) = ( p − 2 ) p − 2 / ( p − 1 ) p − 1 g(q_d)=(p-2)^{p-2}/(p-1)^{p-1} g ( q d ) = ( p − 2 ) p − 2 / ( p − 1 ) p − 1 .
The bridge on fixed time horizons
The CK equations describe the diffusion (30) only after we send the dimension to infinity on a fixed time horizon. Three published results combine to give this limit. Ben Arous, Dembo, and Guionnet proved the limit for the soft-spherical diffusion, including the empirical correlation and the Brownian observable for the integrated response [24, arXiv version 1, Equation (1.9), p. 4, and Theorem 1.2, p. 5]. Dembo, Guionnet, and Mazza proved that the deterministic soft-spherical equations converge to the hard-spherical ones [60, Proposition 1.1 and its proof]. The convergence of the deterministic equations is not by itself a statement about the hard-spherical diffusion. Sellke proved the convergence theorem for the hard-spherical diffusion itself [112, arXiv version 5, Theorem 4.3, p. 23], by coupling it with soft-spherical diffusions [112, arXiv version 5, Lemma 3.1, pp. 16–18]. We use Sellke’s theorem for the correlation and for the Brownian observable. The next proposition states it in our normalization.
Proposition 3.3 (The bridge on fixed time horizons). Let ( C , R , λ ) (C,R,\lambda) ( C , R , λ ) be the solution of the hard-spherical CK system of Proposition 3.2, and let
C N ( t , s ) = X t ⋅ X s N , Γ N ( t , s ) = X t ⋅ B s 2 N . C_N(t,s) = \frac{X_t \cdot X_s}{N}, \qquad\Gamma_N(t,s) = \frac{X_t \cdot B_s}{\sqrt{2N}}. C N ( t , s ) = N X t ⋅ X s , Γ N ( t , s ) = 2 N X t ⋅ B s . For every fixed $0 \le T < \infty, w e h a v e , u n i f o r m l y o n $ 0 ≤ s ≤ t ≤ T , we have, uniformly on \$0 \le s \le t \le T , w e ha v e , u ni f or m l y o n $0 ≤ s ≤ t ≤ T ,
C N ( t , s ) ⟶ C ( t , s ) , Γ N ( t , s ) ⟶ ∫ 0 s R ( t , u ) d u in probability . (43) C_N(t,s) \longrightarrow C(t,s), \qquad\Gamma_N(t,s) \longrightarrow\int_0^s R(t,u)\,\mathrm{d}u \quad\text{in probability}. \tag*{(43)} C N ( t , s ) ⟶ C ( t , s ) , Γ N ( t , s ) ⟶ ∫ 0 s R ( t , u ) d u in probability . (43) That is, for every ε > 0 \varepsilon> 0 ε > 0 ,
lim N → ∞ P ( sup 0 ≤ s ≤ t ≤ T { ∣ C N ( t , s ) − C ( t , s ) ∣ + ∣ Γ N ( t , s ) − ∫ 0 s R ( t , u ) d u ∣ } > ε ) = 0. (44) \lim_{N\to\infty} \mathbb{P}\left(\sup_{0\le s\le t\le T}\left\{\left|C_N(t,s)-C(t,s)\right|+\left|\Gamma_N(t,s)-\int_0^s R(t,u)\,\mathrm{d}u\right|\right\}>\varepsilon\right)=0. \tag*{(44)} N → ∞ lim P ( 0 ≤ s ≤ t ≤ T sup { ∣ C N ( t , s ) − C ( t , s ) ∣ + Γ N ( t , s ) − ∫ 0 s R ( t , u ) d u } > ε ) = 0. (44) Both convergences also hold after taking expectations, uniformly on the same triangle. The limiting response satisfies R ( t , t ) = 1 R(t,t)=1 R ( t , t ) = 1 .
Proof. The proof has five steps. In Step 1, we write our diffusion as a time change of Sellke’s diffusion. In Steps 2 and 3, we check that the same time change maps Sellke’s CK kernels to the solution of (3.9)–(3.12) and his Brownian observable to Γ N \Gamma_N Γ N ; this proves (43) for a deterministic initial point. In Step 4, we use a rotation to extend the convergence to the uniform initial point. In Step 5, we prove the convergence of expectations by a uniform integrability bound.
Step 1: the time change. Sellke’s diffusion [112, arXiv version 5, Equation (1.2), p. 2] has noise coefficient one and drift coefficient α \alpha α (which Sellke denotes by β \beta β ):
d x v = α P x v ∇ H N ( x v ) d v + P x v d W v − κ N 2 x v d v (45) \mathrm{d}x_v=\alpha P_{x_v}\nabla H_N(x_v)\,\mathrm{d}v+P_{x_v}\,\mathrm{d}W_v-\frac{\kappa_N}{2}x_v\,\mathrm{d}v \tag*{(45)} d x v = α P x v ∇ H N ( x v ) d v + P x v d W v − 2 κ N x v d v (45)
where W W W is a standard Brownian motion in R N \mathbb{R}^N R N and H N H_N H N is the Hamiltonian (28) . We take α = β / 2 \alpha=\beta/2 α = β /2 . Given our X 0 X_0 X 0 , J J J , and B B B , let
W v = 2 B v / 2 , x v = X v / 2 , v ≥ 0. W_v=\sqrt{2}B_{v/2},\qquad x_v=X_{v/2},\qquad v\geq0. W v = 2 B v /2 , x v = X v /2 , v ≥ 0.
Then W W W is a standard Brownian motion with respect to the filtration ( F v / 2 ) v ≥ 0 (\mathcal{F}_{v/2})_{v\geq0} ( F v /2 ) v ≥ 0 , where ( F t ) (\mathcal{F}_t) ( F t ) is the filtration of X 0 X_0 X 0 , J J J , and B B B . For a continuous adapted integrand G G G , we have
∫ 0 v / 2 G r d r = 1 2 ∫ 0 v G w / 2 d w and 2 ∫ 0 v / 2 G r d B r = ∫ 0 v G w / 2 d W w . \int_0^{v/2}G_r\,\mathrm{d}r=\frac{1}{2}\int_0^vG_{w/2}\,\mathrm{d}w
\qquad\text{and}\qquad
\sqrt{2}\int_0^{v/2}G_r\,\mathrm{d}B_r=\int_0^vG_{w/2}\,\mathrm{d}W_w. ∫ 0 v /2 G r d r = 2 1 ∫ 0 v G w /2 d w and 2 ∫ 0 v /2 G r d B r = ∫ 0 v G w /2 d W w .
Inserting these two identities into the integral form of (30) at time v / 2 v/2 v /2 , we obtain
x v = x 0 + ∫ 0 v [ β 2 P x w ∇ H N ( x w ) − κ N 2 x w ] d w + ∫ 0 v P x w d W w . x_v=x_0+\int_0^v\left[\frac{\beta}{2}P_{x_w}\nabla H_N(x_w)-\frac{\kappa_N}{2}x_w\right]\mathrm{d}w+\int_0^vP_{x_w}\,\mathrm{d}W_w. x v = x 0 + ∫ 0 v [ 2 β P x w ∇ H N ( x w ) − 2 κ N x w ] d w + ∫ 0 v P x w d W w .
which is (3.18) with α = β / 2 \alpha=\beta/2 α = β /2 . Conversely, X t = x 2 t X_t=x_{2t} X t = x 2 t and B t = W 2 t / 2 B_t=W_{2t}/\sqrt{2} B t = W 2 t / 2 . The disorder and the initial point are unchanged, and they remain independent of W W W .
Step 2: the CK kernels. Let C S C^{S} C S , R S R^{S} R S , and μ S \mu^{S} μ S be the hard-spherical CK kernels and multiplier of [112, arXiv version 5, Definition 4, pp. 22–23] with parameter α \alpha α ; by [112, arXiv version 5, Proposition 4.2, p. 23], which rests on [24, arXiv version 1, Theorem 1.2, p. 5] and the proof of [60, Proposition 1.1], they are the unique continuous, locally bounded solution of the following system. In our notation for ζ \zeta ζ , and with the later time first as in [112], they solve, for v ≥ w ≥ 0 v\geq w\geq0 v ≥ w ≥ 0 ,
∂ v R S ( v , w ) = − μ S ( v ) R S ( v , w ) + α 2 ∫ w v ζ ′ ′ ( C S ( v , y ) ) R S ( v , y ) R S ( y , w ) d y , \partial_vR^{S}(v,w)=-\mu^{S}(v)R^{S}(v,w)+\alpha^2\int_w^v\zeta''\bigl(C^{S}(v,y)\bigr)R^{S}(v,y)R^{S}(y,w)\,\mathrm{d}y, ∂ v R S ( v , w ) = − μ S ( v ) R S ( v , w ) + α 2 ∫ w v ζ ′′ ( C S ( v , y ) ) R S ( v , y ) R S ( y , w ) d y ,
∂ v C S ( v , w ) = − μ S ( v ) C S ( v , w ) + α 2 ∫ 0 v ζ ′ ′ ( C S ( v , y ) ) R S ( v , y ) C S ( y , w ) d y + α 2 ∫ 0 w ζ ′ ( C S ( v , y ) ) R S ( w , y ) d y , \begin{aligned}
\partial_vC^{S}(v,w)
={}&-\mu^{S}(v)C^{S}(v,w)+\alpha^2\int_0^v\zeta''\bigl(C^{S}(v,y)\bigr)R^{S}(v,y)C^{S}(y,w)\,\mathrm{d}y\\
&+\alpha^2\int_0^w\zeta'\bigl(C^{S}(v,y)\bigr)R^{S}(w,y)\,\mathrm{d}y,
\end{aligned} ∂ v C S ( v , w ) = − μ S ( v ) C S ( v , w ) + α 2 ∫ 0 v ζ ′′ ( C S ( v , y ) ) R S ( v , y ) C S ( y , w ) d y + α 2 ∫ 0 w ζ ′ ( C S ( v , y ) ) R S ( w , y ) d y ,
μ S ( v ) = 1 2 + α 2 p 2 ∫ 0 v C S ( v , y ) p − 1 R S ( v , y ) d y . \mu^{S}(v)=\frac{1}{2}+\alpha^2p^2\int_0^vC^{S}(v,y)^{p-1}R^{S}(v,y)\,\mathrm{d}y. μ S ( v ) = 2 1 + α 2 p 2 ∫ 0 v C S ( v , y ) p − 1 R S ( v , y ) d y .
with C S ( v , v ) = R S ( v , v ) = 1 C^{\mathrm{S}}(v,v)=R^{\mathrm{S}}(v,v)=1 C S ( v , v ) = R S ( v , v ) = 1 . We claim that
C ( t , s ) = C S ( 2 t , 2 s ) , R ( t , s ) = R S ( 2 t , 2 s ) , λ ( t ) = 2 μ S ( 2 t ) . (46) C(t,s)=C^{\mathrm{S}}(2t,2s),\qquad R(t,s)=R^{\mathrm{S}}(2t,2s),\qquad\lambda(t)=2\mu^{\mathrm{S}}(2t). \tag*{(46)} C ( t , s ) = C S ( 2 t , 2 s ) , R ( t , s ) = R S ( 2 t , 2 s ) , λ ( t ) = 2 μ S ( 2 t ) . (46)
Let C ~ \widetilde{C} C , R ~ \widetilde{R} R , and λ ~ \widetilde{\lambda} λ denote the right sides of (46) . By the uniqueness in Proposition 3.2, it suffices to show that ( C ~ , R ~ , λ ~ ) (\widetilde{C},\widetilde{R},\widetilde{\lambda}) ( C , R , λ ) solves (3.9)–(3.12). The boundary data are immediate. For the multiplier, the substitution y = 2 u y=2u y = 2 u gives
λ ~ ( t ) = 1 + 2 α 2 p 2 ∫ 0 2 t C S ( 2 t , y ) p − 1 R S ( 2 t , y ) d y = 1 + 4 α 2 p 2 ∫ 0 t C ~ ( t , u ) p − 1 R ~ ( t , u ) d u , \widetilde{\lambda}(t)=1+2\alpha^{2}p^{2}\int_{0}^{2t}C^{\mathrm{S}}(2t,y)^{p-1}R^{\mathrm{S}}(2t,y)\,\mathrm{d}y=1+4\alpha^{2}p^{2}\int_{0}^{t}\widetilde{C}(t,u)^{p-1}\widetilde{R}(t,u)\,\mathrm{d}u, λ ( t ) = 1 + 2 α 2 p 2 ∫ 0 2 t C S ( 2 t , y ) p − 1 R S ( 2 t , y ) d y = 1 + 4 α 2 p 2 ∫ 0 t C ( t , u ) p − 1 R ( t , u ) d u ,
which is (38) since 4 α 2 = β 2 4\alpha^{2}=\beta^{2} 4 α 2 = β 2 . For the response, we have ∂ t R ~ ( t , s ) = 2 ( ∂ v R S ) ( 2 t , 2 s ) \partial_t\widetilde{R}(t,s)=2(\partial_vR^{\mathrm{S}})(2t,2s) ∂ t R ( t , s ) = 2 ( ∂ v R S ) ( 2 t , 2 s ) by the chain rule, and the substitution y = 2 u y=2u y = 2 u in the memory integral yields
∂ t R ~ ( t , s ) = − 2 μ S ( 2 t ) R ~ ( t , s ) + 4 α 2 ∫ s t ξ ′ ′ ( C ~ ( t , u ) ) R ~ ( t , u ) R ~ ( u , s ) d u . \partial_t\widetilde{R}(t,s)=-2\mu^{\mathrm{S}}(2t)\widetilde{R}(t,s)+4\alpha^{2}\int_s^t\xi''(\widetilde{C}(t,u))\widetilde{R}(t,u)\widetilde{R}(u,s)\,\mathrm{d}u. ∂ t R ( t , s ) = − 2 μ S ( 2 t ) R ( t , s ) + 4 α 2 ∫ s t ξ ′′ ( C ( t , u )) R ( t , u ) R ( u , s ) d u .
This is (36) . Each memory term acquires the coefficient 4 α 2 = β 2 4\alpha^{2}=\beta^{2} 4 α 2 = β 2 , with one factor of two from differentiating in the new time and the other from changing the integration variable. The same computation, applied to the two memory integrals of the correlation equation, yields (37) . This proves (46) .
Step 3: the observables and a deterministic initial point. Fix x 0 ∈ S N x_0\in S_N x 0 ∈ S N , and consider for the moment the diffusion started from the deterministic point X 0 = x 0 X_0=x_0 X 0 = x 0 . Sellke’s theorem [112, arXiv version 5, Theorem 4.3, p. 23] concerns the diffusion (45) started from a deterministic point of S N S_N S N , with the Hamiltonian (28) . Applied on the horizon [ 0 , 2 T ] [0,2T] [ 0 , 2 T ] , it states that, almost surely,
x v ⋅ x w N ⟶ C S ( v , w ) , x v ⋅ W w N ⟶ ∫ 0 w R S ( v , y ) d y , \frac{x_v\cdot x_w}{N}\longrightarrow C^{\mathrm{S}}(v,w),\qquad\frac{x_v\cdot W_w}{N}\longrightarrow\int_0^wR^{\mathrm{S}}(v,y)\,\mathrm{d}y, N x v ⋅ x w ⟶ C S ( v , w ) , N x v ⋅ W w ⟶ ∫ 0 w R S ( v , y ) d y ,
uniformly on 0 ≤ w ≤ v ≤ 2 T 0\leq w\leq v\leq2T 0 ≤ w ≤ v ≤ 2 T , for any coupling of the diffusions in different dimensions. In particular, these convergences hold in probability, which is all we use. The hypotheses of the theorem are satisfied, since the Hamiltonian is the pure p p p -spin Hamiltonian with ordered independent standard Gaussian coefficients, the initial point is deterministic, and the horizon 2 T 2T 2 T and the parameter α = β / 2 \alpha=\beta/2 α = β /2 are fixed as N → ∞ N\to\infty N → ∞ . By Step 1, we have C N ( t , s ) = x 2 t ⋅ x 2 s / N C_N(t,s)=x_{2t}\cdot x_{2s}/N C N ( t , s ) = x 2 t ⋅ x 2 s / N and
Γ N ( t , s ) = X t ⋅ B s 2 N = 1 2 ⋅ x 2 t ⋅ W 2 s N . \Gamma_N(t,s)=\frac{X_t\cdot B_s}{\sqrt{2}N}=\frac{1}{2}\cdot\frac{x_{2t}\cdot W_{2s}}{N}. Γ N ( t , s ) = 2 N X t ⋅ B s = 2 1 ⋅ N x 2 t ⋅ W 2 s .
By (46) and the substitution y = 2 u y=2u y = 2 u , the limit of the latter is
1 2 ∫ 0 2 s R S ( 2 t , y ) d y = ∫ 0 s R S ( 2 t , 2 u ) d u = ∫ 0 s R ( t , u ) d u . \frac{1}{2}\int_0^{2s}R^{\mathrm{S}}(2t,y)\,\mathrm{d}y=\int_0^sR^{\mathrm{S}}(2t,2u)\,\mathrm{d}u=\int_0^sR(t,u)\,\mathrm{d}u. 2 1 ∫ 0 2 s R S ( 2 t , y ) d y = ∫ 0 s R S ( 2 t , 2 u ) d u = ∫ 0 s R ( t , u ) d u .
The triangle 0 ≤ w ≤ v ≤ 2 T 0\leq w\leq v\leq2T 0 ≤ w ≤ v ≤ 2 T corresponds to 0 ≤ s ≤ t ≤ T 0\leq s\leq t\leq T 0 ≤ s ≤ t ≤ T . This proves (44) for the diffusion started from x 0 x_0 x 0 .
Step 4: the uniform initial point. For x 0 ∈ S N x_0 \in S_N x 0 ∈ S N , let δ N ( x 0 , ε ) \delta_N(x_0,\varepsilon) δ N ( x 0 , ε ) be the probability in (44) for the diffusion started from x 0 x_0 x 0 . We claim that δ N ( x 0 , ε ) \delta_N(x_0,\varepsilon) δ N ( x 0 , ε ) does not depend on x 0 x_0 x 0 . Let e 1 e_1 e 1 be the first coordinate vector, let b = x 0 / N b=x_0/\sqrt{N} b = x 0 / N , and let O = O x 0 O=O_{x_0} O = O x 0 be the Householder reflection
O = I − 2 ( e 1 − b ) ( e 1 − b ) T ∥ e 1 − b ∥ 2 ( b ≠ e 1 ) , O = I ( b = e 1 ) . O=I-\frac{2(e_1-b)(e_1-b)^{\mathsf{T}}}{\lVert e_1-b\rVert^2}\quad(b\ne e_1),\qquad O=I\quad(b=e_1). O = I − ∥ e 1 − b ∥ 2 2 ( e 1 − b ) ( e 1 − b ) T ( b = e 1 ) , O = I ( b = e 1 ) .
It is orthogonal, depends measurably on x 0 x_0 x 0 , and satisfies O ( N e 1 ) = x 0 O(\sqrt{N}e_1)=x_0 O ( N e 1 ) = x 0 . Let X X X be the diffusion started from x 0 x_0 x 0 , and set Y t = O T X t Y_t=O^{\mathsf{T}}X_t Y t = O T X t , B t ′ = O T B t B'_t=O^{\mathsf{T}}B_t B t ′ = O T B t , and J ′ = ( O T ) ⊗ p J J'=(O^{\mathsf{T}})^{\otimes p}J J ′ = ( O T ) ⊗ p J , that is,
J j 1 ⋯ j p ′ = ∑ i 1 , … , i p = 1 N J i 1 ⋯ i p O i 1 j 1 ⋯ O i p j p . J'_{j_1\cdots j_p}=\sum_{i_1,\ldots,i_p=1}^{N}J_{i_1\cdots i_p}O_{i_1j_1}\cdots O_{i_pj_p}. J j 1 ⋯ j p ′ = i 1 , … , i p = 1 ∑ N J i 1 ⋯ i p O i 1 j 1 ⋯ O i p j p .
The matrix O ⊗ p O^{\otimes p} O ⊗ p is orthogonal on R N p \mathbb{R}^{N^p} R N p , so J ′ J' J ′ is again a tensor of independent standard Gaussian entries. Also, B ′ B' B ′ is a standard Brownian motion, independent of J ′ J' J ′ . Let H N ′ H'_N H N ′ be the Hamiltonian with coefficients J ′ J' J ′ ; then H N ′ ( y ) = H N ( O y ) H'_N(y)=H_N(Oy) H N ′ ( y ) = H N ( O y ) . Using P O y = O P y O T P_{Oy}=OP_yO^{\mathsf{T}} P O y = O P y O T and ∇ H N ′ ( y ) = O T ∇ H N ( O y ) \nabla H'_N(y)=O^{\mathsf{T}}\nabla H_N(Oy) ∇ H N ′ ( y ) = O T ∇ H N ( O y ) , and applying O T O^{\mathsf{T}} O T to (30) , we obtain
d Y t = β P Y t ∇ H N ′ ( Y t ) d t + 2 P Y t d B t ′ − κ N Y t d t , Y 0 = N e 1 . \mathrm{d}Y_t=\beta P_{Y_t}\nabla H'_N(Y_t)\,\mathrm{d}t+\sqrt{2}P_{Y_t}\,\mathrm{d}B'_t-\kappa_NY_t\,\mathrm{d}t,\qquad Y_0=\sqrt{N}e_1. d Y t = β P Y t ∇ H N ′ ( Y t ) d t + 2 P Y t d B t ′ − κ N Y t d t , Y 0 = N e 1 .
We conclude that ( Y , J ′ , B ′ ) (Y,J',B') ( Y , J ′ , B ′ ) has the law of the diffusion started from N e 1 \sqrt{N}e_1 N e 1 , together with its disorder and its noise. The matrix O O O is orthogonal, so that Y t ⋅ Y s = X t ⋅ X s Y_t\cdot Y_s=X_t\cdot X_s Y t ⋅ Y s = X t ⋅ X s and Y t ⋅ B s ′ = X t ⋅ B s Y_t\cdot B'_s=X_t\cdot B_s Y t ⋅ B s ′ = X t ⋅ B s ; in other words, C N C_N C N and Γ N \Gamma_N Γ N take the same values for both triples. This implies that δ N ( x 0 , ε ) = δ N ( N e 1 , ε ) \delta_N(x_0,\varepsilon)=\delta_N(\sqrt{N}e_1,\varepsilon) δ N ( x 0 , ε ) = δ N ( N e 1 , ε ) .
Now let X 0 X_0 X 0 be uniform and independent of ( J , B ) (J,B) ( J , B ) . The strong solution is a measurable function of ( X 0 , J , B ) (X_0,J,B) ( X 0 , J , B ) . By independence and Fubini’s theorem, the probability in (44) is
∫ S N δ N ( x 0 , ε ) ω N ( d x 0 ) = δ N ( N e 1 , ε ) , \int_{S_N}\delta_N(x_0,\varepsilon)\,\omega_N(\mathrm{d}x_0)=\delta_N(\sqrt{N}e_1,\varepsilon), ∫ S N δ N ( x 0 , ε ) ω N ( d x 0 ) = δ N ( N e 1 , ε ) ,
which tends to zero by Step 3. This proves (44) , that is, (43) .
Step 5: expectations. Since ∣ X t ⋅ B s ∣ ≤ N ∥ B s ∥ \lvert X_t\cdot B_s\rvert\le\sqrt{N}\lVert B_s\rVert ∣ X t ⋅ B s ∣ ≤ N ∥ B s ∥ , we have
sup 0 ≤ s ≤ t ≤ T ∣ Γ N ( t , s ) ∣ ≤ sup s ≤ T ∥ B s ∥ 2 N . \sup_{0\le s\le t\le T}\lvert\Gamma_N(t,s)\rvert\le\frac{\sup_{s\le T}\lVert B_s\rVert}{\sqrt{2N}}. 0 ≤ s ≤ t ≤ T sup ∣ Γ N ( t , s )∣ ≤ 2 N sup s ≤ T ∥ B s ∥ .
By Doob’s maximal inequality, E sup s ≤ T ∥ B s ∥ 2 ≤ 4 E ∥ B T ∥ 2 = 4 N T \mathbb{E}\sup_{s\le T}\lVert B_s\rVert^2\le4\mathbb{E}\lVert B_T\rVert^2=4NT E sup s ≤ T ∥ B s ∥ 2 ≤ 4 E ∥ B T ∥ 2 = 4 N T , and therefore
E sup 0 ≤ s ≤ t ≤ T ∣ Γ N ( t , s ) ∣ 2 ≤ 2 T \mathbb{E}\sup_{0\le s\le t\le T}\lvert\Gamma_N(t,s)\rvert^2\le2T E 0 ≤ s ≤ t ≤ T sup ∣ Γ N ( t , s ) ∣ 2 ≤ 2 T
for every N N N . The function ( t , s ) ↦ ∫ 0 s R ( t , u ) d u (t,s)\mapsto\int_0^sR(t,u)\,\mathrm{d}u ( t , s ) ↦ ∫ 0 s R ( t , u ) d u is continuous on the triangle, and we let ρ T \rho_T ρ T be its maximum there. Then the random variables $\sup_{0\le s\le t\le T}\lvert\Gamma_N(t,s)-\int_0^sR(t,u),\mathrm{d}u\rvert have second moments at most 2 ( 2 T + ρ T 2 ) 2(2T+\rho_T^2) 2 ( 2 T + ρ T 2 ) , and in particular they are uniformly integrable. They tend to zero in probability, and uniform integrability implies that their expectations tend to zero. The same holds for sup 0 ≤ s ≤ t ≤ T ∣ C N ( t , s ) − C ( t , s ) ∣ \sup_{0\le s\le t\le T}|C_N(t,s)-C(t,s)| sup 0 ≤ s ≤ t ≤ T ∣ C N ( t , s ) − C ( t , s ) ∣ , which is bounded by 2. We have shown that
lim N → ∞ E sup 0 ≤ s ≤ t ≤ T ( ∣ C N ( t , s ) − C ( t , s ) ∣ 2 + ∣ Γ N ( t , s ) − ∫ 0 s R ( t , u ) d u ∣ ) = 0 (47) \lim_{N\to\infty}\mathbb{E}\sup_{0\le s\le t\le T}\left(\lvert C_N(t,s)-C(t,s)\rvert^2+\left\lvert\Gamma_N(t,s)-\int_0^s R(t,u)\,\mathrm{d}u\right\rvert\right)=0 \tag*{(47)} N → ∞ lim E 0 ≤ s ≤ t ≤ T sup ( ∣ C N ( t , s ) − C ( t , s ) ∣ 2 + Γ N ( t , s ) − ∫ 0 s R ( t , u ) d u ) = 0 (47)
where for the square we used ∣ C N − C ∣ 2 ≤ 2 ∣ C N − C ∣ \lvert C_N-C\rvert^2\le2\lvert C_N-C\rvert ∣ C N − C ∣ 2 ≤ 2 ∣ C N − C ∣ . Because ∣ E Z ∣ ≤ E ∣ Z ∣ \lvert\mathbb{E}Z\rvert\le\mathbb{E}\lvert Z\rvert ∣ E Z ∣ ≤ E ∣ Z ∣ , this implies the convergence of the expectations, uniformly on the triangle. Finally, R ( t , t ) = 1 R(t,t)=1 R ( t , t ) = 1 is part of the boundary data (39) .
The response as a Brownian primitive
Proposition 3.3 concerns a Brownian observable. The next lemma identifies its mean with the integrated response to an additive force, which is how the Brownian observable is used as a response in [24, arXiv version 1, Equation (1.9), p. 4, and Theorem 1.2, p. 5] and in [112, arXiv version 5, Theorem 4.3, p. 23]. The identification is the classical connection between linear response and Gaussian integration by parts. The original Wiener translation formulas of Cameron and Martin [37, Theorems 1–2, pp. 386–387] assume a shift whose derivative has bounded variation and use Wiener paths with variance t / 2 t/2 t /2 ; for a modern deterministic-shift formulation, see [90, Exercise 4.29, p. 27, and Theorem 4.44, p. 31]. We use the backward Itô equation for the actual conditional mean, which fixes the tangent projection and the normalization of the noise directly.
Lemma 3.4 (Brownian primitive of the averaged force response). Let U N ( t , u ) U_N(t,u) U N ( t , u ) be the pathwise response matrix (33) , and let r ˉ N ( t , u ) = N − 1 E tr U N ( t , u ) \bar r_N(t,u)=N^{-1}\mathbb{E}\operatorname{tr}U_N(t,u) r ˉ N ( t , u ) = N − 1 E tr U N ( t , u ) as in (35) . Then, for 0 ≤ s ≤ t 0\le s\le t 0 ≤ s ≤ t ,
∫ 0 s r ˉ N ( t , u ) d u = E Γ N ( t , s ) = E [ X t ⋅ B s ] 2 N . (48) \int_0^s \bar r_N(t,u)\,\mathrm{d}u=\mathbb{E}\Gamma_N(t,s)=\frac{\mathbb{E}[X_t\cdot B_s]}{\sqrt{2N}}. \tag*{(48)} ∫ 0 s r ˉ N ( t , u ) d u = E Γ N ( t , s ) = 2 N E [ X t ⋅ B s ] . (48) The same identity holds with the disorder and the initial point fixed, and with the expectation taken over the Brownian motion only. At equal times, r ˉ N ( t , t ) = ( N − 1 ) / N \bar r_N(t,t)=(N-1)/N r ˉ N ( t , t ) = ( N − 1 ) / N .
Proof. Fix the disorder J J J and the initial point x 0 x_0 x 0 , and write E B \mathbb{E}_B E B for expectation over B B B . Put m τ = P τ H id m_\tau=P_\tau^H\operatorname{id} m τ = P τ H id , the mean of the actual solution started from a sphere point, and
F u = m t − u ( X u ) , 0 ≤ u ≤ t . F_u=m_{t-u}(X_u),\qquad0\le u\le t. F u = m t − u ( X u ) , 0 ≤ u ≤ t .
The mean has the spatial and time regularity needed for the backward Kolmogorov equation. Applying Itô’s formula along the actual sphere trajectory, the drift vanishes and
d F u = 2 D m t − u ( X u ) P X u d B u . \mathrm{d}F_u=\sqrt{2}\,D m_{t-u}(X_u)P_{X_u}\,\mathrm{d}B_u. d F u = 2 D m t − u ( X u ) P X u d B u .
The predictable integrand is square-integrable on this fixed horizon, F 0 = m t ( x 0 ) F_0=m_t(x_0) F 0 = m t ( x 0 ) is deterministic, and F t = X t F_t=X_t F t = X t . The actual L 2 L^2 L 2 derivative of the projected restart, followed by the bounded linear expectation operator, and the Markov restart identity give
E B U N ( t , u ) = E B [ D m t − u ( X u ) P X u ] \mathbb{E}_B U_N(t,u)=\mathbb{E}_B[Dm_{t-u}(X_u)P_{X_u}] E B U N ( t , u ) = E B [ D m t − u ( X u ) P X u ]
at every fixed deterministic u u u . These are statements about the constructed solution and its variational equation, rather than assumed response identities.
For 0 ≤ s ≤ t 0\le s\le t 0 ≤ s ≤ t , the Itô product formula, or the covariance identity for square-integrable stochastic integrals, yields
E B [ X t i B s i ] = 2 ∫ 0 s E B [ D m t − u ( X u ) P X u ] i i d u . \mathbb{E}_B[X_t^iB_s^i]=\sqrt{2}\int_0^s\mathbb{E}_B[Dm_{t-u}(X_u)P_{X_u}]_{ii}\,\mathrm{d}u. E B [ X t i B s i ] = 2 ∫ 0 s E B [ D m t − u ( X u ) P X u ] ii d u .
The deterministic initial mean contributes zero because E B B s i = 0 \mathbb{E}_B B_s^i=0 E B B s i = 0 . Equivalently, the coordinate form is
∫ 0 s E B [ U N ( t , u ) ] i i d u = 1 2 E B [ X t i B s i ] . (49) \int_0^s\mathbb{E}_B[U_N(t,u)]_{ii}\,\mathrm{d}u=\frac{1}{\sqrt{2}}\mathbb{E}_B[X_t^iB_s^i]. \tag*{(49)} ∫ 0 s E B [ U N ( t , u ) ] ii d u = 2 1 E B [ X t i B s i ] . (49)
Summing over i i i and dividing by N N N , we obtain the quenched form of (48) :
∫ 0 s 1 N E B tr U N ( t , u ) d u = E B [ X t ⋅ B s ] 2 N . (50) \int_0^s\frac{1}{N}\mathbb{E}_B\operatorname{tr}U_N(t,u)\,\mathrm{d}u=\frac{\mathbb{E}_B[X_t\cdot B_s]}{\sqrt{2}N}. \tag*{(50)} ∫ 0 s N 1 E B tr U N ( t , u ) d u = 2 N E B [ X t ⋅ B s ] . (50)
The right side is integrable over the disorder and initial point, since its absolute value is bounded by s / 2 \sqrt{s}/2 s /2 . The normalized trace on the left has a fourth moment bounded uniformly on each fixed causal window by (59) . Fubini’s theorem therefore permits averaging over the independent disorder and initial point, giving (48) . Finally, r ˉ N ( t , t ) = ( N − 1 ) / N \bar r_N(t,t)=(N-1)/N r ˉ N ( t , t ) = ( N − 1 ) / N because U N ( t , t ) = P X t U_N(t,t)=P_{X_t} U N ( t , t ) = P X t and tr P X t = N − 1 \operatorname{tr}P_{X_t}=N-1 tr P X t = N − 1 .
Combining Proposition 3.3 and Lemma 3.4, we find that, for every 0 ≤ T < ∞ 0\le T<\infty 0 ≤ T < ∞ ,
lim N → ∞ sup 0 ≤ s ≤ t ≤ T ∣ ∫ 0 s r ˉ N ( t , u ) d u − ∫ 0 s R ( t , u ) d u ∣ = 0. (51) \lim_{N\to\infty}\sup_{0\le s\le t\le T}\left|\int_0^s\bar r_N(t,u)\,\mathrm{d}u-\int_0^sR(t,u)\,\mathrm{d}u\right|=0. \tag*{(51)} N → ∞ lim 0 ≤ s ≤ t ≤ T sup ∫ 0 s r ˉ N ( t , u ) d u − ∫ 0 s R ( t , u ) d u = 0. (51)
In particular, the susceptibility χ ( t , s ) \chi(t,s) χ ( t , s ) of (41) is the limit of the integrated response ∫ s t r ˉ N ( t , u ) d u = E [ X t ⋅ ( B t − B s ) ] / ( 2 N ) \int_s^t\bar r_N(t,u)\,\mathrm{d}u=\mathbb{E}[X_t\cdot(B_t-B_s)]/(\sqrt{2}N) ∫ s t r ˉ N ( t , u ) d u = E [ X t ⋅ ( B t − B s )] / ( 2 N ) , uniformly on 0 ≤ s ≤ t ≤ T 0\le s\le t\le T 0 ≤ s ≤ t ≤ T .
Remark 3.5. Proposition 3.3 and Lemma 3.4 give the convergence (51) of the primitives of the annealed response. Primitive convergence alone does not imply pointwise convergence of r ˉ N \bar r_N r ˉ N . The published convergence theorem supplies this statement about primitives, which suffices for the integrated uses in this paper. Where a response is integrated against a continuous weight, as in the proof of Proposition 4.1, we may pass to the limit through the primitives, using the bound on the total variation of r ˉ N ( t , u ) d u \bar r_N(t,u)\,\mathrm{d}u r ˉ N ( t , u ) d u supplied by (59) .
The annealed means satisfy the stronger conclusion
sup 0 ≤ s ≤ t ≤ T ∣ r ˉ N ( t , s ) − R ( t , s ) ∣ ⟶ 0 ( N → ∞ ) , 0 ≤ T < ∞ . \sup_{0\le s\le t\le T}\left|\bar r_N(t,s)-R(t,s)\right|\longrightarrow0 \qquad(N\to\infty), \qquad0\le T<\infty. 0 ≤ s ≤ t ≤ T sup ∣ r ˉ N ( t , s ) − R ( t , s ) ∣ ⟶ 0 ( N → ∞ ) , 0 ≤ T < ∞.
Indeed, the projected variational equation, its time-increment estimates, and the uniform exponential moments of the landscape give a common modulus of continuity for the annealed traces on each fixed causal time window. Together with (4.4), this gives precompactness by the Arzelà–Ascoli theorem. Every uniformly convergent subsequence has the same primitives as R R R by (3.24); continuity and uniqueness of a function from its primitives identify its limit with R R R . Precompactness then gives convergence along the whole sequence. This conclusion concerns the deterministic annealed normalized traces; we assert no convergence or concentration of the random response matrices U N U_N U N .
Landscape bounds
For later estimates, we define the normalized multilinear norm of the coefficient tensor,
Q N = 1 N sup ∥ v 1 ∥ = ⋯ = ∥ v p ∥ = 1 ∣ ∑ i 1 , … , i p = 1 N J i 1 ⋯ i p v 1 i 1 ⋯ v p i p ∣ . (52) Q_N=\frac{1}{\sqrt{N}}\sup_{\lVert v_1\rVert=\cdots=\lVert v_p\rVert=1}\left|\sum_{i_1,\ldots,i_p=1}^{N}J_{i_1\cdots i_p}v_1^{i_1}\cdots v_p^{i_p}\right|. \tag*{(52)} Q N = N 1 ∥ v 1 ∥ = ⋯ = ∥ v p ∥ = 1 sup i 1 , … , i p = 1 ∑ N J i 1 ⋯ i p v 1 i 1 ⋯ v p i p . (52)
where the supremum is over unit vectors v 1 , … , v p ∈ R N v_1,\ldots,v_p\in\mathbb{R}^N v 1 , … , v p ∈ R N . Closely related uniform tensor estimates are in [24, arXiv version 1, Appendix B, Lemma B.1 and Equations (B.5)–(B.7), pp. 27–29]. The next lemma shows that Q N Q_N Q N is of order one, with uniform moments and an exponentially small probability of being large, and that it controls the Hamiltonian and its first two derivatives on S N S_N S N .
Lemma 3.6 (Uniform landscape moments). For every fixed 0 ≤ k < ∞ 0\le k<\infty 0 ≤ k < ∞ , we have sup N E Q N k < ∞ \sup_N\mathbb{E}Q_N^k<\infty sup N E Q N k < ∞ , and for every fixed b < ∞ b<\infty b < ∞ , we have sup N E e b Q N < ∞ \sup_N\mathbb{E}e^{bQ_N}<\infty sup N E e b Q N < ∞ . There exist constants A p , c p > 0 A_p,c_p>0 A p , c p > 0 , depending only on p p p , such that P ( Q N > A p ) ≤ e − c p N \mathbb{P}(Q_N>A_p)\le e^{-c_pN} P ( Q N > A p ) ≤ e − c p N for all N ≥ 2 N\ge2 N ≥ 2 . Moreover, on S N S_N S N ,
∣ H N ∣ N ≤ Q N , ∥ ∇ H N ∥ N ≤ p Q N , ∥ ∇ 2 H N ∥ o p ≤ p ( p − 1 ) Q N , \frac{|H_N|}{N}\le Q_N,\qquad\frac{\lVert\nabla H_N\rVert}{\sqrt{N}}\le pQ_N,\qquad\lVert\nabla^2H_N\rVert_{\mathrm{op}}\le p(p-1)Q_N, N ∣ H N ∣ ≤ Q N , N ∥ ∇ H N ∥ ≤ p Q N , ∥ ∇ 2 H N ∥ op ≤ p ( p − 1 ) Q N , ∣ Δ S H N ∣ N ≤ p 2 Q N , ∥ ∇ S 2 H N ∥ o p ≤ p 2 Q N . (53) \frac{|\Delta_{S}H_N|}{N}\le p^2Q_N,\qquad\lVert\nabla^2_{S}H_N\rVert_{\mathrm{op}}\le p^2Q_N. \tag*{(53)} N ∣ Δ S H N ∣ ≤ p 2 Q N , ∥ ∇ S 2 H N ∥ op ≤ p 2 Q N . (53)
Because ∇ S H N = P x ∇ H N \nabla_SH_N=P_x\nabla H_N ∇ S H N = P x ∇ H N and ∥ P x ∥ o p ≤ 1 \lVert P_x\rVert_{\mathrm{op}}\le1 ∥ P x ∥ op ≤ 1 , the gradient bound implies ∥ ∇ S H N ∥ ≤ p Q N N \lVert\nabla_SH_N\rVert\le pQ_N\sqrt{N} ∥ ∇ S H N ∥ ≤ p Q N N on S N S_N S N .
Proof. The proof has three steps. We first use a net argument to reduce Q N Q_N Q N to finitely many Gaussian variables, then deduce a tail bound, and finally prove the derivative bounds. We write J ( v 1 , … , v p ) = ∑ i 1 , … , i p J i 1 ⋯ i p v 1 i 1 ⋯ v p i p J(v_1,\ldots,v_p)=\sum_{i_1,\ldots,i_p}J_{i_1\cdots i_p}v_1^{i_1}\cdots v_p^{i_p} J ( v 1 , … , v p ) = ∑ i 1 , … , i p J i 1 ⋯ i p v 1 i 1 ⋯ v p i p for the multilinear form of J J J , and
M N = sup ∥ v 1 ∥ = ⋯ = ∥ v p ∥ = 1 ∣ J ( v 1 , … , v p ) ∣ = N Q N . M_N=\sup_{\lVert v_1\rVert=\cdots=\lVert v_p\rVert=1}|J(v_1,\ldots,v_p)|=\sqrt{N}Q_N. M N = ∥ v 1 ∥ = ⋯ = ∥ v p ∥ = 1 sup ∣ J ( v 1 , … , v p ) ∣ = N Q N .
Step 1: a net and the telescoping bound. Let ε = 1 / ( 2 p ) \varepsilon=1/(2p) ε = 1/ ( 2 p ) , and let N \mathcal{N} N be a maximal ε \varepsilon ε -separated subset of the unit sphere of R N \mathbb{R}^N R N . By maximality, every unit vector is within distance ε \varepsilon ε of N \mathcal{N} N . The balls of radius ε / 2 \varepsilon/2 ε /2 around the points of N \mathcal{N} N are disjoint and contained in the ball of radius 1 + ε / 2 1+\varepsilon/2 1 + ε /2 . Comparing volumes gives
∣ N ∣ ≤ ( 1 + ε / 2 ε / 2 ) N = ( 1 + 2 ε ) N = ( 1 + 4 p ) N . |\mathcal{N}|\leq\left(\frac{1+\varepsilon/2}{\varepsilon/2}\right)^N=\left(1+\frac{2}{\varepsilon}\right)^N=(1+4p)^N. ∣ N ∣ ≤ ( ε /2 1 + ε /2 ) N = ( 1 + ε 2 ) N = ( 1 + 4 p ) N .
Let M N n e t M_N^{\mathrm{net}} M N net be the maximum of ∣ J ( w 1 , … , w p ) ∣ |J(w_1,\ldots,w_p)| ∣ J ( w 1 , … , w p ) ∣ over w 1 , … , w p ∈ N w_1,\ldots,w_p\in\mathcal{N} w 1 , … , w p ∈ N . Given unit vectors v 1 , … , v p v_1,\ldots,v_p v 1 , … , v p , choose w k ∈ N w_k\in\mathcal{N} w k ∈ N such that ∥ v k − w k ∥ ≤ ε \lVert v_k-w_k\rVert\leq\varepsilon ∥ v k − w k ∥ ≤ ε . By multilinearity, we have the telescoping identity
J ( v 1 , … , v p ) − J ( w 1 , … , w p ) = ∑ k = 1 p J ( w 1 , … , w k − 1 , v k − w k , v k + 1 , … , v p ) . J(v_1,\ldots,v_p)-J(w_1,\ldots,w_p)=\sum_{k=1}^{p}J(w_1,\ldots,w_{k-1},v_k-w_k,v_{k+1},\ldots,v_p). J ( v 1 , … , v p ) − J ( w 1 , … , w p ) = k = 1 ∑ p J ( w 1 , … , w k − 1 , v k − w k , v k + 1 , … , v p ) .
In the k k k th term, all arguments except v k − w k v_k-w_k v k − w k are unit vectors, and by homogeneity its absolute value is at most ∥ v k − w k ∥ M N ≤ ε M N \lVert v_k-w_k\rVert M_N\leq\varepsilon M_N ∥ v k − w k ∥ M N ≤ ε M N . Summing over k k k , we have ∣ J ( v 1 , … , v p ) ∣ ≤ M N n e t + p ε M N |J(v_1,\ldots,v_p)|\leq M_N^{\mathrm{net}}+p\varepsilon M_N ∣ J ( v 1 , … , v p ) ∣ ≤ M N net + pε M N . Taking the supremum over v 1 , … , v p v_1,\ldots,v_p v 1 , … , v p , and using that M N M_N M N is finite, we conclude that
M N ≤ ( 1 − p ε ) − 1 M N n e t = 2 M N n e t . M_N\leq(1-p\varepsilon)^{-1}M_N^{\mathrm{net}}=2M_N^{\mathrm{net}}. M N ≤ ( 1 − pε ) − 1 M N net = 2 M N net .
Step 2: the tail bound and the moments. For fixed unit vectors w 1 , … , w p w_1,\ldots,w_p w 1 , … , w p , the variable J ( w 1 , … , w p ) J(w_1,\ldots,w_p) J ( w 1 , … , w p ) is a centered Gaussian with variance ∑ i 1 , … , i p ( w 1 i 1 ⋯ w p i p ) 2 = ∏ k ∥ w k ∥ 2 = 1 \sum_{i_1,\ldots,i_p}(w_1^{i_1}\cdots w_p^{i_p})^2=\prod_k\lVert w_k\rVert^2=1 ∑ i 1 , … , i p ( w 1 i 1 ⋯ w p i p ) 2 = ∏ k ∥ w k ∥ 2 = 1 , because the entries of J J J are independent. By the Gaussian tail bound, we have P ( ∣ J ( w 1 , … , w p ) ∣ > y ) ≤ 2 e − y 2 / 2 \mathbb{P}(|J(w_1,\ldots,w_p)|>y)\leq2e^{-y^2/2} P ( ∣ J ( w 1 , … , w p ) ∣ > y ) ≤ 2 e − y 2 /2 for y ≥ 0 y\geq0 y ≥ 0 . The product net N p \mathcal{N}^p N p has at most ( 1 + 4 p ) p N (1+4p)^{pN} ( 1 + 4 p ) pN elements. By Step 1 and a union bound, for x ≥ 0 x\geq0 x ≥ 0 ,
P ( Q N > x ) ≤ P ( M N n e t > x N 2 ) ≤ 2 exp ( N κ p − N x 2 8 ) , κ p = p log ( 1 + 4 p ) . \mathbb{P}(Q_N>x)\leq\mathbb{P}\left(M_N^{\mathrm{net}}>\frac{x\sqrt{N}}{2}\right)\leq2\exp\left(N\kappa_p-\frac{Nx^2}{8}\right),\qquad\kappa_p=p\log(1+4p). P ( Q N > x ) ≤ P ( M N net > 2 x N ) ≤ 2 exp ( N κ p − 8 N x 2 ) , κ p = p log ( 1 + 4 p ) .
Let A p = 4 κ p A_p=4\sqrt{\kappa_p} A p = 4 κ p . For x ≥ A p x\geq A_p x ≥ A p , the inequality x 2 / 16 ≥ κ p x^2/16\geq\kappa_p x 2 /16 ≥ κ p gives
P ( Q N > x ) ≤ 2 e − N x 2 / 16 ≤ 2 e − x 2 / 8 , x ≥ A p , N ≥ 2. (54) \mathbb{P}(Q_N>x)\leq2e^{-Nx^2/16}\leq2e^{-x^2/8},\qquad x\geq A_p,\ N\geq2. \tag*{(54)} P ( Q N > x ) ≤ 2 e − N x 2 /16 ≤ 2 e − x 2 /8 , x ≥ A p , N ≥ 2. (54)
At x = A p x=A_p x = A p , the first bound in (54) is 2 e − N κ p ≤ e − c p N 2e^{-N\kappa_p}\le e^{-c_pN} 2 e − N κ p ≤ e − c p N with c p = κ p − 1 2 log 2 > 0 c_p=\kappa_p-\frac{1}{2}\log2>0 c p = κ p − 2 1 log 2 > 0 , because N ≥ 2 N\ge2 N ≥ 2 . For k > 0 k>0 k > 0 and b ≥ 0 b\ge0 b ≥ 0 , we write the moments as integrals of the tail and use (54) beyond A p A_p A p :
E Q N k ≤ A p k + ∫ A p ∞ k x k − 1 2 e − x 2 / 8 d x , E e b Q N ≤ e b A p + ∫ A p ∞ b e b x 2 e − x 2 / 8 d x . \mathbb{E}Q_N^k\le A_p^k+\int_{A_p}^{\infty}kx^{k-1}2e^{-x^2/8}\,dx,\qquad\mathbb{E}e^{bQ_N}\le e^{bA_p}+\int_{A_p}^{\infty}be^{bx}2e^{-x^2/8}\,dx. E Q N k ≤ A p k + ∫ A p ∞ k x k − 1 2 e − x 2 /8 d x , E e b Q N ≤ e b A p + ∫ A p ∞ b e b x 2 e − x 2 /8 d x .
Both right sides are finite and do not depend on N N N . The case k = 0 k=0 k = 0 is immediate, and for b < 0 b<0 b < 0 , we have e b Q N ≤ 1 e^{bQ_N}\le1 e b Q N ≤ 1 . This proves the assertions about the moments and the tail.
Step 3: the derivative bounds. We write a point of S N S_N S N as x = N v x=\sqrt{N}v x = N v with ∥ v ∥ = 1 \lVert v\rVert=1 ∥ v ∥ = 1 . Then H N ( x ) = N − ( p − 1 ) / 2 J ( x , … , x ) = N J ( v , … , v ) H_N(x)=N^{-(p-1)/2}J(x,\ldots,x)=\sqrt{N}J(v,\ldots,v) H N ( x ) = N − ( p − 1 ) /2 J ( x , … , x ) = N J ( v , … , v ) and ∣ H N ( x ) ∣ ≤ N M N = N Q N \lvert H_N(x)\rvert\le\sqrt{N}M_N=NQ_N ∣ H N ( x )∣ ≤ N M N = N Q N . Each derivative of H N H_N H N replaces one copy of x x x by a test direction. For a unit vector w w w , we have
∇ H N ( x ) ⋅ w = N − ( p − 1 ) / 2 ∑ k = 1 p J ( x , … , x , w k , x , … , x ) . \nabla H_N(x)\cdot w=N^{-(p-1)/2}\sum_{k=1}^{p}J(x,\ldots,x,\underset{k}{w},x,\ldots,x). ∇ H N ( x ) ⋅ w = N − ( p − 1 ) /2 k = 1 ∑ p J ( x , … , x , k w , x , … , x ) .
a sum of p p p terms, each of absolute value at most N − ( p − 1 ) / 2 N ( p − 1 ) / 2 M N = M N N^{-(p-1)/2}N^{(p-1)/2}M_N=M_N N − ( p − 1 ) /2 N ( p − 1 ) /2 M N = M N . Summing these p p p bounds gives ∥ ∇ H N ( x ) ∥ ≤ p M N = p N Q N \lVert\nabla H_N(x)\rVert\le pM_N=p\sqrt{N}Q_N ∥ ∇ H N ( x )∥ ≤ p M N = p N Q N . Similarly, ∇ 2 H N ( x ) ( w , w ′ ) \nabla^2H_N(x)(w,w') ∇ 2 H N ( x ) ( w , w ′ ) is N − ( p − 1 ) / 2 N^{-(p-1)/2} N − ( p − 1 ) /2 times a sum of p ( p − 1 ) p(p-1) p ( p − 1 ) terms in which two of the slots carry the unit vectors w , w ′ w,w' w , w ′ and the others carry x x x . Each term is at most N ( p − 2 ) / 2 M N N^{(p-2)/2}M_N N ( p − 2 ) /2 M N in absolute value, and the bound ∣ ∇ 2 H N ( x ) ( w , w ′ ) ∣ ≤ p ( p − 1 ) N − 1 / 2 M N = p ( p − 1 ) Q N \lvert\nabla^2H_N(x)(w,w')\rvert\le p(p-1)N^{-1/2}M_N=p(p-1)Q_N ∣ ∇ 2 H N ( x ) ( w , w ′ )∣ ≤ p ( p − 1 ) N − 1/2 M N = p ( p − 1 ) Q N follows. This proves the first three inequalities in (3.26).
For the intrinsic Hessian, let w ∈ T x S N w\in T_xS_N w ∈ T x S N be a unit vector, and let γ ( r ) = x cos ( r / N ) + N w sin ( r / N ) \gamma(r)=x\cos(r/\sqrt{N})+\sqrt{N}w\sin(r/\sqrt{N}) γ ( r ) = x cos ( r / N ) + N w sin ( r / N ) be the great circle through x x x in the direction w w w . It is a unit-speed geodesic of S N S_N S N with γ ′ ′ ( 0 ) = − x / N \gamma''(0)=-x/N γ ′′ ( 0 ) = − x / N , and we have
∇ S 2 H N ( x ) ( w , w ) = d 2 d r 2 H N ( γ ( r ) ) ∣ r = 0 = ∇ 2 H N ( x ) ( w , w ) − x ⋅ ∇ H N ( x ) N . \nabla_S^2H_N(x)(w,w)=\left.\frac{d^2}{dr^2}H_N(\gamma(r))\right|_{r=0}=\nabla^2H_N(x)(w,w)-\frac{x\cdot\nabla H_N(x)}{N}. ∇ S 2 H N ( x ) ( w , w ) = d r 2 d 2 H N ( γ ( r )) r = 0 = ∇ 2 H N ( x ) ( w , w ) − N x ⋅ ∇ H N ( x ) .
The polynomial H N H_N H N is homogeneous of degree p p p , and Euler’s identity reads x ⋅ ∇ H N ( x ) = p H N ( x ) x\cdot\nabla H_N(x)=pH_N(x) x ⋅ ∇ H N ( x ) = p H N ( x ) . By polarization, we obtain, as quadratic forms on T x S N T_xS_N T x S N ,
∇ S 2 H N ( x ) = P x ∇ 2 H N ( x ) P x − p H N ( x ) N P x . (55) \nabla_S^2H_N(x)=P_x\nabla^2H_N(x)P_x-\frac{pH_N(x)}{N}P_x. \tag*{(55)} ∇ S 2 H N ( x ) = P x ∇ 2 H N ( x ) P x − N p H N ( x ) P x . (55)
By the bounds already proved, ∥ ∇ S 2 H N ∥ o p ≤ p ( p − 1 ) Q N + p Q N = p 2 Q N \lVert\nabla_S^2H_N\rVert_{\mathrm{op}}\le p(p-1)Q_N+pQ_N=p^2Q_N ∥ ∇ S 2 H N ∥ op ≤ p ( p − 1 ) Q N + p Q N = p 2 Q N . Finally, Δ S H N ( x ) \Delta_SH_N(x) Δ S H N ( x ) is the trace of ∇ S 2 H N ( x ) \nabla_S^2H_N(x) ∇ S 2 H N ( x ) on the ( N − 1 ) (N-1) ( N − 1 ) -dimensional space T x S N T_xS_N T x S N , which gives ∣ Δ S H N ( x ) ∣ ≤ ( N − 1 ) p 2 Q N ≤ N p 2 Q N \lvert\Delta_SH_N(x)\rvert\le(N-1)p^2Q_N\le Np^2Q_N ∣ Δ S H N ( x )∣ ≤ ( N − 1 ) p 2 Q N ≤ N p 2 Q N . This proves the last two inequalities.
Structural identities and uniform estimates
In this section, we prove the structural identities of the CK solution and the estimates on it that hold uniformly in time. Proposition 4.1 shows that the CK integral e β ( t ) e_{\beta}(t) e β ( t ) is the limit of the mean energy of the diffusion, and that λ ( t ) = 1 + p β e β ( t ) \lambda(t)=1+p\beta e_{\beta}(t) λ ( t ) = 1 + pβ e β ( t ) . Proposition 4.2 , the Green covariance identity, expresses the correlation as an explicit quadratic functional of the response. We realize it by unit vectors Z t Z_t Z t in a Hilbert space. From these, we deduce an energy–response tradeoff and the bound 1 ≤ λ ≤ Λ 1\leq\lambda\leq\Lambda 1 ≤ λ ≤ Λ (Proposition 4.3 ), Lipschitz and Hölder bounds in time (Proposition 4.4 ), an equation for the response in its earlier time (Proposition 4.5 ), and the domination R ≤ C R\leq C R ≤ C together with the compactness of the CK solution along late time windows (Proposition 4.6). All constants are uniform over the half-line [ 0 , ∞ ) [0,\infty) [ 0 , ∞ ) .
We use the results of Section 3. Proposition 4.1 uses Proposition 3.3 and Lemmas 3.4 and 3.6 , and Proposition 4.4 uses Propositions 3.3 and 4.1 and Lemma 3.6 . All other proofs in this section are deterministic, and they use only the CK equations (3.9)–(3.12) and the published facts of Proposition 3.2 . The results of this section are used throughout the rest of the paper. The bounds and the compactness enter the construction of stationary limits in Section 5. The Green covariance identity is the starting point of the tree realization in Section 7 and of the response estimates in Section 11. The energy identity identifies the energy of a stationary cluster in Sections 5 and 8. We use the backward response equation in Sections 11 and 15, and the domination R ≤ C R\leq C R ≤ C transfers the forgetting of correlations to the response in Section 8.
The Green covariance identity is the variation-of-constants formula for the linear effective process of dynamical mean-field theory, in which a single coordinate is driven by its own response kernel, by white noise, and by a Gaussian noise with covariance β 2 ζ ′ ( C ) \beta^{2}\zeta'(C) β 2 ζ ′ ( C ) . The single-coordinate retarded equation and its colored Gaussian noise are described in [49, arXiv version 2, Section 9.5, Equation (9.56), p. 55; see also Equations (9.13)–(9.14), p. 45]. The dynamical equations behind this picture are those of Cugliandolo and Kurchan [51, arXiv version 1, Equations (2)–(4), pp. 2–3], established for the soft-spherical model in [24, arXiv version 1, Theorem 1.2, p. 5]; for a conditional Gaussian-field description in a related setting, see [58, arXiv version 2, Remark 1.4, Equations (1.23)–(1.24), p. 5]. These works provide the background. We prove the identity in the exact form (65) directly from the CK equations, so that the later uses of the complete memory are transparent. The other estimates of this section are elementary, and we include their proofs for completeness.
Throughout this section, ( C , R , λ ) (C, R, \lambda) ( C , R , λ ) is the solution of the hard-spherical CK system given by Proposition 3.2, and e β e_\beta e β is defined by (41) .
The energy identity
Proposition 4.1 (Energy identity on fixed horizons). For every T < ∞ T < \infty T < ∞ , the annealed normalized energy converges uniformly on [ 0 , T ] [0,T] [ 0 , T ] , and its limit is
e β ( t ) = lim N → ∞ 1 N E H N ( X t ) = β p ∫ 0 t C ( t , u ) p − 1 R ( t , u ) d u , λ ( t ) = 1 + p β e β ( t ) . (56) e_\beta(t) = \lim_{N \to\infty} \frac{1}{N}\mathbb{E}H_N(X_t) = \beta p \int_0^t C(t,u)^{p-1}R(t,u)\,\mathrm{d}u,\qquad\lambda(t) = 1 + p\beta e_\beta(t). \tag*{(56)} e β ( t ) = N → ∞ lim N 1 E H N ( X t ) = β p ∫ 0 t C ( t , u ) p − 1 R ( t , u ) d u , λ ( t ) = 1 + pβ e β ( t ) . (56)
In the physics literature, the energy is expressed in the same way through the correlation–response integral of [51, Equation (5)]. The sentence after that equation prints the energy with the sign opposite to their equation (9); the dictionary of § 4.1.3 , with E ( t ) = − e β ( t ) / 2 E(t)=-e_\beta(t)/\sqrt{2} E ( t ) = − e β ( t ) / 2 , agrees with the sign in equation (9). The proof below justifies the hard-sphere form through the primitives of the response and a rank-one correction in finite dimension. It is a Gaussian integration by parts in the disorder. Differentiating the trajectory with respect to one Gaussian coefficient produces the pathwise response matrix U N ( t , u ) U_N(t,u) U N ( t , u ) of (33) , and differentiating the covariance (3.2) splits the result into a trace term and a rank-one correction. The trace term carries the correlation weight $C_N(t,u)^{p-1}$ against the response; in the limit, it becomes the CK integral. Two estimates make this rigorous. The first is a fourth-moment bound for the response columns and normalized trace that is uniform in the dimension and in the waiting time $u$, and the second is the convergence (3.24)` of the primitives of the annealed response. The rank-one correction is controlled by the operator norm, whose second moment is at most a constant times N N N .
Proof. The proof has four steps. In Step 1, we bound the drift derivative and the noise derivative trace along the sphere. In Step 2, a stopped fourth-moment estimate gives uniform bounds on the response columns and normalized trace. In Step 3, we integrate by parts in the disorder and obtain the exact identity (61) . In Step 4, we pass to the limit N → ∞ N \to\infty N → ∞ .
Recall the variational definition (33) and the normalized trace (35) . The physical coefficients are
b ( x ) = β P x ∇ H N ( x ) − κ N x , σ j ( x ) = 2 P x e j , j = 1 , … , N . b(x) = \beta P_x\nabla H_N(x) - \kappa_N x,\qquad\sigma_j(x) = \sqrt{2}P_x e_j,\qquad j=1,\ldots,N. b ( x ) = β P x ∇ H N ( x ) − κ N x , σ j ( x ) = 2 P x e j , j = 1 , … , N .
Step 1: bounds for the variational coefficients. The landscape derivative bounds give ∥ D b ( x ) [ v ] ∥ ≤ A N ∥ v ∥ \lVert Db(x)[v]\rVert\le A_N\lVert v\rVert ∥ D b ( x ) [ v ]∥ ≤ A N ∥ v ∥ on S N S_N S N , with A N = 1 + β p ( p + 1 ) Q N A_N=1+\beta p(p+1)Q_N A N = 1 + β p ( p + 1 ) Q N . For the noise, D σ j ( x ) [ v ] = − 2 N − 1 ( v x j + x v j ) D\sigma_j(x)[v]=-\sqrt{2}N^{-1}(v x_j+x v_j) D σ j ( x ) [ v ] = − 2 N − 1 ( v x j + x v j ) . Since ∥ x ∥ 2 = N \lVert x\rVert^2=N ∥ x ∥ 2 = N , the inequality ∥ a + b ∥ 2 ≤ 2 ∥ a ∥ 2 + 2 ∥ b ∥ 2 \lVert a+b\rVert^2\le2\lVert a\rVert^2+2\lVert b\rVert^2 ∥ a + b ∥ 2 ≤ 2 ∥ a ∥ 2 + 2 ∥ b ∥ 2 implies
∑ j = 1 N ∥ D σ j ( x ) [ v ] ∥ 2 ≤ B N ∥ v ∥ 2 , B N = 8 N . (57) \sum_{j=1}^{N}\lVert D\sigma_j(x)[v]\rVert^2 \le B_N\lVert v\rVert^2,\qquad B_N=\frac{8}{N}. \tag*{(57)} j = 1 ∑ N ∥ D σ j ( x ) [ v ] ∥ 2 ≤ B N ∥ v ∥ 2 , B N = N 8 . (57)
These estimates apply to all ambient vectors, so no samplewise diffeomorphism or invertibility assertion is needed.
Step 2: column, trace and operator moments. Fix u ≥ 0 u \ge0 u ≥ 0 and a deterministic v ∈ R N v \in\mathbb{R}^{N} v ∈ R N . The true variational solution starts from P X u v P_{X_u}v P X u v , which is F u \mathcal{F}_u F u -measurable and has norm at most ∥ v ∥ \lVert v\rVert ∥ v ∥ . Apply Itô’s formula to the fourth power of its norm, stopped at the first exit from a ball. The bounds in Step 1, Gronwall’s inequality, and Fatou’s lemma when removing the stopping give, conditionally on the disorder,
E B ∥ U N ( t , u ) v ∥ 4 ≤ ∥ v ∥ 4 exp { ( 4 A N + 2 + 6 B N ) ( t − u ) } , 0 ≤ u ≤ t . (58) \mathbb{E}_{B}\lVert U_{N}(t,u)v\rVert^{4} \le\lVert v\rVert^{4}\exp\left\{(4A_{N}+2+6B_{N})(t-u)\right\}, \qquad0 \le u \le t. \tag*{(58)} E B ∥ U N ( t , u ) v ∥ 4 ≤ ∥ v ∥ 4 exp { ( 4 A N + 2 + 6 B N ) ( t − u ) } , 0 ≤ u ≤ t . (58)
For a F u \mathcal{F}_u F u -measurable initial direction of norm at most a deterministic a a a , the same estimate holds with a 4 a^{4} a 4 in place of ∥ v ∥ 4 \lVert v\rVert^{4} ∥ v ∥ 4 . For N ≥ 1 N \ge1 N ≥ 1 , the rate in (4.3) is at most 54 + 4 β p ( p + 1 ) Q N 54+4\beta p(p+1)Q_N 54 + 4 β p ( p + 1 ) Q N . Consequently, for T < ∞ T < \infty T < ∞ , the constant
K T = e 54 T sup N E e 4 β p ( p + 1 ) T Q N < ∞ , Θ T = 1 + K T , K_T=e^{54T}\sup_N\mathbb{E}e^{4\beta p(p+1)TQ_N}<\infty,\qquad\Theta_T=\sqrt{1+K_T}, K T = e 54 T N sup E e 4 β p ( p + 1 ) T Q N < ∞ , Θ T = 1 + K T ,
is independent of the dimension and waiting time. Its finiteness follows from Lemma 3.6. Put τ N ( t , u ) = N − 1 tr U N ( t , u ) \tau_N(t,u)=N^{-1}\operatorname{tr}U_N(t,u) τ N ( t , u ) = N − 1 tr U N ( t , u ) . Jensen’s inequality for the average of the diagonal entries, ∣ e i ⋅ U N e i ∣ ≤ ∥ U N e i ∥ \lvert e_i\cdot U_Ne_i\rvert\le\lVert U_Ne_i\rVert ∣ e i ⋅ U N e i ∣ ≤ ∥ U N e i ∥ , and the elementary bound ∥ U N ∥ o p ≤ ∑ i = 1 N ∥ U N e i ∥ 2 \lVert U_N\rVert_{\mathrm{op}}\le\sum_{i=1}^{N}\lVert U_Ne_i\rVert^{2} ∥ U N ∥ op ≤ ∑ i = 1 N ∥ U N e i ∥ 2 show that
sup N sup u ≥ 0 , 0 ≤ t − u ≤ T sup 1 ≤ i ≤ N E ∥ U N ( t , u ) e i ∥ 4 ≤ K T , \sup_N\sup_{u\ge0,\,0\le t-u\le T}\sup_{1\le i\le N}\mathbb{E}\lVert U_N(t,u)e_i\rVert^{4}\le K_T, N sup u ≥ 0 , 0 ≤ t − u ≤ T sup 1 ≤ i ≤ N sup E ∥ U N ( t , u ) e i ∥ 4 ≤ K T ,
sup N sup u ≥ 0 , 0 ≤ t − u ≤ T E ∣ τ N ( t , u ) ∣ 4 ≤ K T , \sup_N\sup_{u\ge0,\,0\le t-u\le T}\mathbb{E}\lvert\tau_N(t,u)\rvert^{4}\le K_T, N sup u ≥ 0 , 0 ≤ t − u ≤ T sup E ∣ τ N ( t , u ) ∣ 4 ≤ K T ,
E ∥ U N ( t , u ) ∥ o p 2 ≤ N Θ T 2 , 0 ≤ t − u ≤ T . (59) \mathbb{E}\lVert U_N(t,u)\rVert_{\mathrm{op}}^{2}\le N\Theta_T^{2},\qquad0\le t-u\le T. \tag*{(59)} E ∥ U N ( t , u ) ∥ op 2 ≤ N Θ T 2 , 0 ≤ t − u ≤ T . (59)
In particular, E ∣ τ N ( t , u ) ∣ 2 ≤ Θ T 2 \mathbb{E}\lvert\tau_N(t,u)\rvert^{2}\le\Theta_T^{2} E ∣ τ N ( t , u ) ∣ 2 ≤ Θ T 2 , E ∣ τ N ( t , u ) ∣ ≤ Θ T \mathbb{E}\lvert\tau_N(t,u)\rvert\le\Theta_T E ∣ τ N ( t , u )∣ ≤ Θ T , and E ∥ U N ( t , u ) ∥ o p ≤ N Θ T \mathbb{E}\lVert U_N(t,u)\rVert_{\mathrm{op}}\le\sqrt{N}\Theta_T E ∥ U N ( t , u ) ∥ op ≤ N Θ T . The bounds depend only on the lag window T T T , even though the waiting state depends on the disorder and the past. Jointly measurable response representatives and their product-time integrability follow from the actual projected-restart derivative and these column moments.
Step 3: Gaussian integration by parts. For a multi-index ν = ( i 1 , … , i p ) ∈ { 1 , … , N } p \nu=(i_1,\ldots,i_p)\in\{1,\ldots,N\}^{p} ν = ( i 1 , … , i p ) ∈ { 1 , … , N } p , let f ν ( x ) = N − ( p − 1 ) / 2 x i 1 ⋯ x i p f_\nu(x)=N^{-(p-1)/2}x_{i_1}\cdots x_{i_p} f ν ( x ) = N − ( p − 1 ) /2 x i 1 ⋯ x i p , so that H N = ∑ ν J ν f ν H_N=\sum_\nu J_\nu f_\nu H N = ∑ ν J ν f ν . On S N S_N S N , we have ∣ x i ∣ ≤ N \lvert x_i\rvert\le\sqrt{N} ∣ x i ∣ ≤ N , so ∣ f ν ∣ ≤ N \lvert f_\nu\rvert\le\sqrt{N} ∣ f ν ∣ ≤ N and ∥ ∇ f ν ∥ ≤ p \lVert\nabla f_\nu\rVert\le p ∥ ∇ f ν ∥ ≤ p . Changing the coefficient J ν J_\nu J ν by ε \varepsilon ε adds ε β P X ∇ f ν ( x ) \varepsilon\beta P_X\nabla f_\nu(x) εβ P X ∇ f ν ( x ) to the drift of (3.3), which is a tangent force ε β P X u ∇ f ν ( X u ) \varepsilon\beta P_{X_u}\nabla f_\nu(X_u) εβ P X u ∇ f ν ( X u ) at time u u u . As in (3.7), the variation-of-constants formula yields
∂ J ν X t = β ∫ 0 t U N ( t , u ) ∇ f ν ( X u ) d u . (60) \partial_{J_\nu}X_t=\beta\int_0^t U_N(t,u)\nabla f_\nu(X_u)\,du. \tag*{(60)} ∂ J ν X t = β ∫ 0 t U N ( t , u ) ∇ f ν ( X u ) d u . (60)
where the derivative is taken in L 2 L^2 L 2 for the actual terminal solution. The first-order expansion of f ν f_\nu f ν on the compact sphere gives
∂ J ν E X 0 , B f ν ( X t ) = E X 0 , B [ ∇ f ν ( X t ) ⋅ ∂ J ν X t ] , \partial_{J_\nu}\mathbb{E}_{X_0,B}f_\nu(X_t)=\mathbb{E}_{X_0,B}\left[\nabla f_\nu(X_t)\cdot\partial_{J_\nu}X_t\right], ∂ J ν E X 0 , B f ν ( X t ) = E X 0 , B [ ∇ f ν ( X t ) ⋅ ∂ J ν X t ] ,
∣ ∂ J ν E X 0 , B f ν ( X t ) ∣ ≤ β p 2 ∫ 0 t E X 0 , B ∥ U N ( t , u ) ∥ o p d u . \left|\partial_{J_\nu}\mathbb{E}_{X_0,B}f_\nu(X_t)\right|\le\beta p^2\int_0^t\mathbb{E}_{X_0,B}\left\|U_N(t,u)\right\|_{\mathrm{op}}\,du. ∣ ∂ J ν E X 0 , B f ν ( X t ) ∣ ≤ β p 2 ∫ 0 t E X 0 , B ∥ U N ( t , u ) ∥ op d u .
Step 2 makes the right side integrable under the disorder law at every fixed N N N . As X 0 X_0 X 0 and B B B are independent of J J J , we apply Gaussian integration by parts to J ↦ E X 0 , B f ν ( X t ) J\mapsto\mathbb{E}_{X_0,B}f_\nu(X_t) J ↦ E X 0 , B f ν ( X t ) , conditionally on the other disorder coefficients. Summing over the N p N^p N p multi-indices and using Fubini’s theorem, we obtain
E H N ( X t ) = ∑ ν E [ J ν f ν ( X t ) ] = β ∫ 0 t E tr [ U N ( t , u ) ∑ ν ∇ f ν ( X u ) ∇ f ν ( X t ) T ] d u . \mathbb{E}H_N(X_t)=\sum_\nu\mathbb{E}\left[J_\nu f_\nu(X_t)\right]=\beta\int_0^t\mathbb{E}\operatorname{tr}\left[U_N(t,u)\sum_\nu\nabla f_\nu(X_u)\nabla f_\nu(X_t)^{\mathsf T}\right]\,du. E H N ( X t ) = ν ∑ E [ J ν f ν ( X t ) ] = β ∫ 0 t E tr [ U N ( t , u ) ν ∑ ∇ f ν ( X u ) ∇ f ν ( X t ) T ] d u .
To compute the sum over ν \nu ν , we differentiate the identity ∑ ν f ν ( x ) f ν ( y ) = N − ( p − 1 ) ( x ⋅ y ) p \sum_\nu f_\nu(x)f_\nu(y)=N^{-(p-1)}(x\cdot y)^p ∑ ν f ν ( x ) f ν ( y ) = N − ( p − 1 ) ( x ⋅ y ) p , the middle expression in (3.2), once in x j x_j x j and once in y i y_i y i . With c = x ⋅ y / N c=x\cdot y/N c = x ⋅ y / N , this gives
∑ ν ∂ i f ν ( y ) ∂ j f ν ( x ) = p c p − 1 δ i j + p ( p − 1 ) N c p − 2 x i y j . \sum_\nu\partial_i f_\nu(y)\,\partial_j f_\nu(x)=pc^{p-1}\delta_{ij}+\frac{p(p-1)}{N}c^{p-2}x_i y_j. ν ∑ ∂ i f ν ( y ) ∂ j f ν ( x ) = p c p − 1 δ ij + N p ( p − 1 ) c p − 2 x i y j .
Taking x = X t x=X_t x = X t and y = X u y=X_u y = X u , so that c = C N ( t , u ) c=C_N(t,u) c = C N ( t , u ) , we have
∑ ν ∇ f ν ( X u ) ∇ f ν ( X t ) T = p C N ( t , u ) p − 1 I + p ( p − 1 ) N C N ( t , u ) p − 2 X t X u T . \sum_\nu\nabla f_\nu(X_u)\nabla f_\nu(X_t)^{\mathsf T}
=pC_N(t,u)^{p-1}I+\frac{p(p-1)}{N}C_N(t,u)^{p-2}X_tX_u^{\mathsf T}. ν ∑ ∇ f ν ( X u ) ∇ f ν ( X t ) T = p C N ( t , u ) p − 1 I + N p ( p − 1 ) C N ( t , u ) p − 2 X t X u T .
Inserting this into the previous display, using tr ( U N X t X u T ) = X u T U N X t \operatorname{tr}(U_NX_tX_u^{\mathsf T})=X_u^{\mathsf T}U_NX_t tr ( U N X t X u T ) = X u T U N X t , and dividing by N N N , we obtain
1 N E H N ( X t ) = β p ∫ 0 t E [ C N ( t , u ) p − 1 tr U N ( t , u ) N ] d u + β p ( p − 1 ) N 2 ∫ 0 t E [ C N ( t , u ) p − 2 X u T U N ( t , u ) X t ] d u . (61) \frac{1}{N}\mathbb{E}H_N(X_t)=\beta p\int_0^t\mathbb{E}\left[C_N(t,u)^{p-1}\frac{\operatorname{tr}U_N(t,u)}{N}\right]\,du
+\frac{\beta p(p-1)}{N^2}\int_0^t\mathbb{E}\left[C_N(t,u)^{p-2}X_u^{\mathsf T}U_N(t,u)X_t\right]\,du. \tag*{(61)} N 1 E H N ( X t ) = β p ∫ 0 t E [ C N ( t , u ) p − 1 N tr U N ( t , u ) ] d u + N 2 β p ( p − 1 ) ∫ 0 t E [ C N ( t , u ) p − 2 X u T U N ( t , u ) X t ] d u . (61)
The second line is a rank-one correction. Using ∣ C N ∣ ≤ 1 |C_N|\le1 ∣ C N ∣ ≤ 1 , ∣ X u T U N ( t , u ) X t ∣ ≤ N ∥ U N ( t , u ) ∥ o p |X_u^{\mathsf T}U_N(t,u)X_t|\le N\|U_N(t,u)\|_{\mathrm{op}} ∣ X u T U N ( t , u ) X t ∣ ≤ N ∥ U N ( t , u ) ∥ op , and Step 2, its absolute value is at most β p ( p − 1 ) T Θ T / N \beta p(p-1)T\Theta_T/\sqrt{N} β p ( p − 1 ) T Θ T / N for 0 ≤ t ≤ T 0\le t\le T 0 ≤ t ≤ T . This tends to zero uniformly in t ≤ T t\le T t ≤ T .
Step 4: the limit N → ∞ N\to\infty N → ∞ . Fix T < ∞ T<\infty T < ∞ . In this step, only the dimension tends to infinity, with the horizon T T T fixed. We first replace the random weight C N ( t , u ) p − 1 C_N(t,u)^{p-1} C N ( t , u ) p − 1 in the first line of (4.6) by C ( t , u ) p − 1 C(t,u)^{p-1} C ( t , u ) p − 1 . Using that x ↦ x p − 1 x\mapsto x^{p-1} x ↦ x p − 1 is ( p − 1 ) (p-1) ( p − 1 ) -Lipschitz on [ − 1 , 1 ] [-1,1] [ − 1 , 1 ] , the bound E ∣ τ N ( t , u ) ∣ 2 ≤ Θ T 2 \mathbb{E}|\tau_N(t,u)|^2\le\Theta_T^2 E ∣ τ N ( t , u ) ∣ 2 ≤ Θ T 2 , and the Cauchy–Schwarz inequality, we find that the error is at most
β p ( p − 1 ) ∫ 0 t E [ ∣ C N ( t , u ) − C ( t , u ) ∣ ∣ τ N ( t , u ) ∣ ] d u ≤ β p ( p − 1 ) T Θ T ( E sup 0 ≤ u ≤ t ≤ T ∣ C N ( t , u ) − C ( t , u ) ∣ 2 ) 1 / 2 , \beta p(p-1)\int_0^t\mathbb{E}\left[|C_N(t,u)-C(t,u)|\,|\tau_N(t,u)|\right]\,du
\le\beta p(p-1)T\Theta_T\left(\mathbb{E}\sup_{0\le u\le t\le T}|C_N(t,u)-C(t,u)|^2\right)^{1/2}, β p ( p − 1 ) ∫ 0 t E [ ∣ C N ( t , u ) − C ( t , u ) ∣ ∣ τ N ( t , u ) ∣ ] d u ≤ β p ( p − 1 ) T Θ T ( E 0 ≤ u ≤ t ≤ T sup ∣ C N ( t , u ) − C ( t , u ) ∣ 2 ) 1/2 ,
which tends to zero uniformly in t ≤ T t \le T t ≤ T by (47) . After this replacement, and by Fubini’s theorem, the first line of (61) becomes β p ∫ 0 t w ( t , u ) r ˉ N ( t , u ) d u \beta p\int_0^t w(t,u)\bar r_N(t,u)\,\mathrm{d}u β p ∫ 0 t w ( t , u ) r ˉ N ( t , u ) d u , where
w ( t , u ) = C ( t , u ) p − 1 , 0 ≤ u ≤ t ≤ T . w(t,u)=C(t,u)^{p-1}, \qquad0\le u\le t\le T. w ( t , u ) = C ( t , u ) p − 1 , 0 ≤ u ≤ t ≤ T .
It remains to show that
lim N → ∞ sup 0 ≤ t ≤ T ∣ ∫ 0 t w ( t , u ) ( r ˉ N ( t , u ) − R ( t , u ) ) d u ∣ = 0. (62) \lim_{N\to\infty}\sup_{0\le t\le T}\left|\int_0^t w(t,u)\bigl(\bar r_N(t,u)-R(t,u)\bigr)\,\mathrm{d}u\right|=0. \tag*{(62)} N → ∞ lim 0 ≤ t ≤ T sup ∫ 0 t w ( t , u ) ( r ˉ N ( t , u ) − R ( t , u ) ) d u = 0. (62)
The convergence of primitives (51) does not imply this by itself, because r ˉ N ( t , ⋅ ) \bar r_N(t,\cdot) r ˉ N ( t , ⋅ ) may change sign; we also need a bound on the total variation of the signed measure r ˉ N ( t , u ) d u \bar r_N(t,u)\,\mathrm{d}u r ˉ N ( t , u ) d u . Because ∣ r ˉ N ( t , u ) ∣ ≤ E ∣ τ N ( t , u ) ∣ ≤ Θ T |\bar r_N(t,u)|\le\mathbb{E}|\tau_N(t,u)|\le\Theta_T ∣ r ˉ N ( t , u ) ∣ ≤ E ∣ τ N ( t , u ) ∣ ≤ Θ T , we have
∫ 0 t ∣ r ˉ N ( t , u ) ∣ d u ≤ T Θ T , 0 ≤ t ≤ T , \int_0^t|\bar r_N(t,u)|\,\mathrm{d}u\le T\Theta_T,\qquad0\le t\le T, ∫ 0 t ∣ r ˉ N ( t , u ) ∣ d u ≤ T Θ T , 0 ≤ t ≤ T ,
for every N N N . Let r T r_T r T be the maximum of the continuous function R R R on the triangle. Let
η N = sup 0 ≤ s ≤ t ≤ T ∣ ∫ 0 s ( r ˉ N ( t , u ) − R ( t , u ) ) d u ∣ , \eta_N=\sup_{0\le s\le t\le T}\left|\int_0^s\bigl(\bar r_N(t,u)-R(t,u)\bigr)\,\mathrm{d}u\right|, η N = 0 ≤ s ≤ t ≤ T sup ∫ 0 s ( r ˉ N ( t , u ) − R ( t , u ) ) d u ,
which tends to zero by (51) . Fix δ > 0 \delta>0 δ > 0 and a partition 0 = τ 0 < τ 1 < ⋯ < τ m = T 0=\tau_0<\tau_1<\cdots<\tau_m=T 0 = τ 0 < τ 1 < ⋯ < τ m = T of mesh at most δ \delta δ . Let w δ ( t , u ) = w ( t , τ k − 1 ) w_\delta(t,u)=w(t,\tau_{k-1}) w δ ( t , u ) = w ( t , τ k − 1 ) for u ∈ [ τ k − 1 , τ k ) u\in[\tau_{k-1},\tau_k) u ∈ [ τ k − 1 , τ k ) , and let ω T ( δ ) \omega_T(\delta) ω T ( δ ) be the modulus of continuity of w w w on the compact triangle { 0 ≤ u ≤ t ≤ T } \{0\le u\le t\le T\} { 0 ≤ u ≤ t ≤ T } , so that sup ∣ w − w δ ∣ ≤ ω T ( δ ) \sup|w-w_\delta|\le\omega_T(\delta) sup ∣ w − w δ ∣ ≤ ω T ( δ ) and ω T ( δ ) → 0 \omega_T(\delta)\to0 ω T ( δ ) → 0 as δ → 0 \delta\to0 δ → 0 . For fixed t ≤ T t\le T t ≤ T , the integral ∫ 0 t w δ ( t , u ) ( r ˉ N − R ) ( t , u ) d u \int_0^t w_\delta(t,u)(\bar r_N-R)(t,u)\,\mathrm{d}u ∫ 0 t w δ ( t , u ) ( r ˉ N − R ) ( t , u ) d u is a sum of at most m m m terms w ( t , τ k − 1 ) ∫ τ k − 1 ∧ t τ k ∧ t ( r ˉ N − R ) ( t , u ) d u w(t,\tau_{k-1})\int_{\tau_{k-1}\wedge t}^{\tau_k\wedge t}(\bar r_N-R)(t,u)\,\mathrm{d}u w ( t , τ k − 1 ) ∫ τ k − 1 ∧ t τ k ∧ t ( r ˉ N − R ) ( t , u ) d u . Each integral, including the one over a possibly truncated last interval, is a difference of two primitives evaluated at points of [ 0 , t ] [0,t] [ 0 , t ] , and ∣ w ∣ ≤ 1 |w|\le1 ∣ w ∣ ≤ 1 . This gives
sup 0 ≤ t ≤ T ∣ ∫ 0 t w ( t , u ) ( r ˉ N − R ) ( t , u ) d u ∣ ≤ ω T ( δ ) T ( Θ T + r T ) + 2 m η N , \sup_{0\le t\le T}\left|\int_0^t w(t,u)(\bar r_N-R)(t,u)\,\mathrm{d}u\right|
\le\omega_T(\delta)T(\Theta_T+r_T)+2m\eta_N, 0 ≤ t ≤ T sup ∫ 0 t w ( t , u ) ( r ˉ N − R ) ( t , u ) d u ≤ ω T ( δ ) T ( Θ T + r T ) + 2 m η N ,
where the first term bounds the integral of ( w − w δ ) ( r ˉ N − R ) (w-w_\delta)(\bar r_N-R) ( w − w δ ) ( r ˉ N − R ) by the total variation bounds above. We first let N → ∞ N\to\infty N → ∞ with the partition fixed, which removes the term 2 m η N 2m\eta_N 2 m η N , and then let δ → 0 \delta\to0 δ → 0 . This proves (62) .
Combining Step 3, the replacement of the weight, and (62) , we conclude that
lim N → ∞ sup 0 ≤ t ≤ T ∣ 1 N E H N ( X t ) − β p ∫ 0 t C ( t , u ) p − 1 R ( t , u ) d u ∣ = 0 , \lim_{N\to\infty}\sup_{0\le t\le T}\left|\frac{1}{N}\mathbb{E}H_N(X_t)-\beta p\int_0^t C(t,u)^{p-1}R(t,u)\,\mathrm{d}u\right|=0, N → ∞ lim 0 ≤ t ≤ T sup N 1 E H N ( X t ) − β p ∫ 0 t C ( t , u ) p − 1 R ( t , u ) d u = 0 ,
which is the first assertion of (56) . The identity λ ( t ) = 1 + p β e β ( t ) \lambda(t)=1+p\beta e_{\beta}(t) λ ( t ) = 1 + pβ e β ( t ) follows from (38) . ▫
The Green covariance identity
We now regard the CK solution as fixed and use its coefficients to define a linear problem. Let
Σ ( t , u ) = β 2 p ( p − 1 ) C ( t , u ) p − 2 R ( t , u ) , 0 ≤ u ≤ t , (63) \Sigma(t,u)=\beta^2p(p-1)C(t,u)^{p-2}R(t,u),\qquad0\leq u\leq t, \tag*{(63)} Σ ( t , u ) = β 2 p ( p − 1 ) C ( t , u ) p − 2 R ( t , u ) , 0 ≤ u ≤ t , (63)
which is continuous and, by (42) , nonnegative. Let D \mathcal{D} D be the linear Volterra operator
D f ( t ) = f ′ ( t ) + λ ( t ) f ( t ) − ∫ 0 t Σ ( t , u ) f ( u ) d u . \mathcal{D}f(t)=f'(t)+\lambda(t)f(t)-\int_0^t\Sigma(t,u)f(u)\,\mathrm{d}u. D f ( t ) = f ′ ( t ) + λ ( t ) f ( t ) − ∫ 0 t Σ ( t , u ) f ( u ) d u .
Note that β 2 ξ ′ ′ ( C ) R = Σ \beta^2\xi''(C)R=\Sigma β 2 ξ ′′ ( C ) R = Σ and β 2 ξ ′ ( C ) = β 2 p C p − 1 \beta^2\xi'(C)=\beta^2pC^{p-1} β 2 ξ ′ ( C ) = β 2 p C p − 1 . The CK equations take the following form. We extend R ( ⋅ , s ) R(\cdot,s) R ( ⋅ , s ) by zero on [ 0 , s ) [0,s) [ 0 , s ) . Then, for fixed s s s , (36) says that D R ( ⋅ , s ) ( t ) = 0 \mathcal{D}R(\cdot,s)(t)=0 D R ( ⋅ , s ) ( t ) = 0 for t > s t>s t > s , with R ( s , s ) = 1 R(s,s)=1 R ( s , s ) = 1 . That is, the response is the causal Green kernel of D \mathcal{D} D , with unit diagonal. Also, (37) says that
D C ( ⋅ , s ) ( t ) = β 2 p ∫ 0 s C ( t , u ) p − 1 R ( s , u ) d u , t > s . (64) \mathcal{D}C(\cdot,s)(t)=\beta^2p\int_0^s C(t,u)^{p-1}R(s,u)\,\mathrm{d}u,\qquad t>s. \tag*{(64)} D C ( ⋅ , s ) ( t ) = β 2 p ∫ 0 s C ( t , u ) p − 1 R ( s , u ) d u , t > s . (64)
Although the coefficients λ \lambda λ and Σ \Sigma Σ come from the nonlinear CK system, they are fixed continuous functions in what follows.
Proposition 4.2 (Green covariance identity). For every t , s ≥ 0 t,s\geq0 t , s ≥ 0 ,
C ( t , s ) = R ( t , 0 ) R ( s , 0 ) + 2 ∫ 0 t ∧ s R ( t , u ) R ( s , u ) d u + β 2 p ∫ 0 t ∫ 0 s R ( t , u ) R ( s , v ) C ( u , v ) p − 1 d v d u . (65) C(t,s)=R(t,0)R(s,0)+2\int_0^{t\wedge s}R(t,u)R(s,u)\,\mathrm{d}u
+\beta^2p\int_0^t\int_0^sR(t,u)R(s,v)C(u,v)^{p-1}\,\mathrm{d}v\,\mathrm{d}u. \tag*{(65)} C ( t , s ) = R ( t , 0 ) R ( s , 0 ) + 2 ∫ 0 t ∧ s R ( t , u ) R ( s , u ) d u + β 2 p ∫ 0 t ∫ 0 s R ( t , u ) R ( s , v ) C ( u , v ) p − 1 d v d u . (65) In particular,
C ( t , 0 ) = R ( t , 0 ) , 2 ∫ 0 t R ( t , u ) 2 d u ≤ 1. (66) C(t,0)=R(t,0),\qquad2\int_0^tR(t,u)^2\,\mathrm{d}u\leq1. \tag*{(66)} C ( t , 0 ) = R ( t , 0 ) , 2 ∫ 0 t R ( t , u ) 2 d u ≤ 1. (66) The three terms of (65) are the contributions of the initial condition, of the white noise, whose covariance is 2 in our convention, and of the colored noise with covariance β 2 p C p − 1 = β 2 ξ ′ ( C ) \beta^2pC^{p-1}=\beta^2\xi'(C) β 2 p C p − 1 = β 2 ξ ′ ( C ) , each propagated by the response.
Proof. Let Q ( t , s ) Q(t,s) Q ( t , s ) be the right side of (65) . It is continuous and symmetric. The proof has four steps. We verify that Q Q Q satisfies the same linear equation as C C C off the diagonal, and the same equation as C C C along the diagonal; a Gronwall argument then shows that Q = C Q=C Q = C . Finally, we deduce (66) . Throughout, all integrands are continuous and bounded on bounded sets, and whenever we exchange the order of integration below, we apply Fubini’s theorem on a bounded region.
Step 1: the off-diagonal equation. We write Q = Q 1 + Q 2 + Q 3 Q = Q_1 + Q_2 + Q_3 Q = Q 1 + Q 2 + Q 3 for the three terms:
Q 1 ( t , s ) = R ( t , 0 ) R ( s , 0 ) , Q 2 ( t , s ) = 2 ∫ 0 t ∧ s R ( t , u ) R ( s , u ) d u , Q_1(t,s) = R(t,0)R(s,0), \qquad Q_2(t,s) = 2\int_0^{t\wedge s} R(t,u)R(s,u)\,\mathrm{d}u, Q 1 ( t , s ) = R ( t , 0 ) R ( s , 0 ) , Q 2 ( t , s ) = 2 ∫ 0 t ∧ s R ( t , u ) R ( s , u ) d u ,
Q 3 ( t , s ) = β 2 ρ ∫ 0 t ∫ 0 s R ( t , u ) R ( s , v ) K ( u , v ) d v d u , K ( u , v ) = C ( u , v ) p − 1 . Q_3(t,s) = \beta^2\rho\int_0^t\int_0^s R(t,u)R(s,v)K(u,v)\,\mathrm{d}v\,\mathrm{d}u, \qquad K(u,v) = C(u,v)^{p-1}. Q 3 ( t , s ) = β 2 ρ ∫ 0 t ∫ 0 s R ( t , u ) R ( s , v ) K ( u , v ) d v d u , K ( u , v ) = C ( u , v ) p − 1 .
Fix s s s and let t > s t>s t > s . By (36) , we have ∂ t R ( t , 0 ) = − λ ( t ) R ( t , 0 ) + ∫ 0 t Σ ( t , z ) R ( z , 0 ) d z \partial_tR(t,0)=-\lambda(t)R(t,0)+\int_0^t\Sigma(t,z)R(z,0)\,\mathrm{d}z ∂ t R ( t , 0 ) = − λ ( t ) R ( t , 0 ) + ∫ 0 t Σ ( t , z ) R ( z , 0 ) d z , and hence
∂ t Q 1 ( t , s ) = − λ ( t ) Q 1 ( t , s ) + ∫ 0 t Σ ( t , z ) Q 1 ( z , s ) d z . \partial_tQ_1(t,s)=-\lambda(t)Q_1(t,s)+\int_0^t\Sigma(t,z)Q_1(z,s)\,\mathrm{d}z. ∂ t Q 1 ( t , s ) = − λ ( t ) Q 1 ( t , s ) + ∫ 0 t Σ ( t , z ) Q 1 ( z , s ) d z .
For t > s t>s t > s , we have Q 2 ( t , s ) = 2 ∫ 0 s R ( t , u ) R ( s , u ) d u Q_2(t,s)=2\int_0^sR(t,u)R(s,u)\,\mathrm{d}u Q 2 ( t , s ) = 2 ∫ 0 s R ( t , u ) R ( s , u ) d u . Differentiating under the integral and using (36) gives
∂ t Q 2 ( t , s ) = − λ ( t ) Q 2 ( t , s ) + 2 ∫ 0 s R ( s , u ) ∫ u t Σ ( t , z ) R ( z , u ) d z d u . \partial_tQ_2(t,s)=-\lambda(t)Q_2(t,s)+2\int_0^sR(s,u)\int_u^t\Sigma(t,z)R(z,u)\,\mathrm{d}z\,\mathrm{d}u. ∂ t Q 2 ( t , s ) = − λ ( t ) Q 2 ( t , s ) + 2 ∫ 0 s R ( s , u ) ∫ u t Σ ( t , z ) R ( z , u ) d z d u .
The region { 0 ≤ u ≤ s , u ≤ z ≤ t } \{0\leq u\leq s,\ u\leq z\leq t\} { 0 ≤ u ≤ s , u ≤ z ≤ t } is { 0 ≤ z ≤ t , 0 ≤ u ≤ z ∧ s } \{0\leq z\leq t,\ 0\leq u\leq z\wedge s\} { 0 ≤ z ≤ t , 0 ≤ u ≤ z ∧ s } , and exchanging the integrals yields
∂ t Q 2 ( t , s ) = − λ ( t ) Q 2 ( t , s ) + ∫ 0 t Σ ( t , z ) Q 2 ( z , s ) d z . \partial_tQ_2(t,s)=-\lambda(t)Q_2(t,s)+\int_0^t\Sigma(t,z)Q_2(z,s)\,\mathrm{d}z. ∂ t Q 2 ( t , s ) = − λ ( t ) Q 2 ( t , s ) + ∫ 0 t Σ ( t , z ) Q 2 ( z , s ) d z .
Note that the inner integral produces Q 2 ( z , s ) Q_2(z,s) Q 2 ( z , s ) with its upper limit z ∧ s z\wedge s z ∧ s , which accounts correctly for the memory times z < s z<s z < s . For the colored term, differentiating in the upper limit t t t produces a boundary term with R ( t , t ) = 1 R(t,t)=1 R ( t , t ) = 1 , and differentiating R ( t , u ) R(t,u) R ( t , u ) inside the integral produces the memory term after the same exchange of integrals. We obtain
∂ t Q 3 ( t , s ) = − λ ( t ) Q 3 ( t , s ) + ∫ 0 t Σ ( t , z ) Q 3 ( z , s ) d z + β 2 ρ ∫ 0 s K ( t , v ) R ( s , v ) d v . \partial_tQ_3(t,s)=-\lambda(t)Q_3(t,s)+\int_0^t\Sigma(t,z)Q_3(z,s)\,\mathrm{d}z+\beta^2\rho\int_0^sK(t,v)R(s,v)\,\mathrm{d}v. ∂ t Q 3 ( t , s ) = − λ ( t ) Q 3 ( t , s ) + ∫ 0 t Σ ( t , z ) Q 3 ( z , s ) d z + β 2 ρ ∫ 0 s K ( t , v ) R ( s , v ) d v .
Adding the three equations, we conclude that, for t > s t>s t > s ,
∂ t Q ( t , s ) = − λ ( t ) Q ( t , s ) + ∫ 0 t Σ ( t , z ) Q ( z , s ) d z + β 2 ρ ∫ 0 s C ( t , v ) p − 1 R ( s , v ) d v . (67) \partial_tQ(t,s)=-\lambda(t)Q(t,s)+\int_0^t\Sigma(t,z)Q(z,s)\,\mathrm{d}z+\beta^2\rho\int_0^sC(t,v)^{p-1}R(s,v)\,\mathrm{d}v. \tag*{(67)} ∂ t Q ( t , s ) = − λ ( t ) Q ( t , s ) + ∫ 0 t Σ ( t , z ) Q ( z , s ) d z + β 2 ρ ∫ 0 s C ( t , v ) p − 1 R ( s , v ) d v . (67)
By (64) , the correlation C C C satisfies the same equation. Note that the white-noise integral has no boundary term when t > s t>s t > s , because its upper limit t ∧ s = s t\wedge s=s t ∧ s = s does not move.
Step 2: the diagonal equation. Along the diagonal, the upper limit of the white-noise integral moves. We differentiate Q ( t , t ) = Q 1 ( t , t ) + Q 2 ( t , t ) + Q 3 ( t , t ) Q(t,t)=Q_1(t,t)+Q_2(t,t)+Q_3(t,t) Q ( t , t ) = Q 1 ( t , t ) + Q 2 ( t , t ) + Q 3 ( t , t ) , using (36) , R ( t , t ) = 1 R(t,t)=1 R ( t , t ) = 1 , and the symmetry of K K K . Both arguments now move, and the computations of Step 1 give
d d t Q i ( t , t ) = − 2 λ ( t ) Q i ( t , t ) + 2 ∫ 0 t Σ ( t , u ) Q i ( u , t ) d u + b i ( t ) , i = 1 , 2 , 3 , \frac{\mathrm{d}}{\mathrm{d}t}Q_i(t,t)=-2\lambda(t)Q_i(t,t)+2\int_0^t\Sigma(t,u)Q_i(u,t)\,\mathrm{d}u+b_i(t), \qquad i=1,2,3, d t d Q i ( t , t ) = − 2 λ ( t ) Q i ( t , t ) + 2 ∫ 0 t Σ ( t , u ) Q i ( u , t ) d u + b i ( t ) , i = 1 , 2 , 3 ,
where b 1 ( t ) = 0 b_1(t)=0 b 1 ( t ) = 0 , b 2 ( t ) = 2 b_2(t)=2 b 2 ( t ) = 2 , and b 3 ( t ) = 2 β 2 p ∫ 0 t K ( t , u ) R ( t , u ) d u b_3(t)=2\beta^2p\int_0^t K(t,u)R(t,u)\,\mathrm{d}u b 3 ( t ) = 2 β 2 p ∫ 0 t K ( t , u ) R ( t , u ) d u . Adding these identities, we obtain
d d t Q ( t , t ) = − 2 λ ( t ) Q ( t , t ) + 2 ∫ 0 t Σ ( t , u ) Q ( u , t ) d u + 2 β 2 p ∫ 0 t C ( t , u ) p − 1 R ( t , u ) d u + 2. (68) \frac{\mathrm{d}}{\mathrm{d}t}Q(t,t)=-2\lambda(t)Q(t,t)+2\int_0^t\Sigma(t,u)Q(u,t)\,\mathrm{d}u+2\beta^2p\int_0^t C(t,u)^{p-1}R(t,u)\,\mathrm{d}u+2. \tag*{(68)} d t d Q ( t , t ) = − 2 λ ( t ) Q ( t , t ) + 2 ∫ 0 t Σ ( t , u ) Q ( u , t ) d u + 2 β 2 p ∫ 0 t C ( t , u ) p − 1 R ( t , u ) d u + 2. (68)
The last term 2 is the boundary term 2 R ( t , t ) 2 2R(t,t)^2 2 R ( t , t ) 2 from the moving upper limit of the white-noise integral. The constant function C ( t , t ) = 1 C(t,t)=1 C ( t , t ) = 1 satisfies the same equation. Indeed, if we substitute Q = C Q=C Q = C and C ( t , t ) = 1 C(t,t)=1 C ( t , t ) = 1 , the right side of (4.13) becomes
− 2 λ ( t ) + 2 ∫ 0 t Σ ( t , u ) C ( t , u ) d u + 2 β 2 p ∫ 0 t C ( t , u ) p − 1 R ( t , u ) d u + 2 , -2\lambda(t)+2\int_0^t\Sigma(t,u)C(t,u)\,\mathrm{d}u+2\beta^2p\int_0^t C(t,u)^{p-1}R(t,u)\,\mathrm{d}u+2, − 2 λ ( t ) + 2 ∫ 0 t Σ ( t , u ) C ( t , u ) d u + 2 β 2 p ∫ 0 t C ( t , u ) p − 1 R ( t , u ) d u + 2 ,
and since Σ ( t , u ) C ( t , u ) = β 2 p ( p − 1 ) C ( t , u ) p − 1 R ( t , u ) \Sigma(t,u)C(t,u)=\beta^2p(p-1)C(t,u)^{p-1}R(t,u) Σ ( t , u ) C ( t , u ) = β 2 p ( p − 1 ) C ( t , u ) p − 1 R ( t , u ) , this vanishes by the multiplier equation (3.11). Both Q Q Q and C C C equal one at ( 0 , 0 ) (0,0) ( 0 , 0 ) .
Step 3: uniqueness. Let D = Q − C D=Q-C D = Q − C . It is continuous and symmetric, D ( 0 , 0 ) = 0 D(0,0)=0 D ( 0 , 0 ) = 0 , and by Steps 1 and 2 it satisfies the homogeneous equations
∂ t D ( t , s ) = − λ ( t ) D ( t , s ) + ∫ 0 t Σ ( t , z ) D ( z , s ) d z , t > s , \partial_tD(t,s)=-\lambda(t)D(t,s)+\int_0^t\Sigma(t,z)D(z,s)\,\mathrm{d}z,\qquad t>s, ∂ t D ( t , s ) = − λ ( t ) D ( t , s ) + ∫ 0 t Σ ( t , z ) D ( z , s ) d z , t > s ,
d d t D ( t , t ) = − 2 λ ( t ) D ( t , t ) + 2 ∫ 0 t Σ ( t , z ) D ( z , t ) d z . \frac{\mathrm{d}}{\mathrm{d}t}D(t,t)=-2\lambda(t)D(t,t)+2\int_0^t\Sigma(t,z)D(z,t)\,\mathrm{d}z. d t d D ( t , t ) = − 2 λ ( t ) D ( t , t ) + 2 ∫ 0 t Σ ( t , z ) D ( z , t ) d z .
Fix T < ∞ T<\infty T < ∞ , and let λ ˉ T = sup [ 0 , T ] ∣ λ ∣ \bar{\lambda}_T=\sup_{[0,T]}|\lambda| λ ˉ T = sup [ 0 , T ] ∣ λ ∣ , Σ ˉ T = sup 0 ≤ u ≤ t ≤ T ∣ Σ ( t , u ) ∣ \bar{\Sigma}_T=\sup_{0\le u\le t\le T}|\Sigma(t,u)| Σ ˉ T = sup 0 ≤ u ≤ t ≤ T ∣Σ ( t , u ) ∣ , and
d ( t ) = sup 0 ≤ u , v ≤ t ∣ D ( u , v ) ∣ , 0 ≤ t ≤ T , d(t)=\sup_{0\le u,v\le t}|D(u,v)|,\qquad0\le t\le T, d ( t ) = 0 ≤ u , v ≤ t sup ∣ D ( u , v ) ∣ , 0 ≤ t ≤ T ,
which is nondecreasing and bounded. Integrating the diagonal equation from 0 to s s s and bounding ∣ D ( z , v ) ∣ ≤ d ( v ) |D(z,v)|\le d(v) ∣ D ( z , v ) ∣ ≤ d ( v ) for z ≤ v z\le v z ≤ v , we find
∣ D ( s , s ) ∣ ≤ ( 2 λ ˉ T + 2 Σ ˉ T T ) ∫ 0 s d ( v ) d v . |D(s,s)|\le(2\bar{\lambda}_T+2\bar{\Sigma}_TT)\int_0^s d(v)\,\mathrm{d}v. ∣ D ( s , s ) ∣ ≤ ( 2 λ ˉ T + 2 Σ ˉ T T ) ∫ 0 s d ( v ) d v .
For t > s t>s t > s , we integrate the off-diagonal equation from s s s to t t t and find
∣ D ( t , s ) ∣ ≤ ∣ D ( s , s ) ∣ + ( λ ˉ T + Σ ˉ T T ) ∫ s t d ( v ) d v , |D(t,s)|\le|D(s,s)|+(\bar{\lambda}_T+\bar{\Sigma}_TT)\int_s^t d(v)\,\mathrm{d}v, ∣ D ( t , s ) ∣ ≤ ∣ D ( s , s ) ∣ + ( λ ˉ T + Σ ˉ T T ) ∫ s t d ( v ) d v ,
where we used that for v ∈ [ s , t ] v\in[s,t] v ∈ [ s , t ] and z ≤ v z\le v z ≤ v , both arguments of D ( v , s ) D(v,s) D ( v , s ) and D ( z , s ) D(z,s) D ( z , s ) lie in [ 0 , v ] [0,v] [ 0 , v ] . These two bounds and the symmetry of D D D imply that ∣ D ( t ′ , s ′ ) ∣ ≤ ( 2 λ ˉ T + 2 Σ ˉ T T ) ∫ 0 t d ( v ) d v |D(t',s')|\le(2\bar{\lambda}_T+2\bar{\Sigma}_TT)\int_0^t d(v)\,\mathrm{d}v ∣ D ( t ′ , s ′ ) ∣ ≤ ( 2 λ ˉ T + 2 Σ ˉ T T ) ∫ 0 t d ( v ) d v whenever t ′ , s ′ ≤ t t',s'\le t t ′ , s ′ ≤ t . Taking the supremum over t ′ t' t ′ and s ′ s' s ′ , we have
d ( t ) ≤ ( 2 λ ˉ T + 2 Σ ˉ T T ) ∫ 0 t d ( v ) d v , 0 ≤ t ≤ T . d(t)\le(2\bar{\lambda}_T+2\bar{\Sigma}_TT)\int_0^t d(v)\,\mathrm{d}v,\qquad0\le t\le T. d ( t ) ≤ ( 2 λ ˉ T + 2 Σ ˉ T T ) ∫ 0 t d ( v ) d v , 0 ≤ t ≤ T .
By Gronwall’s inequality, d ≡ 0 d\equiv0 d ≡ 0 on [ 0 , T ] [0,T] [ 0 , T ] . Since the horizon T T T was arbitrary, we conclude that Q = C Q=C Q = C , which is (4.10).
Step 4: consequences. At s = 0 s = 0 s = 0 , the white-noise and colored terms of (4.10) vanish and R ( 0 , 0 ) = 1 R(0,0) = 1 R ( 0 , 0 ) = 1 , so that C ( t , 0 ) = R ( t , 0 ) C(t,0) = R(t,0) C ( t , 0 ) = R ( t , 0 ) . At s = t s = t s = t , the left side of (4.10) is one, and the three terms on the right are nonnegative, because R ≥ 0 R \ge0 R ≥ 0 and C ≥ 0 C \ge0 C ≥ 0 by (3.15). In particular,
2 ∫ 0 t R ( t , u ) 2 d u ≤ 1. 2\int_0^t R(t,u)^2\,\mathrm{d}u \le1. 2 ∫ 0 t R ( t , u ) 2 d u ≤ 1.
Feature vectors. We now realize (4.10) as a Gram identity. By Proposition 3.2, C C C is a positive-semidefinite kernel, and the Schur product theorem [111, Section 4, Satz VII, p. 14] implies that its entrywise power K = C p − 1 K = C^{p-1} K = C p − 1 is positive semidefinite as well. Let K \mathcal{K} K be the Hilbert space generated by vectors V u V_u V u , u ≥ 0 u \ge0 u ≥ 0 , with
⟨ V u , V v ⟩ = C ( u , v ) p − 1 . \langle V_u,V_v\rangle= C(u,v)^{p-1}. ⟨ V u , V v ⟩ = C ( u , v ) p − 1 .
Explicitly, we take finite formal linear combinations of the symbols V u V_u V u , define the inner product by bilinearity, take the quotient by the vectors of norm zero, and complete. This is the classical positive-kernel Hilbert-space construction [4, Part I, Section 2(4), p. 344]. We call K \mathcal{K} K the colored feature space. The vectors V u V_u V u have norm one, and
∥ V u − V v ∥ 2 = 2 { 1 − C ( u , v ) p − 1 } . (69) \lVert V_u - V_v\rVert^2 = 2\{1 - C(u,v)^{p-1}\}. \tag*{(69)} ∥ V u − V v ∥ 2 = 2 { 1 − C ( u , v ) p − 1 } . (69)
so u ↦ V u u \mapsto V_u u ↦ V u is norm-continuous, because C C C is continuous. We may therefore define the Bochner integral
A t = ∫ 0 t R ( t , u ) V u d u ∈ K . A_t = \int_0^t R(t,u)V_u\,\mathrm{d}u \in\mathcal{K}. A t = ∫ 0 t R ( t , u ) V u d u ∈ K .
of a continuous function on a compact interval. Since bounded linear functionals commute with the integral, we have
⟨ A t , A s ⟩ = ∫ 0 t ∫ 0 s R ( t , u ) R ( s , v ) C ( u , v ) p − 1 d v d u , ⟨ V t , A t ⟩ = ∫ 0 t C ( t , u ) p − 1 R ( t , u ) d u . \langle A_t,A_s\rangle= \int_0^t\int_0^s R(t,u)R(s,v)C(u,v)^{p-1}\,\mathrm{d}v\,\mathrm{d}u,\qquad\langle V_t,A_t\rangle= \int_0^t C(t,u)^{p-1}R(t,u)\,\mathrm{d}u. ⟨ A t , A s ⟩ = ∫ 0 t ∫ 0 s R ( t , u ) R ( s , v ) C ( u , v ) p − 1 d v d u , ⟨ V t , A t ⟩ = ∫ 0 t C ( t , u ) p − 1 R ( t , u ) d u .
In the direct sum R ⊕ L 2 ( R + ) ⊕ K \mathbb{R} \oplus L^2(\mathbb{R}_+) \oplus\mathcal{K} R ⊕ L 2 ( R + ) ⊕ K , we define
Z t = R ( t , 0 ) ⊕ 2 R ( t , ⋅ ) 1 [ 0 , t ] ⊕ β p A t . (70) Z_t = R(t,0) \oplus\sqrt{2}R(t,\cdot)1_{[0,t]} \oplus\beta\sqrt{p}\,A_t. \tag*{(70)} Z t = R ( t , 0 ) ⊕ 2 R ( t , ⋅ ) 1 [ 0 , t ] ⊕ β p A t . (70)
Adding the inner products of the three orthogonal components, we see that (4.10) says exactly
⟨ Z t , Z s ⟩ = C ( t , s ) , ∥ Z t ∥ = 1. \langle Z_t,Z_s\rangle= C(t,s),\qquad\lVert Z_t\rVert= 1. ⟨ Z t , Z s ⟩ = C ( t , s ) , ∥ Z t ∥ = 1.
The initial, white-noise, and colored contributions to the correlation are orthogonal components of Z t Z_t Z t , and the colored component retains the complete history. Section 7 refines the colored component into a causal realization graded by trees.
The energy–response tradeoff and the multiplier bound
Proposition 4.3 (Energy–response tradeoff and uniform multiplier bound). For every t ≥ 0 t \ge0 t ≥ 0 ,
e β ( t ) 2 p + C ( t , 0 ) 2 + 2 ∫ 0 t R ( t , u ) 2 d u ≤ 1 , (71) \frac{e_{\beta}(t)^2}{p}+C(t,0)^2+2\int_{0}^{t}R(t,u)^2\,\mathrm{d}u\le1, \tag*{(71)} p e β ( t ) 2 + C ( t , 0 ) 2 + 2 ∫ 0 t R ( t , u ) 2 d u ≤ 1 , (71) and
1 ≤ λ ( t ) ≤ Λ , Λ = 1 + 1 + 4 β 2 p 3 2 . (72) 1\le\lambda(t)\le\Lambda,\qquad\Lambda=\frac{1+\sqrt{1+4\beta^2p^3}}{2}. \tag*{(72)} 1 ≤ λ ( t ) ≤ Λ , Λ = 2 1 + 1 + 4 β 2 p 3 . (72) Both estimates are deterministic consequences of the CK equations and of Proposition 3.2. Proposition 4.1 is needed only to interpret e β ( t ) e_{\beta}(t) e β ( t ) as an energy.
Proof. The proof has three steps. We first prove the tradeoff, then deduce a first bound on the multiplier, and finally improve it to (72) using a lower bound on the response.
Step 1: the tradeoff. Let M t = ∫ 0 t C ( t , u ) p − 1 R ( t , u ) d u M_t=\int_{0}^{t}C(t,u)p^{-1}R(t,u)\,\mathrm{d}u M t = ∫ 0 t C ( t , u ) p − 1 R ( t , u ) d u . With the notation of the feature vectors above, we have M t = ⟨ V t , A t ⟩ M_t=\langle V_t,A_t\rangle M t = ⟨ V t , A t ⟩ , and since ∥ V t ∥ = 1 \lVert V_t\rVert=1 ∥ V t ∥ = 1 , the Cauchy–Schwarz inequality yields M t 2 ≤ ∥ A t ∥ 2 M_t^2\le\lVert A_t\rVert^2 M t 2 ≤ ∥ A t ∥ 2 . On the diagonal, (65) reads 1 = R ( t , 0 ) 2 + 2 ∫ 0 t R ( t , u ) 2 d u + β 2 p ∥ A t ∥ 2 1=R(t,0)^2+2\int_{0}^{t}R(t,u)^2\,\mathrm{d}u+\beta^2p\lVert A_t\rVert^2 1 = R ( t , 0 ) 2 + 2 ∫ 0 t R ( t , u ) 2 d u + β 2 p ∥ A t ∥ 2 . Combining these two facts, we find
β 2 p M t 2 + R ( t , 0 ) 2 + 2 ∫ 0 t R ( t , u ) 2 d u ≤ 1. \beta^2pM_t^2+R(t,0)^2+2\int_{0}^{t}R(t,u)^2\,\mathrm{d}u\le1. β 2 p M t 2 + R ( t , 0 ) 2 + 2 ∫ 0 t R ( t , u ) 2 d u ≤ 1.
Since e β ( t ) = β p M t e_{\beta}(t)=\beta pM_t e β ( t ) = β p M t and λ ( t ) − 1 = β 2 p 2 M t \lambda(t)-1=\beta^2p^2M_t λ ( t ) − 1 = β 2 p 2 M t , we have e β ( t ) 2 / p = β 2 p M t 2 = ( λ ( t ) − 1 ) 2 / ( β 2 p 3 ) e_{\beta}(t)^2/p=\beta^2pM_t^2=(\lambda(t)-1)^2/(\beta^2p^3) e β ( t ) 2 / p = β 2 p M t 2 = ( λ ( t ) − 1 ) 2 / ( β 2 p 3 ) . Using C ( t , 0 ) = R ( t , 0 ) C(t,0)=R(t,0) C ( t , 0 ) = R ( t , 0 ) from (66) , we obtain (71) , and equivalently
( λ ( t ) − 1 ) 2 β 2 p 3 + R ( t , 0 ) 2 + 2 ∫ 0 t R ( t , u ) 2 d u ≤ 1. (73) \frac{(\lambda(t)-1)^2}{\beta^2p^3}+R(t,0)^2+2\int_{0}^{t}R(t,u)^2\,\mathrm{d}u\le1. \tag*{(73)} β 2 p 3 ( λ ( t ) − 1 ) 2 + R ( t , 0 ) 2 + 2 ∫ 0 t R ( t , u ) 2 d u ≤ 1. (73)
Step 2: a first bound. Note that M t ≥ 0 M_t\ge0 M t ≥ 0 and λ ( t ) ≥ 1 \lambda(t)\ge1 λ ( t ) ≥ 1 , because C ≥ 0 C\ge0 C ≥ 0 and R ≥ 0 R\ge0 R ≥ 0 . By (73) , we also have λ ( t ) ≤ 1 + β p 3 / 2 \lambda(t)\le1+\beta p^{3/2} λ ( t ) ≤ 1 + β p 3/2 . In particular, Λ 0 = sup t ≥ 0 λ ( t ) \Lambda_0=\sup_{t\ge0}\lambda(t) Λ 0 = sup t ≥ 0 λ ( t ) satisfies 1 ≤ Λ 0 < ∞ 1\le\Lambda_0<\infty 1 ≤ Λ 0 < ∞ .
Step 3: the improvement. Since Σ ≥ 0 \Sigma\ge0 Σ ≥ 0 and R ≥ 0 R\ge0 R ≥ 0 , (36) implies that ∂ t R ( t , u ) ≥ − λ ( t ) R ( t , u ) \partial_tR(t,u)\ge-\lambda(t)R(t,u) ∂ t R ( t , u ) ≥ − λ ( t ) R ( t , u ) for t ≥ u t\ge u t ≥ u . Then t ↦ R ( t , u ) exp ( ∫ u t λ ( v ) d v ) t\mapsto R(t,u)\exp\left(\int_{u}^{t}\lambda(v)\,\mathrm{d}v\right) t ↦ R ( t , u ) exp ( ∫ u t λ ( v ) d v ) is nondecreasing, and since R ( u , u ) = 1 R(u,u)=1 R ( u , u ) = 1 , we have
R ( t , u ) ≥ exp ( − ∫ u t λ ( v ) d v ) ≥ e − Λ 0 ( t − u ) . R(t,u)\ge\exp\left(-\int_{u}^{t}\lambda(v)\,\mathrm{d}v\right)\ge e^{-\Lambda_0(t-u)}. R ( t , u ) ≥ exp ( − ∫ u t λ ( v ) d v ) ≥ e − Λ 0 ( t − u ) .
Squaring this bound and integrating gives
R ( t , 0 ) 2 + 2 ∫ 0 t R ( t , u ) 2 d u ≥ e − 2 Λ 0 t + 1 − e − 2 Λ 0 t Λ 0 ≥ 1 Λ 0 , R(t,0)^2+2\int_{0}^{t}R(t,u)^2\,\mathrm{d}u\ge e^{-2\Lambda_0t}+\frac{1-e^{-2\Lambda_0t}}{\Lambda_0}\ge\frac{1}{\Lambda_0}, R ( t , 0 ) 2 + 2 ∫ 0 t R ( t , u ) 2 d u ≥ e − 2 Λ 0 t + Λ 0 1 − e − 2 Λ 0 t ≥ Λ 0 1 ,
where in the last inequality we used that the middle expression is a convex combination of 1 1 1 and 1 / Λ 0 1/\Lambda_0 1/ Λ 0 , and that Λ 0 ≥ 1 \Lambda_0 \ge1 Λ 0 ≥ 1 . Inserting this into (73) , we find ( λ ( t ) − 1 ) 2 ≤ β 2 p 3 ( 1 − Λ 0 − 1 ) (\lambda(t)-1)^2 \le\beta^2p^3(1-\Lambda_0^{-1}) ( λ ( t ) − 1 ) 2 ≤ β 2 p 3 ( 1 − Λ 0 − 1 ) for every t t t . Taking times t t t with λ ( t ) → Λ 0 \lambda(t) \to\Lambda_0 λ ( t ) → Λ 0 (the supremum need not be attained), we obtain
( Λ 0 − 1 ) 2 ≤ β 2 p 3 ( 1 − Λ 0 − 1 ) = β 2 p 3 Λ 0 − 1 Λ 0 . (\Lambda_0-1)^2 \le\beta^2p^3(1-\Lambda_0^{-1})=\beta^2p^3\frac{\Lambda_0-1}{\Lambda_0}. ( Λ 0 − 1 ) 2 ≤ β 2 p 3 ( 1 − Λ 0 − 1 ) = β 2 p 3 Λ 0 Λ 0 − 1 .
If Λ 0 > 1 \Lambda_0>1 Λ 0 > 1 , we divide by Λ 0 − 1 \Lambda_0-1 Λ 0 − 1 and find Λ 0 2 − Λ 0 − β 2 p 3 ≤ 0 \Lambda_0^2-\Lambda_0-\beta^2p^3\le0 Λ 0 2 − Λ 0 − β 2 p 3 ≤ 0 , which implies that Λ 0 \Lambda_0 Λ 0 is at most the positive root Λ \Lambda Λ of x 2 − x − β 2 p 3 x^2-x-\beta^2p^3 x 2 − x − β 2 p 3 . If Λ 0 = 1 \Lambda_0=1 Λ 0 = 1 , then Λ 0 ≤ Λ \Lambda_0\le\Lambda Λ 0 ≤ Λ because Λ ≥ 1 \Lambda\ge1 Λ ≥ 1 . This proves (72) .
Regularity in time
Proposition 4.4 (Uniform regularity in time). There exist finite constants D p , β D_{p,\beta} D p , β and L p , β L_{p,\beta} L p , β , depending only on p p p and β \beta β , such that e β e_\beta e β and λ \lambda λ are L p , β L_{p,\beta} L p , β -Lipschitz on [ 0 , ∞ ) [0,\infty) [ 0 , ∞ ) , and, for all u , v ≥ 0 u,v\ge0 u , v ≥ 0 and h ≥ 0 h\ge0 h ≥ 0 ,
∣ C ( u + h , v ) − C ( u , v ) ∣ ≤ D p , β h + 2 h , ∣ C ( u , v + h ) − C ( u , v ) ∣ ≤ D p , β h + 2 h . (74) |C(u+h,v)-C(u,v)|\le D_{p,\beta}h+\sqrt{2h},\qquad|C(u,v+h)-C(u,v)|\le D_{p,\beta}h+\sqrt{2h}. \tag*{(74)} ∣ C ( u + h , v ) − C ( u , v ) ∣ ≤ D p , β h + 2 h , ∣ C ( u , v + h ) − C ( u , v ) ∣ ≤ D p , β h + 2 h . (74) Moreover, with Λ \Lambda Λ as in (72) , for all t ≥ s ≥ 0 t\ge s\ge0 t ≥ s ≥ 0 ,
0 ≤ 1 − C ( t , s ) ≤ Λ ( t − s ) . (75) 0\le1-C(t,s)\le\Lambda(t-s). \tag*{(75)} 0 ≤ 1 − C ( t , s ) ≤ Λ ( t − s ) . (75)
We obtain the estimates (74) from the diffusion in finite dimension and pass them to the limit with u u u , v v v , and h h h fixed; their constants do not depend on the times involved. The bound (75) is stronger near the diagonal. It implies that any unit vectors v t v_t v t in a Hilbert space with ⟨ v t , v s ⟩ = C ( t , s ) \langle v_t,v_s\rangle=C(t,s) ⟨ v t , v s ⟩ = C ( t , s ) , such as Z t Z_t Z t in (70) , satisfy
∥ v t − v s ∥ 2 = 2 { 1 − C ( t , s ) } ≤ 2 Λ ∣ t − s ∣ , \lVert v_t-v_s\rVert^2=2\{1-C(t,s)\}\le2\Lambda|t-s|, ∥ v t − v s ∥ 2 = 2 { 1 − C ( t , s )} ≤ 2Λ∣ t − s ∣ ,
so that t ↦ v t t\mapsto v_t t ↦ v t is 1/2-Hölder. The modulus (74) alone would only yield the exponent 1/4.
Proof. Let γ j = sup N E Q N j \gamma_j=\sup_N\mathbb{E}Q_N^j γ j = sup N E Q N j for j = 1 , 2 j=1,2 j = 1 , 2 , which are finite by Lemma 3.6 and depend only on p p p .
Step 1: the energy and the multiplier. Let e N ( t ) = N − 1 E H N ( X t ) e_N(t)=N^{-1}\mathbb{E}H_N(X_t) e N ( t ) = N − 1 E H N ( X t ) . By Itô’s formula on S N S_N S N and (31) ,
H N ( X t ) − H N ( X s ) = ∫ s t [ Δ S H N ( X r ) + β ∥ ∇ S H N ( X r ) ∥ 2 ] d r + 2 ∫ s t ∇ S H N ( X r ) ⋅ d B r . H_N(X_t)-H_N(X_s)=\int_s^t\left[\Delta_S H_N(X_r)+\beta\lVert\nabla_S H_N(X_r)\rVert^2\right]\,\mathrm{d}r+\sqrt{2}\int_s^t\nabla_S H_N(X_r)\cdot\mathrm{d}B_r. H N ( X t ) − H N ( X s ) = ∫ s t [ Δ S H N ( X r ) + β ∥ ∇ S H N ( X r ) ∥ 2 ] d r + 2 ∫ s t ∇ S H N ( X r ) ⋅ d B r .
For fixed J J J , the integrand of the stochastic integral is bounded, and the stochastic integral has mean zero; by (53) , the integrands are integrable over the disorder as well. By (53) , we have ∣ Δ S H N ∣ / N ≤ p 2 Q N |\Delta_{\!S}H_N|/N \le p^2Q_N ∣ Δ S H N ∣/ N ≤ p 2 Q N and ∥ ∇ S H N ∥ 2 / N ≤ ∥ ∇ H N ∥ 2 / N ≤ p 2 Q N 2 \|\nabla_{\!S}H_N\|^2/N \le\|\nabla H_N\|^2/N \le p^2Q_N^2 ∥ ∇ S H N ∥ 2 / N ≤ ∥∇ H N ∥ 2 / N ≤ p 2 Q N 2 on S N S_N S N . Taking expectations gives
∣ e N ( t ) − e N ( s ) ∣ ≤ p 2 ( γ 1 + β γ 2 ) ∣ t − s ∣ , |e_N(t)-e_N(s)| \le p^2(\gamma_1+\beta\gamma_2)|t-s|, ∣ e N ( t ) − e N ( s ) ∣ ≤ p 2 ( γ 1 + β γ 2 ) ∣ t − s ∣ ,
with a constant independent of N N N , s s s , and t t t . By Proposition 4.1, we have e N ( t ) → e β ( t ) e_N(t) \to e_\beta(t) e N ( t ) → e β ( t ) for every t t t , and the Lipschitz bound passes to the limit, showing that e β e_\beta e β is Lipschitz with constant L e = p 2 ( γ 1 + β γ 2 ) L_e=p^2(\gamma_1+\beta\gamma_2) L e = p 2 ( γ 1 + β γ 2 ) . By (56) , λ = 1 + p β e β \lambda=1+p\beta e_\beta λ = 1 + pβ e β is Lipschitz with constant p β L e p\beta L_e pβ L e . We take L p , β = max { 1 , p β } L e L_{p,\beta}=\max\{1,p\beta\}L_e L p , β = max { 1 , pβ } L e .
Step 2: the correlation modulus. We decompose the increment of the path into its drift and martingale parts:
X u + h − X u = ∫ u u + h [ β P X r ∇ H N ( X r ) − κ N X r ] d r + 2 ∫ u u + h P X r d B r . X_{u+h}-X_u=\int_u^{u+h}\left[\beta P_{X_r}\nabla H_N(X_r)-\kappa_NX_r\right]\mathrm{d}r+\sqrt{2}\int_u^{u+h}P_{X_r}\,\mathrm{d}B_r. X u + h − X u = ∫ u u + h [ β P X r ∇ H N ( X r ) − κ N X r ] d r + 2 ∫ u u + h P X r d B r .
By (53) , the drift has norm at most ( 1 + β p Q N ) N (1+\beta pQ_N)\sqrt{N} ( 1 + β p Q N ) N . By the Itô isometry and tr ( P x 2 ) = tr P x = N − 1 \operatorname{tr}(P_x^2)=\operatorname{tr}P_x=N-1 tr ( P x 2 ) = tr P x = N − 1 , the martingale part has mean square norm 2 ( N − 1 ) h ≤ 2 N h 2(N-1)h\le2Nh 2 ( N − 1 ) h ≤ 2 N h . Using the Cauchy–Schwarz inequality for the martingale part, we find
E ∥ X u + h − X u ∥ N ≤ ( 1 + β p γ 1 ) h + 2 h . \mathbb{E}\frac{\|X_{u+h}-X_u\|}{\sqrt{N}}\le(1+\beta p\gamma_1)h+\sqrt{2h}. E N ∥ X u + h − X u ∥ ≤ ( 1 + β p γ 1 ) h + 2 h .
By the Cauchy–Schwarz inequality and ∥ X v ∥ = N \|X_v\|=\sqrt{N} ∥ X v ∥ = N , we also have, pathwise,
∣ C N ( u + h , v ) − C N ( u , v ) ∣ = ∣ ( X u + h − X u ) ⋅ X v ∣ N ≤ ∥ X u + h − X u ∥ N , |C_N(u+h,v)-C_N(u,v)|=\frac{|(X_{u+h}-X_u)\cdot X_v|}{N}\le\frac{\|X_{u+h}-X_u\|}{\sqrt{N}}, ∣ C N ( u + h , v ) − C N ( u , v ) ∣ = N ∣ ( X u + h − X u ) ⋅ X v ∣ ≤ N ∥ X u + h − X u ∥ ,
and no relation between the times u u u and v v v is needed. Taking expectations, we deduce that ∣ E C N ( u + h , v ) − E C N ( u , v ) ∣ ≤ D p , β h + 2 h |\mathbb{E}C_N(u+h,v)-\mathbb{E}C_N(u,v)|\le D_{p,\beta}h+\sqrt{2h} ∣ E C N ( u + h , v ) − E C N ( u , v ) ∣ ≤ D p , β h + 2 h with D p , β = 1 + β p γ 1 D_{p,\beta}=1+\beta p\gamma_1 D p , β = 1 + β p γ 1 . We now let N → ∞ N\to\infty N → ∞ with u u u , v v v , and h h h fixed. By Proposition 3.3, applied on the horizon max { u + h , v } \max\{u+h,v\} max { u + h , v } and using the symmetry of C N C_N C N and C C C , we have E C N → C \mathbb{E}C_N\to C E C N → C at both points, which proves the first bound in (74) . The second bound follows from the first and the symmetry of C C C .
Step 3: the diagonal increment. Let t > s t>s t > s . All terms on the right side of (37) other than the first are nonnegative, by (42) . Since 0 ≤ C ≤ 1 0\le C\le1 0 ≤ C ≤ 1 and λ ≤ Λ \lambda\le\Lambda λ ≤ Λ by Proposition 4.3, we find
∂ t C ( t , s ) ≥ − λ ( t ) C ( t , s ) ≥ − Λ . \partial_t C(t,s)\ge-\lambda(t)C(t,s)\ge-\Lambda. ∂ t C ( t , s ) ≥ − λ ( t ) C ( t , s ) ≥ − Λ.
Integrating from s s s to t t t and using C ( s , s ) = 1 C(s,s)=1 C ( s , s ) = 1 , we obtain C ( t , s ) ≥ 1 − Λ ( t − s ) C(t,s)\ge1-\Lambda(t-s) C ( t , s ) ≥ 1 − Λ ( t − s ) , which is the upper bound in (75) . The lower bound is C ≤ 1 C\le1 C ≤ 1 .
The backward response equation
The response equation (36) is an equation in the later time t t t . The next proposition gives the corresponding equation in the earlier time s s s .
Proposition 4.5 (Backward response equation). For t > s ≥ 0 t > s \ge0 t > s ≥ 0 , the response satisfies
∂ s R ( t , s ) = λ ( s ) R ( t , s ) − ∫ s t R ( t , u ) Σ ( u , s ) d u . (76) \partial_s R(t,s) = \lambda(s)R(t,s) - \int_s^t R(t,u)\Sigma(u,s)\,\mathrm{d}u. \tag*{(76)} ∂ s R ( t , s ) = λ ( s ) R ( t , s ) − ∫ s t R ( t , u ) Σ ( u , s ) d u . (76) Both partial derivatives ∂ t R \partial_t R ∂ t R and ∂ s R \partial_s R ∂ s R extend continuously from { 0 < s < t } \{0 < s < t\} { 0 < s < t } to each compact causal triangle { 0 ≤ s ≤ t ≤ T } \{0 \le s \le t \le T\} { 0 ≤ s ≤ t ≤ T } . At s = 0 < t s = 0 < t s = 0 < t , ∂ s R \partial_s R ∂ s R is the right derivative; on the positive diagonal, ∂ t R \partial_t R ∂ t R is the right derivative and ∂ s R \partial_s R ∂ s R the left derivative along their causal rows. At ( 0 , 0 ) (0,0) ( 0 , 0 ) these symbols denote the continuous extensions of the interior slopes.
Proof. The idea is to write the response as a series of Volterra compositions, to reverse the order of the factors, and to differentiate the resulting formula in its lower endpoint; this needs only the continuity of Σ \Sigma Σ , not its derivative. Guionnet and Mazza give a related positive noncrossing expansion for the normalized response in a nonlinear Kraichnan equation [89, arXiv version 1, Section 2.1 and Lemma 2.1, pp. 7–8]. Here we keep Σ \Sigma Σ fixed and use the Neumann series of the resulting linear Volterra equation. For continuous kernels k 1 k_1 k 1 and k 2 k_2 k 2 on the causal triangle, we define the Volterra composition
( k 1 ∗ k 2 ) ( t , s ) = ∫ s t k 1 ( t , u ) k 2 ( u , s ) d u , 0 ≤ s ≤ t , (k_1 \ast k_2)(t,s) = \int_s^t k_1(t,u)k_2(u,s)\,\mathrm{d}u,\qquad0 \le s \le t, ( k 1 ∗ k 2 ) ( t , s ) = ∫ s t k 1 ( t , u ) k 2 ( u , s ) d u , 0 ≤ s ≤ t ,
which is associative by Fubini’s theorem on bounded regions. Let
G ( t , s ) = exp ( − ∫ s t λ ( v ) d v ) , 0 ≤ s ≤ t . G(t,s) = \exp\left(-\int_s^t \lambda(v)\,\mathrm{d}v\right),\qquad0 \le s \le t. G ( t , s ) = exp ( − ∫ s t λ ( v ) d v ) , 0 ≤ s ≤ t .
Note that 0 < G ≤ 1 0 < G \le1 0 < G ≤ 1 , because λ ≥ 1 \lambda\ge1 λ ≥ 1 by Proposition 4.3.
Step 1: the Neumann series. By (3.9), ∂ t [ R ( t , s ) / G ( t , s ) ] = ( Σ ∗ R ) ( t , s ) / G ( t , s ) \partial_t[R(t,s)/G(t,s)] = (\Sigma\ast R)(t,s)/G(t,s) ∂ t [ R ( t , s ) / G ( t , s )] = ( Σ ∗ R ) ( t , s ) / G ( t , s ) for t ≥ s t \ge s t ≥ s . Integrating from s s s to t t t and using R ( s , s ) = 1 R(s,s) = 1 R ( s , s ) = 1 gives the variation-of-constants formula R = G + G ∗ Σ ∗ R R = G + G \ast\Sigma\ast R R = G + G ∗ Σ ∗ R . Fix T T T , and let Σ ‾ T = sup 0 ≤ u ≤ t ≤ T Σ ( t , u ) \overline{\Sigma}_T = \sup_{0 \le u \le t \le T}\Sigma(t,u) Σ T = sup 0 ≤ u ≤ t ≤ T Σ ( t , u ) . The kernel ( G ∗ Σ ) n ∗ G (G \ast\Sigma)^n \ast G ( G ∗ Σ ) n ∗ G is an integral over 2 n 2n 2 n ordered intermediate times in [ s , t ] [s,t] [ s , t ] of a product of n n n factors Σ \Sigma Σ and n + 1 n+1 n + 1 factors G G G . As 0 < G ≤ 1 0 < G \le1 0 < G ≤ 1 , it is at most Σ ‾ T n \overline{\Sigma}_T^n Σ T n times the volume of the simplex of ordered times:
∣ ( G ∗ Σ ) n ∗ G ∣ ( t , s ) ≤ Σ ‾ T n ( t − s ) 2 n ( 2 n ) ! , 0 ≤ s ≤ t ≤ T . \left|(G \ast\Sigma)^n \ast G\right|(t,s) \le\overline{\Sigma}_T^n \frac{(t-s)^{2n}}{(2n)!},\qquad0 \le s \le t \le T. ∣ ( G ∗ Σ ) n ∗ G ∣ ( t , s ) ≤ Σ T n ( 2 n )! ( t − s ) 2 n , 0 ≤ s ≤ t ≤ T .
The Neumann series ∑ n ≥ 0 ( G ∗ Σ ) n ∗ G \sum_{n\ge0}(G \ast\Sigma)^n \ast G ∑ n ≥ 0 ( G ∗ Σ ) n ∗ G therefore converges uniformly on the triangle, and its sum R ~ \widetilde{R} R satisfies R ~ = G + G ∗ Σ ∗ R ~ \widetilde{R} = G + G \ast\Sigma\ast\widetilde{R} R = G + G ∗ Σ ∗ R . The difference R ~ − R \widetilde{R} - R R − R satisfies the homogeneous equation f = G ∗ Σ ∗ f f = G \ast\Sigma\ast f f = G ∗ Σ ∗ f , and iterating this equation n n n times shows that ∣ f ∣ ≤ Σ ‾ T n T 2 n sup ∣ f ∣ / ( 2 n ) ! |f| \le\overline{\Sigma}_T^n T^{2n}\sup|f|/(2n)! ∣ f ∣ ≤ Σ T n T 2 n sup ∣ f ∣/ ( 2 n )! for every n n n , which forces f = 0 f = 0 f = 0 . We have shown that
R = ∑ n ≥ 0 ( G ∗ Σ ) n ∗ G . R = \sum_{n\ge0}(G \ast\Sigma)^n \ast G. R = n ≥ 0 ∑ ( G ∗ Σ ) n ∗ G .
Step 2: reversing the composition. By associativity, ( G ∗ Σ ) n ∗ G = G ∗ ( Σ ∗ G ) n (G \ast\Sigma)^n \ast G = G \ast(\Sigma\ast G)^n ( G ∗ Σ ) n ∗ G = G ∗ ( Σ ∗ G ) n , and both are the composition of the word G Σ G ⋯ Σ G G\Sigma G \cdots\Sigma G G Σ G ⋯ Σ G . Separating the last two factors Σ ∗ G \Sigma\ast G Σ ∗ G of each term with n ≥ 1 n \ge1 n ≥ 1 , we obtain
R = G + ∑ n ≥ 0 ( G ∗ Σ ) n ∗ G ∗ Σ ∗ G = G + R ∗ Σ ∗ G . R = G + \sum_{n\geq0}(G \ast\Sigma)^n \ast G \ast\Sigma\ast G = G + R \ast\Sigma\ast G. R = G + n ≥ 0 ∑ ( G ∗ Σ ) n ∗ G ∗ Σ ∗ G = G + R ∗ Σ ∗ G .
Explicitly, for 0 ≤ s ≤ t 0 \leq s \leq t 0 ≤ s ≤ t ,
R ( t , s ) = G ( t , s ) + ∫ s t R ( t , u ) ( Σ ∗ G ) ( u , s ) d u , ( Σ ∗ G ) ( u , s ) = ∫ s u Σ ( u , v ) G ( v , s ) d v . R(t,s) = G(t,s) + \int_s^t R(t,u)(\Sigma\ast G)(u,s)\,\mathrm{d}u,\qquad(\Sigma\ast G)(u,s) = \int_s^u \Sigma(u,v)G(v,s)\,\mathrm{d}v. R ( t , s ) = G ( t , s ) + ∫ s t R ( t , u ) ( Σ ∗ G ) ( u , s ) d u , ( Σ ∗ G ) ( u , s ) = ∫ s u Σ ( u , v ) G ( v , s ) d v .
Step 3: differentiation in the earlier time. We have ∂ s G ( v , s ) = λ ( s ) G ( v , s ) \partial_sG(v,s) = \lambda(s)G(v,s) ∂ s G ( v , s ) = λ ( s ) G ( v , s ) and G ( s , s ) = 1 G(s,s) = 1 G ( s , s ) = 1 . Differentiating the inner integral in its lower endpoint yields
∂ s ( Σ ∗ G ) ( u , s ) = − Σ ( u , s ) + λ ( s ) ( Σ ∗ G ) ( u , s ) , \partial_s(\Sigma\ast G)(u,s) = -\Sigma(u,s) + \lambda(s)(\Sigma\ast G)(u,s), ∂ s ( Σ ∗ G ) ( u , s ) = − Σ ( u , s ) + λ ( s ) ( Σ ∗ G ) ( u , s ) ,
which is continuous in ( u , s ) (u,s) ( u , s ) . The outer integral has lower endpoint s s s , and its boundary term vanishes because ( Σ ∗ G ) ( s , s ) = 0 (\Sigma\ast G)(s,s) = 0 ( Σ ∗ G ) ( s , s ) = 0 . By the Leibniz rule, we have
∂ s R ( t , s ) = λ ( s ) G ( t , s ) + ∫ s t R ( t , u ) [ − Σ ( u , s ) + λ ( s ) ( Σ ∗ G ) ( u , s ) ] d u = λ ( s ) [ G + R ∗ Σ ∗ G ] ( t , s ) − ( R ∗ Σ ) ( t , s ) . \begin{aligned}
\partial_sR(t,s) &= \lambda(s)G(t,s) + \int_s^t R(t,u)\left[-\Sigma(u,s) + \lambda(s)(\Sigma\ast G)(u,s)\right]\,\mathrm{d}u \\
&= \lambda(s)\left[G + R \ast\Sigma\ast G\right](t,s) - (R \ast\Sigma)(t,s).
\end{aligned} ∂ s R ( t , s ) = λ ( s ) G ( t , s ) + ∫ s t R ( t , u ) [ − Σ ( u , s ) + λ ( s ) ( Σ ∗ G ) ( u , s ) ] d u = λ ( s ) [ G + R ∗ Σ ∗ G ] ( t , s ) − ( R ∗ Σ ) ( t , s ) .
Since G + R ∗ Σ ∗ G = R G + R \ast\Sigma\ast G = R G + R ∗ Σ ∗ G = R , this is (4.21). We differentiated only continuous integrands through their moving endpoints.
The right side of (4.21) is continuous on the closed triangle { 0 ≤ s ≤ t ≤ T } \{0 \leq s \leq t \leq T\} { 0 ≤ s ≤ t ≤ T } , with value λ ( t ) \lambda(t) λ ( t ) at s = t s=t s = t . The forward derivative given by (3.9) is also continuous there, with value − λ ( s ) -\lambda(s) − λ ( s ) at t = s t=s t = s . This proves the assertions about continuity.
Response domination and compactness
For T ≥ 0 T \geq0 T ≥ 0 , we consider the translated kernels
C T ( a , b ) = C ( T + a , T + b ) , R T ( a , b ) = R ( T + a , T + b ) ( a ≥ b ) , λ T ( a ) = λ ( T + a ) , (77) C_T(a,b) = C(T+a,T+b),\qquad R_T(a,b) = R(T+a,T+b)\ (a \geq b),\qquad\lambda_T(a) = \lambda(T+a), \tag*{(77)} C T ( a , b ) = C ( T + a , T + b ) , R T ( a , b ) = R ( T + a , T + b ) ( a ≥ b ) , λ T ( a ) = λ ( T + a ) , (77)
defined for offsets a , b ≥ − T a,b \geq-T a , b ≥ − T . On every compact set of offsets, they are defined once T T T is large enough. We consider correlations on squares of offsets, and responses only on closed causal triangles { a ≥ b } \{a \geq b\} { a ≥ b } , where their diagonal value is one.
Proposition 4.6 (Response domination and bounded-lag compactness). Let a p , β = β 2 p ( p − 1 ) a_{p,\beta} = \beta^2p(p-1) a p , β = β 2 p ( p − 1 ) . For every t ≥ s ≥ 0 t \geq s \geq0 t ≥ s ≥ 0 ,
0 ≤ R ( t , s ) ≤ C ( t , s ) ≤ 1 , ∣ ∂ t R ( t , s ) ∣ + ∣ ∂ s R ( t , s ) ∣ ≤ 2 { Λ + a p , β ( t − s ) } , (78) 0 \leq R(t,s) \leq C(t,s) \leq1,\qquad\lvert\partial_tR(t,s)\rvert+ \lvert\partial_sR(t,s)\rvert\leq2\{\Lambda+ a_{p,\beta}(t-s)\}, \tag*{(78)} 0 ≤ R ( t , s ) ≤ C ( t , s ) ≤ 1 , ∣ ∂ t R ( t , s )∣ + ∣ ∂ s R ( t , s )∣ ≤ 2 { Λ + a p , β ( t − s )} , (78)
with the boundary interpretations of Proposition 4.5. The translated triples ( C T , R T , λ T ) (C_T,R_T,\lambda_T) ( C T , R T , λ T ) are precompact for locally uniform convergence as T → ∞ T \to\infty T → ∞ , in the sense that every sequence T n → ∞ T_n \to\infty T n → ∞ has a subsequence along which C T n C_{T_n} C T n , R T n R_{T_n} R T n , and λ T n \lambda_{T_n} λ T n converge uniformly on every compact subset of R 2 \mathbb{R}^2 R 2 , of { ( a , b ) ∈ R 2 : a ≥ b } \{(a,b) \in\mathbb{R}^2 : a \ge b\} {( a , b ) ∈ R 2 : a ≥ b } , and of R \mathbb{R} R , respectively.
Proof. The proof has three steps. We first prove the domination R ≤ C R \le C R ≤ C , then the derivative bounds, and finally the compactness.
Step 1: the domination. Fix s ≥ 0 s \ge0 s ≥ 0 , and let D s ( t ) = C ( t , s ) − R ( t , s ) D_s(t) = C(t,s) - R(t,s) D s ( t ) = C ( t , s ) − R ( t , s ) for t ≥ s t \ge s t ≥ s . We split the first memory integral of (3.10) at s s s . With the notation (4.8), the correlation satisfies
∂ t C ( t , s ) = − λ ( t ) C ( t , s ) + ∫ s t Σ ( t , u ) C ( u , s ) d u + F s ( t ) , t ≥ s , \partial_t C(t,s) = -\lambda(t)C(t,s) + \int_s^t \Sigma(t,u)C(u,s)\,\mathrm{d}u + F_s(t), \qquad t \ge s, ∂ t C ( t , s ) = − λ ( t ) C ( t , s ) + ∫ s t Σ ( t , u ) C ( u , s ) d u + F s ( t ) , t ≥ s ,
where
F s ( t ) = ∫ 0 s Σ ( t , u ) C ( u , s ) d u + β 2 ρ ∫ 0 s C ( t , u ) p − 1 R ( s , u ) d u ≥ 0. F_s(t) = \int_0^s \Sigma(t,u)C(u,s)\,\mathrm{d}u + \beta^2 \rho\int_0^s C(t,u)^{p-1}R(s,u)\,\mathrm{d}u \ge0. F s ( t ) = ∫ 0 s Σ ( t , u ) C ( u , s ) d u + β 2 ρ ∫ 0 s C ( t , u ) p − 1 R ( s , u ) d u ≥ 0.
In words, for fixed s s s , the correlation solves the same linear Volterra equation as the response, with the same initial value one at t = s t=s t = s and the additional nonnegative forcing F s F_s F s , which collects the memory from times before s s s . Subtracting (3.9), we find
D s ′ ( t ) = − λ ( t ) D s ( t ) + ∫ s t Σ ( t , u ) D s ( u ) d u + F s ( t ) , D s ( s ) = 0. D_s'(t) = -\lambda(t)D_s(t) + \int_s^t \Sigma(t,u)D_s(u)\,\mathrm{d}u + F_s(t), \qquad D_s(s) = 0. D s ′ ( t ) = − λ ( t ) D s ( t ) + ∫ s t Σ ( t , u ) D s ( u ) d u + F s ( t ) , D s ( s ) = 0.
Let D ~ s ( t ) = ∫ s t R ( t , v ) F s ( v ) d v \widetilde{D}_s(t) = \int_s^t R(t,v)F_s(v)\,\mathrm{d}v D s ( t ) = ∫ s t R ( t , v ) F s ( v ) d v . Differentiating, using R ( t , t ) = 1 R(t,t)=1 R ( t , t ) = 1 and (3.9), and exchanging the order of integration over { s ≤ v ≤ u ≤ t } \{s \le v \le u \le t\} { s ≤ v ≤ u ≤ t } , we find that D ~ s \widetilde{D}_s D s satisfies the same equation with D ~ s ( s ) = 0 \widetilde{D}_s(s)=0 D s ( s ) = 0 . The difference f = D s − D ~ s f=D_s-\widetilde{D}_s f = D s − D s satisfies f ′ = − λ f + ∫ s t Σ ( t , u ) f ( u ) d u f'=-\lambda f+\int_s^t\Sigma(t,u)f(u)\,\mathrm{d}u f ′ = − λ f + ∫ s t Σ ( t , u ) f ( u ) d u and f ( s ) = 0 f(s)=0 f ( s ) = 0 . On [ s , T ] [s,T] [ s , T ] , with f ‾ ( t ) = sup [ s , t ] ∣ f ∣ \overline{f}(t)=\sup_{[s,t]}|f| f ( t ) = sup [ s , t ] ∣ f ∣ , we obtain f ‾ ( t ) ≤ ( λ ‾ T + Σ ‾ T T ) ∫ s t f ‾ ( v ) d v \overline{f}(t)\le(\overline{\lambda}_T+\overline{\Sigma}_T T)\int_s^t\overline{f}(v)\,\mathrm{d}v f ( t ) ≤ ( λ T + Σ T T ) ∫ s t f ( v ) d v , with λ ‾ T \overline{\lambda}_T λ T and Σ ‾ T \overline{\Sigma}_T Σ T as in the proof of Proposition 4.2, and Gronwall’s inequality shows that f = 0 f=0 f = 0 . We have shown that
C ( t , s ) − R ( t , s ) = ∫ s t R ( t , v ) F s ( v ) d v ≥ 0. C(t,s)-R(t,s)=\int_s^tR(t,v)F_s(v)\,\mathrm{d}v\ge0. C ( t , s ) − R ( t , s ) = ∫ s t R ( t , v ) F s ( v ) d v ≥ 0.
Together with (3.15), this implies that 0 ≤ R ≤ C ≤ 1 0\le R\le C\le1 0 ≤ R ≤ C ≤ 1 .
Step 2: the derivative bounds. By Step 1 and (3.15), we have 0 ≤ Σ ( t , u ) ≤ a p , β 0\le\Sigma(t,u)\le a_{p,\beta} 0 ≤ Σ ( t , u ) ≤ a p , β . In the forward equation (3.9), the memory term is therefore at most a p , β ( t − s ) a_{p,\beta}(t-s) a p , β ( t − s ) in absolute value, and the multiplier term is at most Λ \Lambda Λ by (4.17). This gives ∣ ∂ t R ( t , s ) ∣ ≤ Λ + a p , β ( t − s ) |\partial_tR(t,s)|\le\Lambda+a_{p,\beta}(t-s) ∣ ∂ t R ( t , s ) ∣ ≤ Λ + a p , β ( t − s ) . The same argument applied to the backward equation (4.21) gives ∣ ∂ s R ( t , s ) ∣ ≤ Λ + a p , β ( t − s ) |\partial_sR(t,s)|\le\Lambda+a_{p,\beta}(t-s) ∣ ∂ s R ( t , s ) ∣ ≤ Λ + a p , β ( t − s ) . This proves (4.23); at t = s t=s t = s , we use the continuous extensions of Proposition 4.5.
Step 3: compactness. For m ∈ N m \in\mathbb{N} m ∈ N , let W m = [ − m , m ] 2 W_m = [-m,m]^2 W m = [ − m , m ] 2 and W m c a u s = { ( a , b ) ∈ W m : a ≥ b } W_m^{\mathrm{caus}} = \{(a,b) \in W_m : a \ge b\} W m caus = {( a , b ) ∈ W m : a ≥ b } . For T ≥ m T \ge m T ≥ m , the translated kernels are defined on these sets. On them, we have the following bounds, uniformly in T ≥ m T \ge m T ≥ m :
∣ C T ∣ ≤ 1 |C_T| \le1 ∣ C T ∣ ≤ 1 , and C T C_T C T has the modulus of continuity (74) in each coordinate, by Proposition 4.4;
0 ≤ R T ≤ 1 0 \le R_T \le1 0 ≤ R T ≤ 1 , and R T R_T R T is Lipschitz on the convex set W m c a u s W_m^{\mathrm{caus}} W m caus with constant 2 { Λ + 2 a p , β m } 2\{\Lambda+ 2a_{p,\beta}m\} 2 { Λ + 2 a p , β m } , by (78) , since the lag is at most 2 m 2m 2 m there;
1 ≤ λ T ≤ Λ 1 \le\lambda_T \le\Lambda 1 ≤ λ T ≤ Λ , and λ T \lambda_T λ T is L p , β L_{p,\beta} L p , β -Lipschitz, by Propositions 4.3 and 4.4.
Let T n → ∞ T_n \to\infty T n → ∞ . By the Arzelà–Ascoli theorem, there exists a subsequence along which the three components converge uniformly on W 1 W_1 W 1 , W 1 c a u s W_1^{\mathrm{caus}} W 1 caus , and [ − 1 , 1 ] [-1,1] [ − 1 , 1 ] . From it, we extract a further subsequence that converges uniformly on W 2 W_2 W 2 , W 2 c a u s W_2^{\mathrm{caus}} W 2 caus , and [ − 2 , 2 ] [-2,2] [ − 2 , 2 ] , and so on. The diagonal subsequence converges uniformly on W m W_m W m , W m c a u s W_m^{\mathrm{caus}} W m caus , and [ − m , m ] [-m,m] [ − m , m ] for every m m m . Every compact set of offsets in the respective domains lies in one of these sets for m m m large, and this proves the precompactness. Offsets may be negative; each compact set lies in the domain once T n T_n T n exceeds its distance from the origin. We use the response only inside the causal triangles, and we need no continuity across the diagonal. □ \square □
Entropy production and stationary limits
In this section, we prove that the CK solution becomes stationary on late time windows and satisfies the fluctuation–dissipation theorem (FDT) there. Our tool is the relative entropy of the diffusion with respect to its Gibbs measure. It decreases at a rate equal to the relative Fisher information. Since the initial law is uniform, the entropy produced over all times is at most β 2 N / 2 \beta^{2}N/2 β 2 N /2 on average over the disorder (Lemma 5.1 ). We then show in Lemma 5.2 that the Fisher information at an earlier time s s s controls the backward FDT defect ∂ s C − R \partial_s C-R ∂ s C − R at that time. In Theorem 5.3 , we pass these estimates to the limit along one subsequence of dimensions. We obtain an integrable function a F a_F a F , the Fisher majorant, whose square root dominates the defect for all t > s > 0 t>s>0 t > s > 0 . In Lemma 5.5 , we establish that the Fisher information also controls the change of a correlation at fixed lag when both observation times are shifted. Combining these estimates with compactness, we prove Proposition 5.7 . It states that every limit point of the translated kernels is a stationary FDT profile with a constant multiplier, and that its response satisfies a closed equation.
We use the following results of Sections 3 and § 4.2 : the fixed-horizon bridge (Proposition 3.3 ), the Brownian primitive of the response (Lemma 3.4 ), the landscape bounds (Lemma 3.6 ), the energy identity (Proposition 4.1 ), the Green covariance identity (Proposition 4.2 ), and the uniform estimates of Propositions 4.3 to 4.6. The stationary clusters of Proposition 5.7 are the starting point of § 6 to 8. We use the Fisher majorant again in § 6.4 , 11, 14, and 15, and § 6.4 reuses the subsequence of dimensions chosen in Theorem 5.3 .
The entropy dissipation identity, the Bochner formula, and the gradient bound for the semigroup are standard calculus for reversible diffusions. The Bochner formula for a Laplacian with a gradient drift is recorded in [9, Proposition 3, equation (4b), p. 187], and the diffusion and entropy calculus is presented in [10, Chapter 3 and Proposition 5.2.2, p. 245]. We derive the spherical response identity of Lemma 5.2 directly; for related response identities around nonthermal steady states under detailed balance, see [1, Sections 2–3, pp. 27–30]; nonequilibrium diffusion response identities are given in [8, equations (6) and (11), pp. 010602-2–010602-3]. Cugliandolo, Dean, and Kurchan described the physical mechanism that links entropy production to violations of FDT, and they derived bounds on these violations from the entropy production [54, arXiv version 2, equations (12)–(13), p. 3, and (18), p. 4]; their integrated bounds are discussed in the unnumbered passage “Integrated bounds for purely relaxational systems” on p. 3 of that arXiv version. For the projected hard-spherical response, we establish dimension-uniform bounds and pass them to a single Fisher majorant for the CK solution. We give the calculations in full because the sign, the spherical projection, and the normalization of the response all matter later.
Standing notation. Throughout this section, p ≥ 3 p \ge3 p ≥ 3 and β > 0 \beta> 0 β > 0 are fixed. For a fixed realization of the disorder J J J , the Hamiltonian H N H_N H N is fixed. Recall from (31) that the generator of (30) is
L N = Δ S + β ⟨ ∇ S H N , ∇ S ⋅ ⟩ . \mathcal{L}_N = \Delta_S + \beta\langle\nabla_S H_N, \nabla_S \cdot\rangle. L N = Δ S + β ⟨ ∇ S H N , ∇ S ⋅ ⟩ .
We write P τ = P τ H = e τ L N P_\tau= P_\tau^H = e^{\tau\mathcal{L}_N} P τ = P τ H = e τ L N for its semigroup. All differential operators act on functions on S N S_N S N and are spherical: ∇ S \nabla_S ∇ S , div S \operatorname{div}_S div S , Δ S \Delta_S Δ S , and ∇ S 2 \nabla_S^2 ∇ S 2 are the gradient, divergence, Laplacian, and Hessian of S N S_N S N , as in § 4.1.1 , and Ric \operatorname{Ric} Ric is its Ricci tensor. We write Γ ( f , g ) = ⟨ ∇ S f , ∇ S g ⟩ \Gamma(f,g) = \langle\nabla_S f,\nabla_S g\rangle Γ ( f , g ) = ⟨ ∇ S f , ∇ S g ⟩ and Γ ( f ) = Γ ( f , f ) \Gamma(f) = \Gamma(f,f) Γ ( f ) = Γ ( f , f ) . The subscript H H H marks quantities computed for the fixed Hamiltonian H N H_N H N . The expectation E J \mathbb{E}_J E J averages over the Gaussian tensor, while E \mathbb{E} E also averages over the initial point and the Brownian motion. Let ρ t \rho_t ρ t be the density of the law of X t X_t X t given J J J with respect to ω N \omega_N ω N . The actual diffusion realizes a strictly positive density on S N S_N S N , with ρ 0 = 1 \rho_0 = 1 ρ 0 = 1 because the initial point is uniform and independent of J J J . We use its C 3 C^3 C 3 spatial regularity and the joint continuity, up to time zero, of ρ t \rho_t ρ t , ∇ S ρ t \nabla_S\rho_t ∇ S ρ t , its forward-equation slope, and the spatial gradient of that slope. The forward equation holds on S N S_N S N at positive times and gives its right derivative at zero. All density, score, and current quantities used below are jointly measurable in the disorder and their time parameters; we establish their integrability over the disorder in the estimates below. We require no positivity or forward equation for an extension off S N S_N S N . Finally, Q N Q_N Q N is the tensor norm (52) . Derivatives at time zero are always right derivatives; derivatives at positive times are ordinary derivatives.
Relative entropy and an exact fluctuation–dissipation identity
Recall from § 4.1.1 that the Gibbs density g N = Z N , β − 1 e β H N g_N = Z_{N,\beta}^{-1}e^{\beta H_N} g N = Z N , β − 1 e β H N , with Z N , β = ∫ e β H N d ω N Z_{N,\beta} = \int e^{\beta H_N}\,d\omega_N Z N , β = ∫ e β H N d ω N , is reversible for L N \mathcal{L}_N L N . We write
v t c u r = ∇ S log ( ρ t / g N ) v_t^{\mathrm{cur}} = \nabla_S \log(\rho_t/g_N) v t cur = ∇ S log ( ρ t / g N )
for the relative score of ρ t \rho_t ρ t ; the superscript distinguishes it from the tree vectors v t v_t v t of Section 7. The probability current of the diffusion is j t = β ρ t ∇ S H N − ∇ S ρ t = − ρ t v t c u r j_t = \beta\rho_t\nabla_S H_N - \nabla_S\rho_t = -\rho_t v_t^{\mathrm{cur}} j t = β ρ t ∇ S H N − ∇ S ρ t = − ρ t v t cur , which satisfies ∂ t ρ t + div S j t = 0 \partial_t\rho_t + \operatorname{div}_S j_t = 0 ∂ t ρ t + div S j t = 0 ; we write all formulas below in terms of v t c u r v_t^{\mathrm{cur}} v t cur . We define the relative entropy, the relative Fisher information, and its normalized annealed average by
D H ( t ) = ∫ ρ t log ( ρ t / g N ) d ω N , I H ( t ) = ∫ ∥ v t c u r ∥ 2 ρ t d ω N , a N ( t ) = 1 N E J I H ( t ) . D_H(t) = \int\rho_t \log(\rho_t/g_N)\,d\omega_N,\qquad I_H(t) = \int\lVert v_t^{\mathrm{cur}}\rVert^2\rho_t\,d\omega_N,\qquad a_N(t) = \frac{1}{N}\mathbb{E}_J I_H(t). D H ( t ) = ∫ ρ t log ( ρ t / g N ) d ω N , I H ( t ) = ∫ ∥ v t cur ∥ 2 ρ t d ω N , a N ( t ) = N 1 E J I H ( t ) .
Lemma 5.1 (Finite normalized entropy budget). For every realization of the disorder and every t ≥ 0 t \ge0 t ≥ 0 ,
∂ t ρ t = div S ( ρ t v t c u r ) , D H ′ ( t ) = − I H ( t ) , ∫ 0 ∞ I H ( t ) d t ≤ D H ( 0 ) . (79) \partial_t\rho_t=\operatorname{div}_{S}\left(\rho_t v_t^{\mathrm{cur}}\right), \qquad D_H'(t)=-I_H(t), \qquad\int_0^\infty I_H(t)\,\mathrm{d}t\le D_H(0). \tag*{(79)} ∂ t ρ t = div S ( ρ t v t cur ) , D H ′ ( t ) = − I H ( t ) , ∫ 0 ∞ I H ( t ) d t ≤ D H ( 0 ) . (79) The first identity is an equation on S N S_N S N , and both derivatives at t = 0 t=0 t = 0 are taken from the right. Moreover,
∫ 0 ∞ a N ( t ) d t ≤ β 2 2 , D H ( 0 ) N ≤ 2 β Q N . (80) \int_0^\infty a_N(t)\,\mathrm{d}t\le\frac{\beta^2}{2}, \qquad\frac{D_H(0)}{N}\le2\beta Q_N. \tag*{(80)} ∫ 0 ∞ a N ( t ) d t ≤ 2 β 2 , N D H ( 0 ) ≤ 2 β Q N . (80)
Proof. Note that ρ t v t c u r = ∇ S ρ t − β ρ t ∇ S H N \rho_t v_t^{\mathrm{cur}}=\nabla_S\rho_t-\beta\rho_t\nabla_SH_N ρ t v t cur = ∇ S ρ t − β ρ t ∇ S H N . Then the forward equation ∂ t ρ t = Δ S ρ t − β div S ( ρ t ∇ S H N ) \partial_t\rho_t=\Delta_S\rho_t-\beta\operatorname{div}_S(\rho_t\nabla_SH_N) ∂ t ρ t = Δ S ρ t − β div S ( ρ t ∇ S H N ) of the diffusion is the first identity in (5.1). Next, we differentiate the relative entropy. Using ∫ ∂ t ρ t d ω N = 0 \int\partial_t\rho_t\,\mathrm{d}\omega_N=0 ∫ ∂ t ρ t d ω N = 0 and integrating by parts, we find
D H ′ ( t ) = ∫ log ( ρ t / g N ) div S ( ρ t v t c u r ) d ω N = − ∫ ρ t ∥ v t c u r ∥ 2 d ω N = − I H ( t ) . D_H'(t)=\int\log(\rho_t/g_N)\operatorname{div}_S(\rho_t v_t^{\mathrm{cur}})\,\mathrm{d}\omega_N=-\int\rho_t\lVert v_t^{\mathrm{cur}}\rVert^2\,\mathrm{d}\omega_N=-I_H(t). D H ′ ( t ) = ∫ log ( ρ t / g N ) div S ( ρ t v t cur ) d ω N = − ∫ ρ t ∥ v t cur ∥ 2 d ω N = − I H ( t ) .
At positive times, we may differentiate under the integral because the forward slope is continuous and the density is strictly positive on the compact sphere. Since the entropy and Fisher information are continuous up to zero, the positive-time identity gives D H ′ ( 0 + ) = − I H ( 0 ) D_H'(0+)=-I_H(0) D H ′ ( 0 + ) = − I H ( 0 ) . The same argument, applied to the continuous forward slope, gives the right derivative of the density at zero. Integrating from 0 0 0 to T T T , we have ∫ 0 T I H ( t ) d t = D H ( 0 ) − D H ( T ) ≤ D H ( 0 ) \int_0^T I_H(t)\,\mathrm{d}t=D_H(0)-D_H(T)\le D_H(0) ∫ 0 T I H ( t ) d t = D H ( 0 ) − D H ( T ) ≤ D H ( 0 ) , where we used the fact that the relative entropy of two probability densities is nonnegative. Letting T → ∞ T\to\infty T → ∞ proves the third assertion of (5.1).
We now bound the initial entropy. Since ρ 0 = 1 \rho_0=1 ρ 0 = 1 , we have
D H ( 0 ) = log Z N , β − β ∫ H N d ω N . D_H(0)=\log Z_{N,\beta}-\beta\int H_N\,\mathrm{d}\omega_N. D H ( 0 ) = log Z N , β − β ∫ H N d ω N .
By (53) , we have ∣ H N ∣ ≤ N Q N \lvert H_N\rvert\le NQ_N ∣ H N ∣ ≤ N Q N on S N S_N S N . As ω N \omega_N ω N is a probability measure, this implies that
− β N Q N ≤ log Z N , β ≤ β N Q N , ∣ ∫ H N d ω N ∣ ≤ N Q N . -\beta NQ_N\le\log Z_{N,\beta}\le\beta NQ_N,\qquad\left\lvert\int H_N\,\mathrm{d}\omega_N\right\rvert\le NQ_N. − β N Q N ≤ log Z N , β ≤ β N Q N , ∫ H N d ω N ≤ N Q N .
This proves the second inequality in (5.2), and by Lemma 3.6, both log Z N , β \log Z_{N,\beta} log Z N , β and ∫ H N d ω N \int H_N\,\mathrm{d}\omega_N ∫ H N d ω N are integrable over the disorder. For each x ∈ S N x\in S_N x ∈ S N , the variable H N ( x ) H_N(x) H N ( x ) is a centered Gaussian of variance N ξ ( 1 ) = N N\xi(1)=N N ξ ( 1 ) = N . By Fubini’s theorem, we have E J ∫ H N d ω N = 0 \mathbb{E}_J\int H_N\,\mathrm{d}\omega_N=0 E J ∫ H N d ω N = 0 and
E J Z N , β = ∫ E J e β H N ( x ) d ω N ( x ) = e β 2 N / 2 . \mathbb{E}_J Z_{N,\beta}=\int\mathbb{E}_J e^{\beta H_N(x)}\,\mathrm{d}\omega_N(x)=e^{\beta^2N/2}. E J Z N , β = ∫ E J e β H N ( x ) d ω N ( x ) = e β 2 N /2 .
Using Jensen’s inequality, we obtain
E J D H ( 0 ) = E J log Z N , β ≤ log E J Z N , β = β 2 N 2 . \mathbb{E}_J D_H(0)=\mathbb{E}_J\log Z_{N,\beta}\le\log\mathbb{E}_J Z_{N,\beta}=\frac{\beta^2N}{2}. E J D H ( 0 ) = E J log Z N , β ≤ log E J Z N , β = 2 β 2 N .
Finally, by Tonelli’s theorem and the third assertion of (5.1),
∫ 0 ∞ a N ( t ) d t = 1 N E J ∫ 0 ∞ I H ( t ) d t ≤ 1 N E J D H ( 0 ) ≤ β 2 2 , \int_0^\infty a_N(t)\,\mathrm{d}t = \frac{1}{N}\mathbb{E}_J\int_0^\infty I_H(t)\,\mathrm{d}t \leq\frac{1}{N}\mathbb{E}_J D_H(0) \leq\frac{\beta^2}{2}, ∫ 0 ∞ a N ( t ) d t = N 1 E J ∫ 0 ∞ I H ( t ) d t ≤ N 1 E J D H ( 0 ) ≤ 2 β 2 ,
which is the first inequality in (5.2).
We next express correlations and responses through the semigroup. Let m τ = P τ id m_\tau=P_\tau\operatorname{id} m τ = P τ id be the vector of functions ( P τ x 1 , … , P τ x N ) (P_\tau x_1,\ldots,P_\tau x_N) ( P τ x 1 , … , P τ x N ) . By the Markov property, m τ ( x ) m_\tau(x) m τ ( x ) is the conditional mean of X s + τ X_{s+\tau} X s + τ given X s = x X_s=x X s = x and J J J . Jensen’s inequality and ∥ X s + τ ∥ = N \lVert X_{s+\tau}\rVert=\sqrt{N} ∥ X s + τ ∥ = N imply that ∥ m τ ( x ) ∥ ≤ N \lVert m_\tau(x)\rVert\leq\sqrt{N} ∥ m τ ( x )∥ ≤ N . For t ≥ s t\geq s t ≥ s , we define the quenched correlation and the normalized impulse response by
c H ( t , s ) = 1 N ∫ ρ s ( x ) ⟨ x , m t − s ( x ) ⟩ d ω N ( x ) , (81) c_H(t,s)=\frac{1}{N}\int\rho_s(x)\langle x,m_{t-s}(x)\rangle\,\mathrm{d}\omega_N(x), \tag*{(81)} c H ( t , s ) = N 1 ∫ ρ s ( x ) ⟨ x , m t − s ( x )⟩ d ω N ( x ) , (81)
r H ( t , s ) = 1 N ∫ ρ s ∑ i = 1 N Γ ( x i , P t − s x i ) d ω N . (82) r_H(t,s)=\frac{1}{N}\int\rho_s\sum_{i=1}^{N}\Gamma(x_i,P_{t-s}x_i)\,\mathrm{d}\omega_N. \tag*{(82)} r H ( t , s ) = N 1 ∫ ρ s i = 1 ∑ N Γ ( x i , P t − s x i ) d ω N . (82)
By the Markov property again, c H ( t , s ) = N − 1 E [ X t ⋅ X s ∣ J ] c_H(t,s)=N^{-1}\mathbb{E}[X_t\cdot X_s\mid J] c H ( t , s ) = N − 1 E [ X t ⋅ X s ∣ J ] , and E J c H ( t , s ) = E C N ( t , s ) \mathbb{E}_Jc_H(t,s)=\mathbb{E}C_N(t,s) E J c H ( t , s ) = E C N ( t , s ) . The function r H r_H r H is the response to an additive tangent force. Recall that a deterministic force h ( s ) ∈ R N h(s)\in\mathbb{R}^N h ( s ) ∈ R N enters the linearized equation (32) as P X s h ( s ) P_{X_s}h(s) P X s h ( s ) , without a factor of β \beta β . Because ∇ S x i = P x e i \nabla_Sx_i=P_xe_i ∇ S x i = P x e i , the actual mean response is expressed through the derivatives of the transition mean. For bounded continuous h h h , (34) and the expected projected-restart derivative identify the i i i th coordinate of the mean linearized response with
∫ 0 t ∫ ρ s ∑ j = 1 N h j ( s ) Γ ( x j , P t − s x i ) d ω N d s . \int_0^t\int\rho_s\sum_{j=1}^{N}h_j(s)\Gamma(x_j,P_{t-s}x_i)\,\mathrm{d}\omega_N\,\mathrm{d}s. ∫ 0 t ∫ ρ s j = 1 ∑ N h j ( s ) Γ ( x j , P t − s x i ) d ω N d s .
In other words, N r H ( t , s ) Nr_H(t,s) N r H ( t , s ) is the trace of the impulse response matrix of the quenched mean. As in Remark 3.1, the actual tangent-projected restart is Fréchet differentiable into L 2 L^2 L 2 , and the bounded linear expectation operator commutes with that derivative. It follows that the expected trace of U N ( t , s ) U_N(t,s) U N ( t , s ) is the mean of ∑ i Γ ( x i , P t − s x i ) ( X s ) \sum_i\Gamma(x_i,P_{t-s}x_i)(X_s) ∑ i Γ ( x i , P t − s x i ) ( X s ) . The actual waiting-state law is ρ s d ω N \rho_s\,\mathrm{d}\omega_N ρ s d ω N , so this is exactly the integral in (82) . Integrability follows from the fixed-disorder fourth-moment estimate (58) . We set
c ˉ N = E J c H , r ˉ N = E J r H . \bar{c}_N=\mathbb{E}_Jc_H,\qquad\bar{r}_N=\mathbb{E}_Jr_H. c ˉ N = E J c H , r ˉ N = E J r H .
By the discussion above, r ˉ N \bar{r}_N r ˉ N is the annealed normalized response (35) , and r H ( s , s ) = N − 1 ∫ ρ s tr P x d ω N = κ N r_H(s,s)=N^{-1}\int\rho_s\,\operatorname{tr}P_x\,\mathrm{d}\omega_N=\kappa_N r H ( s , s ) = N − 1 ∫ ρ s tr P x d ω N = κ N , where κ N = ( N − 1 ) / N \kappa_N=(N-1)/N κ N = ( N − 1 ) / N as in Section 3.1.
Lemma 5.2 (Exact nonequilibrium fluctuation–dissipation identity). For 0 ≤ s < t 0\leq s<t 0 ≤ s < t ,
r H ( t , s ) − ∂ s c H ( t , s ) = 1 N ∫ ρ s ⟨ m t − s , v s c u r ⟩ d ω N . (83) r_H(t,s)-\partial_s c_H(t,s)=\frac{1}{N}\int\rho_s\langle m_{t-s},v_s^{\mathrm{cur}}\rangle\,\mathrm{d}\omega_N. \tag*{(83)} r H ( t , s ) − ∂ s c H ( t , s ) = N 1 ∫ ρ s ⟨ m t − s , v s cur ⟩ d ω N . (83)
where the derivative is taken with the terminal time t t t fixed, from the right when s = 0 s=0 s = 0 . In particular,
∣ r ˉ N ( t , s ) − ∂ s c ˉ N ( t , s ) ∣ 2 ≤ a N ( s ) , (84) \left|\bar r_N(t,s)-\partial_s\bar c_N(t,s)\right|^2\le a_N(s), \tag*{(84)} ∣ r ˉ N ( t , s ) − ∂ s c ˉ N ( t , s ) ∣ 2 ≤ a N ( s ) , (84)
and, for 0 ≤ s ≤ t 0\le s\le t 0 ≤ s ≤ t ,
∣ 1 − c ˉ N ( t , s ) − ∫ s t r ˉ N ( t , u ) d u ∣ 2 ≤ ( t − s ) ∫ s t a N ( u ) d u . (85) \left|1-\bar c_N(t,s)-\int_s^t\bar r_N(t,u)\,\mathrm{d}u\right|^2\le(t-s)\int_s^t a_N(u)\,\mathrm{d}u. \tag*{(85)} 1 − c ˉ N ( t , s ) − ∫ s t r ˉ N ( t , u ) d u 2 ≤ ( t − s ) ∫ s t a N ( u ) d u . (85)
Proof. We begin with an integration by parts formula for the law at time s s s . For smooth functions f , g f,g f , g on S N S_N S N , we have
∫ ρ s f L N g d ω N = − ∫ ρ s Γ ( f , g ) d ω N − ∫ ρ s f ⟨ v s c u r , ∇ S g ⟩ d ω N . (86) \int\rho_s f\mathcal{L}_N g\,\mathrm{d}\omega_N=-\int\rho_s\Gamma(f,g)\,\mathrm{d}\omega_N-\int\rho_s f\left\langle v_s^{\mathrm{cur}},\nabla_S g\right\rangle\,\mathrm{d}\omega_N. \tag*{(86)} ∫ ρ s f L N g d ω N = − ∫ ρ s Γ ( f , g ) d ω N − ∫ ρ s f ⟨ v s cur , ∇ S g ⟩ d ω N . (86)
Indeed, integrating Δ S g \Delta_Sg Δ S g by parts against ρ s f \rho_sf ρ s f gives − ∫ ρ s Γ ( f , g ) − ∫ f ⟨ ∇ S ρ s , ∇ S g ⟩ -\int\rho_s\Gamma(f,g)-\int f\langle\nabla_S\rho_s,\nabla_Sg\rangle − ∫ ρ s Γ ( f , g ) − ∫ f ⟨ ∇ S ρ s , ∇ S g ⟩ , and the remaining term combines with the drift term of L N \mathcal{L}_N L N because ∇ S ρ s − β ρ s ∇ S H N = ρ s v s c u r \nabla_S\rho_s-\beta\rho_s\nabla_SH_N=\rho_sv_s^{\mathrm{cur}} ∇ S ρ s − β ρ s ∇ S H N = ρ s v s cur .
Next, we differentiate (81) in s s s , using the forward equation ∂ s ρ s = L N ∗ ρ s \partial_s\rho_s=\mathcal{L}_N^*\rho_s ∂ s ρ s = L N ∗ ρ s , where L N ∗ \mathcal{L}_N^* L N ∗ is the adjoint with respect to ω N \omega_N ω N , and the backward equation ∂ s P t − s x i = − L N P t − s x i \partial_sP_{t-s}x_i=-\mathcal{L}_NP_{t-s}x_i ∂ s P t − s x i = − L N P t − s x i . This gives
∂ s c H ( t , s ) = 1 N ∫ ρ s ∑ i = 1 N [ L N ( x i P t − s x i ) − x i L N P t − s x i ] d ω N . \partial_sc_H(t,s)=\frac{1}{N}\int\rho_s\sum_{i=1}^{N}\left[\mathcal{L}_N\left(x_iP_{t-s}x_i\right)-x_i\mathcal{L}_NP_{t-s}x_i\right]\,\mathrm{d}\omega_N. ∂ s c H ( t , s ) = N 1 ∫ ρ s i = 1 ∑ N [ L N ( x i P t − s x i ) − x i L N P t − s x i ] d ω N .
Using the product rule L N ( f g ) = f L N g + g L N f + 2 Γ ( f , g ) \mathcal{L}_N(fg)=f\mathcal{L}_Ng+g\mathcal{L}_Nf+2\Gamma(f,g) L N ( f g ) = f L N g + g L N f + 2Γ ( f , g ) , we can write the bracket as ( P t − s x i ) L N x i + 2 Γ ( x i , P t − s x i ) (P_{t-s}x_i)\mathcal{L}_Nx_i+2\Gamma(x_i,P_{t-s}x_i) ( P t − s x i ) L N x i + 2Γ ( x i , P t − s x i ) . Applying (86) with f = P t − s x i f=P_{t-s}x_i f = P t − s x i and g = x i g=x_i g = x i to the first of these two terms, we obtain
∂ s c H ( t , s ) = 1 N ∫ ρ s ∑ i = 1 N [ Γ ( x i , P t − s x i ) − ( P t − s x i ) ⟨ v s c u r , ∇ S x i ⟩ ] d ω N . \partial_sc_H(t,s)=\frac{1}{N}\int\rho_s\sum_{i=1}^{N}\left[\Gamma(x_i,P_{t-s}x_i)-(P_{t-s}x_i)\left\langle v_s^{\mathrm{cur}},\nabla_Sx_i\right\rangle\right]\,\mathrm{d}\omega_N. ∂ s c H ( t , s ) = N 1 ∫ ρ s i = 1 ∑ N [ Γ ( x i , P t − s x i ) − ( P t − s x i ) ⟨ v s cur , ∇ S x i ⟩ ] d ω N .
The first term is r H ( t , s ) r_H(t,s) r H ( t , s ) . In the second, we have ∑ i ( P t − s x i ) ⟨ v s c u r , P x e i ⟩ = ⟨ m t − s , v s c u r ⟩ \sum_i(P_{t-s}x_i)\langle v_s^{\mathrm{cur}},P_xe_i\rangle=\langle m_{t-s},v_s^{\mathrm{cur}}\rangle ∑ i ( P t − s x i ) ⟨ v s cur , P x e i ⟩ = ⟨ m t − s , v s cur ⟩ , because v s c u r v_s^{\mathrm{cur}} v s cur is tangent and ∇ S x i = P x e i \nabla_Sx_i=P_xe_i ∇ S x i = P x e i . This proves (83) , with its sign and coefficient.
As a check of the normalization, consider β = 0 \beta=0 β = 0 . Then the uniform law is invariant, ρ s = 1 \rho_s=1 ρ s = 1 , and v s c u r = 0 v_s^{\mathrm{cur}}=0 v s cur = 0 . The coordinates satisfy Δ S x i = − κ N x i \Delta_Sx_i=-\kappa_Nx_i Δ S x i = − κ N x i , so that c H ( t , s ) = e − κ N ( t − s ) c_H(t,s)=e^{-\kappa_N(t-s)} c H ( t , s ) = e − κ N ( t − s ) and r H ( t , s ) = κ N e − κ N ( t − s ) = ∂ s c H ( t , s ) r_H(t,s)=\kappa_Ne^{-\kappa_N(t-s)}=\partial_sc_H(t,s) r H ( t , s ) = κ N e − κ N ( t − s ) = ∂ s c H ( t , s ) .
By the Cauchy–Schwarz inequality and ∥ m t − s ∥ ≤ N \lVert m_{t-s}\rVert\le\sqrt{N} ∥ m t − s ∥ ≤ N , the square of the right side of (5.5) is at most I H ( s ) / N I_H(s)/N I H ( s ) / N . To average over the disorder, we need a bound on ∂ s c H \partial_sc_H ∂ s c H that is integrable over J J J . In the formula for ∂ s c H \partial_sc_H ∂ s c H before the integration by parts, the first term is N − 1 ∫ ρ s ⟨ m t − s , L N id ⟩ d ω N N^{-1}\int\rho_s\langle m_{t-s},\mathcal{L}_N\operatorname{id}\rangle\,\mathrm{d}\omega_N N − 1 ∫ ρ s ⟨ m t − s , L N id ⟩ d ω N . Using L N id = β ∇ S H N − κ N id \mathcal{L}_N\operatorname{id}=\beta\nabla_SH_N-\kappa_N\operatorname{id} L N id = β ∇ S H N − κ N id and the bound ∥ ∇ S H N ∥ ≤ ρ Q N N \lVert\nabla_SH_N\rVert\le\rho Q_N\sqrt{N} ∥ ∇ S H N ∥ ≤ ρ Q N N from (53) , we see that its absolute value is at most κ N + β ρ Q N \kappa_N+\beta\rho Q_N κ N + β ρ Q N . The second term is 2 N − 1 ∫ ρ s tr ( D S m t − s P x ) d ω N 2N^{-1}\int\rho_s\operatorname{tr}(D_Sm_{t-s}P_x)\,\mathrm{d}\omega_N 2 N − 1 ∫ ρ s tr ( D S m t − s P x ) d ω N , and its absolute value is at most $2\lVert D_Sm_{t-s}\rVert_{\mathrm{op}}\le 2 e β p 2 Q N ( t − s ) 2e^{\beta p^{2}Q_{N}(t-s)} 2 e β p 2 Q N ( t − s ) by the gradient bound (5.17) below, whose proof uses only the Bochner formula. We conclude that
∣ ∂ s c H ( t , s ) ∣ ≤ 1 + β p Q N + 2 e β p 2 Q N ( t − s ) , ∣ r H ( t , s ) ∣ ≤ e β p 2 Q N ( t − s ) . |\partial_{s}c_{H}(t,s)| \le1+\beta pQ_{N}+2e^{\beta p^{2}Q_{N}(t-s)}, \qquad|r_{H}(t,s)| \le e^{\beta p^{2}Q_{N}(t-s)}. ∣ ∂ s c H ( t , s ) ∣ ≤ 1 + β p Q N + 2 e β p 2 Q N ( t − s ) , ∣ r H ( t , s ) ∣ ≤ e β p 2 Q N ( t − s ) .
These bounds are integrable over the disorder by Lemma 3.6, uniformly for t − s t-s t − s in compact sets, and dominated convergence justifies ∂ s c ‾ N = E J ∂ s c H \partial_{s}\overline{c}_{N}=\mathbb{E}_{J}\partial_{s}c_{H} ∂ s c N = E J ∂ s c H for 0 < s < t 0<s<t 0 < s < t . The quenched and annealed correlations, responses, and currents are continuous on each closed causal row, so the identities for the earlier-time derivatives of the correlations at positive times extend to the right derivative at s = 0 s=0 s = 0 . By Jensen’s inequality, we have
∣ r ‾ N ( t , s ) − ∂ s c ‾ N ( t , s ) ∣ 2 ≤ E J ∣ r H ( t , s ) − ∂ s c H ( t , s ) ∣ 2 ≤ 1 N E J I H ( s ) = a N ( s ) , |\overline{r}_{N}(t,s)-\partial_{s}\overline{c}_{N}(t,s)|^{2}\le\mathbb{E}_{J}|r_{H}(t,s)-\partial_{s}c_{H}(t,s)|^{2}\le\frac{1}{N}\mathbb{E}_{J}I_{H}(s)=a_{N}(s), ∣ r N ( t , s ) − ∂ s c N ( t , s ) ∣ 2 ≤ E J ∣ r H ( t , s ) − ∂ s c H ( t , s ) ∣ 2 ≤ N 1 E J I H ( s ) = a N ( s ) ,
which is (5.6).
For (5.7), note that c ‾ N ( t , t ) = 1 \overline{c}_{N}(t,t)=1 c N ( t , t ) = 1 because ∥ X t ∥ 2 = N \lVert X_{t}\rVert^{2}=N ∥ X t ∥ 2 = N . The function u ↦ c ‾ N ( t , u ) u\mapsto\overline{c}_{N}(t,u) u ↦ c N ( t , u ) is continuous on [ s , t ] [s,t] [ s , t ] , with a bounded derivative on [ s , t ) [s,t) [ s , t ) ; in particular, it is Lipschitz and is the integral of its derivative. Integrating (5.6) over u ∈ [ s , t ] u\in[s,t] u ∈ [ s , t ] , we obtain
∣ 1 − c ‾ N ( t , s ) − ∫ s t r ‾ N ( t , u ) d u ∣ ≤ ∫ s t a N ( u ) d u , \left|1-\overline{c}_{N}(t,s)-\int_{s}^{t}\overline{r}_{N}(t,u)\,\mathrm{d}u\right|\le\int_{s}^{t}\sqrt{a_{N}(u)}\,\mathrm{d}u, 1 − c N ( t , s ) − ∫ s t r N ( t , u ) d u ≤ ∫ s t a N ( u ) d u ,
and one more application of the Cauchy–Schwarz inequality completes the proof.
An integrable Fisher majorant
Recall that the landscape cutoff A p A_{p} A p of Lemma 3.6 satisfies P ( Q N > A p ) ≤ e − c p N \mathbb{P}(Q_{N}>A_{p})\le e^{-c_{p}N} P ( Q N > A p ) ≤ e − c p N . We write G N = { Q N ≤ A p } G_{N}=\{Q_{N}\le A_{p}\} G N = { Q N ≤ A p } for the corresponding event on the disorder and set
K = 2 β p 2 A p . K=2\beta p^{2}A_{p}. K = 2 β p 2 A p .
The constant K K K depends only on p p p and β \beta β . We extract the subsequence in the following theorem once, before any later waiting-time sequence, stationary cluster, or finite-fork profile is chosen, and we keep the same strictly increasing dimension subsequence ( N j ) (N_{j}) ( N j ) for the rest of the paper. We take all limits in N N N at fixed times; the long-time statements concern only the limiting function a F a_{F} a F and the deterministic CK solution.
Theorem 5.3 (Fisher control of the backward FDT defect). There exist a dimension subsequence ( N j ) (N_{j}) ( N j ) and a nonnegative, locally bounded, right-continuous function a F a_{F} a F on [ 0 , ∞ ) [0,\infty) [ 0 , ∞ ) such that
a N j ⟶ a F in L l o c 1 ( [ 0 , ∞ ) ) , ∫ 0 ∞ a F ( u ) d u ≤ β 2 2 . (87) a_{N_{j}}\longrightarrow a_{F}\quad\text{in }L^{1}_{\mathrm{loc}}([0,\infty)), \qquad\int_{0}^{\infty}a_{F}(u)\,\mathrm{d}u\le\frac{\beta^{2}}{2}. \tag*{(87)} a N j ⟶ a F in L loc 1 ([ 0 , ∞ )) , ∫ 0 ∞ a F ( u ) d u ≤ 2 β 2 . (87)
The function e − K t a F ( t ) e^{-Kt}a_F(t) e − K t a F ( t ) is nonincreasing. In particular, for s ≥ ε > 0 s \ge\varepsilon> 0 s ≥ ε > 0 ,
a F ( s ) ≤ K 1 − e − K ε ∫ s − ε s a F ( u ) d u , sup s ≥ T a F ( s ) ⟶ 0 ( T → ∞ ) . (88) a_F(s) \le\frac{K}{1-e^{-K\varepsilon}}\int_{s-\varepsilon}^{s} a_F(u)\,\mathrm{d}u,\qquad\sup_{s\ge T}a_F(s)\longrightarrow0\quad(T\to\infty). \tag*{(88)} a F ( s ) ≤ 1 − e − K ε K ∫ s − ε s a F ( u ) d u , s ≥ T sup a F ( s ) ⟶ 0 ( T → ∞ ) . (88)
For every t > s > 0 t>s>0 t > s > 0 , the earlier-time derivative ∂ 2 C ( t , s ) = ∂ s C ( t , s ) \partial_2 C(t,s)=\partial_s C(t,s) ∂ 2 C ( t , s ) = ∂ s C ( t , s ) exists, is continuous, and satisfies
∣ ∂ 2 C ( t , s ) − R ( t , s ) ∣ 2 ≤ a F ( s ) . (89) \left|\partial_2 C(t,s)-R(t,s)\right|^2\le a_F(s). \tag*{(89)} ∣ ∂ 2 C ( t , s ) − R ( t , s ) ∣ 2 ≤ a F ( s ) . (89)
Every row C ( t , ⋅ ) C(t,\cdot) C ( t , ⋅ ) is absolutely continuous on [ 0 , t ] [0,t] [ 0 , t ] , and for t ≥ v ≥ u ≥ 0 t\ge v\ge u\ge0 t ≥ v ≥ u ≥ 0 ,
∣ C ( t , v ) − C ( t , u ) − ∫ u v R ( t , s ) d s ∣ ≤ ∫ u v a F ( s ) d s . (90) \left|C(t,v)-C(t,u)-\int_u^v R(t,s)\,\mathrm{d}s\right|\le\int_u^v\sqrt{a_F(s)}\,\mathrm{d}s. \tag*{(90)} C ( t , v ) − C ( t , u ) − ∫ u v R ( t , s ) d s ≤ ∫ u v a F ( s ) d s . (90)
Finally, e β e_\beta e β is locally absolutely continuous, and
∣ e β ′ ( s ) ∣ 2 ≤ p 2 A p 2 a F ( s ) for almost every s ≥ 0. (91) \left|e'_\beta(s)\right|^2\le p^2A_p^2a_F(s)\quad\text{for almost every }s\ge0. \tag*{(91)} e β ′ ( s ) 2 ≤ p 2 A p 2 a F ( s ) for almost every s ≥ 0. (91)
We write
μ ( d s ) = a F ( s ) d s , μ ( [ 0 , ∞ ) ) ≤ β 2 / 2. (92) \mu(\mathrm{d}s)=a_F(s)\,\mathrm{d}s,\qquad\mu([0,\infty))\le\beta^2/2. \tag*{(92)} μ ( d s ) = a F ( s ) d s , μ ([ 0 , ∞ )) ≤ β 2 /2. (92)
Proof. The proof has six steps. The first three construct a F a_F a F . In Step 1, we use the Bochner formula to show that, on the event G N G_N G N , the Fisher information grows at most like e K t e^{Kt} e K t . Then the average of the Fisher information over G N G_N G N , multiplied by e − K t e^{-Kt} e − K t , is a bounded nonincreasing function of t t t , and we use Helly’s selection theorem to extract a subsequence along which these functions converge (Step 2). In Step 3, we show that the Fisher information on the complement of G N G_N G N has total mass tending to zero, which leads to (5.9) and (5.10). In the last three steps, we transfer the finite-dimensional estimates to the CK solution. In Step 4, we pass the integrated form of Lemma 5.2 to the limit, which gives (5.12), together with (5.11) for almost every s s s . In Step 5, we deduce from the Green covariance identity that ∂ 2 C \partial_2C ∂ 2 C is continuous, which upgrades the bound to every s s s . In Step 6, we treat the energy in the same way.
Step 1: the Bochner identity and growth of the Fisher information. Fix the disorder. Let f t = ρ t / g N f_t=\rho_t/g_N f t = ρ t / g N and ψ t = log f t \psi_t=\log f_t ψ t = log f t , and let ν N ( d x ) = g N ( x ) ω N ( d x ) \nu_N(\mathrm{d}x)=g_N(x)\,\omega_N(\mathrm{d}x) ν N ( d x ) = g N ( x ) ω N ( d x ) be the Gibbs measure. Then ν t c u r = ∇ S ψ t \nu_t^{\mathrm{cur}}=\nabla_S\psi_t ν t cur = ∇ S ψ t and I H ( t ) = ∫ f t Γ ( ψ t ) d ν N I_H(t)=\int f_t\Gamma(\psi_t)\,\mathrm{d}\nu_N I H ( t ) = ∫ f t Γ ( ψ t ) d ν N . Recall that the generator L N L_N L N is symmetric with respect to ν N \nu_N ν N , with ∫ f L N g d ν N = − ∫ Γ ( f , g ) d ν N \int fL_Ng\,\mathrm{d}\nu_N=-\int\Gamma(f,g)\,\mathrm{d}\nu_N ∫ f L N g d ν N = − ∫ Γ ( f , g ) d ν N . In terms of f t f_t f t , the forward equation reads ∂ t f t = L N f t \partial_tf_t=L_Nf_t ∂ t f t = L N f t . As L N ( e ψ ) = e ψ ( L N ψ + Γ ( ψ ) ) L_N(e^\psi)=e^\psi(L_N\psi+\Gamma(\psi)) L N ( e ψ ) = e ψ ( L N ψ + Γ ( ψ )) , we also have ∂ t ψ t = L N ψ t + Γ ( ψ t ) \partial_t\psi_t=L_N\psi_t+\Gamma(\psi_t) ∂ t ψ t = L N ψ t + Γ ( ψ t ) . Differentiating I H I_H I H , we find
I H ′ ( t ) = ∫ ( L N f t ) Γ ( ψ t ) d ν N + 2 ∫ f t Γ ( ψ t , L N ψ t ) d ν N + 2 ∫ f t Γ ( ψ t , Γ ( ψ t ) ) d ν N . I'_H(t)=\int(L_Nf_t)\Gamma(\psi_t)\,\mathrm{d}\nu_N+2\int f_t\Gamma(\psi_t,L_N\psi_t)\,\mathrm{d}\nu_N+2\int f_t\Gamma(\psi_t,\Gamma(\psi_t))\,\mathrm{d}\nu_N. I H ′ ( t ) = ∫ ( L N f t ) Γ ( ψ t ) d ν N + 2 ∫ f t Γ ( ψ t , L N ψ t ) d ν N + 2 ∫ f t Γ ( ψ t , Γ ( ψ t )) d ν N .
By symmetry, the first integral equals ∫ f t L N Γ ( ψ t ) d ν N \int f_tL_N\Gamma(\psi_t)\,\mathrm{d}\nu_N ∫ f t L N Γ ( ψ t ) d ν N . It also equals − ∫ Γ ( f t , Γ ( ψ t ) ) d ν N = − ∫ f t Γ ( ψ t , Γ ( ψ t ) ) d ν N -\int\Gamma(f_t,\Gamma(\psi_t))\,\mathrm{d}\nu_N=-\int f_t\Gamma(\psi_t,\Gamma(\psi_t))\,\mathrm{d}\nu_N − ∫ Γ ( f t , Γ ( ψ t )) d ν N = − ∫ f t Γ ( ψ t , Γ ( ψ t )) d ν N , because ∇ S f t = f t ∇ S ψ t \nabla_Sf_t=f_t\nabla_S\psi_t ∇ S f t = f t ∇ S ψ t . The third integral is therefore − 2 ∫ f t L N Γ ( ψ t ) d ν N -2\int f_tL_N\Gamma(\psi_t)\,\mathrm{d}\nu_N − 2 ∫ f t L N Γ ( ψ t ) d ν N , and we obtain
I H ′ ( t ) = − ∫ f t L N Γ ( ψ t ) d ν N + 2 ∫ f t Γ ( ψ t , L N ψ t ) d ν N = − 2 ∫ f t Γ 2 ( ψ t ) d ν N . I'_H(t)=-\int f_tL_N\Gamma(\psi_t)\,\mathrm{d}\nu_N+2\int f_t\Gamma(\psi_t,L_N\psi_t)\,\mathrm{d}\nu_N=-2\int f_t\Gamma_2(\psi_t)\,\mathrm{d}\nu_N. I H ′ ( t ) = − ∫ f t L N Γ ( ψ t ) d ν N + 2 ∫ f t Γ ( ψ t , L N ψ t ) d ν N = − 2 ∫ f t Γ 2 ( ψ t ) d ν N .
where Γ 2 ( ψ ) = 1 2 L N Γ ( ψ ) − Γ ( ψ , L N ψ ) \Gamma_2(\psi) = \frac{1}{2}\mathcal{L}_N\Gamma(\psi) - \Gamma(\psi,\mathcal{L}_N\psi) Γ 2 ( ψ ) = 2 1 L N Γ ( ψ ) − Γ ( ψ , L N ψ ) . For L N = Δ S + β ⟨ ∇ S H N , ∇ S ⋅ ⟩ \mathcal{L}_N = \Delta_S + \beta\langle\nabla_S H_N, \nabla_S \cdot\rangle L N = Δ S + β ⟨ ∇ S H N , ∇ S ⋅ ⟩ , the Bochner formula reads Γ 2 ( ψ ) = ∥ ∇ S 2 ψ ∥ H S 2 + ( Ric − β ∇ S 2 H N ) ( ∇ S ψ , ∇ S ψ ) \Gamma_2(\psi) = \lVert\nabla_S^2\psi\rVert_{HS}^2 + (\operatorname{Ric} - \beta\nabla_S^2H_N)(\nabla_S\psi,\nabla_S\psi) Γ 2 ( ψ ) = ∥ ∇ S 2 ψ ∥ H S 2 + ( Ric − β ∇ S 2 H N ) ( ∇ S ψ , ∇ S ψ ) . Using f t d ν N = ρ t d ω N f_t\,\mathrm{d}\nu_N = \rho_t\,\mathrm{d}\omega_N f t d ν N = ρ t d ω N , we conclude that
I H ′ ( t ) = − 2 ∫ ρ t { ∥ ∇ S 2 ψ t ∥ H S 2 + ( Ric − β ∇ S 2 H N ) ( ∇ S ψ t , ∇ S ψ t ) } d ω N . (93) I'_H(t) = -2 \int\rho_t \left\{ \lVert\nabla_S^2\psi_t \rVert_{HS}^2 + (\operatorname{Ric} - \beta\nabla_S^2H_N)(\nabla_S\psi_t,\nabla_S\psi_t) \right\}\,\mathrm{d}\omega_N. \tag*{(93)} I H ′ ( t ) = − 2 ∫ ρ t { ∥ ∇ S 2 ψ t ∥ H S 2 + ( Ric − β ∇ S 2 H N ) ( ∇ S ψ t , ∇ S ψ t ) } d ω N . (93)
This identity is asserted for t > 0 t > 0 t > 0 . Its differentiations and integrations by parts use the spatial C 3 C^3 C 3 density, positivity on the compact sphere, and joint continuity of the forward slope and its spatial gradient. In particular, we compute the time derivative of the relative score by differentiating the intrinsic forward equation along the sphere. Continuity of I H I_H I H at zero will suffice to include the initial time in the resulting comparison.
For N ≥ 2 N \ge2 N ≥ 2 , the sphere S N S_N S N of radius N \sqrt{N} N has Ric = N − 2 N \operatorname{Ric} = \frac{N-2}{N} Ric = N N − 2 times its metric, which is nonnegative, and ∥ ∇ S 2 H N ∥ o p ≤ p 2 Q N \lVert\nabla_S^2H_N\rVert_{\mathrm{op}} \le p^2Q_N ∥ ∇ S 2 H N ∥ op ≤ p 2 Q N by (53) . Then (5.15) implies that I H ′ ≤ 2 β p 2 Q N I H I'_H \le2\beta p^2Q_N I_H I H ′ ≤ 2 β p 2 Q N I H at positive times. On the event G N G_N G N , we have I H ′ ≤ K I H I'_H \le K I_H I H ′ ≤ K I H , so e − K t I H ( t ) e^{-Kt}I_H(t) e − K t I H ( t ) is nonincreasing for t > 0 t > 0 t > 0 . Its continuity at zero extends this monotonicity to [ 0 , ∞ ) [0,\infty) [ 0 , ∞ ) . We define
b N ( t ) = 1 N E J [ 1 G N I H ( t ) ] , b ~ N ( t ) = e − K t b N ( t ) . b_N(t) = \frac{1}{N}\mathbb{E}_J\left[1_{G_N}I_H(t)\right], \qquad\widetilde{b}_N(t) = e^{-Kt}b_N(t). b N ( t ) = N 1 E J [ 1 G N I H ( t ) ] , b N ( t ) = e − K t b N ( t ) .
As an average of nonincreasing functions, b ~ N \widetilde{b}_N b N is nonincreasing; no differentiation under E J \mathbb{E}_J E J is needed. At time zero, ∇ S ψ 0 = − β ∇ S H N \nabla_S\psi_0 = -\beta\nabla_SH_N ∇ S ψ 0 = − β ∇ S H N . Differentiating the covariance N ( x ⋅ y / N ) p N(x\cdot y/N)^p N ( x ⋅ y / N ) p in both variables and setting y = x ∈ S N y=x\in S_N y = x ∈ S N , we see that E J [ ∇ H N ( x ) ∇ H N ( x ) T ] = p I + p ( p − 1 ) N x x T \mathbb{E}_J[\nabla H_N(x)\nabla H_N(x)^{\mathsf T}] = pI + \frac{p(p-1)}{N}xx^{\mathsf T} E J [ ∇ H N ( x ) ∇ H N ( x ) T ] = p I + N p ( p − 1 ) x x T . The projection P x P_x P x removes the second term, because P x x = 0 P_xx=0 P x x = 0 . We obtain E J ∥ ∇ S H N ( x ) ∥ 2 = p tr P x = p ( N − 1 ) \mathbb{E}_J\lVert\nabla_SH_N(x)\rVert^2 = p\operatorname{tr}P_x = p(N-1) E J ∥ ∇ S H N ( x ) ∥ 2 = p tr P x = p ( N − 1 ) , and by Tonelli's theorem,
a N ( 0 ) = β 2 N ∫ E J ∥ ∇ S H N ∥ 2 d ω N = β 2 p N − 1 N . a_N(0) = \frac{\beta^2}{N}\int\mathbb{E}_J\lVert\nabla_SH_N\rVert^2\,\mathrm{d}\omega_N = \beta^2p\frac{N-1}{N}. a N ( 0 ) = N β 2 ∫ E J ∥ ∇ S H N ∥ 2 d ω N = β 2 p N N − 1 .
We have shown that b ~ N \widetilde{b}_N b N is nonincreasing and 0 ≤ b ~ N ( t ) ≤ b ~ N ( 0 ) ≤ a N ( 0 ) ≤ β 2 p 0\le\widetilde{b}_N(t)\le\widetilde{b}_N(0)\le a_N(0)\le\beta^2p 0 ≤ b N ( t ) ≤ b N ( 0 ) ≤ a N ( 0 ) ≤ β 2 p for all t ≥ 0 t\ge0 t ≥ 0 . We also note that the bound I H ′ ≤ 2 β p 2 Q N I H I'_H\le2\beta p^2Q_NI_H I H ′ ≤ 2 β p 2 Q N I H holds for every disorder. It implies I H ( t ) ≤ I H ( 0 ) e 2 β p 2 Q N t ≤ β 2 p 2 N Q N 2 e 2 β p 2 Q N t I_H(t)\le I_H(0)e^{2\beta p^2Q_Nt}\le\beta^2p^2NQ_N^2e^{2\beta p^2Q_Nt} I H ( t ) ≤ I H ( 0 ) e 2 β p 2 Q N t ≤ β 2 p 2 N Q N 2 e 2 β p 2 Q N t , and by Lemma 3.6 , a N a_N a N is finite and bounded on compact intervals, uniformly in N N N .
Step 2: Helly selection. We use the Helly diagonal-selection argument; compare the proof of [29, Theorem 25.9, p. 336]. The sequences ( b ~ N ( θ ) ) N (\widetilde{b}_N(\theta))_N ( b N ( θ ) ) N are bounded, and a diagonal extraction over the positive rationals gives a subsequence ( N j ) (N_j) ( N j ) along which b ~ N j ( θ ) \widetilde{b}_{N_j}(\theta) b N j ( θ ) converges for every rational θ > 0 \theta>0 θ > 0 . The limits form a nonincreasing function on the positive rationals with values in [ 0 , β 2 p ] [0,\beta^2p] [ 0 , β 2 p ] . Let b ~ ( t ) \widetilde{b}(t) b ( t ) be the right-continuous function on [ 0 , ∞ ) [0,\infty) [ 0 , ∞ ) defined by the limit of these values as θ ↓ t \theta\downarrow t θ ↓ t through the rationals. Let t > 0 t>0 t > 0 be a continuity point of b ~ \widetilde{b} b . For rationals θ < t < θ ′ \theta<t<\theta' θ < t < θ ′ , we have b ~ N j ( θ ′ ) ≤ b ~ N j ( t ) ≤ b ~ N j ( θ ) \widetilde{b}_{N_j}(\theta')\le\widetilde{b}_{N_j}(t)\le\widetilde{b}_{N_j}(\theta) b N j ( θ ′ ) ≤ b N j ( t ) ≤ b N j ( θ ) by monotonicity. Letting j → ∞ j\to\infty j → ∞ and then θ ↑ t \theta\uparrow t θ ↑ t , θ ′ ↓ t \theta'\downarrow t θ ′ ↓ t , we find that b ~ N j ( t ) → b ~ ( t ) \widetilde{b}_{N_j}(t)\to\widetilde{b}(t) b N j ( t ) → b ( t ) . Since a monotone function has at most countably many discontinuities, we conclude that b ~ N j → b ~ \widetilde{b}_{N_j} \to\widetilde{b} b N j → b almost everywhere. We define
a F ( t ) = e K t b ~ ( t ) . a_F(t)=e^{Kt}\widetilde{b}(t). a F ( t ) = e K t b ( t ) .
Then a F a_F a F is nonnegative and right-continuous, a F ( t ) ≤ β 2 p e K t a_F(t)\leq\beta^2pe^{Kt} a F ( t ) ≤ β 2 p e K t , and e − K t a F ( t ) = b ~ ( t ) e^{-Kt}a_F(t)=\widetilde{b}(t) e − K t a F ( t ) = b ( t ) is nonincreasing. For every M < ∞ M<\infty M < ∞ , we have 0 ≤ b N j ( t ) ≤ β 2 p e K M 0\leq b_{N_j}(t)\leq\beta^2pe^{KM} 0 ≤ b N j ( t ) ≤ β 2 p e K M for t ∈ [ 0 , M ] t\in[0,M] t ∈ [ 0 , M ] , and by dominated convergence, b N j → a F b_{N_j}\to a_F b N j → a F in L 1 ( [ 0 , M ] ) L^1([0,M]) L 1 ([ 0 , M ]) . The value of a F a_F a F at zero is the right limit; no convergence of b N ( 0 ) b_N(0) b N ( 0 ) to a F ( 0 ) a_F(0) a F ( 0 ) is used. We have shown that
b N j ⟶ a F in L l o c 1 ( [ 0 , ∞ ) ) . b_{N_j}\longrightarrow a_F \quad\text{in }L^1_{\mathrm{loc}}([0,\infty)). b N j ⟶ a F in L loc 1 ([ 0 , ∞ )) .
Step 3: the Fisher mass on the bad event. The difference a N − b N = N − 1 E J [ 1 G N c I H ] a_N-b_N=N^{-1}\mathbb{E}_J[1_{G_N^c}I_H] a N − b N = N − 1 E J [ 1 G N c I H ] is nonnegative. By the quenched budget in (79) and the bound D H ( 0 ) ≤ 2 β N Q N D_H(0)\leq2\beta NQ_N D H ( 0 ) ≤ 2 β N Q N of Lemma 5.1 , we have
∫ 0 ∞ ( a N − b N ) ( t ) d t = 1 N E J [ 1 G N c ∫ 0 ∞ I H ( t ) d t ] ≤ 2 β E J [ Q N 1 G N c ] ≤ 2 β ( E J Q N 2 ) 1 / 2 P ( G N c ) 1 / 2 . \int_0^\infty(a_N-b_N)(t)\,\mathrm{d}t
=\frac{1}{N}\mathbb{E}_J\left[1_{G_N^c}\int_0^\infty I_H(t)\,\mathrm{d}t\right]
\leq2\beta\mathbb{E}_J[Q_N1_{G_N^c}]
\leq2\beta(\mathbb{E}_JQ_N^2)^{1/2}\mathbb{P}(G_N^c)^{1/2}. ∫ 0 ∞ ( a N − b N ) ( t ) d t = N 1 E J [ 1 G N c ∫ 0 ∞ I H ( t ) d t ] ≤ 2 β E J [ Q N 1 G N c ] ≤ 2 β ( E J Q N 2 ) 1/2 P ( G N c ) 1/2 .
The right side tends to zero by Lemma 3.6 . Together with Step 2, this implies that a N j → a F a_{N_j}\to a_F a N j → a F in L l o c 1 ( [ 0 , ∞ ) ) L^1_{\mathrm{loc}}([0,\infty)) L loc 1 ([ 0 , ∞ )) . For every M M M , we have ∫ 0 M a F = lim j ∫ 0 M a N j ≤ β 2 / 2 \int_0^M a_F=\lim_j\int_0^M a_{N_j}\leq\beta^2/2 ∫ 0 M a F = lim j ∫ 0 M a N j ≤ β 2 /2 by Lemma 5.1 , and monotone convergence in M M M proves (87) .
The monotonicity of e − K t a F ( t ) e^{-Kt}a_F(t) e − K t a F ( t ) means that a F ( u ) ≥ e − K ( s − u ) a F ( s ) a_F(u)\geq e^{-K(s-u)}a_F(s) a F ( u ) ≥ e − K ( s − u ) a F ( s ) for u ≤ s u\leq s u ≤ s . Integrating this inequality over u ∈ [ s − ε , s ] u\in[s-\varepsilon,s] u ∈ [ s − ε , s ] , we have
∫ s − ε s a F ( u ) d u ≥ a F ( s ) ∫ 0 ε e − K w d w = a F ( s ) 1 − e − K ε K . \int_{s-\varepsilon}^{s}a_F(u)\,\mathrm{d}u
\geq a_F(s)\int_0^\varepsilon e^{-Kw}\,\mathrm{d}w
=a_F(s)\frac{1-e^{-K\varepsilon}}{K}. ∫ s − ε s a F ( u ) d u ≥ a F ( s ) ∫ 0 ε e − K w d w = a F ( s ) K 1 − e − K ε .
which is the first part of (88) ; here K > 0 K>0 K > 0 because β > 0 \beta>0 β > 0 and A p > 0 A_p>0 A p > 0 . Taking ε = 1 \varepsilon=1 ε = 1 , we have sup s ≥ T a F ( s ) ≤ K ( 1 − e − K ) − 1 μ ( [ T − 1 , ∞ ) ) \sup_{s\geq T}a_F(s)\leq K(1-e^{-K})^{-1}\mu([T-1,\infty)) sup s ≥ T a F ( s ) ≤ K ( 1 − e − K ) − 1 μ ([ T − 1 , ∞ )) for T ≥ 1 T\geq1 T ≥ 1 , and the right side tends to zero because μ \mu μ is a finite measure. This proves (88) . We note that integrability of a F a_F a F alone would not give this uniform decay; it comes from the monotonicity of e − K t a F ( t ) e^{-Kt}a_F(t) e − K t a F ( t ) .
Step 4: passage of the row inequality to the limit. Fix t ≥ v ≥ u ≥ 0 t\geq v\geq u\geq0 t ≥ v ≥ u ≥ 0 . Recall from the proof of Lemma 5.2 that c ‾ N ( t , ⋅ ) \overline{c}_N(t,\cdot) c N ( t , ⋅ ) is the integral of its derivative on [ u , t ] [u,t] [ u , t ] . Integrating (84) over [ u , v ] [u,v] [ u , v ] , we have
∣ c ‾ N ( t , v ) − c ‾ N ( t , u ) − ∫ u v r ‾ N ( t , s ) d s ∣ ≤ ∫ u v a N ( s ) d s . \left|\overline{c}_N(t,v)-\overline{c}_N(t,u)-\int_u^v\overline{r}_N(t,s)\,\mathrm{d}s\right|
\leq\int_u^v\sqrt{a_N(s)}\,\mathrm{d}s. c N ( t , v ) − c N ( t , u ) − ∫ u v r N ( t , s ) d s ≤ ∫ u v a N ( s ) d s .
We let N = N j → ∞ N=N_j\to\infty N = N j → ∞ in each term. By Proposition 3.3 , c ‾ N ( t , v ) = E C N ( t , v ) → C ( t , v ) \overline{c}_N(t,v)=\mathbb{E}C_N(t,v)\to C(t,v) c N ( t , v ) = E C N ( t , v ) → C ( t , v ) , and similarly at ( t , u ) (t,u) ( t , u ) . The response integral equals E [ X t ⋅ ( B v − B u ) ] / ( 2 N ) \mathbb{E}[X_t\cdot(B_v-B_u)]/(\sqrt{2N}) E [ X t ⋅ ( B v − B u )] / ( 2 N ) by Lemma 3.4 ; it is a difference of the Brownian observables of Proposition 3.3 , whose expectations converge to ∫ u v R ( t , s ) d s \int_u^v R(t,s)\,\mathrm{d}s ∫ u v R ( t , s ) d s . For the right side, we use the elementary inequality ∣ x − y ∣ 2 ≤ ∣ x − y ∣ |\sqrt{x}-\sqrt{y}|^2 \le|x-y| ∣ x − y ∣ 2 ≤ ∣ x − y ∣ for x , y ≥ 0 x,y \ge0 x , y ≥ 0 . On every compact interval I I I , it yields
∫ I ∣ a N j − a F ∣ 2 ≤ ∫ I ∣ a N j − a F ∣ ⟶ 0 , \int_I \left|\sqrt{a_{N_j}}-\sqrt{a_F}\right|^2 \le\int_I |a_{N_j}-a_F| \longrightarrow0, ∫ I a N j − a F 2 ≤ ∫ I ∣ a N j − a F ∣ ⟶ 0 ,
and by the Cauchy–Schwarz inequality, a N j → a F \sqrt{a_{N_j}} \to\sqrt{a_F} a N j → a F in L 1 ( I ) L^1(I) L 1 ( I ) . This proves (90) for every t ≥ v ≥ u ≥ 0 t \ge v \ge u \ge0 t ≥ v ≥ u ≥ 0 . We fixed the subsequence in Step 2, before choosing the endpoints, and the correlations and the primitives of the response converge along the full sequence of dimensions. No further extraction is involved.
Next, fix t t t and let F t ( s ) = C ( t , s ) − ∫ 0 s R ( t , w ) d w F_t(s)=C(t,s)-\int_0^s R(t,w)\,\mathrm{d}w F t ( s ) = C ( t , s ) − ∫ 0 s R ( t , w ) d w for 0 ≤ s ≤ t 0\le s\le t 0 ≤ s ≤ t . By (90) , we have, for every finite family of disjoint intervals ( u i , v i ) ⊂ [ 0 , t ] (u_i,v_i)\subset[0,t] ( u i , v i ) ⊂ [ 0 , t ] ,
∑ i ∣ F t ( v i ) − F t ( u i ) ∣ ≤ ∫ ⋃ i ( u i , v i ) a F ( s ) d s . \sum_i |F_t(v_i)-F_t(u_i)|\le\int_{\bigcup_i(u_i,v_i)}\sqrt{a_F(s)}\,\mathrm{d}s. i ∑ ∣ F t ( v i ) − F t ( u i ) ∣ ≤ ∫ ⋃ i ( u i , v i ) a F ( s ) d s .
The right side is small when the total length of the intervals is small, because a F \sqrt{a_F} a F is locally bounded. Hence F t F_t F t is absolutely continuous. As s ↦ ∫ 0 s R ( t , w ) d w s\mapsto\int_0^s R(t,w)\,\mathrm{d}w s ↦ ∫ 0 s R ( t , w ) d w is continuously differentiable, the row C ( t , ⋅ ) C(t,\cdot) C ( t , ⋅ ) is absolutely continuous on [ 0 , t ] [0,t] [ 0 , t ] . At every point s ∈ ( 0 , t ) s\in(0,t) s ∈ ( 0 , t ) where F t F_t F t is differentiable and which is a Lebesgue point of a F \sqrt{a_F} a F , dividing (90) by v − u v-u v − u and letting the interval shrink to s s s , we have ∣ F t ′ ( s ) ∣ ≤ a F ( s ) |F_t'(s)|\le\sqrt{a_F(s)} ∣ F t ′ ( s ) ∣ ≤ a F ( s ) . We have shown that
∣ ∂ 2 C ( t , s ) − R ( t , s ) ∣ 2 ≤ a F ( s ) for almost every s ∈ ( 0 , t ) . |\partial_2 C(t,s)-R(t,s)|^2\le a_F(s)\qquad\text{for almost every }s\in(0,t). ∣ ∂ 2 C ( t , s ) − R ( t , s ) ∣ 2 ≤ a F ( s ) for almost every s ∈ ( 0 , t ) .
The exceptional set may depend on t t t ; this causes no difficulty, since we carry out Step 5 on each fixed row with the fixed function a F a_F a F .
Step 5: the continuous representative of the earlier derivative. Let R ˙ ( s , u ) = ∂ 1 R ( s , u ) \dot R(s,u)=\partial_1R(s,u) R ˙ ( s , u ) = ∂ 1 R ( s , u ) . Recall from (36) and Proposition 4.5 that R ˙ \dot R R ˙ is continuous on every compact causal triangle, with one-sided values on the diagonal. For t > s t>s t > s , the Green identity (65) reads
C ( t , s ) = R ( t , 0 ) R ( s , 0 ) + 2 ∫ 0 s R ( t , u ) R ( s , u ) d u + β 2 p ∫ 0 t R ( t , u ) ∫ 0 s R ( s , v ) C ( u , v ) p − 1 d v d u . C(t,s)=R(t,0)R(s,0)+2\int_0^s R(t,u)R(s,u)\,\mathrm{d}u
+\beta^2p\int_0^t R(t,u)\int_0^s R(s,v)C(u,v)^{p-1}\,\mathrm{d}v\,\mathrm{d}u. C ( t , s ) = R ( t , 0 ) R ( s , 0 ) + 2 ∫ 0 s R ( t , u ) R ( s , u ) d u + β 2 p ∫ 0 t R ( t , u ) ∫ 0 s R ( s , v ) C ( u , v ) p − 1 d v d u .
The variable s s s enters only through R ( s , 0 ) R(s,0) R ( s , 0 ) , R ( s , u ) R(s,u) R ( s , u ) , R ( s , v ) R(s,v) R ( s , v ) , and the upper limits of the integrals over u u u and v v v . Differentiating in s s s and using R ( s , s ) = 1 R(s,s)=1 R ( s , s ) = 1 , we obtain, for t > s > 0 t>s>0 t > s > 0 ,
∂ 2 C ( t , s ) = R ( t , 0 ) R ˙ ( s , 0 ) + 2 R ( t , s ) + 2 ∫ 0 s R ( t , u ) R ˙ ( s , u ) d u + β 2 p ∫ 0 t R ( t , u ) { C ( u , s ) p − 1 + ∫ 0 s R ˙ ( s , v ) C ( u , v ) p − 1 d v } d u . (94) \partial_2 C(t,s)=R(t,0)\dot R(s,0)+2R(t,s)+2\int_0^s R(t,u)\dot R(s,u)\,\mathrm{d}u
+\beta^2p\int_0^t R(t,u)\left\{C(u,s)^{p-1}+\int_0^s \dot R(s,v)C(u,v)^{p-1}\,\mathrm{d}v\right\}\,\mathrm{d}u. \tag*{(94)} ∂ 2 C ( t , s ) = R ( t , 0 ) R ˙ ( s , 0 ) + 2 R ( t , s ) + 2 ∫ 0 s R ( t , u ) R ˙ ( s , u ) d u + β 2 p ∫ 0 t R ( t , u ) { C ( u , s ) p − 1 + ∫ 0 s R ˙ ( s , v ) C ( u , v ) p − 1 d v } d u . (94)
All integrands are continuous on the fixed compact sets of integration, which justifies differentiation under the integral sign. No derivative of C ( u , v ) p − 1 C(u,v)^{p-1} C ( u , v ) p − 1 is needed, because u u u and v v v are integration variables that do not depend on s s s . The right side of (5.16) is jointly continuous on the open triangle t > s > 0 t>s>0 t > s > 0 . Hence, for each fixed t t t , the row C ( t , ⋅ ) C(t,\cdot) C ( t , ⋅ ) is continuously differentiable on ( 0 , t ) (0,t) ( 0 , t ) , and its classical derivative agrees with the almost-everywhere derivative of Step 4.
Fix t > s > 0 t>s>0 t > s > 0 , and choose points s n ↓ s s_n\downarrow s s n ↓ s with s n < t s_n<t s n < t at which the bound of Step 4 holds. Then ∣ ∂ 2 C ( t , s n ) − R ( t , s n ) ∣ 2 ≤ a F ( s n ) \lvert\partial_2 C(t,s_n)-R(t,s_n)\rvert^2\le a_F(s_n) ∣ ∂ 2 C ( t , s n ) − R ( t , s n ) ∣ 2 ≤ a F ( s n ) . As n → ∞ n\to\infty n → ∞ , the left side converges to ∣ ∂ 2 C ( t , s ) − R ( t , s ) ∣ 2 \lvert\partial_2 C(t,s)-R(t,s)\rvert^2 ∣ ∂ 2 C ( t , s ) − R ( t , s ) ∣ 2 by the continuity of (5.16) and of R R R , and a F ( s n ) → a F ( s ) a_F(s_n)\to a_F(s) a F ( s n ) → a F ( s ) because a F a_F a F is right-continuous. This proves (5.11).
Step 6: the energy. Let e H ( s ) = N − 1 ∫ ρ s H N d ω N e_H(s)=N^{-1}\int\rho_s H_N\,\mathrm{d}\omega_N e H ( s ) = N − 1 ∫ ρ s H N d ω N , so that e N ( s ) = E J e H ( s ) = N − 1 E J H N ( X s ) e_N(s)=\mathbb{E}_J e_H(s)=N^{-1}\mathbb{E}_J H_N(X_s) e N ( s ) = E J e H ( s ) = N − 1 E J H N ( X s ) . By the first identity in (5.1) and an integration by parts, we have
e H ′ ( s ) = − 1 N ∫ ρ s ⟨ v s c u r , ∇ S H N ⟩ d ω N . e_H'(s)=-\frac{1}{N}\int\rho_s\langle v_s^{\mathrm{cur}},\nabla_S H_N\rangle\,\mathrm{d}\omega_N. e H ′ ( s ) = − N 1 ∫ ρ s ⟨ v s cur , ∇ S H N ⟩ d ω N .
Using ∥ ∇ S H N ∥ ≤ p Q N N \lVert\nabla_S H_N\rVert\le pQ_N\sqrt{N} ∥ ∇ S H N ∥ ≤ p Q N N and the Cauchy–Schwarz inequality, we find that ∣ e H ′ ( s ) ∣ ≤ p Q N I H ( s ) / N \lvert e_H'(s)\rvert\le pQ_N\sqrt{I_H(s)}/N ∣ e H ′ ( s )∣ ≤ p Q N I H ( s ) / N . We split the average over the disorder according to G N G_N G N . On G N G_N G N , we have Q N ≤ A p Q_N\le A_p Q N ≤ A p , and Jensen’s inequality yields E J [ 1 G N p Q N I H ( s ) / N ] ≤ p A p b N ( s ) \mathbb{E}_J[1_{G_N}pQ_N\sqrt{I_H(s)}/N]\le pA_p\sqrt{b_N(s)} E J [ 1 G N p Q N I H ( s ) / N ] ≤ p A p b N ( s ) . On the complement, by the Cauchy–Schwarz inequality, E J [ 1 G N c p Q N I H ( s ) / N ] ≤ η N ( s ) \mathbb{E}_J[1_{G_N^c}pQ_N\sqrt{I_H(s)}/N]\le\sqrt{\eta_N(s)} E J [ 1 G N c p Q N I H ( s ) / N ] ≤ η N ( s ) , where
η N ( s ) = p 2 N E J [ Q N 2 I H ( s ) 1 G N c ] . \eta_N(s)=\frac{p^2}{N}\mathbb{E}_J\left[Q_N^2I_H(s)1_{G_N^c}\right]. η N ( s ) = N p 2 E J [ Q N 2 I H ( s ) 1 G N c ] .
By (5.1) and D H ( 0 ) ≤ 2 β N Q N D_H(0)\le2\beta NQ_N D H ( 0 ) ≤ 2 β N Q N , the total mass of η N \eta_N η N satisfies
∫ 0 ∞ η N ( s ) d s ≤ 2 β p 2 E J [ Q N 3 1 G N c ] ≤ 2 β p 2 ( E J Q N 6 ) 1 / 2 P ( G N c ) 1 / 2 ⟶ 0. \int_0^\infty\eta_N(s)\,\mathrm{d}s\le2\beta p^2\mathbb{E}_J\left[Q_N^3 1_{G_N^c}\right]\le2\beta p^2\left(\mathbb{E}_J Q_N^6\right)^{1/2}\mathbb{P}(G_N^c)^{1/2}\longrightarrow0. ∫ 0 ∞ η N ( s ) d s ≤ 2 β p 2 E J [ Q N 3 1 G N c ] ≤ 2 β p 2 ( E J Q N 6 ) 1/2 P ( G N c ) 1/2 ⟶ 0.
For fixed u ≤ v u\le v u ≤ v , Tonelli’s theorem and the two bounds above give
∣ e N ( v ) − e N ( u ) ∣ ≤ ∫ u v E J ∣ e H ′ ( s ) ∣ d s ≤ p A p ∫ u v b N ( s ) d s + ( ( v − u ) ∫ 0 ∞ η N ( s ) d s ) 1 / 2 . \lvert e_N(v)-e_N(u)\rvert\le\int_u^v\mathbb{E}_J\lvert e_H'(s)\rvert\,\mathrm{d}s\le pA_p\int_u^v\sqrt{b_N(s)}\,\mathrm{d}s+\left((v-u)\int_0^\infty\eta_N(s)\,\mathrm{d}s\right)^{1/2}. ∣ e N ( v ) − e N ( u )∣ ≤ ∫ u v E J ∣ e H ′ ( s )∣ d s ≤ p A p ∫ u v b N ( s ) d s + ( ( v − u ) ∫ 0 ∞ η N ( s ) d s ) 1/2 .
We let N = N j → ∞ N=N_j\to\infty N = N j → ∞ . By Proposition 4.1, e N ( v ) → e β ( v ) e_N(v)\to e_\beta(v) e N ( v ) → e β ( v ) and e N ( u ) → e β ( u ) e_N(u)\to e_\beta(u) e N ( u ) → e β ( u ) ; by Step 2 and the argument of Step 4, ∫ u v b N j → ∫ u v a F \int_u^v\sqrt{b_{N_j}}\to\int_u^v\sqrt{a_F} ∫ u v b N j → ∫ u v a F ; and the last term tends to zero. We conclude that
∣ e β ( v ) − e β ( u ) ∣ ≤ p A p ∫ u v a F ( s ) d s , 0 ≤ u ≤ v . \lvert e_\beta(v)-e_\beta(u)\rvert\le pA_p\int_u^v\sqrt{a_F(s)}\,\mathrm{d}s,\qquad0\le u\le v. ∣ e β ( v ) − e β ( u )∣ ≤ p A p ∫ u v a F ( s ) d s , 0 ≤ u ≤ v .
As in Step 4, we see that e β e_\beta e β is locally absolutely continuous and that ∣ e β ′ ( s ) ∣ ≤ p A p a F ( s ) \lvert e_\beta'(s)\rvert\le pA_p\sqrt{a_F(s)} ∣ e β ′ ( s )∣ ≤ p A p a F ( s ) at almost every s s s , which is (5.13). Here we use only the convergence of energies at fixed times, not the convergence of their derivatives.
We note two features of Theorem 5.3. First, the majorant a F a_F a F is produced by one subsequence of dimensions and need not be unique; the inequalities it satisfies concern the unique deterministic CK solution; the bounds on the defect hold at every pair of times, and the bound on the derivative of the energy holds for almost every time. Second, (89) and (88) imply that the defect ∂ 2 C ( t , s ) − R ( t , s ) \partial_2 C(t,s)-R(t,s) ∂ 2 C ( t , s ) − R ( t , s ) tends to zero uniformly in t t t as s → ∞ s \to\infty s → ∞ . This does not identify the slow fluctuation–dissipation ratio: both R R R and ∂ 2 C \partial_2 C ∂ 2 C may tend to zero while R / ∂ 2 C R/\partial_2 C R / ∂ 2 C has a nontrivial limit, and the defect may accumulate over a diverging interval of earlier times. For β > β d \beta> \beta_d β > β d , § 7.2 shows that a positive amount of defect does accumulate in this way.
The bound (89) also holds at the two ends of each row, with one-sided derivatives. We record this for later use.
Flatness in the waiting time
The bound (89) controls the earlier observation time with the terminal time fixed. To compare two correlations with the same lag at different waiting times, we also need to control the effect of the probability current on a conditional-mean observable. A bound of this kind for one-time observables appears in [54, arXiv version 2, equation (15), p. 3.
Lemma 5.5 (Semigroup gradient bound and the waiting-time derivative). For every τ ≥ 0 \tau\ge0 τ ≥ 0 and x ∈ S N x \in S_N x ∈ S N ,
∥ D S m τ ( x ) ∥ o p ≤ e β p 2 Q N τ . (95) \lVert D S m_\tau(x)\rVert_{\mathrm{op}} \le e^{\beta p^2 Q_N \tau}. \tag*{(95)} ∥ D S m τ ( x ) ∥ op ≤ e β p 2 Q N τ . (95)
Let Ψ τ ( x ) = N − 1 ⟨ x , m τ ( x ) ⟩ \Psi_\tau(x)=N^{-1}\langle x,m_\tau(x)\rangle Ψ τ ( x ) = N − 1 ⟨ x , m τ ( x )⟩ . Then
∥ ∇ S Ψ τ ( x ) ∥ ≤ N − 1 / 2 ( 1 + e β p 2 Q N τ ) , (96) \lVert\nabla_S\Psi_\tau(x)\rVert\le N^{-1/2}\left(1+e^{\beta p^2Q_N\tau}\right), \tag*{(96)} ∥ ∇ S Ψ τ ( x )∥ ≤ N − 1/2 ( 1 + e β p 2 Q N τ ) , (96)
d d w c H ( w + τ , w ) = − ∫ ρ w ⟨ v w c u r , ∇ S Ψ τ ⟩ d ω N . (97) \frac{\mathrm{d}}{\mathrm{d}w}c_H(w+\tau,w)=-\int\rho_w\langle v_w^{\mathrm{cur}},\nabla_S\Psi_\tau\rangle\,\mathrm{d}\omega_N. \tag*{(97)} d w d c H ( w + τ , w ) = − ∫ ρ w ⟨ v w cur , ∇ S Ψ τ ⟩ d ω N . (97)
The waiting-time identity holds for all w ≥ 0 w\ge0 w ≥ 0 , with a right derivative at w = 0 w=0 w = 0 . For 0 ≤ τ ≤ L 0\le\tau\le L 0 ≤ τ ≤ L and 0 ≤ w 1 ≤ w 2 0\le w_1\le w_2 0 ≤ w 1 ≤ w 2 ,
∣ C ( w 2 + τ , w 2 ) − C ( w 1 + τ , w 1 ) ∣ ≤ B L ∫ w 1 w 2 a F ( u ) d u , B L = 1 + e β p 2 A p L . (98) \left|C(w_2+\tau,w_2)-C(w_1+\tau,w_1)\right|\le B_L\int_{w_1}^{w_2}\sqrt{a_F(u)}\,\mathrm{d}u,\qquad B_L=1+e^{\beta p^2A_pL}. \tag*{(98)} ∣ C ( w 2 + τ , w 2 ) − C ( w 1 + τ , w 1 ) ∣ ≤ B L ∫ w 1 w 2 a F ( u ) d u , B L = 1 + e β p 2 A p L . (98)
Proof. We begin with the gradient bound. Let K N = β p 2 Q N K_N=\beta p^2Q_N K N = β p 2 Q N . Recall from Step 1 of the proof of Theorem 5.3 that Ric ≥ 0 \operatorname{Ric}\ge0 Ric ≥ 0 and ∥ ∇ S 2 H N ∥ o p ≤ p 2 Q N \lVert\nabla_S^2H_N\rVert_{\mathrm{op}}\le p^2Q_N ∥ ∇ S 2 H N ∥ op ≤ p 2 Q N . By the Bochner formula, we have the curvature bound Γ 2 ( f ) ≥ − K N Γ ( f ) \Gamma_2(f)\ge-K_N\Gamma(f) Γ 2 ( f ) ≥ − K N Γ ( f ) for smooth f f f . Fix τ \tau τ , x x x , and a smooth function f f f , and let Φ ( u ) = P u Γ ( P τ − u f ) ( x ) \Phi(u)=P_u\Gamma(P_{\tau-u}f)(x) Φ ( u ) = P u Γ ( P τ − u f ) ( x ) for 0 ≤ u ≤ τ 0\le u\le\tau 0 ≤ u ≤ τ . Using ∂ u Γ ( P τ − u f ) = − 2 Γ ( P τ − u f , L N P τ − u f ) \partial_u\Gamma(P_{\tau-u}f)=-2\Gamma(P_{\tau-u}f,\mathcal{L}_NP_{\tau-u}f) ∂ u Γ ( P τ − u f ) = − 2Γ ( P τ − u f , L N P τ − u f ) , we find
Φ ′ ( u ) = P u [ L N Γ ( P τ − u f ) − 2 Γ ( P τ − u f , L N P τ − u f ) ] ( x ) = 2 P u Γ 2 ( P τ − u f ) ( x ) ≥ − 2 K N Φ ( u ) , \begin{aligned}
\Phi'(u)&=P_u\left[\mathcal{L}_N\Gamma(P_{\tau-u}f)-2\Gamma(P_{\tau-u}f,\mathcal{L}_NP_{\tau-u}f)\right](x)\\
&=2P_u\Gamma_2(P_{\tau-u}f)(x)\ge-2K_N\Phi(u),
\end{aligned} Φ ′ ( u ) = P u [ L N Γ ( P τ − u f ) − 2Γ ( P τ − u f , L N P τ − u f ) ] ( x ) = 2 P u Γ 2 ( P τ − u f ) ( x ) ≥ − 2 K N Φ ( u ) ,
where we used that P u P_u P u preserves order. By Gronwall’s inequality, Φ ( τ ) ≥ e − 2 K N τ Φ ( 0 ) \Phi(\tau)\ge e^{-2K_N\tau}\Phi(0) Φ ( τ ) ≥ e − 2 K N τ Φ ( 0 ) , that is,
∥ ∇ S P τ f ∥ 2 ≤ e 2 K N τ P τ ∥ ∇ S f ∥ 2 . \lVert\nabla_SP_\tau f\rVert^2\le e^{2K_N\tau}P_\tau\lVert\nabla_Sf\rVert^2. ∥ ∇ S P τ f ∥ 2 ≤ e 2 K N τ P τ ∥ ∇ S f ∥ 2 .
This is the classical gradient bound under a lower bound on the curvature; see [10, Theorem 3.2.3, p. 144]. We apply it to f z ( x ) = ⟨ z , x ⟩ f_z(x)=\langle z,x\rangle f z ( x ) = ⟨ z , x ⟩ for a unit vector z ∈ R N z\in\mathbb{R}^N z ∈ R N . Then ∥ ∇ S f z ∥ = ∥ P x z ∥ ≤ 1 \lVert\nabla_Sf_z\rVert=\lVert P_xz\rVert\le1 ∥ ∇ S f z ∥ = ∥ P x z ∥ ≤ 1 and ∇ S P τ f z = ∇ S ⟨ z , m τ ⟩ = ( D S m τ ) ∗ z \nabla_SP_\tau f_z=\nabla_S\langle z,m_\tau\rangle=(D_Sm_\tau)^*z ∇ S P τ f z = ∇ S ⟨ z , m τ ⟩ = ( D S m τ ) ∗ z . By the gradient bound, we now have ∥ ( D S m τ ( x ) ) ∗ z ∥ ≤ e K N τ \lVert(D_Sm_\tau(x))^*z\rVert\le e^{K_N\tau} ∥( D S m τ ( x ) ) ∗ z ∥ ≤ e K N τ . Taking the supremum over unit vectors z z z proves (95) . This bound has no factor depending on the dimension; applying the scalar estimate only to the N N N coordinate functions and summing would lose such a factor.
Next, we have ∇ S Ψ τ = N − 1 [ P x m τ + ( D S m τ ) ∗ x ] \nabla_S\Psi_\tau=N^{-1}[P_xm_\tau+(D_Sm_\tau)^*x] ∇ S Ψ τ = N − 1 [ P x m τ + ( D S m τ ) ∗ x ] . As ∥ x ∥ = N \lVert x\rVert=\sqrt{N} ∥ x ∥ = N and ∥ m τ ∥ ≤ N \lVert m_\tau\rVert\le\sqrt{N} ∥ m τ ∥ ≤ N , (95) implies (96) . At fixed lag τ \tau τ , we have c H ( w + τ , w ) = ∫ ρ w Ψ τ d ω N c_H(w+\tau,w)=\int\rho_w\Psi_\tau\,\mathrm{d}\omega_N c H ( w + τ , w ) = ∫ ρ w Ψ τ d ω N by (81) . Differentiating at w > 0 w>0 w > 0 and using the first identity in (79) and an integration by parts, we obtain (97) . The current is continuous up to zero, and the exact current integral over a waiting-time interval therefore gives the same identity with the right derivative at w = 0 w=0 w = 0 .
It remains to prove (98) . Let 0 ≤ τ ≤ L 0\le\tau\le L 0 ≤ τ ≤ L . On the event G N G_N G N , we have Q N ≤ A p Q_N\le A_p Q N ≤ A p , and by (96) , (97) , and the Cauchy–Schwarz inequality,
∣ d d w c H ( w + τ , w ) ∣ ≤ B L I H ( w ) / N . \left|\frac{\mathrm{d}}{\mathrm{d}w}c_H(w+\tau,w)\right|\le B_L\sqrt{I_H(w)/N}. d w d c H ( w + τ , w ) ≤ B L I H ( w ) / N .
Averaging over G N G_N G N and using Jensen’s inequality, we obtain E J [ 1 G N I H ( w ) / N ] ≤ b N ( w ) \mathbb{E}_J[1_{G_N}\sqrt{I_H(w)/N}]\le\sqrt{b_N(w)} E J [ 1 G N I H ( w ) / N ] ≤ b N ( w ) , with b N b_N b N as in Step 1 of the proof of Theorem 5.3 . On the complement of G N G_N G N , we use only ∣ c H ∣ ≤ 1 |c_H| \le1 ∣ c H ∣ ≤ 1 at the two endpoints; no control of the gradient is needed there. Combining these bounds, we find
∣ c ˉ N ( w 2 + τ , w 2 ) − c ˉ N ( w 1 + τ , w 1 ) ∣ ≤ B L ∫ w 1 w 2 b N ( w ) d w + 2 P ( G N c ) . |\bar{c}_N(w_2+\tau,w_2)-\bar{c}_N(w_1+\tau,w_1)| \le B_L \int_{w_1}^{w_2} \sqrt{b_N(w)}\,\mathrm{d}w + 2\mathbb{P}(G_N^c). ∣ c ˉ N ( w 2 + τ , w 2 ) − c ˉ N ( w 1 + τ , w 1 ) ∣ ≤ B L ∫ w 1 w 2 b N ( w ) d w + 2 P ( G N c ) .
We now let N = N j → ∞ N=N_j\to\infty N = N j → ∞ . The correlations converge by Proposition 3.3 , ∫ w 1 w 2 b N j → ∫ w 1 w 2 a F \int_{w_1}^{w_2}\sqrt{b_{N_j}}\to\int_{w_1}^{w_2}\sqrt{a_F} ∫ w 1 w 2 b N j → ∫ w 1 w 2 a F by Steps 2 and 4 of the proof of Theorem 5.3 , and P ( G N c ) ≤ e − c p N → 0 \mathbb{P}(G_N^c)\le e^{-c p N}\to0 P ( G N c ) ≤ e − c pN → 0 . This proves (98) .
We now collect the uniform late estimates that follow from Theorem 5.3 and Lemma 5.5 . Since μ \mu μ is a finite measure, they show that, on late windows of bounded length, the integrated FDT relation holds, and the correlation at fixed lag and the energy do not depend on the waiting time, up to errors that vanish as the window moves to infinity.
Corollary 5.6 (Uniform late estimates). Fix L , Θ ≥ 0 L,\Theta\ge0 L , Θ ≥ 0 . For every $T\ge0,
sup s ≥ T , 0 ≤ τ ≤ L ∣ 1 − C ( s + τ , s ) − ∫ s s + τ R ( s + τ , u ) d u ∣ ≤ L μ ( [ T , ∞ ) ) . (99) \sup_{\substack{s\ge T,\,0\le\tau\le L}}\left|1-C(s+\tau,s)-\int_s^{s+\tau}R(s+\tau,u)\,\mathrm{d}u\right|\le\sqrt{L\mu([T,\infty))}. \tag*{(99)} s ≥ T , 0 ≤ τ ≤ L sup 1 − C ( s + τ , s ) − ∫ s s + τ R ( s + τ , u ) d u ≤ Lμ ([ T , ∞ )) . (99) and for every T ≥ Θ T\ge\Theta T ≥ Θ ,
sup s ≥ T , ∣ θ ∣ ≤ Θ , 0 ≤ τ ≤ L ∣ C ( s + θ + τ , s + θ ) − C ( s + τ , s ) ∣ ≤ B L Θ μ ( [ T − Θ , ∞ ) ) . (100) \sup_{\substack{s\ge T,\,|\theta|\le\Theta,\,0\le\tau\le L}}|C(s+\theta+\tau,s+\theta)-C(s+\tau,s)|\le B_L\sqrt{\Theta\mu([T-\Theta,\infty))}. \tag*{(100)} s ≥ T , ∣ θ ∣ ≤ Θ , 0 ≤ τ ≤ L sup ∣ C ( s + θ + τ , s + θ ) − C ( s + τ , s ) ∣ ≤ B L Θ μ ([ T − Θ , ∞ )) . (100) sup s ≥ T , ∣ θ ∣ ≤ Θ ∣ e β ( s + θ ) − e β ( s ) ∣ ≤ p A p Θ μ ( [ T − Θ , ∞ ) ) . (101) \sup_{\substack{s\ge T,\,|\theta|\le\Theta}}|e_\beta(s+\theta)-e_\beta(s)|\le pA_p\sqrt{\Theta\mu([T-\Theta,\infty))}. \tag*{(101)} s ≥ T , ∣ θ ∣ ≤ Θ sup ∣ e β ( s + θ ) − e β ( s ) ∣ ≤ p A p Θ μ ([ T − Θ , ∞ )) . (101) The three right sides tend to zero as T → ∞ T\to\infty T → ∞ with L L L and Θ \Theta Θ fixed.
Proof. For (99) , we use (90) on the row t = s + τ t=s+\tau t = s + τ between u = s u=s u = s and v = t v=t v = t , together with C ( t , t ) = 1 C(t,t)=1 C ( t , t ) = 1 . Its right side is at most τ μ ( [ s , s + τ ] ) ≤ L μ ( [ T , ∞ ) ) \sqrt{\tau\mu([s,s+\tau])}\le\sqrt{L\mu([T,\infty))} τ μ ([ s , s + τ ]) ≤ Lμ ([ T , ∞ )) by the Cauchy–Schwarz inequality. For (100) , we apply (98) with w 1 w_1 w 1 and w 2 w_2 w 2 the smaller and the larger of s s s and s + θ s+\theta s + θ . The interval [ w 1 , w 2 ] [w_1,w_2] [ w 1 , w 2 ] has length ∣ θ ∣ ≤ Θ |\theta|\le\Theta ∣ θ ∣ ≤ Θ and lies in [ T − Θ , ∞ ) [T-\Theta,\infty) [ T − Θ , ∞ ) , and the Cauchy–Schwarz inequality gives the bound as before. The proof of (101) is the same, using the increment bound ∣ e β ( v ) − e β ( u ) ∣ ≤ p A p ∫ u v a F |e_\beta(v)-e_\beta(u)|\le pA_p\int_u^v\sqrt{a_F} ∣ e β ( v ) − e β ( u ) ∣ ≤ p A p ∫ u v a F from Step 6 of the proof of Theorem 5.3 . The last assertion holds because μ ( [ T , ∞ ) ) → 0 \mu([T,\infty))\to0 μ ([ T , ∞ )) → 0 as T → ∞ T\to\infty T → ∞ .
Stationary translated clusters
Recall the translated kernels C T C_T C T , R T R_T R T , and λ T \lambda_T λ T of (77) , with correlations considered on squares of offsets and responses only on closed causal triangles { a ≥ b } \{a\ge b\} { a ≥ b } . We say that a triple ( C ∞ , R ∞ , λ ∞ ) (C_{\infty}, R_{\infty}, \lambda_{\infty}) ( C ∞ , R ∞ , λ ∞ ) is a translated cluster if there exists a sequence T n → ∞ T_n \to\infty T n → ∞ such that C T n → C ∞ C_{T_n} \to C_{\infty} C T n → C ∞ , R T n → R ∞ R_{T_n} \to R_{\infty} R T n → R ∞ , and λ T n → λ ∞ \lambda_{T_n} \to\lambda_{\infty} λ T n → λ ∞ uniformly on compact sets of offsets in their respective domains.
Proposition 5.7 (Stationary FDT translated clusters). The translated family ( C T , R T , λ T ) (C_T, R_T, \lambda_T) ( C T , R T , λ T ) is precompact for locally uniform convergence on compact offset sets. Every translated cluster has the form
C ∞ ( a , b ) = c ( ∣ a − b ∣ ) , R ∞ ( a , b ) = r ( a − b ) ( a ≥ b ) , λ ∞ ( a ) = ℓ , C_{\infty}(a,b) = c(|a-b|), \qquad R_{\infty}(a,b) = r(a-b) \quad(a \ge b), \qquad\lambda_{\infty}(a) = \ell, C ∞ ( a , b ) = c ( ∣ a − b ∣ ) , R ∞ ( a , b ) = r ( a − b ) ( a ≥ b ) , λ ∞ ( a ) = ℓ , where ℓ \ell ℓ is a constant and
c ( 0 ) = 1 , r ( 0 ) = 1 , c ′ = − r , 0 ≤ c ≤ 1 , r ≥ 0. (102) c(0) = 1, \qquad r(0) = 1, \qquad c' = -r, \qquad0 \le c \le1, \qquad r \ge0. \tag*{(102)} c ( 0 ) = 1 , r ( 0 ) = 1 , c ′ = − r , 0 ≤ c ≤ 1 , r ≥ 0. (102) In particular, c c c is nonincreasing, its limit q = lim τ → ∞ c ( τ ) q = \lim_{\tau\to\infty} c(\tau) q = lim τ → ∞ c ( τ ) belongs to [ 0 , 1 ) [0,1) [ 0 , 1 ) , and
∫ 0 ∞ r ( u ) d u = 1 − q . \int_{0}^{\infty} r(u)\,\mathrm{d}u = 1-q. ∫ 0 ∞ r ( u ) d u = 1 − q . Along the same sequence T n T_n T n , the energy translates e β ( T n + a ) e_{\beta}(T_n+a) e β ( T n + a ) converge locally uniformly to a constant e ∞ e_{\infty} e ∞ , and ℓ = 1 + p β e ∞ \ell= 1 + p\beta e_{\infty} ℓ = 1 + pβ e ∞ . Moreover, r r r is continuously differentiable on [ 0 , ∞ ) [0,\infty) [ 0 , ∞ ) and satisfies the closed stationary response equation
r ′ ( τ ) = − ℓ r ( τ ) + β 2 p ( p − 1 ) ∫ 0 τ c ( τ − u ) p − 2 r ( τ − u ) r ( u ) d u . (103) r'(\tau) = -\ell r(\tau) + \beta^{2}p(p-1)\int_{0}^{\tau} c(\tau-u)^{p-2}r(\tau-u)r(u)\,\mathrm{d}u. \tag*{(103)} r ′ ( τ ) = − ℓ r ( τ ) + β 2 p ( p − 1 ) ∫ 0 τ c ( τ − u ) p − 2 r ( τ − u ) r ( u ) d u . (103) We call the triple ( c , r , ℓ ) (c,r,\ell) ( c , r , ℓ ) of Proposition 5.7 a stationary cluster , and q q q its plateau . Different sequences T n T_n T n may a priori lead to different stationary clusters.
Proof. The proof has four steps. We first recall compactness. We then show that the correlation of every translated cluster is stationary, and that its response is stationary and satisfies FDT. Finally, we identify the multiplier and pass to the limit in the response equation. The order of limits is the same throughout: we have already taken the dimension limit in Theorem 5.3 , the window of offsets is fixed, and only T n → ∞ T_n \to\infty T n → ∞ varies.
Step 1: compactness. The precompactness of the translated family is proved in Proposition 4.6. The bounds 0 ≤ C T ≤ 1 0 \le C_T \le1 0 ≤ C T ≤ 1 and R T ≥ 0 R_T \ge0 R T ≥ 0 , the symmetry of C T C_T C T , and the diagonal values C T ( a , a ) = R T ( a , a ) = 1 C_T(a,a) = R_T(a,a) = 1 C T ( a , a ) = R T ( a , a ) = 1 pass to every translated cluster.
Step 2: stationarity of the correlation. Fix a sequence T n → ∞ T_n \to\infty T n → ∞ along which the translated family converges to a translated cluster ( C ∞ , R ∞ , λ ∞ ) (C_{\infty},R_{\infty},\lambda_{\infty}) ( C ∞ , R ∞ , λ ∞ ) . Let a ≥ b a \ge b a ≥ b and θ \theta θ be fixed offsets. We have
C T n ( a + θ , b + θ ) − C T n ( a , b ) = C ( s n + θ + τ , s n + θ ) − C ( s n + τ , s n ) , C_{T_n}(a+\theta,b+\theta)-C_{T_n}(a,b)=C(s_n+\theta+\tau,s_n+\theta)-C(s_n+\tau,s_n), C T n ( a + θ , b + θ ) − C T n ( a , b ) = C ( s n + θ + τ , s n + θ ) − C ( s n + τ , s n ) ,
where s n = T n + b s_n = T_n+b s n = T n + b and τ = a − b \tau= a-b τ = a − b . Once s n ≥ ∣ θ ∣ s_n \ge|\theta| s n ≥ ∣ θ ∣ , we may apply (100) with L = τ L=\tau L = τ , Θ = ∣ θ ∣ \Theta=|\theta| Θ = ∣ θ ∣ , and T = s n T=s_n T = s n , and its right side tends to zero because s n → ∞ s_n \to\infty s n → ∞ . We conclude that C ∞ ( a + θ , b + θ ) = C ∞ ( a , b ) C_{\infty}(a+\theta,b+\theta)=C_{\infty}(a,b) C ∞ ( a + θ , b + θ ) = C ∞ ( a , b ) . Let c ( τ ) = C ∞ ( τ , 0 ) c(\tau)=C_{\infty}(\tau,0) c ( τ ) = C ∞ ( τ , 0 ) for τ ≥ 0 \tau\ge0 τ ≥ 0 . Taking θ = − b \theta=-b θ = − b , we have C ∞ ( a , b ) = c ( a − b ) C_{\infty}(a,b)=c(a-b) C ∞ ( a , b ) = c ( a − b ) for a ≥ b a \ge b a ≥ b , and by symmetry C ∞ ( a , b ) = c ( ∣ a − b ∣ ) C_{\infty}(a,b)=c(|a-b|) C ∞ ( a , b ) = c ( ∣ a − b ∣ ) . The function c c c is continuous, 0 ≤ c ≤ 1 0 \le c \le1 0 ≤ c ≤ 1 , and c ( 0 ) = 1 c(0)=1 c ( 0 ) = 1 .
Step 3: the response and FDT. Let a ≥ b a \ge b a ≥ b . By (99) with s = T n + b s = T_n + b s = T n + b , τ = a − b \tau= a - b τ = a − b , and L = a − b L = a - b L = a − b , we have
∣ 1 − C T n ( a , b ) − ∫ b a R T n ( a , u ) d u ∣ ≤ ( a − b ) μ ( [ T n + b , ∞ ) ) ⟶ 0. \left|1-C_{T_n}(a,b)-\int_b^a R_{T_n}(a,u)\,\mathrm{d}u\right| \le\sqrt{(a-b)\,\mu([T_n+b,\infty))} \longrightarrow0. 1 − C T n ( a , b ) − ∫ b a R T n ( a , u ) d u ≤ ( a − b ) μ ([ T n + b , ∞ )) ⟶ 0.
Since the response converges uniformly on the causal triangle containing the segment { ( a , u ) : b ≤ u ≤ a } \{(a,u): b \le u \le a\} {( a , u ) : b ≤ u ≤ a } , we may pass to the limit inside the integral. This gives
∫ b a R ∞ ( a , u ) d u = 1 − c ( a − b ) . \int_b^a R_\infty(a,u)\,\mathrm{d}u=1-c(a-b). ∫ b a R ∞ ( a , u ) d u = 1 − c ( a − b ) .
For a = 0 a=0 a = 0 and b = − τ b=-\tau b = − τ , this reads 1 − c ( τ ) = ∫ − τ 0 R ∞ ( 0 , u ) d u 1-c(\tau)=\int_{-\tau}^0 R_\infty(0,u)\,\mathrm{d}u 1 − c ( τ ) = ∫ − τ 0 R ∞ ( 0 , u ) d u . As R ∞ ( 0 , ⋅ ) R_\infty(0,\cdot) R ∞ ( 0 , ⋅ ) is continuous on ( − ∞ , 0 ] (-\infty,0] ( − ∞ , 0 ] , the function c c c is continuously differentiable on [ 0 , ∞ ) [0,\infty) [ 0 , ∞ ) , with c ′ ( τ ) = − R ∞ ( 0 , − τ ) c'(\tau)=-R_\infty(0,-\tau) c ′ ( τ ) = − R ∞ ( 0 , − τ ) and a one-sided derivative at τ = 0 \tau=0 τ = 0 . Differentiating the general identity in b b b with a a a fixed, we have R ∞ ( a , b ) = − c ′ ( a − b ) R_\infty(a,b)=-c'(a-b) R ∞ ( a , b ) = − c ′ ( a − b ) for a ≥ b a\ge b a ≥ b . We set r = − c ′ r=-c' r = − c ′ . Then r r r is continuous and nonnegative, r ( 0 ) = R ∞ ( 0 , 0 ) = 1 r(0)=R_\infty(0,0)=1 r ( 0 ) = R ∞ ( 0 , 0 ) = 1 , and R ∞ ( a , b ) = r ( a − b ) R_\infty(a,b)=r(a-b) R ∞ ( a , b ) = r ( a − b ) . This proves that the response is stationary and satisfies FDT; neither property was assumed.
As r ≥ 0 r\ge0 r ≥ 0 and c ≥ 0 c\ge0 c ≥ 0 , the function c c c is nonincreasing and bounded below, and the limit q q q exists. As r r r is continuous with r ( 0 ) = 1 r(0)=1 r ( 0 ) = 1 , there exists δ > 0 \delta>0 δ > 0 such that r ≥ 1 / 2 r\ge1/2 r ≥ 1/2 on [ 0 , δ ] [0,\delta] [ 0 , δ ] . Then q ≤ c ( δ ) ≤ 1 − δ / 2 < 1 q\le c(\delta)\le1-\delta/2<1 q ≤ c ( δ ) ≤ 1 − δ /2 < 1 . Integrating c ′ = − r c'=-r c ′ = − r gives ∫ 0 ∞ r ( u ) d u = lim τ → ∞ ( 1 − c ( τ ) ) = 1 − q \int_0^\infty r(u)\,\mathrm{d}u=\lim_{\tau\to\infty}(1-c(\tau))=1-q ∫ 0 ∞ r ( u ) d u = lim τ → ∞ ( 1 − c ( τ )) = 1 − q .
Step 4: the multiplier and the response equation. By (56) , we have e β ( t ) = ( λ ( t ) − 1 ) / ( p β ) e_\beta(t)=(\lambda(t)-1)/(p\beta) e β ( t ) = ( λ ( t ) − 1 ) / ( pβ ) at every time t t t . Then e β ( T n + a ) → ( λ ∞ ( a ) − 1 ) / ( p β ) e_\beta(T_n+a)\to(\lambda_\infty(a)-1)/(p\beta) e β ( T n + a ) → ( λ ∞ ( a ) − 1 ) / ( pβ ) locally uniformly in a a a . For fixed offsets a a a and a ′ a' a ′ , (101) with s = T n + a ′ s=T_n+a' s = T n + a ′ , θ = a − a ′ \theta=a-a' θ = a − a ′ , and Θ = ∣ a − a ′ ∣ \Theta=|a-a'| Θ = ∣ a − a ′ ∣ implies that e β ( T n + a ) − e β ( T n + a ′ ) → 0 e_\beta(T_n+a)-e_\beta(T_n+a')\to0 e β ( T n + a ) − e β ( T n + a ′ ) → 0 . The limit of the energy translates is therefore a constant e ∞ e_\infty e ∞ , and λ ∞ \lambda_\infty λ ∞ is the constant ℓ = 1 + p β e ∞ \ell=1+p\beta e_\infty ℓ = 1 + pβ e ∞ .
Finally, we pass to the limit in the response equation. Fix τ ≥ 0 \tau\ge0 τ ≥ 0 and let s = T n s=T_n s = T n . Integrating (36) in its first variable from s s s to s + τ s+\tau s + τ , using R ( s , s ) = 1 R(s,s)=1 R ( s , s ) = 1 , and substituting u = s + u ′ u=s+u' u = s + u ′ in the memory integral, we obtain
R ( s + τ , s ) − 1 = ∫ 0 τ [ − λ ( s + v ) R ( s + v , s ) + β 2 p ( p − 1 ) ∫ 0 v C ( s + v , s + u ′ ) p − 2 R ( s + v , s + u ′ ) R ( s + u ′ , s ) d u ′ ] d v . R(s+\tau,s)-1=\int_0^\tau\left[-\lambda(s+v)R(s+v,s)+\beta^2p(p-1)\int_0^v C(s+v,s+u')^{p-2}R(s+v,s+u')R(s+u',s)\,\mathrm{d}u'\right]\mathrm{d}v. R ( s + τ , s ) − 1 = ∫ 0 τ [ − λ ( s + v ) R ( s + v , s ) + β 2 p ( p − 1 ) ∫ 0 v C ( s + v , s + u ′ ) p − 2 R ( s + v , s + u ′ ) R ( s + u ′ , s ) d u ′ ] d v .
Here we used ξ ′ ′ ( x ) = p ( p − 1 ) x p − 2 \xi''(x)=p(p-1)x^{p-2} ξ ′′ ( x ) = p ( p − 1 ) x p − 2 . All arguments of C C C , R R R , and λ \lambda λ are translated times with offsets in [ 0 , τ ] [0,\tau] [ 0 , τ ] , in a fixed causal triangle. The memory integral of (36) runs only over times between the two observation times, and no other part of the history enters. By the locally uniform convergence along T n T_n T n , together with C ∞ ( a , b ) = c ( ∣ a − b ∣ ) C_\infty(a,b)=c(|a-b|) C ∞ ( a , b ) = c ( ∣ a − b ∣ ) , R ∞ ( a , b ) = r ( a − b ) R_\infty(a,b)=r(a-b) R ∞ ( a , b ) = r ( a − b ) , and λ ∞ = ℓ \lambda_\infty=\ell λ ∞ = ℓ , we find
r ( τ ) = 1 + ∫ 0 τ [ − ℓ r ( v ) + β 2 p ( p − 1 ) ∫ 0 v c ( v − u ) p − 2 r ( v − u ) r ( u ) d u ] d v . r(\tau)=1+\int_0^\tau\left[-\ell r(v)+\beta^2p(p-1)\int_0^v c(v-u)^{p-2}r(v-u)r(u)\,\mathrm{d}u\right]\mathrm{d}v. r ( τ ) = 1 + ∫ 0 τ [ − ℓ r ( v ) + β 2 p ( p − 1 ) ∫ 0 v c ( v − u ) p − 2 r ( v − u ) r ( u ) d u ] d v .
The integrand is continuous in v v v , which implies that r r r is continuously differentiable on [ 0 , ∞ ) [0,\infty) [ 0 , ∞ ) and satisfies (103) , with r ′ ( 0 ) = − ℓ r'(0)=-\ell r ′ ( 0 ) = − ℓ . This completes the proof.
Proposition 5.7 describes every translated cluster, but it does not determine the plateau q q q or the multiplier ℓ \ell ℓ , it does not show that the whole translated family converges, and it says nothing about the correlation with a fixed early state. We answer these questions in Section 8, using the scalar equation of § 6 and the causal covariance representation of Section 7.
Plateau selection, forgetting, and correlation aging
The scalar equation of a stationary cluster
The CK response equation (3.9) is causal, in the sense that its memory integral runs only over times between the earlier and the later observation time. When both times are translated to late times and their lag stays bounded, the equation involves only the translated kernels on a bounded window, and it passes to every translated cluster. This is how we obtained the closed equation (5.25) in Proposition 5.7. The correlation equation (3.10) is different. Its memory integrals run over the whole past, and the stationary limit does not control their older part. In this section, we extract from the closed response equation the information that it carries about a stationary cluster ( c , r , ℓ ) (c,r,\ell) ( c , r , ℓ ) .
The main result, Proposition 6.1, is a scalar memory equation for c c c . It determines the multiplier ℓ \ell ℓ in terms of the plateau q q q , and it gives a strict sign condition on the interval ( q , 1 ) (q,1) ( q , 1 ) , which implies the inequality β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 ≤ 1 \beta^{2}p(p-1)q^{p-2}(1-q)^{2} \le1 β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 ≤ 1 . We also show that the response equation with a prescribed multiplier has at most one solution (Lemma 6.2). We use only Proposition 5.7. In Section 8, the multiplier formula and the sign condition enter the proofs of marginality (Lemma 8.3) and of the selection of the plateau (Theorem 8.5), and the uniqueness lemma identifies the stationary profile in Proposition 8.4. The scalar equation (6.1) is also the starting point of Section 16.
The scalar memory equation (6.1) is the equation classified by Dembo, Guionnet, and Mazza [60, arXiv version 1, Proposition 1.4, p. 5, and Section 5, pp. 17–20]. For b > 0 b > 0 b > 0 and a nondecreasing function ϕ : [ 0 , 1 ] → R \phi\colon[0,1] \to\mathbb{R} ϕ : [ 0 , 1 ] → R with Lipschitz continuous derivative and sup 0 ≤ y ≤ 1 ϕ ( y ) ( 1 − y ) ≥ b \sup_{0 \le y \le1}\phi(y)(1-y) \ge b sup 0 ≤ y ≤ 1 ϕ ( y ) ( 1 − y ) ≥ b , they characterized the plateau of its solution through the largest admissible root and proved the corresponding stability inequality. The sign condition (6.3) and the inequality (6.4) already follow from their scalar classification; here we obtain them by a direct comparison of the memory term. These hypotheses hold for the polynomial ϕ \phi ϕ of (6.1), with b = 1 b=1 b = 1 by (6.2), but we do not use their result. We derive the equation and its consequences directly from Proposition 5.7, for two reasons. Our response is normalized differently, and Section 8 needs the constants and the strict inequality in the form given here. We also note that their reduction of the CK solution to the scalar equation at all temperatures [60, arXiv version 1, Proposition 6.1, pp. 21–22] assumes the asymptotic conditions (6.5) and (6.6) of that paper. Here, Proposition 5.7 applies to every stationary cluster without such assumptions.
Throughout this section, p ≥ 3 p \ge3 p ≥ 3 and β > 0 \beta> 0 β > 0 are fixed. Derivatives of stationary profiles at t = 0 t=0 t = 0 are right derivatives on [ 0 , ∞ ) [0,\infty) [ 0 , ∞ ) .
The scalar equation of a stationary cluster
Proposition 6.1 (Scalar constraints). Let ( c , r , ℓ ) (c,r,\ell) ( c , r , ℓ ) be a stationary cluster with plateau q q q , as in Proposition 5.7 , and let B = β 2 p B=\beta^2p B = β 2 p and γ = ℓ − B \gamma=\ell-B γ = ℓ − B . Then r = − c ′ r=-c' r = − c ′ is strictly positive on [ 0 , ∞ ) [0,\infty) [ 0 , ∞ ) , and
c ′ ( t ) = − 1 + ∫ 0 t ϕ ( c ( t − u ) ) r ( u ) d u , ϕ ( y ) = γ + B y p − 1 . (104) c'(t)=-1+\int_0^t\phi(c(t-u))r(u)\,\mathrm{d}u,\qquad\phi(y)=\gamma+By^{p-1}. \tag*{(104)} c ′ ( t ) = − 1 + ∫ 0 t ϕ ( c ( t − u )) r ( u ) d u , ϕ ( y ) = γ + B y p − 1 . (104) The plateau q = lim t → ∞ c ( t ) q=\lim_{t\to\infty}c(t) q = lim t → ∞ c ( t ) belongs to [ 0 , 1 ) [0,1) [ 0 , 1 ) and satisfies
ϕ ( q ) ( 1 − q ) = 1 , ℓ = L ( q ) , where L ( q ) = 1 1 − q + β 2 p ( 1 − q p − 1 ) . (105) \phi(q)(1-q)=1,\qquad\ell=L(q),\qquad\text{where }L(q)=\frac{1}{1-q}+\beta^2p(1-q^{p-1}). \tag*{(105)} ϕ ( q ) ( 1 − q ) = 1 , ℓ = L ( q ) , where L ( q ) = 1 − q 1 + β 2 p ( 1 − q p − 1 ) . (105) Moreover, if F ( y ) = ϕ ( y ) ( 1 − y ) − 1 F(y)=\phi(y)(1-y)-1 F ( y ) = ϕ ( y ) ( 1 − y ) − 1 , then
F ( q ) = 0 , F ( y ) < 0 ( q < y < 1 ) . (106) F(q)=0,\qquad F(y)<0\quad(q<y<1). \tag*{(106)} F ( q ) = 0 , F ( y ) < 0 ( q < y < 1 ) . (106) In particular,
β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 ≤ 1. (107) \beta^2p(p-1)q^{p-2}(1-q)^2\leq1. \tag*{(107)} β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 ≤ 1. (107)
Proof. We first show that r r r is positive and integrate the response equation once, which gives (104) . We then let t → ∞ t\to\infty t → ∞ in (104) to identify the multiplier. Finally, we compare the memory integral in (104) with its value at the current correlation, which yields the sign condition.
Step 1: positivity and the scalar equation. With β 2 p ( p − 1 ) = B ( p − 1 ) \beta^2p(p-1)=B(p-1) β 2 p ( p − 1 ) = B ( p − 1 ) , the stationary response equation (103) reads
r ′ ( t ) = − ℓ r ( t ) + B ( p − 1 ) ∫ 0 t c ( t − u ) p − 2 r ( t − u ) r ( u ) d u . r'(t)=-\ell r(t)+B(p-1)\int_0^t c(t-u)^{p-2}r(t-u)r(u)\,\mathrm{d}u. r ′ ( t ) = − ℓ r ( t ) + B ( p − 1 ) ∫ 0 t c ( t − u ) p − 2 r ( t − u ) r ( u ) d u .
By variation of constants and r ( 0 ) = 1 r(0)=1 r ( 0 ) = 1 , we have
r ( t ) = e − ℓ t + B ( p − 1 ) ∫ 0 t e − ℓ ( t − v ) ∫ 0 v c ( v − u ) p − 2 r ( v − u ) r ( u ) d u d v . r(t)=e^{-\ell t}+B(p-1)\int_0^t e^{-\ell(t-v)}\int_0^v c(v-u)^{p-2}r(v-u)r(u)\,\mathrm{d}u\,\mathrm{d}v. r ( t ) = e − ℓ t + B ( p − 1 ) ∫ 0 t e − ℓ ( t − v ) ∫ 0 v c ( v − u ) p − 2 r ( v − u ) r ( u ) d u d v .
Every factor in the double integral is nonnegative, because c ≥ 0 c\geq0 c ≥ 0 and r ≥ 0 r\geq0 r ≥ 0 . This implies that r ( t ) ≥ e − ℓ t > 0 r(t)\geq e^{-\ell t}>0 r ( t ) ≥ e − ℓ t > 0 . Then c c c is strictly decreasing, and c ( t ) > q c(t)>q c ( t ) > q for every $t\geq 0.
Next, we integrate the response equation from 0 0 0 to t t t . Using r ( 0 ) = 1 r(0)=1 r ( 0 ) = 1 and ∫ 0 t r ( u ) d u = 1 − c ( t ) \int_0^t r(u)\,\mathrm{d}u=1-c(t) ∫ 0 t r ( u ) d u = 1 − c ( t ) , we have
r ( t ) − 1 = − ℓ ( 1 − c ( t ) ) + B ( p − 1 ) ∫ 0 t ∫ 0 v c ( v − u ) p − 2 r ( v − u ) r ( u ) d u d v . r(t)-1=-\ell(1-c(t))+B(p-1)\int_0^t\int_0^v c(v-u)^{p-2}r(v-u)r(u)\,\mathrm{d}u\,\mathrm{d}v. r ( t ) − 1 = − ℓ ( 1 − c ( t )) + B ( p − 1 ) ∫ 0 t ∫ 0 v c ( v − u ) p − 2 r ( v − u ) r ( u ) d u d v .
The double integral is over the bounded triangle { 0 ≤ u ≤ v ≤ t } \{0\leq u\leq v\leq t\} { 0 ≤ u ≤ v ≤ t } , where the integrand is continuous; Fubini’s theorem applies there without any assumption on the behavior of c c c and r r r at infinity. Exchanging the order of integration and substituting w = v − u w=v-u w = v − u , we find
( p − 1 ) ∫ 0 t ∫ 0 v c ( v − u ) p − 2 r ( v − u ) r ( u ) d u d v = ∫ 0 t r ( u ) [ ( p − 1 ) ∫ 0 t − u c ( w ) p − 2 r ( w ) d w ] d u . \begin{aligned}
&(p-1)\int_0^t\int_0^v c(v-u)^{p-2}r(v-u)r(u)\,\mathrm{d}u\,\mathrm{d}v\\
&=\int_0^t r(u)\left[(p-1)\int_0^{t-u}c(w)^{p-2}r(w)\,\mathrm{d}w\right]\mathrm{d}u.
\end{aligned} ( p − 1 ) ∫ 0 t ∫ 0 v c ( v − u ) p − 2 r ( v − u ) r ( u ) d u d v = ∫ 0 t r ( u ) [ ( p − 1 ) ∫ 0 t − u c ( w ) p − 2 r ( w ) d w ] d u .
As c ′ = − r c'=-r c ′ = − r and c ( 0 ) = 1 c(0)=1 c ( 0 ) = 1 , the derivative of c ( w ) p − 1 c(w)^{p-1} c ( w ) p − 1 is − ( p − 1 ) c ( w ) p − 2 r ( w ) -(p-1)c(w)^{p-2}r(w) − ( p − 1 ) c ( w ) p − 2 r ( w ) , and the bracket equals 1 − c ( t − u ) p − 1 1-c(t-u)^{p-1} 1 − c ( t − u ) p − 1 . Inserting this into the previous identity, we obtain
r ( t ) = 1 − ( ℓ − B ) ( 1 − c ( t ) ) − B ∫ 0 t c ( t − u ) p − 1 r ( u ) d u . r(t)=1-(\ell-B)(1-c(t))-B\int_{0}^{t}c(t-u)^{p-1}r(u)\,\mathrm{d}u. r ( t ) = 1 − ( ℓ − B ) ( 1 − c ( t )) − B ∫ 0 t c ( t − u ) p − 1 r ( u ) d u .
Finally, we substitute r ( t ) = − c ′ ( t ) r(t)=-c'(t) r ( t ) = − c ′ ( t ) on the left and 1 − c ( t ) = ∫ 0 t r ( u ) d u 1-c(t)=\int_{0}^{t}r(u)\,\mathrm{d}u 1 − c ( t ) = ∫ 0 t r ( u ) d u on the right. Recalling that γ = ℓ − B \gamma=\ell-B γ = ℓ − B , we arrive at
c ′ ( t ) = − 1 + ∫ 0 t ( γ + B c ( t − u ) p − 1 ) r ( u ) d u , c'(t)=-1+\int_{0}^{t}\left(\gamma+Bc(t-u)^{p-1}\right)r(u)\,\mathrm{d}u, c ′ ( t ) = − 1 + ∫ 0 t ( γ + B c ( t − u ) p − 1 ) r ( u ) d u ,
which is (6.1).
Step 2: the multiplier. By Proposition 5.7, the limit q q q exists, q < 1 q<1 q < 1 , and ∫ 0 ∞ r ( u ) d u = 1 − q \int_{0}^{\infty}r(u)\,\mathrm{d}u=1-q ∫ 0 ∞ r ( u ) d u = 1 − q . We claim that the integral in (6.1) converges to ϕ ( q ) ( 1 − q ) \phi(q)(1-q) ϕ ( q ) ( 1 − q ) as t → ∞ t\to\infty t → ∞ . Let M ϕ = sup [ 0 , 1 ] ∣ ϕ ∣ M_{\phi}=\sup_{[0,1]}|\phi| M ϕ = sup [ 0 , 1 ] ∣ ϕ ∣ , and fix U > 0 U>0 U > 0 . For t > U t>U t > U , we split the integral at U U U and find
∣ ∫ 0 t ϕ ( c ( t − u ) ) r ( u ) d u − ϕ ( q ) ( 1 − q ) ∣ ≤ sup 0 ≤ u ≤ U ∣ ϕ ( c ( t − u ) ) − ϕ ( q ) ∣ ∫ 0 U r ( u ) d u + 2 M ϕ ∫ U ∞ r ( u ) d u . \left|\int_{0}^{t}\phi(c(t-u))r(u)\,\mathrm{d}u-\phi(q)(1-q)\right|
\leq\sup_{0\leq u\leq U}|\phi(c(t-u))-\phi(q)|\int_{0}^{U}r(u)\,\mathrm{d}u+2M_{\phi}\int_{U}^{\infty}r(u)\,\mathrm{d}u. ∫ 0 t ϕ ( c ( t − u )) r ( u ) d u − ϕ ( q ) ( 1 − q ) ≤ 0 ≤ u ≤ U sup ∣ ϕ ( c ( t − u )) − ϕ ( q ) ∣ ∫ 0 U r ( u ) d u + 2 M ϕ ∫ U ∞ r ( u ) d u .
Here we used 0 ≤ c ≤ 1 0\leq c\leq1 0 ≤ c ≤ 1 and ∫ 0 ∞ r = 1 − q \int_{0}^{\infty}r=1-q ∫ 0 ∞ r = 1 − q . For 0 ≤ u ≤ U 0\leq u\leq U 0 ≤ u ≤ U , we have q ≤ c ( t − u ) ≤ c ( t − U ) q\leq c(t-u)\leq c(t-U) q ≤ c ( t − u ) ≤ c ( t − U ) . Then c ( t − u ) → q c(t-u)\to q c ( t − u ) → q uniformly in u ∈ [ 0 , U ] u\in[0,U] u ∈ [ 0 , U ] as t → ∞ t\to\infty t → ∞ , and the first term tends to zero because ϕ \phi ϕ is continuous. Letting t → ∞ t\to\infty t → ∞ and then U → ∞ U\to\infty U → ∞ , we obtain the claim, since r r r is integrable. By (6.1), we have c ′ ( t ) → ϕ ( q ) ( 1 − q ) − 1 c'(t)\to\phi(q)(1-q)-1 c ′ ( t ) → ϕ ( q ) ( 1 − q ) − 1 . If this limit were nonzero, the bounded function c c c would grow or decrease linearly at infinity, which is impossible. We conclude that ϕ ( q ) ( 1 − q ) = 1 \phi(q)(1-q)=1 ϕ ( q ) ( 1 − q ) = 1 . Since ϕ ( q ) = ℓ − B + B q p − 1 \phi(q)=\ell-B+Bq^{p-1} ϕ ( q ) = ℓ − B + B q p − 1 , this identity is equivalent to ℓ = L ( q ) \ell=L(q) ℓ = L ( q ) , which proves (6.2).
Step 3: the sign condition. The function ϕ \phi ϕ is nondecreasing on [ 0 , 1 ] [0,1] [ 0 , 1 ] , because B > 0 B>0 B > 0 . As c c c is nonincreasing, we have c ( t − u ) ≥ c ( t ) c(t-u)\geq c(t) c ( t − u ) ≥ c ( t ) for 0 ≤ u ≤ t 0\leq u\leq t 0 ≤ u ≤ t . Using this and r ≥ 0 r\geq0 r ≥ 0 in (6.1), we find
c ′ ( t ) ≥ − 1 + ϕ ( c ( t ) ) ∫ 0 t r ( u ) d u = − 1 + ϕ ( c ( t ) ) ( 1 − c ( t ) ) = F ( c ( t ) ) . c'(t)\geq-1+\phi(c(t))\int_{0}^{t}r(u)\,\mathrm{d}u=-1+\phi(c(t))(1-c(t))=F(c(t)). c ′ ( t ) ≥ − 1 + ϕ ( c ( t )) ∫ 0 t r ( u ) d u = − 1 + ϕ ( c ( t )) ( 1 − c ( t )) = F ( c ( t )) .
By Step 1, c c c decreases continuously and strictly from c ( 0 ) = 1 c(0)=1 c ( 0 ) = 1 to its limit q q q . Every y ∈ ( q , 1 ) y\in(q,1) y ∈ ( q , 1 ) is then equal to c ( t y ) c(t_y) c ( t y ) for some t y ∈ ( 0 , ∞ ) t_y\in(0,\infty) t y ∈ ( 0 , ∞ ) , and
F ( y ) ≤ c ′ ( t y ) = − r ( t y ) < 0. F(y)\leq c'(t_y)=-r(t_y)<0. F ( y ) ≤ c ′ ( t y ) = − r ( t y ) < 0.
Together with F ( q ) = ϕ ( q ) ( 1 − q ) − 1 = 0 F(q)=\phi(q)(1-q)-1=0 F ( q ) = ϕ ( q ) ( 1 − q ) − 1 = 0 , which is (6.2), this proves (6.3).
Since the polynomial F F F vanishes at q q q and is negative on ( q , 1 ) (q,1) ( q , 1 ) , we have F ′ ( q ) ≤ 0 F'(q) \le0 F ′ ( q ) ≤ 0 . Using ϕ ( q ) = 1 / ( 1 − q ) \phi(q) = 1/(1-q) ϕ ( q ) = 1/ ( 1 − q ) , we compute
F ′ ( q ) = B ( p − 1 ) q p − 2 ( 1 − q ) − ϕ ( q ) = β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 − 1 1 − q . F'(q) = B(p-1)q^{p-2}(1-q)-\phi(q)=\frac{\beta^{2}p(p-1)q^{p-2}(1-q)^2-1}{1-q}. F ′ ( q ) = B ( p − 1 ) q p − 2 ( 1 − q ) − ϕ ( q ) = 1 − q β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 − 1 .
As 1 − q > 0 1-q>0 1 − q > 0 , the inequality F ′ ( q ) ≤ 0 F'(q) \le0 F ′ ( q ) ≤ 0 is (6.4).
Proposition 6.1 gives constraints that every stationary cluster satisfies; it does not determine the plateau. If q = 0 q=0 q = 0 , then (6.2) gives ℓ = L ( 0 ) = 1 + β 2 p \ell=L(0)=1+\beta^2p ℓ = L ( 0 ) = 1 + β 2 p , and (6.4) carries no information. If q > 0 q>0 q > 0 , the multiplier is determined by q q q , and (6.4) is a one-sided version of the marginality relation β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 \beta^2p(p-1)q^{p-2}(1-q)^2=1 β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 of Theorem 1.1. To select q q q , Section 8 combines these constraints with the upper bound on the energy of prefix centers from Proposition 8.1.
We now turn to uniqueness. We write f ∗ g f*g f ∗ g for the convolution on [ 0 , ∞ ) [0,\infty) [ 0 , ∞ ) , given by ( f ∗ g ) ( τ ) = ∫ 0 τ f ( τ − u ) g ( u ) d u (f*g)(\tau)=\int_0^\tau f(\tau-u)g(u)\,\mathrm{d}u ( f ∗ g ) ( τ ) = ∫ 0 τ f ( τ − u ) g ( u ) d u . A solution of the system in the next lemma is understood in integrated form: a pair ( c , r ) (c,r) ( c , r ) of locally bounded Borel measurable functions on [ 0 , ∞ ) [0,\infty) [ 0 , ∞ ) such that, for every t ≥ 0 t\ge0 t ≥ 0 ,
c ( t ) = 1 − ∫ 0 t r ( u ) d u , r ( t ) = 1 + ∫ 0 t [ − ℓ r ( v ) + β 2 p ( p − 1 ) ( ( c p − 2 r ) ∗ r ) ( v ) ] d v . c(t)=1-\int_0^t r(u)\,\mathrm{d}u,\qquad r(t)=1+\int_0^t\left[-\ell r(v)+\beta^2p(p-1)\left((c^{p-2}r)*r\right)(v)\right]\,\mathrm{d}v. c ( t ) = 1 − ∫ 0 t r ( u ) d u , r ( t ) = 1 + ∫ 0 t [ − ℓ r ( v ) + β 2 p ( p − 1 ) ( ( c p − 2 r ) ∗ r ) ( v ) ] d v .
The integrated equations are pointwise identities, not merely identities almost everywhere. As the integrands on their right sides are locally integrable, both functions are continuous. Every pair of continuously differentiable functions satisfying the system, with right derivatives at zero, is a solution in this sense; by Proposition 5.7, this applies to every stationary cluster with multiplier ℓ \ell ℓ .
Lemma 6.2 (Uniqueness with prescribed multiplier). For a fixed finite ℓ \ell ℓ , the system
c ′ = − r , r ′ = − ℓ r + β 2 p ( p − 1 ) ( c p − 2 r ) ∗ r , c ( 0 ) = r ( 0 ) = 1 , c'=-r,\qquad r'=-\ell r+\beta^2p(p-1)(c^{p-2}r)*r,\qquad c(0)=r(0)=1, c ′ = − r , r ′ = − ℓ r + β 2 p ( p − 1 ) ( c p − 2 r ) ∗ r , c ( 0 ) = r ( 0 ) = 1 , has at most one solution in this locally bounded integrated sense on [ 0 , ∞ ) [0,\infty) [ 0 , ∞ ) .
Proof. Let ( c 1 , r 1 ) (c_1,r_1) ( c 1 , r 1 ) and ( c 2 , r 2 ) (c_2,r_2) ( c 2 , r 2 ) be two solutions, and fix T > 0 T>0 T > 0 . Let M ≥ 1 M\ge1 M ≥ 1 be a bound for ∣ c 1 ∣ |c_1| ∣ c 1 ∣ , ∣ c 2 ∣ |c_2| ∣ c 2 ∣ , ∣ r 1 ∣ |r_1| ∣ r 1 ∣ , and ∣ r 2 ∣ |r_2| ∣ r 2 ∣ on [ 0 , T ] [0,T] [ 0 , T ] , and define, for 0 ≤ t ≤ T 0\le t\le T 0 ≤ t ≤ T ,
D ( t ) = sup 0 ≤ v ≤ t ( ∣ c 1 ( v ) − c 2 ( v ) ∣ + ∣ r 1 ( v ) − r 2 ( v ) ∣ ) . D(t)=\sup_{0\le v\le t}\left(|c_1(v)-c_2(v)|+|r_1(v)-r_2(v)|\right). D ( t ) = 0 ≤ v ≤ t sup ( ∣ c 1 ( v ) − c 2 ( v ) ∣ + ∣ r 1 ( v ) − r 2 ( v ) ∣ ) .
We first bound the difference of the memory integrands. Let 0 ≤ u ≤ v ≤ T 0\le u\le v\le T 0 ≤ u ≤ v ≤ T , and write a = v − u a=v-u a = v − u and b = u b=u b = u . Telescoping the three factors, we have
∣ c 1 ( a ) p − 2 r 1 ( a ) r 1 ( b ) − c 2 ( a ) p − 2 r 2 ( a ) r 2 ( b ) ∣ ≤ ∣ c 1 ( a ) p − 2 − c 2 ( a ) p − 2 ∣ ∣ r 1 ( a ) r 1 ( b ) ∣ + ∣ c 2 ( a ) ∣ p − 2 ∣ r 1 ( a ) − r 2 ( a ) ∣ ∣ r 1 ( b ) ∣ + ∣ c 2 ( a ) p − 2 r 2 ( a ) ∣ ∣ r 1 ( b ) − r 2 ( b ) ∣ ≤ p M p − 1 { D ( a ) + D ( b ) } . \begin{aligned}
\left|c_1(a)^{p-2}r_1(a)r_1(b)-c_2(a)^{p-2}r_2(a)r_2(b)\right|
&\le\left|c_1(a)^{p-2}-c_2(a)^{p-2}\right|\left|r_1(a)r_1(b)\right|\\
&\quad+\left|c_2(a)\right|^{p-2}\left|r_1(a)-r_2(a)\right|\left|r_1(b)\right|\\
&\quad+\left|c_2(a)^{p-2}r_2(a)\right|\left|r_1(b)-r_2(b)\right|\\
&\le pM^{p-1}\{D(a)+D(b)\}.
\end{aligned} c 1 ( a ) p − 2 r 1 ( a ) r 1 ( b ) − c 2 ( a ) p − 2 r 2 ( a ) r 2 ( b ) ≤ c 1 ( a ) p − 2 − c 2 ( a ) p − 2 ∣ r 1 ( a ) r 1 ( b ) ∣ + ∣ c 2 ( a ) ∣ p − 2 ∣ r 1 ( a ) − r 2 ( a ) ∣ ∣ r 1 ( b ) ∣ + c 2 ( a ) p − 2 r 2 ( a ) ∣ r 1 ( b ) − r 2 ( b ) ∣ ≤ p M p − 1 { D ( a ) + D ( b )} .
In the last line, we used ∣ x p − 2 − y p − 2 ∣ ≤ ( p − 2 ) M p − 3 ∣ x − y ∣ |x^{p-2}-y^{p-2}| \le(p-2)M^{p-3}|x-y| ∣ x p − 2 − y p − 2 ∣ ≤ ( p − 2 ) M p − 3 ∣ x − y ∣ for ∣ x ∣ , ∣ y ∣ ≤ M |x|,|y| \le M ∣ x ∣ , ∣ y ∣ ≤ M , and ∣ c 1 − c 2 ∣ , ∣ r 1 − r 2 ∣ ≤ D |c_1-c_2|,|r_1-r_2| \le D ∣ c 1 − c 2 ∣ , ∣ r 1 − r 2 ∣ ≤ D . Since D ≥ 0 D \ge0 D ≥ 0 , we have ∫ 0 v { D ( v − u ) + D ( u ) } d u = 2 ∫ 0 v D ( u ) d u ≤ 2 ∫ 0 t D ( u ) d u \int_{0}^{v}\{D(v-u)+D(u)\}\,\mathrm{d}u=2\int_{0}^{v}D(u)\,\mathrm{d}u \le2\int_{0}^{t}D(u)\,\mathrm{d}u ∫ 0 v { D ( v − u ) + D ( u )} d u = 2 ∫ 0 v D ( u ) d u ≤ 2 ∫ 0 t D ( u ) d u for v ≤ t v \le t v ≤ t . Subtracting the integrated equations of the two solutions, we obtain, for 0 ≤ t ≤ T 0 \le t \le T 0 ≤ t ≤ T ,
∣ c 1 ( t ) − c 2 ( t ) ∣ ≤ ∫ 0 t D ( u ) d u |c_1(t)-c_2(t)| \le\int_{0}^{t}D(u)\,\mathrm{d}u ∣ c 1 ( t ) − c 2 ( t ) ∣ ≤ ∫ 0 t D ( u ) d u
∣ r 1 ( t ) − r 2 ( t ) ∣ ≤ ( ∣ ℓ ∣ + 2 β 2 p 2 ( p − 1 ) M p − 1 T ) ∫ 0 t D ( u ) d u . |r_1(t)-r_2(t)| \le\left(|\ell|+2\beta^2p^2(p-1)M^{p-1}T\right)\int_{0}^{t}D(u)\,\mathrm{d}u. ∣ r 1 ( t ) − r 2 ( t ) ∣ ≤ ( ∣ ℓ ∣ + 2 β 2 p 2 ( p − 1 ) M p − 1 T ) ∫ 0 t D ( u ) d u .
The right sides are nondecreasing in t t t . Taking the supremum over [ 0 , t ] [0,t] [ 0 , t ] , we find
D ( t ) ≤ K T ∫ 0 t D ( u ) d u , K T = 1 + ∣ ℓ ∣ + 2 β 2 p 2 ( p − 1 ) M p − 1 T , D(t) \le K_T\int_{0}^{t}D(u)\,\mathrm{d}u,\qquad K_T=1+|\ell|+2\beta^2p^2(p-1)M^{p-1}T, D ( t ) ≤ K T ∫ 0 t D ( u ) d u , K T = 1 + ∣ ℓ ∣ + 2 β 2 p 2 ( p − 1 ) M p − 1 T ,
where K T K_T K T depends on ℓ \ell ℓ , p p p , β \beta β , T T T , and the bound M M M . The function D D D is bounded and nondecreasing on [ 0 , T ] [0,T] [ 0 , T ] , and Gronwall’s inequality implies that D = 0 D=0 D = 0 on [ 0 , T ] [0,T] [ 0 , T ] . As T T T was arbitrary, the two solutions coincide.
The causal tree realization and reflection
In this section, we realize the CK correlation as the Gram kernel of a curve v t v_t v t of unit vectors in a deterministic Hilbert space. We use this realization to study the part of a late state that was already determined at an earlier time. The main results are the exact causal realization, Proposition 7.1; the evolution of a projected state, Lemma 7.3; the reflection identity for stationary clusters, Proposition 7.5; and the spectral representation of every stationary correlation profile, Corollary 7.7.
We use the CK equations of Section 3, the physical bounds (3.15), the Green covariance identity of Proposition 4.2, the energy identity (4.1), the uniform multiplier bound (4.17), the diagonal increment bound (4.20), the regularity of the response from Propositions 4.5 and 4.6, and the stationary clusters of Proposition 5.7. The results of this section are used in most of the later sections. The limits d L d_L d L and h L h_L h L of Proposition 7.5 are the objects of Proposition 8.1, and they enter the proofs of marginality and forgetting in Section 8. The ceilings of § 6.3 and the geometry of Sections 13 and 14 rest on the tree space and its height grading. In Section 11, we use the leaf component of a projected state and Lemma 7.3. The complete monotonicity asserted in Theorem 1.1 is part of Corollary 7.7, which is also used in Sections 11, 14, and 16.
We start from the Green identity (4.10), which we derived in Proposition 4.2 by variation of constants from the CK equations of [24, 60]. Positive noncrossing expansions of the associated response equation occur in the work of Guionnet and Mazza [89, Section 2.1 and Lemma 2.1] and of Dembo, Guionnet, and Mazza [60, Section 2]. Guionnet and Mazza also describe their full Fock-space interpretation. We build on these positive expansions. The tree realization below is a positive expansion of the covariance, graded by ordered trees so that every term records its height and the times of the thermal noise that it uses; we do not identify this grading with a Wiener chaos decomposition. All constructions take place in one deterministic Hilbert space. The prefix projection P T P_T P T defined below plays the role of conditioning on the noise up to time T T T , but we never condition on the finite-dimensional probability space.
Standing assumptions and notation. Throughout this section, p ≥ 3 p \ge3 p ≥ 3 and β > 0 \beta> 0 β > 0 are fixed, m = p − 1 m = p - 1 m = p − 1 , and ( C , R , λ ) (C, R, \lambda) ( C , R , λ ) is the uniformly initialized hard CK solution of Section 3. All Hilbert spaces and tensor products are real. We write
Σ ( t , u ) = β 2 p ( p − 1 ) C ( t , u ) p − 2 R ( t , u ) , 0 ≤ u ≤ t , \Sigma(t,u) = \beta^2 p(p-1)C(t,u)^{p-2}R(t,u), \qquad0 \le u \le t, Σ ( t , u ) = β 2 p ( p − 1 ) C ( t , u ) p − 2 R ( t , u ) , 0 ≤ u ≤ t ,
for the kernel (4.8), so that the response equation (3.9) reads
∂ t R ( t , s ) = − λ ( t ) R ( t , s ) + ∫ s t Σ ( t , u ) R ( u , s ) d u , t > s . (108) \partial_t R(t,s)=-\lambda(t)R(t,s)+\int_s^t\Sigma(t,u)R(u,s)\,\mathrm{d}u,\qquad t>s. \tag*{(108)} ∂ t R ( t , s ) = − λ ( t ) R ( t , s ) + ∫ s t Σ ( t , u ) R ( u , s ) d u , t > s . (108)
By (3.15) and Proposition 4.6, we have 0 ≤ R ( t , s ) ≤ C ( t , s ) ≤ 1 0\le R(t,s)\le C(t,s)\le1 0 ≤ R ( t , s ) ≤ C ( t , s ) ≤ 1 for t ≥ s t\ge s t ≥ s , and in particular Σ ≥ 0 \Sigma\ge0 Σ ≥ 0 .
The tree Hilbert space
We first explain the purpose of the construction. Recall from Proposition 4.2 that the correlation is the sum of three terms,
C ( t , s ) = R ( t , 0 ) R ( s , 0 ) + 2 ∫ 0 t ∧ s R ( t , u ) R ( s , u ) d u + β 2 p ∫ 0 t ∫ 0 s R ( t , u ) R ( s , w ) C ( u , w ) m d w d u . C(t,s)=R(t,0)R(s,0)+2\int_0^{t\wedge s}R(t,u)R(s,u)\,\mathrm{d}u
+\beta^2p\int_0^t\int_0^s R(t,u)R(s,w)C(u,w)^m\,\mathrm{d}w\,\mathrm{d}u. C ( t , s ) = R ( t , 0 ) R ( s , 0 ) + 2 ∫ 0 t ∧ s R ( t , u ) R ( s , u ) d u + β 2 p ∫ 0 t ∫ 0 s R ( t , u ) R ( s , w ) C ( u , w ) m d w d u .
The first term comes from the initial condition, the second from the thermal noise, and the third from the colored memory. The first two terms are the inner product of the vectors R ( t , 0 ) e 0 + 2 1 [ 0 , t ] R ( t , ⋅ ) R(t,0)e_0+\sqrt{2}\mathbf{1}_{[0,t]}R(t,\cdot) R ( t , 0 ) e 0 + 2 1 [ 0 , t ] R ( t , ⋅ ) and R ( s , 0 ) e 0 + 2 1 [ 0 , s ] R ( s , ⋅ ) R(s,0)e_0+\sqrt{2}\mathbf{1}_{[0,s]}R(s,\cdot) R ( s , 0 ) e 0 + 2 1 [ 0 , s ] R ( s , ⋅ ) in R e 0 ⊕ L 2 ( R + ) \mathbb{R}e_0\oplus L^2(\mathbb{R}_+) R e 0 ⊕ L 2 ( R + ) . The second component of such a vector records the noise received at each time u ≤ t u\le t u ≤ t , transported to time t t t by the response. If C ( u , w ) = ⟨ v u , v w ⟩ C(u,w)=\langle v_u,v_w\rangle C ( u , w ) = ⟨ v u , v w ⟩ for some vectors v u v_u v u , then C ( u , w ) m = ⟨ v u ⊗ m , v w ⊗ m ⟩ C(u,w)^m=\langle v_u^{\otimes m},v_w^{\otimes m}\rangle C ( u , w ) m = ⟨ v u ⊗ m , v w ⊗ m ⟩ , and the third term is also an inner product. This suggests looking for vectors v t v_t v t with
v t = R ( t , 0 ) e 0 + 2 1 [ 0 , t ] R ( t , ⋅ ) + β p ∫ 0 t R ( t , u ) I ( v u ⊗ m ) d u . v_t=R(t,0)e_0+\sqrt{2}\mathbf{1}_{[0,t]}R(t,\cdot)+\beta\sqrt{p}\int_0^t R(t,u)\mathcal{I}\bigl(v_u^{\otimes m}\bigr)\,\mathrm{d}u. v t = R ( t , 0 ) e 0 + 2 1 [ 0 , t ] R ( t , ⋅ ) + β p ∫ 0 t R ( t , u ) I ( v u ⊗ m ) d u .
where I \mathcal{I} I is an isometry from the m m m -fold tensor power into a space orthogonal to the first two terms. Iterating this equation, we expand v t v_t v t as a sum of terms indexed by trees. Each leaf of a tree carries either the initial vector e 0 e_0 e 0 or the time of a noise increment, and each internal vertex records one use of the memory integral. The point of this bookkeeping is that every term of v t v_t v t comes with the times of the noise it uses. The terms whose noise times are at most T T T form the part of the state at time t t t built from the initial vector and noise received by time T T T ; their memory integrals may still extend beyond T T T . We now make this precise.
Trees and grafting. Let E = R e 0 ⊕ L 2 ( R + ) \mathcal{E}=\mathbb{R}e_0\oplus L^2(\mathbb{R}_+) E = R e 0 ⊕ L 2 ( R + ) , where e 0 e_0 e 0 is a unit vector. By a tree we mean a finite rooted tree in which every vertex has either no children or exactly m m m children, and the children of each vertex are ordered. We call vertices without children leaves. We write ∣ τ ∣ |\tau| ∣ τ ∣ for the number of leaves of a tree τ \tau τ , whose leaves we list from left to right, and ∙ \bullet ∙ for the tree with one vertex. For trees τ 1 , … , τ m \tau_1,\ldots,\tau_m τ 1 , … , τ m , we write [ τ 1 , … , τ m ] [\tau_1,\ldots,\tau_m] [ τ 1 , … , τ m ] for the tree whose root has the subtrees τ 1 , … , τ m \tau_1,\ldots,\tau_m τ 1 , … , τ m , in this order. We call this operation grafting. Every tree other than ∙ \bullet ∙ is the graft of a unique ordered m m m -tuple of trees.
We define H \mathcal{H} H as the orthogonal direct sum, over all trees τ \tau τ , of one copy of E ⊗ ∣ τ ∣ \mathcal{E}^{\otimes|\tau|} E ⊗ ∣ τ ∣ :
H = ⨁ τ E ⊗ ∣ τ ∣ . \mathcal{H}=\bigoplus_{\tau}\mathcal{E}^{\otimes|\tau|}. H = τ ⨁ E ⊗ ∣ τ ∣ .
The summand indexed by ∙ \bullet ∙ is E \mathcal{E} E . We call it the one-leaf summand. The space H \mathcal{H} H is separable, because there are countably many trees and each summand is separable. Since tensor products distribute over orthogonal direct sums, we have
H ⊗ m ≅ ⨁ ( τ 1 , … , τ m ) E ⊗ ( ∣ τ 1 ∣ + ⋯ + ∣ τ m ∣ ) . \mathcal{H}^{\otimes m}\cong\bigoplus_{(\tau_1,\ldots,\tau_m)}\mathcal{E}^{\otimes(|\tau_1|+\cdots+|\tau_m|)}. H ⊗ m ≅ ( τ 1 , … , τ m ) ⨁ E ⊗ ( ∣ τ 1 ∣ + ⋯ + ∣ τ m ∣ ) .
We define the grafting map I : H ⊗ m ⟶ H \mathcal{I}:\mathcal{H}^{\otimes m}\longrightarrow\mathcal{H} I : H ⊗ m ⟶ H by sending the summand indexed by ( τ 1 , … , τ m ) (\tau_1,\ldots,\tau_m) ( τ 1 , … , τ m ) identically onto the summand indexed by [ τ 1 , … , τ m ] [\tau_1,\ldots,\tau_m] [ τ 1 , … , τ m ] ; the leaves of τ 1 \tau_1 τ 1 come first, then those of τ 2 \tau_2 τ 2 , and so on. Since every tree other than ∙ \bullet ∙ is the graft of a unique m m m -tuple, I \mathcal{I} I is an isometry, and its range is the orthogonal complement of the one-leaf summand. Its adjoint satisfies I ∗ I = Id \mathcal{I}^{*}\mathcal{I}=\operatorname{Id} I ∗ I = Id , and I ∗ \mathcal{I}^{*} I ∗ vanishes on the one-leaf summand. We use ordered trees because they make grafting an isometry, with no symmetry factors. When p = 3 p=3 p = 3 , we identify a tensor x ⊗ y ∈ H ⊗ H x\otimes y\in\mathcal{H}\otimes\mathcal{H} x ⊗ y ∈ H ⊗ H with the Hilbert--Schmidt operator z ↦ ⟨ y , z ⟩ x z\mapsto\langle y,z\rangle x z ↦ ⟨ y , z ⟩ x on H \mathcal{H} H ; this is how we use I ∗ \mathcal{I}^{*} I ∗ in Sections 13 and 14.
Leaf labels and positivity. We now realize E \mathcal{E} E as an L 2 L^2 L 2 space. Let L = { ⋆ } ⊔ [ 0 , ∞ ) \mathbb{L}=\{\star\}\sqcup[0,\infty) L = { ⋆ } ⊔ [ 0 , ∞ ) carry the measure δ ⋆ + d u \delta_{\star}+du δ ⋆ + d u . Then E = L 2 ( L ) \mathcal{E}=L^2(\mathbb{L}) E = L 2 ( L ) , with e 0 = 1 { ⋆ } e_0=1_{\{\star\}} e 0 = 1 { ⋆ } , and E ⊗ k = L 2 ( L k ) \mathcal{E}^{\otimes k}=L^2(\mathbb{L}^k) E ⊗ k = L 2 ( L k ) . An element of the summand indexed by τ \tau τ is then a function of the leaf labels of τ \tau τ . The label ⋆ \star ⋆ marks the initial vector, and a label u ≥ 0 u\ge0 u ≥ 0 marks a noise time. We say that a vector of H \mathcal{H} H is nonnegative if each of its components is a nonnegative function almost everywhere. Tensor products and grafts of nonnegative vectors are nonnegative.
Heights. We define the height of ∙ \bullet ∙ to be zero, and the height of [ τ 1 , … , τ m ] [\tau_1,\ldots,\tau_m] [ τ 1 , … , τ m ] to be one plus the largest height of τ 1 , … , τ m \tau_1,\ldots,\tau_m τ 1 , … , τ m . We write Π j \Pi_j Π j for the orthogonal projection of H \mathcal{H} H onto the sum of the summands indexed by trees of height j j j , and we set Π ≤ H = ∑ j = 0 H Π j \Pi_{\leq\mathcal{H}}=\sum_{j=0}^{\mathcal{H}}\Pi_j Π ≤ H = ∑ j = 0 H Π j . Note that ∑ j ≥ 0 Π j = Id \sum_{j\geq0}\Pi_j=\operatorname{Id} ∑ j ≥ 0 Π j = Id in the strong sense, because every tree has a finite height.
Prefix projections. For T ≥ 0 T\geq0 T ≥ 0 , let E T = R e 0 ⊕ L 2 ( [ 0 , T ] ) \mathcal{E}_T=\mathbb{R}e_0\oplus L^2([0,T]) E T = R e 0 ⊕ L 2 ([ 0 , T ]) , and let ϖ T \varpi_T ϖ T be the orthogonal projection of E \mathcal{E} E onto E T \mathcal{E}_T E T , that is, ϖ T ( a e 0 + g ) = a e 0 + 1 [ 0 , T ] g \varpi_T(ae_0+g)=ae_0+1_{[0,T]}g ϖ T ( a e 0 + g ) = a e 0 + 1 [ 0 , T ] g . We define the prefix projection
P T = ⨁ τ ϖ T ⊗ ∣ τ ∣ , P_T=\bigoplus_{\tau}\varpi_T^{\otimes|\tau|}, P T = τ ⨁ ϖ T ⊗ ∣ τ ∣ ,
and we write H T \mathcal{H}_T H T for its range, the closed subspace generated by trees whose leaf factors lie in E T \mathcal{E}_T E T . In terms of leaf labels, P T P_T P T multiplies the component indexed by τ \tau τ by the indicator function that all leaf labels lie in { ⋆ } ∪ [ 0 , T ] \{\star\} \cup[0,T] { ⋆ } ∪ [ 0 , T ] . Since P T P_T P T , Π j \Pi_j Π j , and I \mathcal{I} I act summand by summand, and the leaves of a graft are the leaves of its root subtrees, we have
P T P S = P T ∧ S , P T Π j = Π j P T , P T I = I P T ⊗ m . (109) P_TP_S = P_{T\wedge S}, \qquad P_T\Pi_j = \Pi_jP_T, \qquad P_T\mathcal{I} = \mathcal{I}P_T^{\otimes m}. \tag*{(109)} P T P S = P T ∧ S , P T Π j = Π j P T , P T I = I P T ⊗ m . (109)
In words, P T P_T P T is a causal projection. A vector built from leaves with noise times at most T T T belongs to H T \mathcal{H}_T H T , and P T P_T P T commutes with grafting. The projections P T P_T P T , Id − P T \operatorname{Id}-P_T Id − P T , and Π j \Pi_j Π j preserve nonnegativity, since each of them multiplies every component by an indicator function.
The exact causal realization
Proposition 7.1 (Exact causal realization). There exists a norm-continuous curve t ↦ v t ∈ H t \mapsto v_t \in\mathcal{H} t ↦ v t ∈ H , t ≥ 0 t \ge0 t ≥ 0 , with v t ∈ H t v_t \in\mathcal{H}_t v t ∈ H t for every t t t , such that
v t = R ( t , 0 ) e 0 + 2 1 [ 0 , t ] R ( t , ⋅ ) + β p ∫ 0 t R ( t , u ) I ( v u ⊗ m ) d u , (110) v_t = R(t,0)e_0 + \sqrt{2}\mathbb{1}_{[0,t]}R(t,\cdot) + \beta\sqrt{p}\int_0^t R(t,u)\mathcal{I}\left(v_u^{\otimes m}\right)\,\mathrm{d}u, \tag*{(110)} v t = R ( t , 0 ) e 0 + 2 1 [ 0 , t ] R ( t , ⋅ ) + β p ∫ 0 t R ( t , u ) I ( v u ⊗ m ) d u , (110) ⟨ v t , v s ⟩ = C ( t , s ) , ∥ v t ∥ = 1 , (111) \langle v_t,v_s\rangle= C(t,s), \qquad\lVert v_t\rVert= 1, \tag*{(111)} ⟨ v t , v s ⟩ = C ( t , s ) , ∥ v t ∥ = 1 , (111) where the integral is a Bochner integral in H \mathcal{H} H . For every tree τ \tau τ , the component of v t v_t v t indexed by τ \tau τ is a nonnegative function of the leaf labels; in particular, ⟨ Π j v t , Π j v s ⟩ ≥ 0 \langle\Pi_jv_t,\Pi_jv_s\rangle\ge0 ⟨ Π j v t , Π j v s ⟩ ≥ 0 for all j ≥ 0 j \ge0 j ≥ 0 and t , s ≥ 0 t,s \ge0 t , s ≥ 0 . Let h h h be the tree energy, defined by
h ( v ) = p ⟨ v , I ( v ⊗ m ) ⟩ , v ∈ H . (112) h(v) = \sqrt{p}\,\langle v,\mathcal{I}(v^{\otimes m})\rangle, \qquad v \in\mathcal{H}. \tag*{(112)} h ( v ) = p ⟨ v , I ( v ⊗ m )⟩ , v ∈ H . (112) Then h ( v t ) = e β ( t ) h(v_t)=e_{\beta}(t) h ( v t ) = e β ( t ) and λ ( t ) = 1 + p β h ( v t ) \lambda(t)=1+p\beta h(v_t) λ ( t ) = 1 + pβ h ( v t ) for every t ≥ 0 t\ge0 t ≥ 0 . Moreover, for all T ≥ 0 T\ge0 T ≥ 0 and t ≥ 0 t\ge0 t ≥ 0 ,
I ∗ P T v t = β p ∫ 0 t R ( t , u ) ( P T v u ) ⊗ m d u . (113) \mathcal{I}^{*}P_Tv_t = \beta\sqrt{p}\int_0^t R(t,u)(P_Tv_u)^{\otimes m}\,\mathrm{d}u. \tag*{(113)} I ∗ P T v t = β p ∫ 0 t R ( t , u ) ( P T v u ) ⊗ m d u . (113)
Before the proof, we write out the first terms of the expansion in the cubic case.
Example 7.2 (The first two heights for p = 3 p=3 p = 3 ). Let p = 3 p=3 p = 3 , so that grafting is binary. We write η t \eta_t η t for the component of v t v_t v t at height zero, which is the leaf vector
η t = R ( t , 0 ) e 0 + 2 1 [ 0 , t ] R ( t , ⋅ ) . \eta_t = R(t,0)e_0+\sqrt{2}\mathbb{1}_{[0,t]}R(t,\cdot). η t = R ( t , 0 ) e 0 + 2 1 [ 0 , t ] R ( t , ⋅ ) . The only tree of height one is [ ∙ , ∙ ] [\bullet,\bullet] [ ∙ , ∙ ] , with two leaves. Iterating (110) once, we see that the component of v t v_t v t at height one is
w t = β 3 ∫ 0 t R ( t , u ) I ( η u ⊗ η u ) d u . w_t = \beta\sqrt{3}\int_0^t R(t,u)\mathcal{I}(\eta_u\otimes\eta_u)\,\mathrm{d}u. w t = β 3 ∫ 0 t R ( t , u ) I ( η u ⊗ η u ) d u . As a function of two noise times y 1 , y 2 ∈ [ 0 , t ] y_1,y_2\in[0,t] y 1 , y 2 ∈ [ 0 , t ] , it is
w t ( y 1 , y 2 ) = 2 3 β ∫ y 1 ∨ y 2 t R ( t , u ) R ( u , y 1 ) R ( u , y 2 ) d u . w_t(y_1,y_2)=2\sqrt{3}\,\beta\int_{y_1\vee y_2}^t R(t,u)R(u,y_1)R(u,y_2)\,\mathrm{d}u. w t ( y 1 , y 2 ) = 2 3 β ∫ y 1 ∨ y 2 t R ( t , u ) R ( u , y 1 ) R ( u , y 2 ) d u .
Noise received at the times y 1 y_1 y 1 and y 2 y_2 y 2 is transported to a time u u u by the response, combined there by the cubic interaction, and transported to time t t t . At labels involving ⋆ \star ⋆ , a factor 2 R ( u , y i ) \sqrt{2}R(u,y_i) 2 R ( u , y i ) is replaced by R ( u , 0 ) R(u,0) R ( u , 0 ) . The trees of height two are [ [ ∙ , ∙ ] , ∙ ] [[\bullet,\bullet],\bullet] [[ ∙ , ∙ ] , ∙ ] , [ ∙ , [ ∙ , ∙ ] ] [\bullet,[\bullet,\bullet]] [ ∙ , [ ∙ , ∙ ]] , and [ [ ∙ , ∙ ] , [ ∙ , ∙ ] ] [[\bullet,\bullet],[\bullet,\bullet]] [[ ∙ , ∙ ] , [ ∙ , ∙ ]] , and the corresponding components of v t v_t v t are
β 3 ∫ 0 t R ( t , u ) I ( w u ⊗ η u ) d u , β 3 ∫ 0 t R ( t , u ) I ( η u ⊗ w u ) d u , \beta\sqrt{3}\int_0^t R(t,u)\mathcal{I}(w_u\otimes\eta_u)\,du,\qquad\beta\sqrt{3}\int_0^t R(t,u)\mathcal{I}(\eta_u\otimes w_u)\,du, β 3 ∫ 0 t R ( t , u ) I ( w u ⊗ η u ) d u , β 3 ∫ 0 t R ( t , u ) I ( η u ⊗ w u ) d u ,
β 3 ∫ 0 t R ( t , u ) I ( w u ⊗ w u ) d u . \beta\sqrt{3}\int_0^t R(t,u)\mathcal{I}(w_u\otimes w_u)\,du. β 3 ∫ 0 t R ( t , u ) I ( w u ⊗ w u ) d u .
The prefix projection acts only on the labels. For instance, we see that P T w t P_Tw_t P T w t keeps the values of w t w_t w t at noise times y 1 , y 2 ≤ T y_1,y_2\le T y 1 , y 2 ≤ T , while the time integral defining it still runs up to t t t . Finally, the Gram kernel of η t + w t \eta_t+w_t η t + w t is
A 0 ( t , s ) + 3 β 2 ∫ 0 t ∫ 0 s R ( t , u ) R ( s , w ) A 0 ( u , w ) 2 d w d u , A 0 ( t , s ) = ⟨ η t , η s ⟩ , A_0(t,s)+3\beta^2\int_0^t\int_0^s R(t,u)R(s,w)A_0(u,w)^2\,dw\,du,\qquad A_0(t,s)=\langle\eta_t,\eta_s\rangle, A 0 ( t , s ) + 3 β 2 ∫ 0 t ∫ 0 s R ( t , u ) R ( s , w ) A 0 ( u , w ) 2 d w d u , A 0 ( t , s ) = ⟨ η t , η s ⟩ ,
which is the first step of the Picard iteration of the Green identity (65) . In the proof below, we show that these iterations increase to C C C .
Proof of Proposition 7.1. The proof has five steps. We first construct the component of v t v_t v t indexed by each tree through a finite recursion. We then show that the Gram kernels of the truncations at bounded height increase to C C C , using a uniqueness property of the Green equation. This allows us to sum the components. Finally, we compute the projected root frame and the energy.
Step 1: the tree components. Let η t = R ( t , 0 ) e 0 + 2 1 [ 0 , t ] R ( t , ⋅ ) ∈ E \eta_t=R(t,0)e_0+\sqrt{2}\mathbf{1}_{[0,t]}R(t,\cdot)\in\mathcal{E} η t = R ( t , 0 ) e 0 + 2 1 [ 0 , t ] R ( t , ⋅ ) ∈ E , and set w ∙ ( t ) = η t w_\bullet(t)=\eta_t w ∙ ( t ) = η t . If τ = [ τ 1 , … , τ m ] \tau=[\tau_1,\ldots,\tau_m] τ = [ τ 1 , … , τ m ] , we define, in the summand indexed by τ \tau τ ,
w τ ( t ) = β p ∫ 0 t R ( t , u ) w τ 1 ( u ) ⊗ ⋯ ⊗ w τ m ( u ) d u (114) w_\tau(t)=\beta\sqrt{p}\int_0^t R(t,u)w_{\tau_1}(u)\otimes\cdots\otimes w_{\tau_m}(u)\,du \tag*{(114)} w τ ( t ) = β p ∫ 0 t R ( t , u ) w τ 1 ( u ) ⊗ ⋯ ⊗ w τ m ( u ) d u (114)
This is a recursion on the number of vertices. The curve t ↦ η t t\mapsto\eta_t t ↦ η t is norm-continuous, because R R R is uniformly continuous on compact causal triangles and bounded by one. By induction on the number of vertices, each w τ w_\tau w τ is a norm-continuous curve, and the integral in (7.7) is a Bochner integral of a continuous integrand. Also by induction, w τ ( t ) w_\tau(t) w τ ( t ) is nonnegative, because R ≥ 0 R\ge0 R ≥ 0 and tensor products and integrals of nonnegative vectors are nonnegative, and w τ ( t ) w_\tau(t) w τ ( t ) lies in E ⊗ ∣ τ ∣ \mathcal{E}^{\otimes|\tau|} E ⊗ ∣ τ ∣ , because w τ i ( u ) ∈ E u ⊗ ∣ τ i ∣ ⊂ E t ⊗ ∣ τ i ∣ w_{\tau_i}(u)\in\mathcal{E}_u^{\otimes|\tau_i|}\subset\mathcal{E}_t^{\otimes|\tau_i|} w τ i ( u ) ∈ E u ⊗ ∣ τ i ∣ ⊂ E t ⊗ ∣ τ i ∣ for u ≤ t u\le t u ≤ t .
Step 2: the truncated Gram kernels. For n ≥ 0 n\ge0 n ≥ 0 , let v t ( n ) v_t^{(n)} v t ( n ) be the sum of w τ ( t ) w_\tau(t) w τ ( t ) over the finitely many trees τ \tau τ of height at most n n n , and let K n ( t , s ) = ⟨ v t ( n ) , v s ( n ) ⟩ K_n(t,s)=\langle v_t^{(n)},v_s^{(n)}\rangle K n ( t , s ) = ⟨ v t ( n ) , v s ( n ) ⟩ . A tree of height at most n ≥ 1 n\ge1 n ≥ 1 is either ∙ \bullet ∙ or the graft of m m m trees of height at most n − 1 n-1 n − 1 . Summing (7.7) over these trees, we have
v t ( n ) = η t + β p ∫ 0 t R ( t , u ) I ( ( v u ( n − 1 ) ) ⊗ m ) d u . v_t^{(n)}=\eta_t+\beta\sqrt{p}\int_0^t R(t,u)\mathcal{I}\left((v_u^{(n-1)})^{\otimes m}\right)\,du. v t ( n ) = η t + β p ∫ 0 t R ( t , u ) I ( ( v u ( n − 1 ) ) ⊗ m ) d u .
Recall that η t \eta_t η t is orthogonal to the range of I \mathcal{I} I and that I \mathcal{I} I is an isometry. Using also ⟨ x ⊗ m , y ⊗ m ⟩ = ⟨ x , y ⟩ m \langle x^{\otimes m},y^{\otimes m}\rangle=\langle x,y\rangle^m ⟨ x ⊗ m , y ⊗ m ⟩ = ⟨ x , y ⟩ m , we find that K 0 = A 0 K_0=A_0 K 0 = A 0 and
K n ( t , s ) = A 0 ( t , s ) + β 2 p ∫ 0 t ∫ 0 s R ( t , u ) R ( s , w ) K n − 1 ( u , w ) m d w d u , n ≥ 1. (115) K_n(t,s)=A_0(t,s)+\beta^2p\int_0^t\int_0^s R(t,u)R(s,w)K_{n-1}(u,w)^m\,dw\,du,\qquad n\geq1. \tag*{(115)} K n ( t , s ) = A 0 ( t , s ) + β 2 p ∫ 0 t ∫ 0 s R ( t , u ) R ( s , w ) K n − 1 ( u , w ) m d w d u , n ≥ 1. (115)
where
A 0 ( t , s ) = ⟨ η t , η s ⟩ = R ( t , 0 ) R ( s , 0 ) + 2 ∫ 0 t ∧ s R ( t , u ) R ( s , u ) d u . A_0(t,s)=\langle\eta_t,\eta_s\rangle=R(t,0)R(s,0)+2\int_0^{t\wedge s}R(t,u)R(s,u)\,du. A 0 ( t , s ) = ⟨ η t , η s ⟩ = R ( t , 0 ) R ( s , 0 ) + 2 ∫ 0 t ∧ s R ( t , u ) R ( s , u ) d u .
The squared coefficients are ( 2 ) 2 = 2 (\sqrt{2})^2=2 ( 2 ) 2 = 2 and ( β p ) 2 = β 2 p (\beta\sqrt{p})^2=\beta^2p ( β p ) 2 = β 2 p , which are the coefficients of the Green identity (65) . Note that K n ≥ 0 K_n\geq0 K n ≥ 0 , because the components are nonnegative. We claim that
0 ≤ K n − 1 ≤ K n ≤ C , n ≥ 1. (116) 0\leq K_{n-1}\leq K_n\leq C,\qquad n\geq1. \tag*{(116)} 0 ≤ K n − 1 ≤ K n ≤ C , n ≥ 1. (116)
Indeed, the Green identity reads C = A 0 + β 2 p ∬ R R C m C=A_0+\beta^2p\iint RR\,C^m C = A 0 + β 2 p ∬ R R C m , and its double integral is nonnegative by (42) . This implies that K 0 = A 0 ≤ C K_0=A_0\leq C K 0 = A 0 ≤ C . If 0 ≤ K n − 1 ≤ C 0\leq K_{n-1}\leq C 0 ≤ K n − 1 ≤ C , then (115) and R ≥ 0 R\geq0 R ≥ 0 imply that K n ≤ C K_n\leq C K n ≤ C . In the same way, K 1 ≥ K 0 K_1\geq K_0 K 1 ≥ K 0 , and if K n − 1 ≥ K n − 2 ≥ 0 K_{n-1}\geq K_{n-2}\geq0 K n − 1 ≥ K n − 2 ≥ 0 , then K n ≥ K n − 1 K_n\geq K_{n-1} K n ≥ K n − 1 . This proves (116) . Then K n K_n K n increases pointwise to a limit K K K with 0 ≤ K ≤ C ≤ 1 0\leq K\leq C\leq1 0 ≤ K ≤ C ≤ 1 , and by monotone convergence in (115) , K K K solves the Green equation
K ( t , s ) = A 0 ( t , s ) + β 2 p ∫ 0 t ∫ 0 s R ( t , u ) R ( s , w ) K ( u , w ) m d w d u . (117) K(t,s)=A_0(t,s)+\beta^2p\int_0^t\int_0^s R(t,u)R(s,w)K(u,w)^m\,dw\,du. \tag*{(117)} K ( t , s ) = A 0 ( t , s ) + β 2 p ∫ 0 t ∫ 0 s R ( t , u ) R ( s , w ) K ( u , w ) m d w d u . (117)
Step 3: uniqueness for the Green equation. We prove that, for every A < ∞ A<\infty A < ∞ , (117) has at most one solution on [ 0 , A ] 2 [0,A]^2 [ 0 , A ] 2 with values in [ − 1 , 1 ] [-1,1] [ − 1 , 1 ] . The kernel C C C is such a solution by Proposition 4.2, so uniqueness implies that K = C K=C K = C , that is, K n K_n K n increases to C C C . Let K K K and K ′ K' K ′ be two such solutions and let Δ = K − K ′ \Delta=K-K' Δ = K − K ′ . Using ∣ x m − y m ∣ ≤ m ∣ x − y ∣ |x^m-y^m|\leq m|x-y| ∣ x m − y m ∣ ≤ m ∣ x − y ∣ for x , y ∈ [ − 1 , 1 ] x,y\in[-1,1] x , y ∈ [ − 1 , 1 ] and 0 ≤ R ≤ 1 0\leq R\leq1 0 ≤ R ≤ 1 , we have, for t , s ≤ A t,s\leq A t , s ≤ A ,
∣ Δ ( t , s ) ∣ ≤ β 2 p m ∫ 0 t ∫ 0 s ∣ Δ ( u , w ) ∣ d w d u . |\Delta(t,s)|\leq\beta^2pm\int_0^t\int_0^s|\Delta(u,w)|\,dw\,du. ∣Δ ( t , s ) ∣ ≤ β 2 p m ∫ 0 t ∫ 0 s ∣Δ ( u , w ) ∣ d w d u .
Let ρ ( a ) = sup t , s ≤ a ∣ Δ ( t , s ) ∣ \rho(a)=\sup_{t,s\leq a}|\Delta(t,s)| ρ ( a ) = sup t , s ≤ a ∣Δ ( t , s ) ∣ , a bounded nondecreasing function. We bound ∣ Δ ( u , w ) ∣ |\Delta(u,w)| ∣Δ ( u , w ) ∣ by ρ ( max { u , w } ) \rho(\max\{u,w\}) ρ ( max { u , w }) and divide the square [ 0 , a ] 2 [0,a]^2 [ 0 , a ] 2 according to which coordinate is larger. For a ≤ A a\leq A a ≤ A , this yields
ρ ( a ) ≤ β 2 p m ∫ 0 a ∫ 0 a ρ ( max { u , w } ) d w d u = 2 β 2 p m ∫ 0 a z ρ ( z ) d z ≤ 2 β 2 p m A ∫ 0 a ρ ( z ) d z . \rho(a)\leq\beta^2pm\int_0^a\int_0^a\rho(\max\{u,w\})\,dw\,du=2\beta^2pm\int_0^a z\rho(z)\,dz\leq2\beta^2pmA\int_0^a\rho(z)\,dz. ρ ( a ) ≤ β 2 p m ∫ 0 a ∫ 0 a ρ ( max { u , w }) d w d u = 2 β 2 p m ∫ 0 a z ρ ( z ) d z ≤ 2 β 2 p m A ∫ 0 a ρ ( z ) d z .
By Gronwall’s inequality, we have ρ = 0 \rho=0 ρ = 0 on [ 0 , A ] [0,A] [ 0 , A ] . As A A A is arbitrary, we conclude that K = C K=C K = C .
Step 4: the curve v t v_t v t . Using Step 3, we find that ∑ τ ∥ w τ ( t ) ∥ 2 = lim n K n ( t , t ) = C ( t , t ) = 1 \sum_{\tau}\lVert w_{\tau}(t)\rVert^2=\lim_{n}K_n(t,t)=C(t,t)=1 ∑ τ ∥ w τ ( t ) ∥ 2 = lim n K n ( t , t ) = C ( t , t ) = 1 . The components lie in orthogonal summands, and the series v t = ∑ τ w τ ( t ) v_t=\sum_{\tau}w_{\tau}(t) v t = ∑ τ w τ ( t ) therefore converges in H \mathcal{H} H , with v t ( n ) → v t v_t^{(n)}\to v_t v t ( n ) → v t . Then ⟨ v t , v s ⟩ = lim n K n ( t , s ) = C ( t , s ) \langle v_t,v_s\rangle=\lim_{n}K_n(t,s)=C(t,s) ⟨ v t , v s ⟩ = lim n K n ( t , s ) = C ( t , s ) , which is (111) . By the identity ∥ v t − v s ∥ 2 = 2 { 1 − C ( t , s ) } \lVert v_t-v_s\rVert^2=2\{1-C(t,s)\} ∥ v t − v s ∥ 2 = 2 { 1 − C ( t , s )} and the continuity of C C C , the curve t ↦ v t t\mapsto v_t t ↦ v t is norm-continuous. Each component of v t v_t v t is nonnegative and lies in E ⊗ ∣ τ ∣ E^{\otimes|\tau|} E ⊗ ∣ τ ∣ , which shows that v t ∈ H t v_t\in\mathcal{H}_t v t ∈ H t . The inner product ⟨ Π j v t , Π j v s ⟩ \langle\Pi_jv_t,\Pi_jv_s\rangle ⟨ Π j v t , Π j v s ⟩ is a sum of inner products of nonnegative functions, and it is nonnegative.
It remains to prove (110) . The integrand u ↦ R ( t , u ) I ( v u ⊗ m ) u\mapsto R(t,u)\mathcal{I}(v_u^{\otimes m}) u ↦ R ( t , u ) I ( v u ⊗ m ) is continuous on [ 0 , t ] [0,t] [ 0 , t ] , and the integral is a Bochner integral. The orthogonal projection onto the summand indexed by τ = [ τ 1 , … , τ m ] \tau=[\tau_1,\ldots,\tau_m] τ = [ τ 1 , … , τ m ] is bounded and commutes with the integral, and it maps I ( v u ⊗ m ) \mathcal{I}(v_u^{\otimes m}) I ( v u ⊗ m ) to w τ 1 ( u ) ⊗ ⋯ ⊗ w τ m ( u ) w_{\tau_1}(u)\otimes\cdots\otimes w_{\tau_m}(u) w τ 1 ( u ) ⊗ ⋯ ⊗ w τ m ( u ) . Comparing with (114) , we see that the component of the right side of (110) indexed by τ \tau τ is w τ ( t ) w_\tau(t) w τ ( t ) . Its one-leaf component is η t = w ∙ ( t ) \eta_t=w_\bullet(t) η t = w ∙ ( t ) . Both sides of (110) therefore have the same components.
Step 5: the root frame and the energy. We apply P T P_T P T to (110) . The projection P T P_T P T is bounded and commutes with grafting by (109) , which gives
P T v t = P T η t + β p ∫ 0 t R ( t , u ) I ( ( P T v u ) ⊗ m ) d u . P_Tv_t=P_T\eta_t+\beta\sqrt{p}\int_0^t R(t,u)\mathcal{I}\left((P_Tv_u)^{\otimes m}\right)\,\mathrm{d}u. P T v t = P T η t + β p ∫ 0 t R ( t , u ) I ( ( P T v u ) ⊗ m ) d u .
The vector P T η t P_T\eta_t P T η t lies in the one-leaf summand, which I ∗ \mathcal{I}^{*} I ∗ annihilates, and I ∗ I = Id \mathcal{I}^{*}\mathcal{I}=\operatorname{Id} I ∗ I = Id . Applying I ∗ \mathcal{I}^{*} I ∗ to the last display yields (113) . We now let T = t T=t T = t . For u ≤ t u\le t u ≤ t , we have v u ∈ H u ⊂ H t v_u\in\mathcal{H}_u\subset\mathcal{H}_t v u ∈ H u ⊂ H t , so P t v u = v u P_tv_u=v_u P t v u = v u . Taking the inner product of (113) with v t ⊗ m v_t^{\otimes m} v t ⊗ m , we obtain
h ( v t ) = p ⟨ I ∗ v t , v t ⊗ m ⟩ = p β ∫ 0 t R ( t , u ) ⟨ v u , v t ⟩ m d u = p β ∫ 0 t C ( t , u ) p − 1 R ( t , u ) d u = e β ( t ) , \begin{aligned}
h(v_t)=\sqrt{p}\,\langle\mathcal{I}^{*}v_t,v_t^{\otimes m}\rangle=p\beta\int_0^t R(t,u)\langle v_u,v_t\rangle^m\,\mathrm{d}u \\
&=p\beta\int_0^t C(t,u)^{p-1}R(t,u)\,\mathrm{d}u=e_\beta(t),
\end{aligned} h ( v t ) = p ⟨ I ∗ v t , v t ⊗ m ⟩ = pβ ∫ 0 t R ( t , u ) ⟨ v u , v t ⟩ m d u = pβ ∫ 0 t C ( t , u ) p − 1 R ( t , u ) d u = e β ( t ) ,
where the last equality is (56) . By the same identity, we also have λ ( t ) = 1 + p β e β ( t ) = 1 + p β h ( v t ) \lambda(t)=1+p\beta e_\beta(t)=1+p\beta h(v_t) λ ( t ) = 1 + pβ e β ( t ) = 1 + pβ h ( v t ) . This completes the proof.
The evolution of a projected state
After time T T T , no new noise leaf survives the projection P T P_T P T , and the projected curve P T v t P_Tv_t P T v t becomes differentiable. The next lemma computes its derivative. In Section 11, we use it to turn reflection identities into bounds on derivatives at remote times (Theorem 11.4 ). The polynomial h h h of (112) is Fréchet differentiable on H \mathcal{H} H , and we write ∇ h ( v ) \nabla h(v) ∇ h ( v ) for its gradient.
Lemma 7.3 (Local polynomial drift after a causal projection). Define B : H → H \mathcal{B}:\mathcal{H}\to\mathcal{H} B : H → H by
B ( v ) = − v + β ∇ h ( v ) − p β h ( v ) v . \mathcal{B}(v)=-v+\beta\nabla h(v)-p\beta h(v)v. B ( v ) = − v + β ∇ h ( v ) − pβ h ( v ) v .
For every fixed T ≥ 0 T \ge0 T ≥ 0 , the curve t ↦ P T v t t \mapsto P_Tv_t t ↦ P T v t is continuously differentiable on ( T , ∞ ) (T,\infty) ( T , ∞ ) , and
d d t P T v t = P T B ( v t ) , t > T . (118) \frac{\mathrm{d}}{\mathrm{d}t}P_Tv_t=P_T\mathcal{B}(v_t), \qquad t>T. \tag*{(118)} d t d P T v t = P T B ( v t ) , t > T . (118)
The map B \mathcal{B} B is Lipschitz on the closed unit ball of H \mathcal{H} H . If there exists K < ∞ K<\infty K < ∞ such that 1 − C ( t , s ) ≤ K ∣ t − s ∣ 1-\mathcal{C}(t,s)\le K|t-s| 1 − C ( t , s ) ≤ K ∣ t − s ∣ for all t , s ≥ 0 t,s\ge0 t , s ≥ 0 , then there exists K ′ < ∞ K'<\infty K ′ < ∞ , depending only on p p p , β \beta β , and K K K , such that
∥ d d t P T v t − d d s P T v s ∥ ≤ K ′ ∣ t − s ∣ 1 / 2 for all T ≥ 0 and t , s > T . \left\|\frac{\mathrm{d}}{\mathrm{d}t}P_Tv_t-\frac{\mathrm{d}}{\mathrm{d}s}P_Tv_s\right\|\le K'|t-s|^{1/2}\qquad\text{for all }T\ge0\text{ and }t,s>T. d t d P T v t − d s d P T v s ≤ K ′ ∣ t − s ∣ 1/2 for all T ≥ 0 and t , s > T .
Proof. We differentiate the projected realization, identify the result with the gradient of h h h along the curve, and prove the Lipschitz bounds. Throughout, we write
Φ ( u ) = β p I ( v u ⊗ m ) , Ψ ( t ) = ∫ 0 t R ( t , u ) Φ ( u ) d u , \Phi(u)=\beta\sqrt{p}\,\mathcal{I}(v_u^{\otimes m}),\qquad
\Psi(t)=\int_0^t R(t,u)\Phi(u)\,\mathrm{d}u, Φ ( u ) = β p I ( v u ⊗ m ) , Ψ ( t ) = ∫ 0 t R ( t , u ) Φ ( u ) d u ,
so that v t = η t + Ψ ( t ) v_t=\eta_t+\Psi(t) v t = η t + Ψ ( t ) by (7.3), with η t \eta_t η t the leaf vector of the proof of Proposition 7.1. The curve Φ \Phi Φ is continuous, with ∥ Φ ( u ) ∥ ≤ β p \|\Phi(u)\|\le\beta\sqrt{p} ∥Φ ( u ) ∥ ≤ β p .
Step 1: differentiation. By Proposition 4.5, the partial derivative ∂ t R \partial_tR ∂ t R extends continuously to every compact causal triangle. For t > T t>T t > T , we have
P T η t = R ( t , 0 ) e 0 + 2 1 [ 0 , T ] R ( t , ⋅ ) , P_T\eta_t=R(t,0)e_0+\sqrt{2}\mathbf{1}_{[0,T]}R(t,\mathord\cdot), P T η t = R ( t , 0 ) e 0 + 2 1 [ 0 , T ] R ( t , ⋅ ) ,
and the cutoff of the noise component no longer moves with t t t . On every compact interval of ( T , ∞ ) (T,\infty) ( T , ∞ ) , the difference quotients of R ( ⋅ , u ) R(\mathord\cdot,u) R ( ⋅ , u ) converge to ∂ t R ( ⋅ , u ) \partial_tR(\mathord\cdot,u) ∂ t R ( ⋅ , u ) uniformly in u ∈ [ 0 , T ] u\in[0,T] u ∈ [ 0 , T ] . It follows that P T η t P_T\eta_t P T η t is continuously differentiable on ( T , ∞ ) (T,\infty) ( T , ∞ ) , with derivative ∂ t R ( t , 0 ) e 0 + 2 1 [ 0 , T ] ∂ t R ( t , ⋅ ) \partial_tR(t,0)e_0+\sqrt{2}\mathbf{1}_{[0,T]}\partial_tR(t,\mathord\cdot) ∂ t R ( t , 0 ) e 0 + 2 1 [ 0 , T ] ∂ t R ( t , ⋅ ) . Inserting the response equation (7.1), and noting that the noise component of P T η z P_T\eta_z P T η z is 2 R ( z , y ) \sqrt{2}R(z,y) 2 R ( z , y ) for y ≤ z ∧ T y\le z\wedge T y ≤ z ∧ T and zero for other y y y , we have
d d t P T η t = − λ ( t ) P T η t + ∫ 0 t Σ ( t , z ) P T η z d z , t > T . (119) \frac{\mathrm{d}}{\mathrm{d}t}P_T\eta_t=-\lambda(t)P_T\eta_t+\int_0^t\Sigma(t,z)P_T\eta_z\,\mathrm{d}z,\qquad t>T. \tag*{(119)} d t d P T η t = − λ ( t ) P T η t + ∫ 0 t Σ ( t , z ) P T η z d z , t > T . (119)
Next, using that R R R and ∂ t R \partial_tR ∂ t R are continuous on compact causal triangles and that R ( t , t ) = 1 R(t,t)=1 R ( t , t ) = 1 , we see that the curve Ψ \Psi Ψ is continuously differentiable on ( 0 , ∞ ) (0,\infty) ( 0 , ∞ ) , with
Ψ ′ ( t ) = Φ ( t ) + ∫ 0 t ∂ t R ( t , u ) Φ ( u ) d u . \Psi'(t)=\Phi(t)+\int_0^t\partial_tR(t,u)\Phi(u)\,\mathrm{d}u. Ψ ′ ( t ) = Φ ( t ) + ∫ 0 t ∂ t R ( t , u ) Φ ( u ) d u .
We insert (7.1) and exchange the order of integration on the triangle { 0 ≤ u ≤ z ≤ t } \{0\le u\le z\le t\} { 0 ≤ u ≤ z ≤ t } , which is allowed because the integrand is continuous and bounded in norm. We obtain
Ψ ′ ( t ) = Φ ( t ) − λ ( t ) Ψ ( t ) + ∫ 0 t Σ ( t , z ) Ψ ( z ) d z . (120) \Psi'(t)=\Phi(t)-\lambda(t)\Psi(t)+\int_0^t\Sigma(t,z)\Psi(z)\,\mathrm{d}z. \tag*{(120)} Ψ ′ ( t ) = Φ ( t ) − λ ( t ) Ψ ( t ) + ∫ 0 t Σ ( t , z ) Ψ ( z ) d z . (120)
Adding (7.12) and the image of (7.13) under P T P_T P T , we have, for t > T t>T t > T ,
d d t P T v t = P T [ − λ ( t ) v t + Φ ( t ) + ∫ 0 t Σ ( t , z ) v z d z ] . (121) \frac{\mathrm{d}}{\mathrm{d}t}P_Tv_t=P_T\left[-\lambda(t)v_t+\Phi(t)+\int_0^t\Sigma(t,z)v_z\,\mathrm{d}z\right]. \tag*{(121)} d t d P T v t = P T [ − λ ( t ) v t + Φ ( t ) + ∫ 0 t Σ ( t , z ) v z d z ] . (121)
Step 2: the gradient along the curve. For v , w ∈ H v,w\in\mathcal{H} v , w ∈ H , the derivative of h h h is
D h ( v ) [ w ] = p ⟨ w , I ( v ⊗ m ) ⟩ + p ∑ i = 1 m ⟨ I ∗ v , v ⊗ ( i − 1 ) ⊗ w ⊗ v ⊗ ( m − i ) ⟩ . Dh(v)[w]=\sqrt{p}\,\langle w,\mathcal{I}(v^{\otimes m})\rangle+\sqrt{p}\sum_{i=1}^{m}\left\langle\mathcal{I}^{*}v,v^{\otimes(i-1)}\otimes w\otimes v^{\otimes(m-i)}\right\rangle. D h ( v ) [ w ] = p ⟨ w , I ( v ⊗ m )⟩ + p i = 1 ∑ m ⟨ I ∗ v , v ⊗ ( i − 1 ) ⊗ w ⊗ v ⊗ ( m − i ) ⟩ .
Recall from (113) with T = t T=t T = t that I ∗ v t = β p ∫ 0 t R ( t , u ) v u ⊗ m d u \mathcal{I}^{*}v_t=\beta\sqrt{p}\int_{0}^{t}R(t,u)v_u^{\otimes m}\,du I ∗ v t = β p ∫ 0 t R ( t , u ) v u ⊗ m d u . Each of the m m m terms of the sum then equals β p ∫ 0 t R ( t , u ) C ( t , u ) m − 1 ⟨ v u , w ⟩ d u \beta\sqrt{p}\int_{0}^{t}R(t,u)C(t,u)^{m-1}\langle v_u,w\rangle\,du β p ∫ 0 t R ( t , u ) C ( t , u ) m − 1 ⟨ v u , w ⟩ d u , and we find that
β ∇ h ( v t ) = Φ ( t ) + β 2 p ( p − 1 ) ∫ 0 t C ( t , u ) p − 2 R ( t , u ) v u d u = Φ ( t ) + ∫ 0 t Σ ( t , u ) v u d u . (122) \beta\nabla h(v_t)=\Phi(t)+\beta^{2}p(p-1)\int_{0}^{t}C(t,u)^{p-2}R(t,u)v_u\,du=\Phi(t)+\int_{0}^{t}\Sigma(t,u)v_u\,du. \tag*{(122)} β ∇ h ( v t ) = Φ ( t ) + β 2 p ( p − 1 ) ∫ 0 t C ( t , u ) p − 2 R ( t , u ) v u d u = Φ ( t ) + ∫ 0 t Σ ( t , u ) v u d u . (122)
Although ordered grafting is not symmetric, the m m m contractions agree here because the root tensor of v t v_t v t is an integral of symmetric tensor powers; this produces the factor p − 1 p-1 p − 1 in Σ \Sigma Σ . We also have λ ( t ) = 1 + p β h ( v t ) \lambda(t)=1+p\beta h(v_t) λ ( t ) = 1 + pβ h ( v t ) by Proposition 7.1 . Inserting this and (122) into (121) , we arrive at (118) . Its right side is continuous in t t t , because t ↦ v t t\mapsto v_t t ↦ v t and B \mathcal{B} B are continuous, and this shows that P T v t P_Tv_t P T v t is continuously differentiable on ( T , ∞ ) (T,\infty) ( T , ∞ ) .
Step 3: the Lipschitz bounds. The multilinear form ( y 0 , … , y m ) ↦ ⟨ y 0 , I ( y 1 ⊗ ⋯ ⊗ y m ) ⟩ (y_0,\ldots,y_m)\mapsto\langle y_0,\mathcal{I}(y_1\otimes\cdots\otimes y_m)\rangle ( y 0 , … , y m ) ↦ ⟨ y 0 , I ( y 1 ⊗ ⋯ ⊗ y m )⟩ has norm at most one, and we obtain h h h and D h Dh D h by inserting v v v or w w w into its p = m + 1 p=m+1 p = m + 1 slots. Changing one slot at a time, we find, for v , v ′ v,v' v , v ′ in the closed unit ball,
∣ h ( v ) ∣ ≤ p , ∣ h ( v ) − h ( v ′ ) ∣ ≤ p p ∥ v − v ′ ∥ , |h(v)|\le\sqrt{p},\qquad|h(v)-h(v')|\le p\sqrt{p}\,\lVert v-v'\rVert, ∣ h ( v ) ∣ ≤ p , ∣ h ( v ) − h ( v ′ ) ∣ ≤ p p ∥ v − v ′ ∥ ,
∥ ∇ h ( v ) − ∇ h ( v ′ ) ∥ ≤ p ( p − 1 ) p ∥ v − v ′ ∥ . \lVert\nabla h(v)-\nabla h(v')\rVert\le p(p-1)\sqrt{p}\,\lVert v-v'\rVert. ∥ ∇ h ( v ) − ∇ h ( v ′ )∥ ≤ p ( p − 1 ) p ∥ v − v ′ ∥ .
Writing h ( v ) v − h ( v ′ ) v ′ = h ( v ) ( v − v ′ ) + { h ( v ) − h ( v ′ ) } v ′ h(v)v-h(v')v'=h(v)(v-v')+\{h(v)-h(v')\}v' h ( v ) v − h ( v ′ ) v ′ = h ( v ) ( v − v ′ ) + { h ( v ) − h ( v ′ )} v ′ , we have
∥ B ( v ) − B ( v ′ ) ∥ ≤ { 1 + β p ( p − 1 ) p + p β ( p + p p ) } ∥ v − v ′ ∥ = ( 1 + 2 β p 2 p ) ∥ v − v ′ ∥ . \begin{aligned}
\lVert\mathcal{B}(v)-\mathcal{B}(v')\rVert\le\{1+\beta p(p-1)\sqrt{p}+p\beta(\sqrt{p}+p\sqrt{p})\}\lVert v-v'\rVert\\
&=(1+2\beta p^{2}\sqrt{p})\lVert v-v'\rVert.
\end{aligned} ∥ B ( v ) − B ( v ′ )∥ ≤ { 1 + β p ( p − 1 ) p + pβ ( p + p p )} ∥ v − v ′ ∥ = ( 1 + 2 β p 2 p ) ∥ v − v ′ ∥ .
Now suppose that 1 − C ( t , s ) ≤ K ∣ t − s ∣ 1-C(t,s)\le K|t-s| 1 − C ( t , s ) ≤ K ∣ t − s ∣ for all t , s t,s t , s . Then ∥ v t − v s ∥ 2 = 2 { 1 − C ( t , s ) } ≤ 2 K ∣ t − s ∣ \lVert v_t-v_s\rVert^{2}=2\{1-C(t,s)\}\le2K|t-s| ∥ v t − v s ∥ 2 = 2 { 1 − C ( t , s )} ≤ 2 K ∣ t − s ∣ . Since P T P_T P T is a contraction, (118) implies that, for t , s > T t,s>T t , s > T ,
∥ d d t P T v t − d d s P T v s ∥ ≤ ( 1 + 2 β p 2 p ) 2 K ∣ t − s ∣ 1 / 2 . \left\lVert\frac{\mathrm{d}}{\mathrm{d}t}P_Tv_t-\frac{\mathrm{d}}{\mathrm{d}s}P_Tv_s\right\rVert\le(1+2\beta p^{2}\sqrt{p})\sqrt{2K}|t-s|^{1/2}. d t d P T v t − d s d P T v s ≤ ( 1 + 2 β p 2 p ) 2 K ∣ t − s ∣ 1/2 .
This is the last assertion, with K ′ = ( 1 + 2 β p 2 p ) 2 K K'=(1+2\beta p^{2}\sqrt{p})\sqrt{2K} K ′ = ( 1 + 2 β p 2 p ) 2 K .
Remark 7.4 (The diagonal increment bound). The hypothesis of the last assertion of Lemma 7.3 holds with K = Λ K=\Lambda K = Λ , the constant of (72) . Indeed, by (75) in Proposition 4.4 and the symmetry of C C C , we have 1 − C ( t , s ) ≤ Λ ∣ t − s ∣ 1-C(t,s)\le\Lambda|t-s| 1 − C ( t , s ) ≤ Λ∣ t − s ∣ for all t , s ≥ 0 t,s\ge0 t , s ≥ 0 . The derivatives of P T v t P_Tv_t P T v t are then 1 / 2 1/2 1/2 -Hölder on ( T , ∞ ) (T,\infty) ( T , ∞ ) with the constant ( 1 + 2 β p 2 p ) 2 Λ (1+2\beta p^{2}\sqrt{p})\sqrt{2\Lambda} ( 1 + 2 β p 2 p ) 2Λ , which does not depend on T T T .
Reflection and complete monotonicity
We now study the part of a late state that was already determined at an earlier time. By Proposition 5.7, entropy production identifies every bounded-lag cluster of the translated kernels as a stationary profile that satisfies the FDT relation. It neither selects the plateau of this profile nor controls the older part of the correlation memory. To study the plateau, we project late states onto the information carried by earlier noise leaves. For T ≥ 0 T \ge0 T ≥ 0 and a ≥ 0 a \ge0 a ≥ 0 , we define the prefix center
M T ( a ) = P T γ T + a . M_T(a) = P_T\gamma_{T+a}. M T ( a ) = P T γ T + a .
It is the part of the state at time T + a T+a T + a built from the initial vector and noise received by time T T T , including memory interactions after T T T . The main observation of this section is that the Gram kernel of the prefix centers satisfies a closed equation on a fixed future rectangle. Every memory term that involves a time before T T T cancels exactly, before any limit is taken. The stationary FDT relation then identifies the limit of this kernel. This is the reflection identity, which says that the overlap of the centers at offsets a a a and b b b converges to c ( a + b ) c(a+b) c ( a + b ) .
Recall that a stationary cluster ( c , r , ℓ ) (c,r,\ell) ( c , r , ℓ ) is a locally uniform limit of the translated kernels ( C T n , R T n , λ T n ) (C_{T_n},R_{T_n},\lambda_{T_n}) ( C T n , R T n , λ T n ) along a sequence T n → ∞ T_n \to\infty T n → ∞ , as in Proposition 5.7, and that its energy is e ∞ = ( ℓ − 1 ) / ( p β ) e_\infty= (\ell-1)/(p\beta) e ∞ = ( ℓ − 1 ) / ( pβ ) .
Proposition 7.5 (Reflection of a stationary cluster). Fix p ≥ 3 p \ge3 p ≥ 3 and β > 0 \beta> 0 β > 0 . Let T n → ∞ T_n \to\infty T n → ∞ be a sequence along which the translated kernels converge to a stationary cluster ( c , r , ℓ ) (c,r,\ell) ( c , r , ℓ ) , as in Proposition 5.7, and let e ∞ = ( ℓ − 1 ) / ( p β ) e_\infty= (\ell-1)/(p\beta) e ∞ = ( ℓ − 1 ) / ( pβ ) be its energy. Then, for every finite A ≥ 0 A \ge0 A ≥ 0 ,
lim n → ∞ sup 0 ≤ a , b ≤ A ∣ ⟨ M T n ( a ) , M T n ( b ) ⟩ − c ( a + b ) ∣ = 0. (123) \lim_{n\to\infty}\sup_{0\le a,b\le A}\left|\langle M_{T_n}(a),M_{T_n}(b)\rangle-c(a+b)\right|=0. \tag*{(123)} n → ∞ lim 0 ≤ a , b ≤ A sup ∣ ⟨ M T n ( a ) , M T n ( b )⟩ − c ( a + b ) ∣ = 0. (123) Moreover, for every fixed L ≥ 0 L \ge0 L ≥ 0 ,
lim n → ∞ ∥ M T n ( L ) ∥ 2 = d L , d L = c ( 2 L ) , (124) \lim_{n\to\infty}\left\|M_{T_n}(L)\right\|^2=d_L,\qquad d_L=c(2L), \tag*{(124)} n → ∞ lim ∥ M T n ( L ) ∥ 2 = d L , d L = c ( 2 L ) , (124) lim n → ∞ h ( M T n ( L ) ) = h L , h L = e ∞ + β p ∫ 0 L r ( τ ) { c ( 2 L − τ ) p − 1 − c ( τ ) p − 1 } d τ . (125) \lim_{n\to\infty}h\left(M_{T_n}(L)\right)=h_L,\qquad h_L=e_\infty+\beta p\int_0^L r(\tau)\left\{c(2L-\tau)^{p-1}-c(\tau)^{p-1}\right\}\,\mathrm{d}\tau. \tag*{(125)} n → ∞ lim h ( M T n ( L ) ) = h L , h L = e ∞ + β p ∫ 0 L r ( τ ) { c ( 2 L − τ ) p − 1 − c ( τ ) p − 1 } d τ . (125) The plateau q q q of the cluster may be zero; the proposition covers every p ≥ 3 p \ge3 p ≥ 3 , every β > 0 \beta> 0 β > 0 , and every stationary cluster.
Remark 7.6 (Independent futures). The reflected lag a + b a+b a + b has a simple heuristic explanation. Let ( x t ) (x_t) ( x t ) be a stationary reversible Markov process in R N \mathbb{R}^N R N with correlation c ( t ) = E [ x 0 ⋅ x t ] / N c(t)=\mathbb{E}[x_0\cdot x_t]/N c ( t ) = E [ x 0 ⋅ x t ] / N . Two continuations from a common state x T x_T x T , with independent noise after time T T T , have the conditional means E [ x T + a ∣ x T ] \mathbb{E}[x_{T+a}\mid x_T] E [ x T + a ∣ x T ] and E [ x T + b ∣ x T ] \mathbb{E}[x_{T+b}\mid x_T] E [ x T + b ∣ x T ] at times $T+a and T + b T+b T + b . The Markov semigroup of the process is self-adjoint in the stationary law, so stationarity and the semigroup property give
1 N E [ E [ x T + a ∣ x T ] ⋅ E [ x T + b ∣ x T ] ] = 1 N E [ x 0 ⋅ x a + b ] = c ( a + b ) . \frac{1}{N}\mathbb{E}\left[\mathbb{E}[x_{T+a}\mid x_T]\cdot\mathbb{E}[x_{T+b}\mid x_T]\right]=\frac{1}{N}\mathbb{E}[x_0\cdot x_{a+b}]=c(a+b). N 1 E [ E [ x T + a ∣ x T ] ⋅ E [ x T + b ∣ x T ] ] = N 1 E [ x 0 ⋅ x a + b ] = c ( a + b ) .
Trajectories with a common past and independent future noise were studied by Barrat, Burioni, and Mézard, and the formula c ( a + b ) c(a+b) c ( a + b ) for the overlap of two such continuations appears in [11, equation (9) and Section 4.1]. Franz and Virasoro proposed weighted averages over cloned futures to improve estimates of quasi-state magnetizations [72, arXiv version 3, Section III]; see also Biroli [31, arXiv version 2, Section III.B]. The prefix center plays the role of the conditional mean in the tree space. The CK dynamics is not stationary, and Proposition 7.5 justifies the reflected overlap for the stationary clusters of the CK solution, by an exact cancellation in the CK equations.
Proof of Proposition 7.5. The proof has four steps. First, for every fixed T T T , we derive a closed equation for the projected Gram kernel on the future rectangle. Second, we pass to the limit in its coefficients and show that the limiting equation is stable, in the sense that any solution with values in [ 0 , 1 ] [0,1] [ 0 , 1 ] is the limit of the projected kernels. Third, we verify with Laplace transforms that c ( a + b ) c(a+b) c ( a + b ) is such a solution, which proves (123) and (124) . Fourth, we compute the energy of a prefix center by an exact subtraction. Throughout, we write B = β 2 p B=\beta^2p B = β 2 p .
Step 1: the closed equation on the future rectangle. Fix T ≥ 0 T\geq0 T ≥ 0 , and let K T ( t , s ) = ⟨ P T v t , P T v s ⟩ K_T(t,s)=\langle P_Tv_t,P_Tv_s\rangle K T ( t , s ) = ⟨ P T v t , P T v s ⟩ for t , s ≥ 0 t,s\geq0 t , s ≥ 0 . We apply P T P_T P T to (110) . The one-leaf component P T η t P_T\eta_t P T η t is orthogonal to the grafted part, P T P_T P T commutes with grafting by (109) , and I \mathcal{I} I is an isometry. As in Step 2 of the proof of Proposition 7.1, we obtain, for t , s ≥ T t,s\geq T t , s ≥ T ,
K T ( t , s ) = R ( t , 0 ) R ( s , 0 ) + 2 ∫ 0 T R ( t , u ) R ( s , u ) d u + B ∫ 0 t ∫ 0 s R ( t , u ) R ( s , w ) K T ( u , w ) m d w d u . (126) \begin{aligned}
K_T(t,s)&=R(t,0)R(s,0)+2\int_0^T R(t,u)R(s,u)\,\mathrm{d}u\\
&\quad+B\int_0^t\int_0^s R(t,u)R(s,w)K_T(u,w)^m\,\mathrm{d}w\,\mathrm{d}u. \tag*{(126)}
\end{aligned} K T ( t , s ) = R ( t , 0 ) R ( s , 0 ) + 2 ∫ 0 T R ( t , u ) R ( s , u ) d u + B ∫ 0 t ∫ 0 s R ( t , u ) R ( s , w ) K T ( u , w ) m d w d u . (126)
Here the noise integral stops at T T T , since the noise components of P T η t P_T\eta_t P T η t and P T η s P_T\eta_s P T η s vanish beyond T T T . The projection has no effect as soon as one argument lies in the past. Indeed, if u ≤ T u\leq T u ≤ T , then v u ∈ H T v_u\in\mathcal{H}_T v u ∈ H T , which implies that P T v u = v u P_Tv_u=v_u P T v u = v u and
K T ( u , w ) = ⟨ v u , P T v w ⟩ = ⟨ P T v u , v w ⟩ = ⟨ v u , v w ⟩ = C ( u , w ) . K_T(u,w)=\langle v_u,P_Tv_w\rangle=\langle P_Tv_u,v_w\rangle=\langle v_u,v_w\rangle=C(u,w). K T ( u , w ) = ⟨ v u , P T v w ⟩ = ⟨ P T v u , v w ⟩ = ⟨ v u , v w ⟩ = C ( u , w ) .
The same holds if w ≤ T w\leq T w ≤ T . We subtract (126) from the Green identity (65) . The initial terms cancel, the noise integrals over [ 0 , T ] [0,T] [ 0 , T ] cancel, and in the memory integrals every block with u ≤ T u \le T u ≤ T or w ≤ T w \le T w ≤ T cancels. Only the integrals over ( T , t ] × ( T , s ] (T,t] \times(T,s] ( T , t ] × ( T , s ] remain, and we have
C ( t , s ) − K T ( t , s ) = 2 ∫ T t ∧ s R ( t , u ) R ( s , u ) d u + B ∫ T t ∫ T s R ( t , u ) R ( s , w ) { C ( u , w ) m − K T ( u , w ) m } d w d u . C(t,s) - K_T(t,s) = 2 \int_T^{t \wedge s} R(t,u)R(s,u)\,\mathrm{d}u
+ B \int_T^t \int_T^s R(t,u)R(s,w)\left\{C(u,w)^m - K_T(u,w)^m\right\}\,\mathrm{d}w\,\mathrm{d}u. C ( t , s ) − K T ( t , s ) = 2 ∫ T t ∧ s R ( t , u ) R ( s , u ) d u + B ∫ T t ∫ T s R ( t , u ) R ( s , w ) { C ( u , w ) m − K T ( u , w ) m } d w d u .
For a , b ≥ 0 a,b \ge0 a , b ≥ 0 , let Q T ( a , b ) = K T ( T + a , T + b ) = ⟨ M T ( a ) , M T ( b ) ⟩ Q_T(a,b) = K_T(T+a,T+b) = \langle M_T(a),M_T(b)\rangle Q T ( a , b ) = K T ( T + a , T + b ) = ⟨ M T ( a ) , M T ( b )⟩ . Shifting all times by T T T , we arrive at
Q T ( a , b ) = C ( T + a , T + b ) − 2 ∫ 0 a ∧ b R ( T + a , T + u ) R ( T + b , T + u ) d u − B ∫ 0 a ∫ 0 b R ( T + a , T + u ) R ( T + b , T + w ) ⋅ { C ( T + u , T + w ) m − Q T ( u , w ) m } d w d u . (127) \begin{aligned}
Q_T(a,b) ={}& C(T+a,T+b) - 2\int_0^{a\wedge b} R(T+a,T+u)R(T+b,T+u)\,\mathrm{d}u \\
&- B\int_0^a\int_0^b R(T+a,T+u)R(T+b,T+w) \\
&\qquad\cdot\left\{C(T+u,T+w)^m-Q_T(u,w)^m\right\}\,\mathrm{d}w\,\mathrm{d}u. \tag*{(127)}
\end{aligned} Q T ( a , b ) = C ( T + a , T + b ) − 2 ∫ 0 a ∧ b R ( T + a , T + u ) R ( T + b , T + u ) d u − B ∫ 0 a ∫ 0 b R ( T + a , T + u ) R ( T + b , T + w ) ⋅ { C ( T + u , T + w ) m − Q T ( u , w ) m } d w d u . (127)
This equation holds for every T T T ; no limit has been taken, and no decay of the older memory has been used. We also note that
0 ≤ Q T ( a , b ) ≤ C ( T + a , T + b ) ≤ 1. 0 \le Q_T(a,b) \le C(T+a,T+b) \le1. 0 ≤ Q T ( a , b ) ≤ C ( T + a , T + b ) ≤ 1.
Indeed, the components of P T v t P_Tv_t P T v t and ( I d − P T ) v t (\mathrm{Id}-P_T)v_t ( Id − P T ) v t are nonnegative, which implies C ( t , s ) = K T ( t , s ) + ⟨ ( I d − P T ) v t , ( I d − P T ) v s ⟩ ≥ K T ( t , s ) ≥ 0 C(t,s) = K_T(t,s) + \langle(\mathrm{Id}-P_T)v_t,(\mathrm{Id}-P_T)v_s\rangle\ge K_T(t,s) \ge0 C ( t , s ) = K T ( t , s ) + ⟨( Id − P T ) v t , ( Id − P T ) v s ⟩ ≥ K T ( t , s ) ≥ 0 .
Step 2: the limiting equation, uniqueness, and stability. We fix 0 ≤ A < ∞ 0 \le A < \infty 0 ≤ A < ∞ and write Q n = Q T n Q_n=Q_{T_n} Q n = Q T n , C n ( a , b ) = C ( T n + a , T n + b ) C_n(a,b)=C(T_n+a,T_n+b) C n ( a , b ) = C ( T n + a , T n + b ) , and R n ( a , u ) = R ( T n + a , T n + u ) R_n(a,u)=R(T_n+a,T_n+u) R n ( a , u ) = R ( T n + a , T n + u ) . We also abbreviate Θ n ( u , w ) = R n ( a , u ) R n ( b , w ) \Theta_n(u,w)=R_n(a,u)R_n(b,w) Θ n ( u , w ) = R n ( a , u ) R n ( b , w ) and θ ( u , w ) = r ( a − u ) r ( b − w ) \theta(u,w)=r(a-u)r(b-w) θ ( u , w ) = r ( a − u ) r ( b − w ) , for fixed a a a and b b b . By Proposition 5.7 , we have C n ( a , b ) → c ( ∣ a − b ∣ ) C_n(a,b)\to c(|a-b|) C n ( a , b ) → c ( ∣ a − b ∣ ) uniformly for a , b ∈ [ 0 , A ] a,b\in[0,A] a , b ∈ [ 0 , A ] , and R n ( a , u ) → r ( a − u ) R_n(a,u)\to r(a-u) R n ( a , u ) → r ( a − u ) uniformly for 0 ≤ u ≤ a ≤ A 0\le u\le a\le A 0 ≤ u ≤ a ≤ A . The limiting form of (127) is the equation
Q ( a , b ) = c ( ∣ a − b ∣ ) − 2 ∫ 0 a ∧ b r ( a − u ) r ( b − u ) d u − B ∫ 0 a ∫ 0 b r ( a − u ) r ( b − w ) { c ( ∣ u − w ∣ ) m − Q ( u , w ) m } d w d u . (128) \begin{aligned}
Q(a,b) ={}& c(|a-b|) - 2\int_0^{a\wedge b} r(a-u)r(b-u)\,\mathrm{d}u \\
&- B\int_0^a\int_0^b r(a-u)r(b-w)\left\{c(|u-w|)^m-Q(u,w)^m\right\}\,\mathrm{d}w\,\mathrm{d}u. \tag*{(128)}
\end{aligned} Q ( a , b ) = c ( ∣ a − b ∣ ) − 2 ∫ 0 a ∧ b r ( a − u ) r ( b − u ) d u − B ∫ 0 a ∫ 0 b r ( a − u ) r ( b − w ) { c ( ∣ u − w ∣ ) m − Q ( u , w ) m } d w d u . (128)
for a function Q Q Q on [ 0 , A ] 2 [0,A]^2 [ 0 , A ] 2 . We first show that it has at most one bounded solution. Let Q Q Q and Q ′ Q' Q ′ be two solutions with ∣ Q ∣ , ∣ Q ′ ∣ ≤ Γ |Q|,|Q'|\le\Gamma ∣ Q ∣ , ∣ Q ′ ∣ ≤ Γ , and let Δ = Q − Q ′ \Delta=Q-Q' Δ = Q − Q ′ . Using 0 ≤ r ≤ 1 0\le r\le1 0 ≤ r ≤ 1 and ∣ x m − y m ∣ ≤ m Γ m − 1 ∣ x − y ∣ |x^m-y^m|\le m\Gamma^{m-1}|x-y| ∣ x m − y m ∣ ≤ m Γ m − 1 ∣ x − y ∣ for ∣ x ∣ , ∣ y ∣ ≤ Γ |x|,|y|\le\Gamma ∣ x ∣ , ∣ y ∣ ≤ Γ , we have
∣ Δ ( a , b ) ∣ ≤ B m Γ m − 1 ∫ 0 a ∫ 0 b ∣ Δ ( u , w ) ∣ d w d u , |\Delta(a,b)| \le Bm\Gamma^{m-1}\int_0^a\int_0^b|\Delta(u,w)|\,\mathrm{d}w\,\mathrm{d}u, ∣Δ ( a , b ) ∣ ≤ B m Γ m − 1 ∫ 0 a ∫ 0 b ∣Δ ( u , w ) ∣ d w d u ,
and the Gronwall argument of Step 3 in the proof of Proposition 7.1 shows that Δ = 0 \Delta=0 Δ = 0 .
Next, we prove stability. Let Q Q Q be a solution of (128) with values in [ 0 , 1 ] [0,1] [ 0 , 1 ] . Subtracting (128) from (127) at T = T n T=T_n T = T n , we find
Q n ( a , b ) − Q ( a , b ) = { C n ( a , b ) − c ( ∣ a − b ∣ ) } − 2 ∫ 0 a ∧ b { Θ n ( u , u ) − θ ( u , u ) } d u − B ∫ 0 a ∫ 0 b { Θ n ( u , w ) C n ( u , w ) m − θ ( u , w ) c ( ∣ u − w ∣ ) m } d w d u + B ∫ 0 a ∫ 0 b { Θ n ( u , w ) − θ ( u , w ) } Q ( u , w ) m d w d u + B ∫ 0 a ∫ 0 b Θ n ( u , w ) { Q n ( u , w ) m − Q ( u , w ) m } d w d u . \begin{aligned}
Q_n(a,b)-Q(a,b)={}&\{C_n(a,b)-c(|a-b|)\}-2\int_0^{a\wedge b}\{\Theta_n(u,u)-\theta(u,u)\}\,\mathrm{d}u\\
&-B\int_0^a\int_0^b\{\Theta_n(u,w)C_n(u,w)^m-\theta(u,w)c(|u-w|)^m\}\,\mathrm{d}w\,\mathrm{d}u\\
&+B\int_0^a\int_0^b\{\Theta_n(u,w)-\theta(u,w)\}Q(u,w)^m\,\mathrm{d}w\,\mathrm{d}u\\
&+B\int_0^a\int_0^b\Theta_n(u,w)\{Q_n(u,w)^m-Q(u,w)^m\}\,\mathrm{d}w\,\mathrm{d}u.
\end{aligned} Q n ( a , b ) − Q ( a , b ) = { C n ( a , b ) − c ( ∣ a − b ∣ )} − 2 ∫ 0 a ∧ b { Θ n ( u , u ) − θ ( u , u )} d u − B ∫ 0 a ∫ 0 b { Θ n ( u , w ) C n ( u , w ) m − θ ( u , w ) c ( ∣ u − w ∣ ) m } d w d u + B ∫ 0 a ∫ 0 b { Θ n ( u , w ) − θ ( u , w )} Q ( u , w ) m d w d u + B ∫ 0 a ∫ 0 b Θ n ( u , w ) { Q n ( u , w ) m − Q ( u , w ) m } d w d u .
Let ε n \varepsilon_n ε n be the supremum over a , b ∈ [ 0 , A ] a,b\in[0,A] a , b ∈ [ 0 , A ] of the sum of the absolute values of the first four terms on the right. All kernels take values in [ 0 , 1 ] [0,1] [ 0 , 1 ] and converge uniformly, and the intervals and rectangles of integration have measure bounded in terms of A A A only. Then ε n → 0 \varepsilon_n\to0 ε n → 0 . In the last term, we use 0 ≤ Θ n ≤ 1 0\leq\Theta_n\leq1 0 ≤ Θ n ≤ 1 and ∣ x m − y m ∣ ≤ m ∣ x − y ∣ |x^m-y^m|\leq m|x-y| ∣ x m − y m ∣ ≤ m ∣ x − y ∣ for x , y ∈ [ 0 , 1 ] x,y\in[0,1] x , y ∈ [ 0 , 1 ] , which applies by Step 1. This gives
∣ Q n ( a , b ) − Q ( a , b ) ∣ ≤ ε n + B m ∫ 0 a ∫ 0 b ∣ Q n ( u , w ) − Q ( u , w ) ∣ d w d u , a , b ∈ [ 0 , A ] . |Q_n(a,b)-Q(a,b)|\leq\varepsilon_n+Bm\int_0^a\int_0^b|Q_n(u,w)-Q(u,w)|\,\mathrm{d}w\,\mathrm{d}u,\qquad a,b\in[0,A]. ∣ Q n ( a , b ) − Q ( a , b ) ∣ ≤ ε n + B m ∫ 0 a ∫ 0 b ∣ Q n ( u , w ) − Q ( u , w ) ∣ d w d u , a , b ∈ [ 0 , A ] .
Let ρ n ( z ) = sup a , b ≤ z ∣ Q n ( a , b ) − Q ( a , b ) ∣ \rho_n(z)=\sup_{a,b\leq z}|Q_n(a,b)-Q(a,b)| ρ n ( z ) = sup a , b ≤ z ∣ Q n ( a , b ) − Q ( a , b ) ∣ . As in Step 3 of the proof of Proposition 7.1 , we have ρ n ( z ) ≤ ε n + 2 B m A ∫ 0 z ρ n ( y ) d y \rho_n(z)\leq\varepsilon_n+2BmA\int_0^z\rho_n(y)\,\mathrm{d}y ρ n ( z ) ≤ ε n + 2 B m A ∫ 0 z ρ n ( y ) d y for z ≤ A z\leq A z ≤ A , and Gronwall’s inequality implies that
sup 0 ≤ a , b ≤ A ∣ Q n ( a , b ) − Q ( a , b ) ∣ ≤ ε n e 2 B m A 2 ⟶ 0. (129) \sup_{0\leq a,b\leq A}|Q_n(a,b)-Q(a,b)|\leq\varepsilon_n e^{2BmA^2}\longrightarrow0. \tag*{(129)} 0 ≤ a , b ≤ A sup ∣ Q n ( a , b ) − Q ( a , b ) ∣ ≤ ε n e 2 B m A 2 ⟶ 0. (129)
It remains to find a solution of (128) with values in [ 0 , 1 ] [0,1] [ 0 , 1 ] .
Step 3: identification of the solution through Laplace transforms. We check that Q ( a , b ) = c ( a + b ) Q(a,b)=c(a+b) Q ( a , b ) = c ( a + b ) solves (128) . Note that 0 ≤ c ≤ 1 0\leq c\leq1 0 ≤ c ≤ 1 . Step 2 then proves (123) , and the case a = b = L a=b=L a = b = L proves (124) .
For a bounded function f f f on [ 0 , ∞ ) [0,\infty) [ 0 , ∞ ) , let D f ( a , b ) = f ( ∣ a − b ∣ ) − f ( a + b ) D_f(a,b)=f(|a-b|)-f(a+b) D f ( a , b ) = f ( ∣ a − b ∣ ) − f ( a + b ) . Note that c ( ∣ u − w ∣ ) m − c ( u + w ) m = D c m ( u , w ) c(|u-w|)^m-c(u+w)^m=D_{c^m}(u,w) c ( ∣ u − w ∣ ) m − c ( u + w ) m = D c m ( u , w ) . Then the function c ( a + b ) c(a+b) c ( a + b ) solves (128) if and only if, for all a , b ≥ 0 a,b\geq0 a , b ≥ 0 ,
D c ( a , b ) = 2 ∫ 0 a ∧ b r ( a − u ) r ( b − u ) d u + B ∫ 0 a ∫ 0 b r ( a − u ) r ( b − w ) D c m ( u , w ) d w d u . (130) D_c(a,b)=2\int_0^{a\wedge b}r(a-u)r(b-u)\,\mathrm{d}u+B\int_0^a\int_0^b r(a-u)r(b-w)D_{c^m}(u,w)\,\mathrm{d}w\,\mathrm{d}u. \tag*{(130)} D c ( a , b ) = 2 ∫ 0 a ∧ b r ( a − u ) r ( b − u ) d u + B ∫ 0 a ∫ 0 b r ( a − u ) r ( b − w ) D c m ( u , w ) d w d u . (130)
We prove (130) by comparing double Laplace transforms. For a bounded measurable f f f on [ 0 , ∞ ) [0,\infty) [ 0 , ∞ ) and z > 0 z>0 z > 0 , we write f ^ ( z ) = ∫ 0 ∞ e − z t f ( t ) d t \widehat{f}(z)=\int_0^\infty e^{-zt}f(t)\,\mathrm{d}t f ( z ) = ∫ 0 ∞ e − z t f ( t ) d t , and for a bounded measurable F F F on [ 0 , ∞ ) 2 [0,\infty)^2 [ 0 , ∞ ) 2 and z 1 , z 2 > 0 z_1,z_2>0 z 1 , z 2 > 0 , we write F ^ ( z 1 , z 2 ) = ∫ 0 ∞ ∫ 0 ∞ e − z 1 a − z 2 b F ( a , b ) d b d a \widehat{F}(z_1,z_2)=\int_0^\infty\int_0^\infty e^{-z_1a-z_2b}F(a,b)\,\mathrm{d}b\,\mathrm{d}a F ( z 1 , z 2 ) = ∫ 0 ∞ ∫ 0 ∞ e − z 1 a − z 2 b F ( a , b ) d b d a .
We begin with the transform of D f D_f D f . Splitting [ 0 , ∞ ) 2 [0,\infty)^2 [ 0 , ∞ ) 2 into the regions a ≥ b a\geq b a ≥ b and a < b a<b a < b , and substituting a = b + x a=b+x a = b + x in the first and b = a + x b=a+x b = a + x in the second, we find
∫ 0 ∞ ∫ 0 ∞ e − z 1 a − z 2 b f ( ∣ a − b ∣ ) d b d a = f ^ ( z 1 ) + f ^ ( z 2 ) z 1 + z 2 . \int_0^\infty\int_0^\infty e^{-z_1a-z_2b}f(|a-b|)\,\mathrm{d}b\,\mathrm{d}a=\frac{\widehat{f}(z_1)+\widehat{f}(z_2)}{z_1+z_2}. ∫ 0 ∞ ∫ 0 ∞ e − z 1 a − z 2 b f ( ∣ a − b ∣ ) d b d a = z 1 + z 2 f ( z 1 ) + f ( z 2 ) .
Substituting y = a + b y=a+b y = a + b and integrating over a ∈ [ 0 , y ] a\in[0,y] a ∈ [ 0 , y ] , we have, for z 1 ≠ z 2 z_1\ne z_2 z 1 = z 2 ,
∫ 0 ∞ ∫ 0 ∞ e − z 1 a − z 2 b f ( a + b ) d b d a = ∫ 0 ∞ f ( y ) e − z 2 y − e − z 1 y z 1 − z 2 d y = f ^ ( z 2 ) − f ^ ( z 1 ) z 1 − z 2 . \int_{0}^{\infty}\int_{0}^{\infty}e^{-z_1a-z_2b}f(a+b)\,\mathrm{d}b\,\mathrm{d}a
=\int_{0}^{\infty}f(y)\frac{e^{-z_2y}-e^{-z_1y}}{z_1-z_2}\,\mathrm{d}y
=\frac{\widehat{f}(z_2)-\widehat{f}(z_1)}{z_1-z_2}. ∫ 0 ∞ ∫ 0 ∞ e − z 1 a − z 2 b f ( a + b ) d b d a = ∫ 0 ∞ f ( y ) z 1 − z 2 e − z 2 y − e − z 1 y d y = z 1 − z 2 f ( z 2 ) − f ( z 1 ) .
Subtracting the two identities and putting them over the common denominator z 1 2 − z 2 2 z_1^2-z_2^2 z 1 2 − z 2 2 , we find that
D f ^ ( z 1 , z 2 ) = 2 { z 1 f ^ ( z 1 ) − z 2 f ^ ( z 2 ) } z 1 2 − z 2 2 , z 1 ≠ z 2 . (131) \widehat{D_f}(z_1,z_2)=\frac{2\{z_1\widehat{f}(z_1)-z_2\widehat{f}(z_2)\}}{z_1^2-z_2^2},\qquad z_1\ne z_2. \tag*{(131)} D f ( z 1 , z 2 ) = z 1 2 − z 2 2 2 { z 1 f ( z 1 ) − z 2 f ( z 2 )} , z 1 = z 2 . (131)
Next, we compute the transforms of the stationary profiles. Let σ ( u ) = B m c ( m ) ( u ) m − 1 r ( u ) = − B ( c ( m ) ) ′ ( u ) \sigma(u)=Bm\,c^{(m)}(u)^{m-1}r(u)=-B(c^{(m)})'(u) σ ( u ) = B m c ( m ) ( u ) m − 1 r ( u ) = − B ( c ( m ) ) ′ ( u ) . The stationary response equation (103) reads r ′ = − ℓ r + σ ∗ r r'=-\ell r+\sigma*r r ′ = − ℓ r + σ ∗ r , where ∗ * ∗ denotes convolution on [ 0 , ∞ ) [0,\infty) [ 0 , ∞ ) . The functions r r r and σ \sigma σ are nonnegative and integrable, with ∫ 0 ∞ r = 1 − q \int_0^\infty r=1-q ∫ 0 ∞ r = 1 − q and ∫ 0 ∞ σ = B ( 1 − q m ) \int_0^\infty\sigma=B(1-q^m) ∫ 0 ∞ σ = B ( 1 − q m ) . Then r ′ r' r ′ is integrable, and an integration by parts gives z r ^ ( z ) − 1 = − ℓ r ^ ( z ) + σ ^ ( z ) r ^ ( z ) z\widehat{r}(z)-1=-\ell\widehat{r}(z)+\widehat{\sigma}(z)\widehat{r}(z) z r ( z ) − 1 = − ℓ r ( z ) + σ ( z ) r ( z ) . Recall that r r r is continuous and nonnegative with r ( 0 ) = 1 r(0)=1 r ( 0 ) = 1 , so that r ^ ( z ) > 0 \widehat{r}(z)>0 r ( z ) > 0 . This yields
r ^ ( z ) − 1 = z + ℓ − σ ^ ( z ) . (132) \widehat{r}(z)^{-1}=z+\ell-\widehat{\sigma}(z). \tag*{(132)} r ( z ) − 1 = z + ℓ − σ ( z ) . (132)
In the same way, c ′ = − r c'=-r c ′ = − r and ( c m ) ′ = − σ / B (c^m)'=-\sigma/B ( c m ) ′ = − σ / B , together with c ( 0 ) = 1 c(0)=1 c ( 0 ) = 1 , give
z c ^ ( z ) = 1 − r ^ ( z ) , z c m ^ ( z ) = 1 − σ ^ ( z ) / B . (133) z\widehat{c}(z)=1-\widehat{r}(z),\qquad z\widehat{c^m}(z)=1-\widehat{\sigma}(z)/B. \tag*{(133)} z c ( z ) = 1 − r ( z ) , z c m ( z ) = 1 − σ ( z ) / B . (133)
We now compute the transform of the right side of (130) . Integrating first over a , b ≥ u a,b\ge u a , b ≥ u , we find that the transform of the noise term is
2 ∫ 0 ∞ e − ( z 1 + z 2 ) u d u r ^ ( z 1 ) r ^ ( z 2 ) = 2 r ^ ( z 1 ) r ^ ( z 2 ) z 1 + z 2 . 2\int_0^\infty e^{-(z_1+z_2)u}\,\mathrm{d}u\,\widehat{r}(z_1)\widehat{r}(z_2)=\frac{2\widehat{r}(z_1)\widehat{r}(z_2)}{z_1+z_2}. 2 ∫ 0 ∞ e − ( z 1 + z 2 ) u d u r ( z 1 ) r ( z 2 ) = z 1 + z 2 2 r ( z 1 ) r ( z 2 ) .
The memory term is a two-dimensional convolution of r ( a ) r ( b ) r(a)r(b) r ( a ) r ( b ) with the bounded function D c m D_{c^m} D c m , and its transform is B r ^ ( z 1 ) r ^ ( z 2 ) D ^ c m ( z 1 , z 2 ) B\widehat{r}(z_1)\widehat{r}(z_2)\widehat{D}_{c^m}(z_1,z_2) B r ( z 1 ) r ( z 2 ) D c m ( z 1 , z 2 ) . All these integrals converge absolutely, because r r r is integrable and D c m D_{c^m} D c m is bounded, which justifies the use of Fubini’s theorem. Using (131) with f = c m f=c^m f = c m and (133) , we can write
B D ^ c m ( z 1 , z 2 ) = 2 { σ ^ ( z 2 ) − σ ^ ( z 1 ) } z 1 2 − z 2 2 . B\widehat{D}_{c^m}(z_1,z_2)=\frac{2\{\widehat{\sigma}(z_2)-\widehat{\sigma}(z_1)\}}{z_1^2-z_2^2}. B D c m ( z 1 , z 2 ) = z 1 2 − z 2 2 2 { σ ( z 2 ) − σ ( z 1 )} .
Adding the transforms of the two terms, we have, for z 1 ≠ z 2 z_1\ne z_2 z 1 = z 2 ,
2 r ^ ( z 1 ) r ^ ( z 2 ) z 1 + z 2 + B r ^ ( z 1 ) r ^ ( z 2 ) D ^ c m ( z 1 , z 2 ) = 2 r ^ ( z 1 ) r ^ ( z 2 ) z 1 2 − z 2 2 { z 1 − z 2 + σ ^ ( z 2 ) − σ ^ ( z 1 ) } = 2 r ^ ( z 1 ) r ^ ( z 2 ) z 1 2 − z 2 2 { r ^ ( z 1 ) − 1 − r ^ ( z 2 ) − 1 } = 2 { r ^ ( z 2 ) − r ^ ( z 1 ) } z 1 2 − z 2 2 = D ^ c ( z 1 , z 2 ) . \begin{aligned}
\frac{2\widehat{r}(z_1)\widehat{r}(z_2)}{z_1+z_2}
+B\widehat{r}(z_1)\widehat{r}(z_2)\widehat{D}_{c^m}(z_1,z_2)
=\frac{2\widehat{r}(z_1)\widehat{r}(z_2)}{z_1^2-z_2^2}
\{z_1-z_2+\widehat{\sigma}(z_2)-\widehat{\sigma}(z_1)\} \\
&=\frac{2\widehat{r}(z_1)\widehat{r}(z_2)}{z_1^2-z_2^2}
\{\widehat{r}(z_1)^{-1}-\widehat{r}(z_2)^{-1}\} \\
&=\frac{2\{\widehat{r}(z_2)-\widehat{r}(z_1)\}}{z_1^2-z_2^2}
=\widehat{D}_c(z_1,z_2).
\end{aligned} z 1 + z 2 2 r ( z 1 ) r ( z 2 ) + B r ( z 1 ) r ( z 2 ) D c m ( z 1 , z 2 ) = z 1 2 − z 2 2 2 r ( z 1 ) r ( z 2 ) { z 1 − z 2 + σ ( z 2 ) − σ ( z 1 )} = z 1 2 − z 2 2 2 r ( z 1 ) r ( z 2 ) { r ( z 1 ) − 1 − r ( z 2 ) − 1 } = z 1 2 − z 2 2 2 { r ( z 2 ) − r ( z 1 )} = D c ( z 1 , z 2 ) .
In the second line, we used (132) at z 1 z_1 z 1 and at z 2 z_2 z 2 . In the last equality, we used (131) with f = c f=c f = c and the first identity in (133) .
Both sides of (130) are bounded continuous functions on [ 0 , ∞ ) 2 [0,\infty)^2 [ 0 , ∞ ) 2 . Indeed, the left side is bounded by one, the noise term by 2 ∫ 0 ∞ r = 2 ( 1 − q ) 2\int_0^\infty r=2(1-q) 2 ∫ 0 ∞ r = 2 ( 1 − q ) , and the memory term by B ( 1 − q ) 2 B(1-q)^2 B ( 1 − q ) 2 . We have shown that their double Laplace transforms agree for z 1 ≠ z 2 z_1\ne z_2 z 1 = z 2 , and by continuity of the transforms in ( z 1 , z 2 ) (z_1,z_2) ( z 1 , z 2 ) they agree everywhere on ( 0 , ∞ ) 2 (0,\infty)^2 ( 0 , ∞ ) 2 . Let F F F denote either side. For fixed z 2 > 0 z_2>0 z 2 > 0 , the function a ↦ ∫ 0 ∞ e − z 2 b F ( a , b ) d b a\mapsto\int_0^\infty e^{-z_2b}F(a,b)\,\mathrm{d}b a ↦ ∫ 0 ∞ e − z 2 b F ( a , b ) d b is bounded and continuous, by dominated convergence, and its Laplace transform is F ^ ( ⋅ , z 2 ) \widehat{F}(\cdot,z_2) F ( ⋅ , z 2 ) . By the uniqueness theorem for Laplace transforms of continuous functions, the two such functions coincide for every a ≥ 0 a\ge0 a ≥ 0 . For fixed a a a , the functions b ↦ F ( a , b ) b\mapsto F(a,b) b ↦ F ( a , b ) are bounded and continuous and, by what we just proved, have the same Laplace transform. They therefore coincide. This proves (130) , and hence (123) and (124) .
Step 4: the energy subtraction. By (113) , we have
h ( P T v t ) = p ⟨ L ∗ P T v t , ( P T v t ) ⊗ m ⟩ = β p ∫ 0 t R ( t , u ) K T ( t , u ) m d u . h(P_Tv_t)=\sqrt{p}\left\langle L^*P_Tv_t,(P_Tv_t)^{\otimes m}\right\rangle=\beta p\int_0^t R(t,u)K_T(t,u)^m\,\mathrm{d}u. h ( P T v t ) = p ⟨ L ∗ P T v t , ( P T v t ) ⊗ m ⟩ = β p ∫ 0 t R ( t , u ) K T ( t , u ) m d u .
For u ≤ T u\le T u ≤ T , we have K T ( t , u ) = C ( t , u ) K_T(t,u)=C(t,u) K T ( t , u ) = C ( t , u ) by Step 1. We subtract the identity h ( v t ) = e β ( t ) = β p ∫ 0 t R ( t , u ) C ( t , u ) m d u h(v_t)=e_\beta(t)=\beta p\int_0^t R(t,u)C(t,u)^m\,\mathrm{d}u h ( v t ) = e β ( t ) = β p ∫ 0 t R ( t , u ) C ( t , u ) m d u of Proposition 7.1 from the last display. The integrals over [ 0 , T ] [0,T] [ 0 , T ] cancel. At t = T + L t=T+L t = T + L , using K T ( T + L , u ) = Q T ( L , u − T ) = Q T ( u − T , L ) K_T(T+L,u)=Q_T(L,u-T)=Q_T(u-T,L) K T ( T + L , u ) = Q T ( L , u − T ) = Q T ( u − T , L ) , we obtain
h ( P T v T + L ) = e β ( T + L ) + β p ∫ T T + L R ( T + L , u ) { Q T ( u − T , L ) m − C ( T + L , u ) m } d u . (134) h(P_Tv_{T+L})=e_\beta(T+L)+\beta p\int_T^{T+L}R(T+L,u)\left\{Q_T(u-T,L)^m-C(T+L,u)^m\right\}\,\mathrm{d}u. \tag*{(134)} h ( P T v T + L ) = e β ( T + L ) + β p ∫ T T + L R ( T + L , u ) { Q T ( u − T , L ) m − C ( T + L , u ) m } d u . (134)
Only an integral over a future interval of fixed length L L L remains. Now let T = T n T=T_n T = T n . By Proposition 5.7, we have e β ( T n + L ) → e ∞ e_\beta(T_n+L)\to e_\infty e β ( T n + L ) → e ∞ . With the change of variables τ = T n + L − u ∈ [ 0 , L ] \tau=T_n+L-u\in[0,L] τ = T n + L − u ∈ [ 0 , L ] , we have
R ( T n + L , T n + L − τ ) → r ( τ ) , C ( T n + L , T n + L − τ ) → c ( τ ) , R(T_n+L,T_n+L-\tau)\to r(\tau),\qquad C(T_n+L,T_n+L-\tau)\to c(\tau), R ( T n + L , T n + L − τ ) → r ( τ ) , C ( T n + L , T n + L − τ ) → c ( τ ) ,
Q n ( L − τ , L ) → c ( 2 L − τ ) , Q_n(L-\tau,L)\to c(2L-\tau), Q n ( L − τ , L ) → c ( 2 L − τ ) ,
uniformly in τ ∈ [ 0 , L ] \tau\in[0,L] τ ∈ [ 0 , L ] , by Proposition 5.7 and (123) . All these functions take values in [ 0 , 1 ] [0,1] [ 0 , 1 ] , and the integral in (134) converges to the integral in (125) . This completes the proof.
By the reflection identity, the Hankel kernel ( a , b ) ↦ c ( a + b ) (a,b)\mapsto c(a+b) ( a , b ) ↦ c ( a + b ) is a limit of Gram kernels. This leads to the following representation of every stationary profile.
Corollary 7.7 (Spectral representation of every stationary cluster). Let ( c , r , ℓ ) (c,r,\ell) ( c , r , ℓ ) be a stationary cluster, as in Proposition 5.7, with plateau q q q . Then there exists a probability measure ν \nu ν on [ 0 , ∞ ) [0,\infty) [ 0 , ∞ ) such that
c ( t ) = ∫ [ 0 , ∞ ) e − x t ν ( d x ) ( t ≥ 0 ) , ν ( { 0 } ) = q . (135) c(t)=\int_{[0,\infty)}e^{-xt}\,\nu(\mathrm{d}x)\quad(t\ge0),\qquad\nu(\{0\})=q. \tag*{(135)} c ( t ) = ∫ [ 0 , ∞ ) e − x t ν ( d x ) ( t ≥ 0 ) , ν ({ 0 }) = q . (135)
In particular, c c c and r = − c ′ r=-c' r = − c ′ are completely monotone on ( 0 , ∞ ) (0,\infty) ( 0 , ∞ ) .
Proof. The representation of a bounded continuous function with positive semidefinite Hankel matrices as a Laplace transform is classical; see Widder [122, Chapter IV, Section 12, Theorems 12a–12b, pp. 160–161] for Bernstein’s theorem on completely monotone functions, and Berg, Christensen, and Ressel [28, Chapter 4, Corollary 4.5, p. 114] for positive definite functions on semigroups. Complete monotonicity for Brownian mode-coupling equations is also classical; Franosch and Voigtmann proved it for their mixture model by an iteration argument [71, arXiv version 1, Section III]. Here it follows from the reflection identity, and we include the short semigroup argument to keep the proof self-contained. The argument has three steps. We show that the Hankel kernel is positive semidefinite, construct a semigroup of shifts, and apply the spectral theorem.
Step 1: positivity. Let T n → ∞ T_n\to\infty T n → ∞ be a sequence along which the translated kernels converge to ( c , r , ℓ ) (c,r,\ell) ( c , r , ℓ ) . For a 1 , … , a k ≥ 0 a_1,\ldots,a_k\ge0 a 1 , … , a k ≥ 0 and α 1 , … , α k ∈ R \alpha_1,\ldots,\alpha_k\in\mathbb{R} α 1 , … , α k ∈ R , we have
∑ i , j = 1 k α i α j ⟨ M T n ( a i ) , M T n ( a j ) ⟩ = ∥ ∑ i = 1 k α i M T n ( a i ) ∥ 2 ≥ 0. \sum_{i,j=1}^{k}\alpha_i\alpha_j\left\langle M_{T_n}(a_i),M_{T_n}(a_j)\right\rangle=\left\|\sum_{i=1}^{k}\alpha_iM_{T_n}(a_i)\right\|^2\ge0. i , j = 1 ∑ k α i α j ⟨ M T n ( a i ) , M T n ( a j ) ⟩ = i = 1 ∑ k α i M T n ( a i ) 2 ≥ 0.
Letting n → ∞ n\to\infty n → ∞ and using (123) , we obtain
∑ i , j = 1 k α i α j c ( a i + a j ) ≥ 0. (136) \sum_{i,j=1}^{k}\alpha_i\alpha_jc(a_i+a_j)\ge0. \tag*{(136)} i , j = 1 ∑ k α i α j c ( a i + a j ) ≥ 0. (136)
Step 2: the shift semigroup. Let V \mathcal{V} V be the real vector space of finite formal linear combinations of symbols φ a \varphi_a φ a , a ≥ 0 a\ge0 a ≥ 0 , with the bilinear form determined by ⟨ φ a , φ b ⟩ = c ( a + b ) \langle\varphi_a,\varphi_b\rangle=c(a+b) ⟨ φ a , φ b ⟩ = c ( a + b ) . By (136) , this form is positive semidefinite. Let G \mathcal{G} G be the Hilbert space obtained by taking the quotient of V \mathcal{V} V by its null vectors and completing. For w = ∑ i α i φ a i ∈ V w=\sum_i\alpha_i\varphi_{a_i}\in\mathcal{V} w = ∑ i α i φ a i ∈ V and σ ≥ 0 \sigma\ge0 σ ≥ 0 , let w σ = ∑ i α i φ a i + σ w_\sigma=\sum_i\alpha_i\varphi_{a_i+\sigma} w σ = ∑ i α i φ a i + σ and
ψ w ( σ ) = ⟨ w σ , w σ ⟩ = ∑ i , j α i α j c ( a i + a j + 2 σ ) . \psi_w(\sigma)=\langle w_\sigma,w_\sigma\rangle=\sum_{i,j}\alpha_i\alpha_jc(a_i+a_j+2\sigma). ψ w ( σ ) = ⟨ w σ , w σ ⟩ = i , j ∑ α i α j c ( a i + a j + 2 σ ) .
Since ∣ c ∣ ≤ 1 |c|\le1 ∣ c ∣ ≤ 1 , we see that ψ w ( σ ) ≤ ( ∑ i ∣ α i ∣ ) 2 \psi_w(\sigma)\le\left(\sum_i|\alpha_i|\right)^2 ψ w ( σ ) ≤ ( ∑ i ∣ α i ∣ ) 2 . For n ≥ 0 n\ge0 n ≥ 0 , we have ψ w ( ( n + 1 ) σ ) = ⟨ w n σ , w ( n + 2 ) σ ⟩ \psi_w((n+1)\sigma)=\langle w_{n\sigma},w_{(n+2)\sigma}\rangle ψ w (( n + 1 ) σ ) = ⟨ w nσ , w ( n + 2 ) σ ⟩ , and the Cauchy–Schwarz inequality gives
ψ w ( ( n + 1 ) σ ) 2 ≤ ψ w ( n σ ) ψ w ( ( n + 2 ) σ ) . (137) \psi_w((n+1)\sigma)^2\le\psi_w(n\sigma)\psi_w((n+2)\sigma). \tag*{(137)} ψ w (( n + 1 ) σ ) 2 ≤ ψ w ( nσ ) ψ w (( n + 2 ) σ ) . (137)
We claim that ψ w ( σ ) ≤ ψ w ( 0 ) \psi_w(\sigma)\le\psi_w(0) ψ w ( σ ) ≤ ψ w ( 0 ) . If ψ w ( 0 ) = 0 \psi_w(0)=0 ψ w ( 0 ) = 0 , then (137) with n = 0 n=0 n = 0 implies that ψ w ( σ ) = 0 \psi_w(\sigma)=0 ψ w ( σ ) = 0 . Suppose that ψ w ( 0 ) > 0 \psi_w(0)>0 ψ w ( 0 ) > 0 and ψ w ( σ ) > ψ w ( 0 ) \psi_w(\sigma)>\psi_w(0) ψ w ( σ ) > ψ w ( 0 ) , and let κ = ψ w ( σ ) / ψ w ( 0 ) > 1 \kappa=\psi_w(\sigma)/\psi_w(0)>1 κ = ψ w ( σ ) / ψ w ( 0 ) > 1 . Using (137) and induction on n n n , we find that ψ w ( ( n + 1 ) σ ) ≥ κ ψ w ( n σ ) > 0 \psi_w((n+1)\sigma)\ge\kappa\psi_w(n\sigma)>0 ψ w (( n + 1 ) σ ) ≥ κ ψ w ( nσ ) > 0 for every n ≥ 0 n\ge0 n ≥ 0 . Then ψ w ( n σ ) ≥ κ n ψ w ( 0 ) → ∞ \psi_w(n\sigma)\ge\kappa^n\psi_w(0)\to\infty ψ w ( nσ ) ≥ κ n ψ w ( 0 ) → ∞ , which contradicts the bound ψ w ≤ ( ∑ i ∣ α i ∣ ) 2 \psi_w\le\left(\sum_i|\alpha_i|\right)^2 ψ w ≤ ( ∑ i ∣ α i ∣ ) 2 . This proves the claim. The claim says that w ↦ w σ w \mapsto w_\sigma w ↦ w σ does not increase the norm. In particular, it maps null vectors to null vectors, and it defines a contraction S σ S_\sigma S σ of G \mathcal{G} G with S σ φ a = φ a + σ S_\sigma\varphi_a=\varphi_{a+\sigma} S σ φ a = φ a + σ . Each S σ S_\sigma S σ is self-adjoint, because ⟨ S σ φ a , φ b ⟩ = c ( a + b + σ ) = ⟨ φ a , S σ φ b ⟩ \langle S_\sigma\varphi_a,\varphi_b\rangle=c(a+b+\sigma)=\langle\varphi_a,S_\sigma\varphi_b\rangle ⟨ S σ φ a , φ b ⟩ = c ( a + b + σ ) = ⟨ φ a , S σ φ b ⟩ . Further, S 0 = Id S_0=\operatorname{Id} S 0 = Id and S σ S σ ′ = S σ + σ ′ S_\sigma S_{\sigma'}=S_{\sigma+\sigma'} S σ S σ ′ = S σ + σ ′ , so that S σ = S σ / 2 ∗ S σ / 2 S_\sigma=S_{\sigma/2}^*S_{\sigma/2} S σ = S σ /2 ∗ S σ /2 is a positive operator.
Step 3: the spectral representation. For an integer j ≥ 1 j\geq1 j ≥ 1 , the operator S 1 / j S_{1/j} S 1/ j is positive and ( S 1 / j ) j = S 1 (S_{1/j})^j=S_1 ( S 1/ j ) j = S 1 . By uniqueness of positive j j j -th roots, we have S 1 / j = S 1 1 / j S_{1/j}=S_1^{1/j} S 1/ j = S 1 1/ j , and therefore S σ = S 1 σ S_\sigma=S_1^\sigma S σ = S 1 σ for every rational σ ≥ 0 \sigma\geq0 σ ≥ 0 . Let μ \mu μ be the spectral measure of the positive contraction S 1 S_1 S 1 at the vector φ 0 \varphi_0 φ 0 . It is a measure on [ 0 , 1 ] [0,1] [ 0 , 1 ] with total mass ∥ φ 0 ∥ 2 = c ( 0 ) = 1 \lVert\varphi_0\rVert^2=c(0)=1 ∥ φ 0 ∥ 2 = c ( 0 ) = 1 , and for rational σ > 0 \sigma>0 σ > 0 we have
c ( σ ) = ⟨ φ 0 , S σ φ 0 ⟩ = ∫ ( 0 , 1 ] y σ μ ( d y ) . c(\sigma)=\langle\varphi_0,S_\sigma\varphi_0\rangle=\int_{(0,1]}y^\sigma\,\mu(\mathrm{d}y). c ( σ ) = ⟨ φ 0 , S σ φ 0 ⟩ = ∫ ( 0 , 1 ] y σ μ ( d y ) .
Both sides are continuous in σ > 0 \sigma>0 σ > 0 , the right side by dominated convergence, and the identity extends to every σ > 0 \sigma>0 σ > 0 . Letting σ ↓ 0 \sigma\downarrow0 σ ↓ 0 , we see that μ ( ( 0 , 1 ] ) = c ( 0 ) = 1 \mu((0,1])=c(0)=1 μ (( 0 , 1 ]) = c ( 0 ) = 1 , that is, μ ( { 0 } ) = 0 \mu(\{0\})=0 μ ({ 0 }) = 0 . Let ν \nu ν be the image of μ \mu μ under the map y ↦ − log y y\mapsto-\log y y ↦ − log y from ( 0 , 1 ] (0,1] ( 0 , 1 ] to [ 0 , ∞ ) [0,\infty) [ 0 , ∞ ) . Then ν \nu ν is a probability measure, and the identity above becomes the first relation in (7.28), also at t = 0 t=0 t = 0 . By dominated convergence, c ( t ) → ν ( { 0 } ) c(t)\to\nu(\{0\}) c ( t ) → ν ({ 0 }) as t → ∞ t\to\infty t → ∞ , which gives ν ( { 0 } ) = q \nu(\{0\})=q ν ({ 0 }) = q . Finally, for n ≥ 0 n\geq0 n ≥ 0 and t > 0 t>0 t > 0 , the function x ↦ x n e − x t x\mapsto x^n e^{-xt} x ↦ x n e − x t is bounded on [ 0 , ∞ ) [0,\infty) [ 0 , ∞ ) , uniformly for t t t in compact subsets of ( 0 , ∞ ) (0,\infty) ( 0 , ∞ ) . Differentiating under the integral, we find
( − 1 ) n c ( n ) ( t ) = ∫ [ 0 , ∞ ) x n e − x t ν ( d x ) ≥ 0 , ( − 1 ) n r ( n ) ( t ) = ∫ [ 0 , ∞ ) x n + 1 e − x t ν ( d x ) ≥ 0 , (-1)^n c^{(n)}(t)=\int_{[0,\infty)}x^n e^{-xt}\,\nu(\mathrm{d}x)\geq0,\qquad(-1)^n r^{(n)}(t)=\int_{[0,\infty)}x^{n+1}e^{-xt}\,\nu(\mathrm{d}x)\geq0, ( − 1 ) n c ( n ) ( t ) = ∫ [ 0 , ∞ ) x n e − x t ν ( d x ) ≥ 0 , ( − 1 ) n r ( n ) ( t ) = ∫ [ 0 , ∞ ) x n + 1 e − x t ν ( d x ) ≥ 0 ,
and c c c and r r r are completely monotone on ( 0 , ∞ ) (0,\infty) ( 0 , ∞ ) .
Selection of the plateau and correlation aging
In this section, we prove the parts of Theorem 1.1 that concern the plateau, the energy, and the loss of memory. We begin with Lemma 8.3, which states that every positive plateau of a stationary cluster is marginal. In Proposition 8.4, we prove that the translated kernels, the multiplier, and the energy converge at every temperature. Theorem 8.5 identifies the plateau and the energy for β ≥ β d \beta\ge\beta_{\mathrm{d}} β ≥ β d , and Theorem 8.8 shows that the solution forgets every fixed earlier state. Corollary 8.9 states the two ordered limits of the correlation. At the end of Section 8.6, we combine these results into a proof of Theorem 1.1.
We take as input two facts about prefix centers, which we state as Proposition 8.1 in Section 8.1 and prove in Sections 9 and 10. Besides these two facts, we use the stationary clusters of Proposition 5.7, the scalar constraints of Proposition 6.1, the uniqueness result Lemma 6.2, the causal tree realization of Proposition 7.1, the reflection identity of Proposition 7.5, and the uniform bounds of Section 4. The convergence proved in Proposition 8.4 and the marginality proved in Lemma 8.3 are exactly the hypotheses of part (b) of Proposition 8.1. We use the selected profile, the marginality relation, and the forgetting theorem throughout Parts III to V.
Standing assumptions and notation. Throughout this section, we fix p ≥ 3 p \ge3 p ≥ 3 and β > 0 \beta> 0 β > 0 , and ( C , R , λ ) (C,R,\lambda) ( C , R , λ ) denotes the uniformly initialized hard CK solution of Section 3. All long-time limits below concern this deterministic solution, for which the dimension limit has already been taken on each fixed time horizon. Recall from (56) that the energy e β ( t ) e_\beta(t) e β ( t ) satisfies λ ( t ) = 1 + p β e β ( t ) \lambda(t)=1+p\beta e_\beta(t) λ ( t ) = 1 + pβ e β ( t ) . For T ≥ 0 T \ge0 T ≥ 0 , the translated kernels are C T ( a , b ) = C ( T + a , T + b ) C_T(a,b)=C(T+a,T+b) C T ( a , b ) = C ( T + a , T + b ) for a , b ≥ − T a,b \ge-T a , b ≥ − T , R T ( a , b ) = R ( T + a , T + b ) R_T(a,b)=R(T+a,T+b) R T ( a , b ) = R ( T + a , T + b ) for − T ≤ b ≤ a -T \le b \le a − T ≤ b ≤ a , and λ T ( a ) = λ ( T + a ) \lambda_T(a)=\lambda(T+a) λ T ( a ) = λ ( T + a ) for a ≥ − T a \ge-T a ≥ − T .
We fix the Fisher majorant a F a_F a F and the dimension subsequence ( N j ) (N_j) ( N j ) of Theorem 5.3 once, before choosing any waiting-time sequence or stationary cluster. All comparisons with finite-dimensional forks use this same dimension subsequence. We may pass to subsequences of waiting times to obtain stationary clusters, without changing the dimension extraction. The majorant is an auxiliary choice; the CK solution and the stationary profile identified below are unique.
As in Proposition 5.7, a stationary cluster is a triple ( c , r , ℓ ) (c,r,\ell) ( c , r , ℓ ) obtained as the locally uniform limit of ( C T n , R T n , λ T n ) (C_{T_n},R_{T_n},\lambda_{T_n}) ( C T n , R T n , λ T n ) along some sequence T n → ∞ T_n \to\infty T n → ∞ . Proposition 5.7 implies that c ( 0 ) = r ( 0 ) = 1 c(0)=r(0)=1 c ( 0 ) = r ( 0 ) = 1 , c ′ = − r c'=-r c ′ = − r , 0 ≤ c ≤ 1 0 \le c \le1 0 ≤ c ≤ 1 , and r ≥ 0 r \ge0 r ≥ 0 , that the plateau q = lim τ → ∞ c ( τ ) q=\lim_{\tau\to\infty}c(\tau) q = lim τ → ∞ c ( τ ) lies in [ 0 , 1 ) [0,1) [ 0 , 1 ) , and that ∫ 0 ∞ r ( u ) d u = 1 − q \int_0^\infty r(u)\,\mathrm{d}u=1-q ∫ 0 ∞ r ( u ) d u = 1 − q . By (78) , we have 0 ≤ R ≤ C 0\le R\le C 0 ≤ R ≤ C , and passing to the limit gives r ≤ c r\le c r ≤ c . As in Propositions 5.7 and 7.5 , we write e ∞ = ( ℓ − 1 ) / ( p β ) e_\infty=(\ell-1)/(p\beta) e ∞ = ( ℓ − 1 ) / ( pβ ) for the energy of the cluster. With B = β 2 p B=\beta^2p B = β 2 p and γ = ℓ − B \gamma=\ell-B γ = ℓ − B , we use the functions of Proposition 6.1 ,
ϕ ( y ) = γ + B y p − 1 , F ( y ) = ϕ ( y ) ( 1 − y ) − 1. \phi(y)=\gamma+By^{p-1},\qquad F(y)=\phi(y)(1-y)-1. ϕ ( y ) = γ + B y p − 1 , F ( y ) = ϕ ( y ) ( 1 − y ) − 1.
Recall from that proposition that F ( q ) = 0 F(q)=0 F ( q ) = 0 , that F ( y ) < 0 F(y)<0 F ( y ) < 0 for q < y < 1 q<y<1 q < y < 1 , and that
ℓ = 1 1 − q + β 2 p ( 1 − q p − 1 ) . \ell=\frac{1}{1-q}+\beta^2p(1-q^{p-1}). ℓ = 1 − q 1 + β 2 p ( 1 − q p − 1 ) .
We also use the tree realization of Section 7. The unit vectors v t v_t v t satisfy ⟨ v t , v s ⟩ = C ( t , s ) \langle v_t,v_s\rangle=C(t,s) ⟨ v t , v s ⟩ = C ( t , s ) , and v t v_t v t lies in the closed subspace H t \mathcal{H}_t H t generated by trees whose noise leaves carry times at most t t t . We write P T P_T P T for the orthogonal projection onto H T \mathcal{H}_T H T . The tree energy is h ( v ) = p ⟨ v , I ( v ⊗ m ) ⟩ h(v)=\sqrt{p}\,\langle v,\mathcal{I}(v^{\otimes m})\rangle h ( v ) = p ⟨ v , I ( v ⊗ m )⟩ with m = p − 1 m=p-1 m = p − 1 , and h ( v t ) = e β ( t ) h(v_t)=e_\beta(t) h ( v t ) = e β ( t ) .
Prefix centers and the threshold inputs
For T ≥ 0 T\ge0 T ≥ 0 and a ≥ 0 a\ge0 a ≥ 0 , we define the prefix center
M T ( a ) = P T v T + a . M_T(a)=P_Tv_{T+a}. M T ( a ) = P T v T + a .
Let T n → ∞ T_n\to\infty T n → ∞ be a sequence along which the translated kernels converge to a stationary cluster ( c , r , ℓ ) (c,r,\ell) ( c , r , ℓ ) with energy e ∞ e_\infty e ∞ . Recall from Proposition 7.5 that, for every fixed L ≥ 0 L\ge0 L ≥ 0 ,
∥ M T n ( L ) ∥ 2 ⟶ d L = c ( 2 L ) , \lVert M_{T_n}(L)\rVert^2\longrightarrow d_L=c(2L), ∥ M T n ( L ) ∥ 2 ⟶ d L = c ( 2 L ) ,
h ( M T n ( L ) ) ⟶ h L = e ∞ + β p ∫ 0 L r ( τ ) { c ( 2 L − τ ) p − 1 − c ( τ ) p − 1 } d τ . h(M_{T_n}(L))\longrightarrow h_L=e_\infty+\beta p\int_0^L r(\tau)\left\{c(2L-\tau)^{p-1}-c(\tau)^{p-1}\right\}\,\mathrm{d}\tau. h ( M T n ( L )) ⟶ h L = e ∞ + β p ∫ 0 L r ( τ ) { c ( 2 L − τ ) p − 1 − c ( τ ) p − 1 } d τ .
Note that h h h is homogeneous of degree p p p . If d L > 0 d_L>0 d L > 0 , the energy of the normalized center M T n ( L ) / ∥ M T n ( L ) ∥ M_{T_n}(L)/\lVert M_{T_n}(L)\rVert M T n ( L ) / ∥ M T n ( L )∥ converges to h L / d L p / 2 h_L/d_L^{p/2} h L / d L p /2 .
We now explain why the prefix centers are the right objects for selecting the plateau. The state v T + L v_{T+L} v T + L is built from the initial vector and from the noise leaves at times up to T + L T+L T + L . The projection P T P_T P T keeps the part built from the initial vector and noise received by time T T T , including memory interactions after T T T . In physical terms, we may think of M T ( L ) M_T(L) M T ( L ) as the average of the state at time T + L T+L T + L over independent continuations of the thermal noise after time T T T . This interpretation goes back to the trajectories with a common past and independent futures studied by Cugliandolo and Dean [50, arXiv version 1, Section II] and by Barrat, Burioni, and Mézard [11, Section 4], and to the averages over cloned futures proposed by Franz and Virasoro [72, arXiv version 3, Section III]. In agreement with this interpretation, the limiting squared norm d L = c ( 2 L ) d_L=c(2L) d L = c ( 2 L ) is the stationary correlation at the reflected lag 2 L 2L 2 L , which is the overlap of two continuations of length L L L from a common past; this reflected formula appears in [11, Section 2, Equation (9)]. Time-averaged magnetizations of a similar kind appear in the analysis of Cugliandolo and Kurchan [52, arXiv version 1, Section 5.1], and noise-averaged magnetizations and their relation to the threshold appear in the dynamical TAP approach of Biroli [31, arXiv version 2, Section III.B]. We use three properties of the centers.
Every earlier state v s v_s v s with s ≤ T s \leq T s ≤ T lies in H T \mathcal{H}_T H T , so that ⟨ v T + L , v s ⟩ = ⟨ M T ( L ) , v s ⟩ \langle v_{T+L},v_s\rangle= \langle M_T(L),v_s\rangle ⟨ v T + L , v s ⟩ = ⟨ M T ( L ) , v s ⟩ . The correlation of a late state with a fixed earlier state is carried entirely by the center.
For a stationary cluster with q > 0 q > 0 q > 0 , the normalized limiting energies of the centers satisfy h L / d L p / 2 ≤ E t h h_L/d_L^{p/2} \leq E_{\mathrm{th}} h L / d L p /2 ≤ E th for every L ≥ 0 L \geq0 L ≥ 0 . Here E t h = 2 ( p − 1 ) / p E_{\mathrm{th}} = 2\sqrt{(p-1)/p} E th = 2 ( p − 1 ) / p is the threshold energy of the pure p p p -spin landscape [7, Equation (2.13)].
Suppose that the whole translated family converges to one stationary profile whose plateau is positive and marginal. Then the normalized energies of the centers approach E t h E_{\mathrm{th}} E th as L → ∞ L \to\infty L → ∞ , and this forces the solution to forget every fixed earlier state.
The first property is exact. The ceiling in the second and the forgetting in the third are the content of the following proposition, which is the only input that we take from § 6.3 and § 6.4 .
Proposition 8.1 (Threshold inputs). Fix p ≥ 3 p \geq3 p ≥ 3 and β > 0 \beta> 0 β > 0 .
(a) Let T n → ∞ T_n \to\infty T n → ∞ be a sequence along which the translated kernels converge to a stationary cluster ( c , r , ℓ ) (c,r,\ell) ( c , r , ℓ ) with plateau q > 0 q > 0 q > 0 , as in Proposition 5.7 , and let d L d_L d L and h L h_L h L be the limits in (124) and (125) . Then, for every L ≥ 0 L \geq0 L ≥ 0 ,
h L ≤ E t h d L p / 2 . (138) h_L \leq E_{\mathrm{th}}d_L^{p/2}. \tag*{(138)} h L ≤ E th d L p /2 . (138) (b) Suppose that the translated kernels converge along every sequence T → ∞ T \to\infty T → ∞ to one stationary profile ( c , r ) (c,r) ( c , r ) , and that its plateau q q q is positive and satisfies β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 \beta^2p(p-1)q^{p-2}(1-q)^2 = 1 β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 . Then, for every 0 ≤ S < ∞ 0 \leq S < \infty 0 ≤ S < ∞ ,
lim t → ∞ sup 0 ≤ s ≤ S ∣ C ( t , s ) ∣ = 0. (139) \lim_{t \to\infty}\sup_{0 \leq s \leq S}|C(t,s)| = 0. \tag*{(139)} t → ∞ lim 0 ≤ s ≤ S sup ∣ C ( t , s ) ∣ = 0. (139)
For p ∈ { 3 , 4 } p \in\{3,4\} p ∈ { 3 , 4 } , both parts are proved in § 6.3 . For every p ≥ 3 p \geq3 p ≥ 3 , they are proved in § 6.4 .
For p ∈ { 3 , 4 } p \in\{3,4\} p ∈ { 3 , 4 } , we prove both parts in § 6.3 using a deterministic inequality on the tree Hilbert space (Theorem 9.2 and Lemma 9.3 ). It states that a unit tree vector has energy strictly below E t h E_{\mathrm{th}} E th , and that near equality forces its mass to leave every fixed set of tree heights. Applying this inequality to the normalized centers, we obtain part (a). For part (b), we show that the mass of the centers escapes from every fixed height as they approach the threshold, while an earlier state v s v_s v s with s ≤ S s \leq S s ≤ S is approximated uniformly by finitely many heights. From the same argument, we also obtain the quantitative estimate Proposition 9.5 , which we use again in Sections 11, 13, and 14.
For every p ≥ 3 p \ge3 p ≥ 3 , we prove both parts in § 6.4 . There we replace the projection by the mean of finitely many independent futures of the finite-dimensional dynamics from a common past. Using the fixed-horizon approximation of Sellke [112, Lemmas 3.1–3.2], we approximate the normalized mean by globally Lipschitz functions of the disorder coefficients. The algorithmic threshold of Huang and Sellke [92, Theorem 1 and Corollary 1.8] bounds the energy of these approximations by E t h E_{\mathrm{th}} E th in the dimension limit, and we transfer this bound to the mean by sending the approximation error to zero. Part (a) follows from Proposition 10.4 by letting the number of futures tend to infinity at fixed L L L . Part (b) follows from Proposition 10.8 and the finite-net argument in § 6.4.5 . Its proof combines the external-field form of the same threshold with adaptive Gaussian conditioning and an Euler approximation of the earlier state.
The references to later sections do not create a circular argument. The proofs of part (a) in § 6.3 and § 6.4 apply to an arbitrary stationary cluster with positive plateau, and they use only results of Sections 3 to 7. Part (b) contains in its hypotheses the two facts that we deduce from part (a) in this section: convergence of the whole translated family, and marginality of the plateau. Besides these hypotheses, its proofs use the algebraic identity (142) , which we prove in Lemma 8.2 without using Proposition 8.1 . In this section, the order of deduction is as follows:
Marginality of positive plateaus
We set
q m = p − 2 p , β m 2 = p p − 1 4 ( p − 1 ) ( p − 2 ) p − 2 , E t h = 2 p − 1 p . (140) q_{\mathrm{m}} = \frac{p-2}{p}, \qquad\beta_{\mathrm{m}}^2 = \frac{p^{p-1}}{4(p-1)(p-2)^{p-2}}, \qquad E_{\mathrm{th}} = 2\sqrt{\frac{p-1}{p}}. \tag*{(140)} q m = p p − 2 , β m 2 = 4 ( p − 1 ) ( p − 2 ) p − 2 p p − 1 , E th = 2 p p − 1 . (140)
To explain the role of q m q_{\mathrm{m}} q m and β m \beta_{\mathrm{m}} β m , let G ( q ) = p ( p − 1 ) q p − 2 ( 1 − q ) 2 G(q) = p(p-1)q^{p-2}(1-q)^2 G ( q ) = p ( p − 1 ) q p − 2 ( 1 − q ) 2 for q ∈ [ 0 , 1 ] q \in[0,1] q ∈ [ 0 , 1 ] , so that the marginality relation β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 \beta^2p(p-1)q^{p-2}(1-q)^2 = 1 β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 reads β 2 G ( q ) = 1 \beta^2G(q) = 1 β 2 G ( q ) = 1 . We have
G ′ ( q ) = p ( p − 1 ) q p − 3 ( 1 − q ) { ( p − 2 ) − p q } . G'(q) = p(p-1)q^{p-3}(1-q)\{(p-2)-pq\}. G ′ ( q ) = p ( p − 1 ) q p − 3 ( 1 − q ) {( p − 2 ) − pq } .
The function G G G vanishes at 0 0 0 and 1 1 1 , increases strictly on [ 0 , q m ] [0,q_{\mathrm{m}}] [ 0 , q m ] , and decreases strictly on [ q m , 1 ] [q_{\mathrm{m}},1] [ q m , 1 ] . Its maximum is
G ( q m ) = 4 ( p − 1 ) ( p − 2 ) p − 2 p p − 1 = β m − 2 . G(q_{\mathrm{m}}) = \frac{4(p-1)(p-2)^{p-2}}{p^{p-1}} = \beta_{\mathrm{m}}^{-2}. G ( q m ) = p p − 1 4 ( p − 1 ) ( p − 2 ) p − 2 = β m − 2 .
In other words, β m \beta_{\mathrm{m}} β m is the inverse temperature at which β 2 G \beta^{2}G β 2 G first reaches one on [ 0 , 1 ] [0,1] [ 0 , 1 ] . For β ≥ β m \beta\ge\beta_{\mathrm{m}} β ≥ β m , we denote by q + ( β ) q_{+}(\beta) q + ( β ) the unique root of β 2 G ( q ) = 1 \beta^{2}G(q)=1 β 2 G ( q ) = 1 in [ q m , 1 ) [q_{\mathrm{m}},1) [ q m , 1 ) ; at β = β m \beta=\beta_{\mathrm{m}} β = β m , it is the double root q m q_{\mathrm{m}} q m . For β > β m \beta>\beta_{\mathrm{m}} β > β m , the equation has a second root, which lies in ( 0 , q m ) (0,q_{\mathrm{m}}) ( 0 , q m ) , and for β < β m \beta<\beta_{\mathrm{m}} β < β m it has no root in [ 0 , 1 ] [0,1] [ 0 , 1 ] .
The next lemma computes the limit of the center energies of Proposition 7.5 as L L L tends to infinity, and compares it with E t h E_{\mathrm{th}} E th . It is a computation with the scalar constraints of Proposition 6.1 and uses no threshold input. We use it again in § 6.3 and § 6.4 .
Lemma 8.2 (Limiting energy of prefix centers). Let ( c , r , ℓ ) (c,r,\ell) ( c , r , ℓ ) be a stationary cluster with plateau q q q , as in Proposition 5.7 , let e ∞ = ( ℓ − 1 ) / ( p β ) e_{\infty}=(\ell-1)/(p\beta) e ∞ = ( ℓ − 1 ) / ( pβ ) , and let d L d_{L} d L and h L h_{L} h L be defined by (7.17) and (7.18). Then d L → q d_{L}\to q d L → q and h L → h h_{L}\to h h L → h as L → ∞ L\to\infty L → ∞ , where
h = e ∞ − β { 1 − q p − p q p − 1 ( 1 − q ) } . (141) h=e_{\infty}-\beta\{1-q^{p}-pq^{p-1}(1-q)\}. \tag*{(141)} h = e ∞ − β { 1 − q p − p q p − 1 ( 1 − q )} . (141) If q > 0 q>0 q > 0 , define z = β p ( p − 1 ) q ( p − 2 ) / 2 ( 1 − q ) > 0 z=\beta\sqrt{p(p-1)}q^{(p-2)/2}(1-q)>0 z = β p ( p − 1 ) q ( p − 2 ) /2 ( 1 − q ) > 0 . Then
h q p / 2 = p − 1 p ( z + 1 z ) ≥ E t h . (142) \frac{h}{q^{p/2}}=\sqrt{\frac{p-1}{p}}\left(z+\frac{1}{z}\right)\ge E_{\mathrm{th}}. \tag*{(142)} q p /2 h = p p − 1 ( z + z 1 ) ≥ E th . (142) and equality holds in (8.5) if and only if β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 \beta^{2}p(p-1)q^{p-2}(1-q)^{2}=1 β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 .
Proof. As c c c is nonincreasing with limit q q q , we have d L = c ( 2 L ) → q d_{L}=c(2L)\to q d L = c ( 2 L ) → q . For h L h_{L} h L , we extend the integrand in (7.18) by zero outside [ 0 , L ] [0,L] [ 0 , L ] and write the integral as an integral over [ 0 , ∞ ) [0,\infty) [ 0 , ∞ ) of
g L ( τ ) = { r ( τ ) { c ( 2 L − τ ) p − 1 − c ( τ ) p − 1 } , 0 ≤ τ ≤ L , 0 , τ > L . g_{L}(\tau)=
\begin{cases}
r(\tau)\{c(2L-\tau)^{p-1}-c(\tau)^{p-1}\}, & 0\le\tau\le L,\\
0, & \tau>L.
\end{cases} g L ( τ ) = { r ( τ ) { c ( 2 L − τ ) p − 1 − c ( τ ) p − 1 } , 0 , 0 ≤ τ ≤ L , τ > L .
For fixed τ \tau τ , we have 2 L − τ → ∞ 2L-\tau\to\infty 2 L − τ → ∞ as L → ∞ L\to\infty L → ∞ , and g L ( τ ) g_{L}(\tau) g L ( τ ) converges to r ( τ ) { q p − 1 − c ( τ ) p − 1 } r(\tau)\{q^{p-1}-c(\tau)^{p-1}\} r ( τ ) { q p − 1 − c ( τ ) p − 1 } . Since 0 ≤ c ≤ 1 0\le c\le1 0 ≤ c ≤ 1 , we have ∣ g L ( τ ) ∣ ≤ r ( τ ) |g_{L}(\tau)|\le r(\tau) ∣ g L ( τ ) ∣ ≤ r ( τ ) , and r r r is integrable with ∫ 0 ∞ r = 1 − q \int_{0}^{\infty}r=1-q ∫ 0 ∞ r = 1 − q . By dominated convergence, we obtain
lim L → ∞ h L = e ∞ + β p q p − 1 ( 1 − q ) − β p ∫ 0 ∞ r ( τ ) c ( τ ) p − 1 d τ . \lim_{L\to\infty}h_{L}=e_{\infty}+\beta p q^{p-1}(1-q)-\beta p\int_{0}^{\infty}r(\tau)c(\tau)^{p-1}\,d\tau. L → ∞ lim h L = e ∞ + β p q p − 1 ( 1 − q ) − β p ∫ 0 ∞ r ( τ ) c ( τ ) p − 1 d τ .
Using r = − c ′ r=-c' r = − c ′ , c ( 0 ) = 1 c(0)=1 c ( 0 ) = 1 , and c ( τ ) → q c(\tau)\to q c ( τ ) → q , we find
∫ 0 ∞ r ( τ ) c ( τ ) p − 1 d τ = − 1 p ∫ 0 ∞ ( c p ) ′ ( τ ) d τ = 1 − q p p . \int_{0}^{\infty}r(\tau)c(\tau)^{p-1}\,d\tau=-\frac{1}{p}\int_{0}^{\infty}(c^{p})'(\tau)\,d\tau=\frac{1-q^{p}}{p}. ∫ 0 ∞ r ( τ ) c ( τ ) p − 1 d τ = − p 1 ∫ 0 ∞ ( c p ) ′ ( τ ) d τ = p 1 − q p .
Inserting this into the previous display, we obtain (8.4).
Now suppose that q > 0 q>0 q > 0 . Using the formula for ℓ \ell ℓ in (6.2), we write the energy of the cluster as
e ∞ = ℓ − 1 p β = q p β ( 1 − q ) + β ( 1 − q p − 1 ) . e_{\infty}=\frac{\ell-1}{p\beta}=\frac{q}{p\beta(1-q)}+\beta(1-q^{p-1}). e ∞ = pβ ℓ − 1 = pβ ( 1 − q ) q + β ( 1 − q p − 1 ) .
We insert this into (141) and note that ( 1 − q p − 1 ) − ( 1 − q p ) = − q p − 1 ( 1 − q ) (1-q^{p-1})-(1-q^p)=-q^{p-1}(1-q) ( 1 − q p − 1 ) − ( 1 − q p ) = − q p − 1 ( 1 − q ) . This gives
h = q p β ( 1 − q ) + β ( p − 1 ) q p − 1 ( 1 − q ) . h=\frac{q}{p\beta(1-q)}+\beta(p-1)q^{p-1}(1-q). h = pβ ( 1 − q ) q + β ( p − 1 ) q p − 1 ( 1 − q ) .
By the definition of z z z , we have
p − 1 p z = β ( p − 1 ) q ( p − 2 ) / 2 ( 1 − q ) , p − 1 p 1 z = q − ( p − 2 ) / 2 p β ( 1 − q ) . \sqrt{\frac{p-1}{p}}z=\beta(p-1)q^{(p-2)/2}(1-q),\qquad\sqrt{\frac{p-1}{p}}\frac{1}{z}=\frac{q^{-(p-2)/2}}{p\beta(1-q)}. p p − 1 z = β ( p − 1 ) q ( p − 2 ) /2 ( 1 − q ) , p p − 1 z 1 = pβ ( 1 − q ) q − ( p − 2 ) /2 .
and the sum of the two right sides is h / q p / 2 h/q^{p/2} h / q p /2 . This proves the identity in (142) . For z > 0 z>0 z > 0 , we have z + z − 1 ≥ 2 z+z^{-1}\ge2 z + z − 1 ≥ 2 , with equality if and only if z = 1 z=1 z = 1 . Recalling that 2 ( p − 1 ) / p = E t h 2\sqrt{(p-1)/p}=E_{\mathrm{th}} 2 ( p − 1 ) / p = E th , we deduce the inequality in (142) , and equality holds if and only if z = 1 z=1 z = 1 , that is, if and only if z 2 = β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 z^2=\beta^2p(p-1)q^{p-2}(1-q)^2=1 z 2 = β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 .
Lemma 8.3 (Marginality of every positive cluster plateau). Let ( c , r , ℓ ) (c,r,\ell) ( c , r , ℓ ) be a stationary cluster, as in Proposition 5.7 , with plateau q > 0 q>0 q > 0 . Then
β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 , q ≥ q m . (143) \beta^2p(p-1)q^{p-2}(1-q)^2=1,\qquad q\ge q_{\mathrm{m}}. \tag*{(143)} β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 , q ≥ q m . (143) Proof. First, part (a) of Proposition 8.1 gives an upper bound on the limiting center energy that matches the lower bound in (142) , and this forces marginality. Second, the strict sign condition of Proposition 6.1 excludes the smaller root.
Step 1: marginality. Let T n → ∞ T_n\to\infty T n → ∞ be a sequence along which the translated kernels converge to ( c , r , ℓ ) (c,r,\ell) ( c , r , ℓ ) . Since q > 0 q>0 q > 0 , part (a) of Proposition 8.1 applies along this sequence, and (138) states that h L ≤ E t h d L p / 2 h_L\le E_{\mathrm{th}}d_L^{p/2} h L ≤ E th d L p /2 for every L ≥ 0 L\ge0 L ≥ 0 . Letting L → ∞ L\to\infty L → ∞ and using d L → q d_L\to q d L → q and h L → h h_L\to h h L → h from Lemma 8.2 , we obtain
h ≤ E t h q p / 2 . h\le E_{\mathrm{th}}q^{p/2}. h ≤ E th q p /2 . Together with the lower bound in (142) , this forces h / q p / 2 = E t h h/q^{p/2}=E_{\mathrm{th}} h / q p /2 = E th . The equality case of Lemma 8.2 then implies the first relation in (143) .
Step 2: the larger root. We use the functions ϕ \phi ϕ and F F F from the beginning of this section; recall that F ( q ) = 0 F(q)=0 F ( q ) = 0 and F ( y ) < 0 F(y)<0 F ( y ) < 0 for q < y < 1 q<y<1 q < y < 1 . Differentiating, we have
F ′ ( y ) = B ( p − 1 ) y p − 2 ( 1 − y ) − ϕ ( y ) , F ′ ′ ( y ) = B ( p − 1 ) y p − 3 { ( p − 2 ) − p y } . F'(y)=B(p-1)y^{p-2}(1-y)-\phi(y),\qquad F''(y)=B(p-1)y^{p-3}\{(p-2)-py\}. F ′ ( y ) = B ( p − 1 ) y p − 2 ( 1 − y ) − ϕ ( y ) , F ′′ ( y ) = B ( p − 1 ) y p − 3 {( p − 2 ) − p y } . Since ϕ ( q ) = 1 / ( 1 − q ) \phi(q)=1/(1-q) ϕ ( q ) = 1/ ( 1 − q ) by (105) , we find
F ′ ( q ) = β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 − 1 1 − q = 0 , F'(q)=\frac{\beta^2p(p-1)q^{p-2}(1-q)^2-1}{1-q}=0, F ′ ( q ) = 1 − q β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 − 1 = 0 , where we used Step 1 in the last equality. Suppose that 0 < q < q m 0<q<q_{\mathrm{m}} 0 < q < q m . Then F ′ ′ ( q ) > 0 F''(q)>0 F ′′ ( q ) > 0 . Since F F F is a polynomial with F ( q ) = F ′ ( q ) = 0 F(q)=F'(q)=0 F ( q ) = F ′ ( q ) = 0 , Taylor’s theorem implies that
F ( q + ε ) = 1 2 F ′ ′ ( q ) ε 2 + O ( ε 3 ) > 0 F(q+\varepsilon)=\frac{1}{2}F''(q)\varepsilon^2+O(\varepsilon^3)>0 F ( q + ε ) = 2 1 F ′′ ( q ) ε 2 + O ( ε 3 ) > 0 for all sufficiently small ε > 0 \varepsilon>0 ε > 0 . This contradicts F ( q + ε ) < 0 F(q+\varepsilon)<0 F ( q + ε ) < 0 . We conclude that q ≥ q m q\ge q_{\mathrm{m}} q ≥ q m .
The first relation in (143) is the marginality condition of the asymptotic solution of Cugliandolo and Kurchan [51, Equation (7)], written in the conventions of Section 3. In view of the discussion after (140) , the relations (143) say that β ≥ β m \beta\ge\beta_{\mathrm{m}} β ≥ β m and q = q + ( β ) q=q_{+}(\beta) q = q + ( β ) . A stationary cluster with positive plateau can occur only for β ≥ β m \beta\ge\beta_{\mathrm{m}} β ≥ β m , and its plateau is then determined by β \beta β .
Convergence at every fixed temperature
Proposition 8.4 (Convergence at every fixed temperature). For every p ≥ 3 p \ge3 p ≥ 3 and β > 0 \beta> 0 β > 0 , the multiplier λ ( t ) \lambda(t) λ ( t ) and the energy e β ( t ) e_{\beta}(t) e β ( t ) have limits ℓ β \ell_{\beta} ℓ β and e β ( ∞ ) e_{\beta}(\infty) e β ( ∞ ) as t → ∞ t \to\infty t → ∞ . All bounded-lag translates of C C C and R R R converge locally uniformly to a unique stationary FDT profile ( c , r ) (c,r) ( c , r ) , that is, for every 0 ≤ A < ∞ 0 \le A < \infty 0 ≤ A < ∞ ,
sup 0 ≤ s ≤ t ≤ A { ∣ C ( T + t , T + s ) − c ( t − s ) ∣ + ∣ R ( T + t , T + s ) − r ( t − s ) ∣ } ⟶ 0 ( T → ∞ ) . (144) \sup_{0 \le s \le t \le A}\left\{\left|C(T+t,T+s)-c(t-s)\right|+\left|R(T+t,T+s)-r(t-s)\right|\right\}\longrightarrow0\quad(T\to\infty). \tag*{(144)} 0 ≤ s ≤ t ≤ A sup { ∣ C ( T + t , T + s ) − c ( t − s ) ∣ + ∣ R ( T + t , T + s ) − r ( t − s ) ∣ } ⟶ 0 ( T → ∞ ) . (144) Its plateau q q q belongs to the following set:
q ∈ { { 0 } , 0 < β < β m , { 0 , q + ( β ) } , β ≥ β m . (145) q\in\begin{cases}
\{0\}, & 0<\beta<\beta_{\mathrm{m}},\\
\{0,q_{+}(\beta)\}, & \beta\ge\beta_{\mathrm{m}}.
\end{cases} \tag*{(145)} q ∈ { { 0 } , { 0 , q + ( β )} , 0 < β < β m , β ≥ β m . (145) The positive branch is used only on its domain β ≥ β m \beta\ge\beta_{\mathrm{m}} β ≥ β m . The limiting multiplier is
ℓ β = 1 1 − q + β 2 p ( 1 − q p − 1 ) , \ell_{\beta}=\frac{1}{1-q}+\beta^{2}p(1-q^{p-1}), ℓ β = 1 − q 1 + β 2 p ( 1 − q p − 1 ) , as in (6.2), and e β ( ∞ ) = ( ℓ β − 1 ) / ( p β ) e_{\beta}(\infty)=(\ell_{\beta}-1)/(p\beta) e β ( ∞ ) = ( ℓ β − 1 ) / ( pβ ) .
Proof. First, the multiplier of every stationary cluster lies in a set with at most two elements. Second, the late limit points of λ \lambda λ form an interval, each point of which is the multiplier of a stationary cluster; combined with the first step, this forces λ \lambda λ to converge. Third, we identify all stationary clusters using Lemma 6.2 and upgrade subsequential convergence to convergence of the whole translated family by precompactness.
Step 1: possible multipliers. Let ( c , r , ℓ ) (c,r,\ell) ( c , r , ℓ ) be a stationary cluster with plateau q q q . If q = 0 q=0 q = 0 , then (6.2) gives ℓ = 1 + β 2 p \ell=1+\beta^{2}p ℓ = 1 + β 2 p . If q > 0 q>0 q > 0 , then Lemma 8.3 and the discussion after it imply that β ≥ β m \beta\ge\beta_{\mathrm{m}} β ≥ β m and q = q + ( β ) q=q_{+}(\beta) q = q + ( β ) , and by (6.2) we have ℓ = ( 1 − q + ( β ) ) − 1 + β 2 p ( 1 − q + ( β ) p − 1 ) \ell=(1-q_{+}(\beta))^{-1}+\beta^{2}p(1-q_{+}(\beta)^{p-1}) ℓ = ( 1 − q + ( β ) ) − 1 + β 2 p ( 1 − q + ( β ) p − 1 ) . In both cases, ℓ \ell ℓ belongs to the set
L β = { { 1 + β 2 p } , β < β m , { 1 + β 2 p , ( 1 − q + ( β ) ) − 1 + β 2 p ( 1 − q + ( β ) p − 1 ) } , β ≥ β m , \mathcal{L}_{\beta}=
\begin{cases}
\{1+\beta^{2}p\}, & \beta<\beta_{\mathrm{m}},\\
\{1+\beta^{2}p,\ (1-q_{+}(\beta))^{-1}+\beta^{2}p(1-q_{+}(\beta)^{p-1})\}, & \beta\ge\beta_{\mathrm{m}},
\end{cases} L β = { { 1 + β 2 p } , { 1 + β 2 p , ( 1 − q + ( β ) ) − 1 + β 2 p ( 1 − q + ( β ) p − 1 )} , β < β m , β ≥ β m ,
which has at most two elements.
Step 2: convergence of the multiplier. Recall from Propositions 4.3 and 4.4 that λ \lambda λ is continuous on [ 0 , ∞ ) [0,\infty) [ 0 , ∞ ) and satisfies 1 ≤ λ ≤ Λ 1 \le\lambda\le\Lambda 1 ≤ λ ≤ Λ . Let
a = lim inf t → ∞ λ ( t ) , b = lim sup t → ∞ λ ( t ) , a = \liminf_{t\to\infty}\lambda(t), \qquad b = \limsup_{t\to\infty}\lambda(t), a = t → ∞ lim inf λ ( t ) , b = t → ∞ lim sup λ ( t ) ,
which are finite. We say that y y y is a late limit point of λ \lambda λ if there exists a sequence T n → ∞ T_n \to\infty T n → ∞ such that λ ( T n ) → y \lambda(T_n) \to y λ ( T n ) → y . We claim that every y ∈ [ a , b ] y \in[a,b] y ∈ [ a , b ] is a late limit point. For y ∈ { a , b } y \in\{a,b\} y ∈ { a , b } , this holds by the definition of the lower and upper limits. If a < y < b a < y < b a < y < b , then for every n n n there exist times t 1 , t 2 ≥ n t_1,t_2 \ge n t 1 , t 2 ≥ n such that λ ( t 1 ) < y < λ ( t 2 ) \lambda(t_1) < y < \lambda(t_2) λ ( t 1 ) < y < λ ( t 2 ) . By the intermediate value theorem, there exists T n T_n T n between t 1 t_1 t 1 and t 2 t_2 t 2 such that λ ( T n ) = y \lambda(T_n) = y λ ( T n ) = y , and T n ≥ n T_n \ge n T n ≥ n . This proves the claim.
Now let y ∈ [ a , b ] y \in[a,b] y ∈ [ a , b ] , and let T n → ∞ T_n \to\infty T n → ∞ be such that λ ( T n ) → y \lambda(T_n) \to y λ ( T n ) → y . By Proposition 5.7 , a subsequence of the translated family ( C T n , R T n , λ T n ) (C_{T_n}, R_{T_n}, \lambda_{T_n}) ( C T n , R T n , λ T n ) converges locally uniformly to a stationary cluster ( c , r , ℓ ) (c,r,\ell) ( c , r , ℓ ) , and along it λ T n \lambda_{T_n} λ T n converges to the constant ℓ \ell ℓ . Evaluating at offset zero, we find ℓ = y \ell= y ℓ = y , and Step 1 gives y ∈ L β y \in\mathcal{L}_\beta y ∈ L β . We have shown that
[ a , b ] ⊆ L β . [a,b] \subseteq\mathcal{L}_\beta. [ a , b ] ⊆ L β .
An interval contained in a finite set is a single point. Hence a = b a=b a = b , and λ ( t ) \lambda(t) λ ( t ) converges to a limit ℓ β ∈ L β \ell_\beta\in\mathcal{L}_\beta ℓ β ∈ L β . By (56) , we have e β ( t ) = ( λ ( t ) − 1 ) / ( p β ) e_\beta(t) = (\lambda(t)-1)/(p\beta) e β ( t ) = ( λ ( t ) − 1 ) / ( pβ ) , and the energy converges to e β ( ∞ ) = ( ℓ β − 1 ) / ( p β ) e_\beta(\infty) = (\ell_\beta-1)/(p\beta) e β ( ∞ ) = ( ℓ β − 1 ) / ( pβ ) .
Step 3: identification of the profile. Let ( c , r , ℓ ) (c,r,\ell) ( c , r , ℓ ) be any stationary cluster, obtained along a sequence T n → ∞ T_n \to\infty T n → ∞ . Since λ ( T n + a ) → ℓ β \lambda(T_n+a) \to\ell_\beta λ ( T n + a ) → ℓ β for every offset a a a , we have ℓ = ℓ β \ell= \ell_\beta ℓ = ℓ β . By (102) and (103) , the pair ( c , r ) (c,r) ( c , r ) solves
c ′ = − r , r ′ = − ℓ β r + β 2 p ( p − 1 ) ( c p − 2 r ) ∗ r , c ( 0 ) = r ( 0 ) = 1 , c'=-r,\qquad r'=-\ell_\beta r+\beta^2p(p-1)(c^{p-2}r)*r,\qquad c(0)=r(0)=1, c ′ = − r , r ′ = − ℓ β r + β 2 p ( p − 1 ) ( c p − 2 r ) ∗ r , c ( 0 ) = r ( 0 ) = 1 ,
and it is bounded, since 0 ≤ r ≤ c ≤ 1 0 \le r \le c \le1 0 ≤ r ≤ c ≤ 1 . Lemma 6.2 states that this system has at most one locally bounded solution. All stationary clusters therefore coincide; we denote their common profile by ( c , r ) (c,r) ( c , r ) . The argument uses only the value ℓ β \ell_\beta ℓ β of the multiplier. In particular, it applies when the two elements of L β \mathcal{L}_\beta L β coincide, which happens at β = β d \beta=\beta_d β = β d . Every stationary cluster also has the same energy e ∞ = ( ℓ β − 1 ) / ( p β ) = e β ( ∞ ) e_\infty=(\ell_\beta-1)/(p\beta)=e_\beta(\infty) e ∞ = ( ℓ β − 1 ) / ( pβ ) = e β ( ∞ ) .
Suppose that (144) fails for some 0 ≤ A < ∞ 0 \le A < \infty 0 ≤ A < ∞ . Then there exist ε > 0 \varepsilon> 0 ε > 0 and a sequence T n → ∞ T_n \to\infty T n → ∞ such that, for every n n n , the supremum in (144) at T = T n T=T_n T = T n is at least ε \varepsilon ε . Using the precompactness in Proposition 5.7 , we extract a subsequence of the translates that converges locally uniformly to a stationary cluster, which is ( c , r , ℓ β ) (c,r,\ell_\beta) ( c , r , ℓ β ) by the preceding paragraph. Along this subsequence, the supremum over the compact set { 0 ≤ s ≤ t ≤ A } \{0 \le s \le t \le A\} { 0 ≤ s ≤ t ≤ A } tends to zero, which is a contradiction. This proves (144) .
Finally, if the plateau q q q of c c c is positive, then Lemma 8.3 implies that β ≥ β m \beta\ge\beta_m β ≥ β m and q = q + ( β ) q=q_+(\beta) q = q + ( β ) . This proves (145) , and it shows that the second alternative is absent for β < β m \beta<\beta_m β < β m . The formula for ℓ β \ell_\beta ℓ β is (105) for the cluster ( c , r , ℓ β ) (c,r,\ell_\beta) ( c , r , ℓ β ) .
The dynamical transition and the selected energy
Recall the dynamical transition parameters
q d = p − 2 p − 1 , β d 2 = ( p − 1 ) p − 1 p ( p − 2 ) p − 2 . q_{\mathrm d}=\frac{p-2}{p-1},\qquad\beta_{\mathrm d}^{2}=\frac{(p-1)^{p-1}}{p(p-2)^{p-2}}. q d = p − 1 p − 2 , β d 2 = p ( p − 2 ) p − 2 ( p − 1 ) p − 1 .
We compare them with the constants in (140) . First, q d − q m = ( p − 2 ) / ( p ( p − 1 ) ) > 0 q_{\mathrm d}-q_{\mathrm m}=(p-2)/(p(p-1))>0 q d − q m = ( p − 2 ) / ( p ( p − 1 )) > 0 . Second, a direct computation shows that G ( q d ) = p ( p − 2 ) p − 2 / ( p − 1 ) p − 1 = β d − 2 G(q_{\mathrm d})=p(p-2)^{p-2}/(p-1)^{p-1}=\beta_{\mathrm d}^{-2} G ( q d ) = p ( p − 2 ) p − 2 / ( p − 1 ) p − 1 = β d − 2 . As G G G decreases strictly on [ q m , 1 ] [q_{\mathrm m},1] [ q m , 1 ] , we find that β d − 2 < G ( q m ) = β m − 2 \beta_{\mathrm d}^{-2}<G(q_{\mathrm m})=\beta_{\mathrm m}^{-2} β d − 2 < G ( q m ) = β m − 2 , that is, β d > β m \beta_{\mathrm d}>\beta_{\mathrm m} β d > β m , and that q + ( β d ) = q d q_{+}(\beta_{\mathrm d})=q_{\mathrm d} q + ( β d ) = q d . For β > β d \beta>\beta_{\mathrm d} β > β d , we have G ( q + ( β ) ) = β − 2 < G ( q d ) G(q_{+}(\beta))=\beta^{-2}<G(q_{\mathrm d}) G ( q + ( β )) = β − 2 < G ( q d ) , and then q + ( β ) > q d q_{+}(\beta)>q_{\mathrm d} q + ( β ) > q d . For β ≥ β d \beta\ge\beta_{\mathrm d} β ≥ β d , we write
q β = q + ( β ) , q_{\beta}=q_{+}(\beta), q β = q + ( β ) ,
so that q β ≥ q d q_{\beta}\ge q_{\mathrm d} q β ≥ q d , with equality exactly at β = β d \beta=\beta_{\mathrm d} β = β d .
Theorem 8.5 (The selected stationary sector). For every p ≥ 3 p\ge3 p ≥ 3 and β ≥ β d \beta\ge\beta_{\mathrm d} β ≥ β d , the unique stationary plateau is q β q_{\beta} q β . In particular, the limit ℓ β \ell_{\beta} ℓ β of λ ( t ) \lambda(t) λ ( t ) and the limiting energy satisfy
ℓ β = 1 1 − q β + β 2 p ( 1 − q β p − 1 ) (146) \ell_{\beta}=\frac{1}{1-q_{\beta}}+\beta^{2}p(1-q_{\beta}^{p-1}) \tag*{(146)} ℓ β = 1 − q β 1 + β 2 p ( 1 − q β p − 1 ) (146) e β ( ∞ ) = β { 1 + ( p − 2 ) q β p − 1 − ( p − 1 ) q β p } . (147) e_{\beta}(\infty)=\beta\{1+(p-2)q_{\beta}^{p-1}-(p-1)q_{\beta}^{p}\}. \tag*{(147)} e β ( ∞ ) = β { 1 + ( p − 2 ) q β p − 1 − ( p − 1 ) q β p } . (147) For every 0 ≤ A < ∞ 0\le A<\infty 0 ≤ A < ∞ ,
sup 0 ≤ s ≤ t ≤ A { ∣ C ( T + t , T + s ) − c ( t − s ) ∣ + ∣ R ( T + t , T + s ) − r ( t − s ) ∣ } ⟶ 0 ( T → ∞ ) , (148) \sup_{0\le s\le t\le A}\{|C(T+t,T+s)-c(t-s)|+|R(T+t,T+s)-r(t-s)|\}\longrightarrow0\qquad(T\to\infty), \tag*{(148)} 0 ≤ s ≤ t ≤ A sup { ∣ C ( T + t , T + s ) − c ( t − s ) ∣ + ∣ R ( T + t , T + s ) − r ( t − s ) ∣ } ⟶ 0 ( T → ∞ ) , (148) where r = − c ′ r=-c' r = − c ′ and c ( τ ) → q β c(\tau)\to q_{\beta} c ( τ ) → q β . At the endpoint, e β d ( ∞ ) = β d e_{\beta_{\mathrm d}}(\infty)=\beta_{\mathrm d} e β d ( ∞ ) = β d and ℓ β d = 1 + p β d 2 \ell_{\beta_{\mathrm d}}=1+p\beta_{\mathrm d}^{2} ℓ β d = 1 + p β d 2 .
Proof. In view of Proposition 8.4 , it suffices to exclude the alternative q = 0 q=0 q = 0 . Suppose that q = 0 q=0 q = 0 . Then (105) gives ℓ β = 1 + β 2 p \ell_{\beta}=1+\beta^{2}p ℓ β = 1 + β 2 p , which means that γ = ℓ β − β 2 p = 1 \gamma=\ell_{\beta}-\beta^{2}p=1 γ = ℓ β − β 2 p = 1 and
F ( y ) = ( 1 + β 2 p y p − 1 ) ( 1 − y ) − 1 = y { β 2 p y p − 2 ( 1 − y ) − 1 } . F(y)=(1+\beta^{2}py^{p-1})(1-y)-1=y\{\beta^{2}py^{p-2}(1-y)-1\}. F ( y ) = ( 1 + β 2 p y p − 1 ) ( 1 − y ) − 1 = y { β 2 p y p − 2 ( 1 − y ) − 1 } .
Since q d p − 2 ( 1 − q d ) = ( p − 2 ) p − 2 / ( p − 1 ) p − 1 q_{\mathrm d}^{p-2}(1-q_{\mathrm d})=(p-2)^{p-2}/(p-1)^{p-1} q d p − 2 ( 1 − q d ) = ( p − 2 ) p − 2 / ( p − 1 ) p − 1 , we have β 2 p q d p − 2 ( 1 − q d ) = β 2 / β d 2 \beta^{2}p q_{\mathrm d}^{p-2}(1-q_{\mathrm d})=\beta^{2}/\beta_{\mathrm d}^{2} β 2 p q d p − 2 ( 1 − q d ) = β 2 / β d 2 and
F ( q d ) = q d ( β 2 β d 2 − 1 ) . F(q_{\mathrm d})=q_{\mathrm d}\left(\frac{\beta^{2}}{\beta_{\mathrm d}^{2}}-1\right). F ( q d ) = q d ( β d 2 β 2 − 1 ) .
For β ≥ β d \beta\ge\beta_{\mathrm d} β ≥ β d , this is nonnegative. On the other hand, q d q_{\mathrm d} q d lies in ( 0 , 1 ) = ( q , 1 ) (0,1)=(q,1) ( 0 , 1 ) = ( q , 1 ) , so F ( q d ) < 0 F(q_{\mathrm d})<0 F ( q d ) < 0 by (106) . This contradiction shows that q > 0 q>0 q > 0 .
At β = β d \beta=\beta_{\mathrm d} β = β d , we have F ( q d ) = 0 F(q_{\mathrm d})=0 F ( q d ) = 0 , and the contradiction comes from the strict inequality in (106) . In Proposition 6.1 , that strict inequality follows from the bound c ′ ( t ) ≥ F ( c ( t ) ) c'(t)\ge F(c(t)) c ′ ( t ) ≥ F ( c ( t )) and from c ′ = − r < 0 c'=-r<0 c ′ = − r < 0 at every finite time. In this way, the endpoint β = β d \beta=\beta_d β = β d is included without any continuity argument in β \beta β .
We have shown that q > 0 q>0 q > 0 , and Proposition 8.4 then implies that q = q + ( β ) = q β q=q_+(\beta)=q_\beta q = q + ( β ) = q β . The formula (146) is the formula for ℓ β \ell_\beta ℓ β in Proposition 8.4, (148) is (144) , and the relation r = − c ′ r=-c' r = − c ′ is part of (102) . For the energy, we use the marginality relation β 2 G ( q β ) = 1 \beta^2G(q_\beta)=1 β 2 G ( q β ) = 1 . Multiplying it by q β / ( p β ( 1 − q β ) ) q_\beta/(p\beta(1-q_\beta)) q β / ( pβ ( 1 − q β )) , we obtain
q β p β ( 1 − q β ) = β ( p − 1 ) q β p − 1 ( 1 − q β ) . \frac{q_\beta}{p\beta(1-q_\beta)}=\beta(p-1)q_\beta^{p-1}(1-q_\beta). pβ ( 1 − q β ) q β = β ( p − 1 ) q β p − 1 ( 1 − q β ) .
Using e β ( ∞ ) = ( ℓ β − 1 ) / ( p β ) e_\beta(\infty)=(\ell_\beta-1)/(p\beta) e β ( ∞ ) = ( ℓ β − 1 ) / ( pβ ) and (146) , we find
e β ( ∞ ) = q β p β ( 1 − q β ) + β ( 1 − q β p − 1 ) = β ( p − 1 ) q β p − 1 ( 1 − q β ) + β ( 1 − q β p − 1 ) , e_\beta(\infty)=\frac{q_\beta}{p\beta(1-q_\beta)}+\beta(1-q_\beta^{p-1})=\beta(p-1)q_\beta^{p-1}(1-q_\beta)+\beta(1-q_\beta^{p-1}), e β ( ∞ ) = pβ ( 1 − q β ) q β + β ( 1 − q β p − 1 ) = β ( p − 1 ) q β p − 1 ( 1 − q β ) + β ( 1 − q β p − 1 ) ,
and expanding the right side yields (147) . At β = β d \beta=\beta_d β = β d , we have q β = q d q_\beta=q_d q β = q d and ( p − 1 ) q d = p − 2 (p-1)q_d=p-2 ( p − 1 ) q d = p − 2 , so that
( p − 2 ) q d p − 1 − ( p − 1 ) q d p = q d p − 1 { ( p − 2 ) − ( p − 1 ) q d } = 0. (p-2)q_d^{p-1}-(p-1)q_d^p=q_d^{p-1}\{(p-2)-(p-1)q_d\}=0. ( p − 2 ) q d p − 1 − ( p − 1 ) q d p = q d p − 1 {( p − 2 ) − ( p − 1 ) q d } = 0.
This shows that e β d ( ∞ ) = β d e_{\beta_d}(\infty)=\beta_d e β d ( ∞ ) = β d , and (56) gives ℓ β d = 1 + p β d e β d ( ∞ ) = 1 + p β d 2 \ell_{\beta_d}=1+p\beta_de_{\beta_d}(\infty)=1+p\beta_d^2 ℓ β d = 1 + p β d e β d ( ∞ ) = 1 + p β d 2 .
The plateau and the energy in Theorem 8.5 are those predicted by Cugliandolo and Kurchan. In the normalization of [51], the inverse temperature is 2 β \sqrt{2}\,\beta 2 β and the energy is − e / 2 -e/\sqrt{2} − e / 2 ; with this translation, (147) is their Equation (9), evaluated with the fluctuation–dissipation ratio x = ( p − 2 ) ( 1 − q ) / q x=(p-2)(1-q)/q x = ( p − 2 ) ( 1 − q ) / q given after their Equation (12).
To verify these limits, recall that q β ≥ q d > 0 q_\beta\ge q_d>0 q β ≥ q d > 0 . The marginality relation gives
( 1 − q β ) 2 = 1 β 2 p ( p − 1 ) q β p − 2 ≤ 1 β 2 p ( p − 1 ) q d p − 2 ⟶ 0 , (1-q_\beta)^2=\frac{1}{\beta^2p(p-1)q_\beta^{p-2}}\le\frac{1}{\beta^2p(p-1)q_d^{p-2}}\longrightarrow0, ( 1 − q β ) 2 = β 2 p ( p − 1 ) q β p − 2 1 ≤ β 2 p ( p − 1 ) q d p − 2 1 ⟶ 0 ,
so q β → 1 q_\beta\to1 q β → 1 . Taking square roots in the same relation, we find
β ( 1 − q β ) = q β − ( p − 2 ) / 2 p ( p − 1 ) → 1 p ( p − 1 ) . \beta(1-q_\beta)=\frac{q_\beta^{-(p-2)/2}}{\sqrt{p(p-1)}}\to\frac{1}{\sqrt{p(p-1)}}. β ( 1 − q β ) = p ( p − 1 ) q β − ( p − 2 ) /2 → p ( p − 1 ) 1 .
Let g ( y ) = 1 + ( p − 2 ) y p − 1 − ( p − 1 ) y p g(y)=1+(p-2)y^{p-1}-(p-1)y^p g ( y ) = 1 + ( p − 2 ) y p − 1 − ( p − 1 ) y p , so that e β ( ∞ ) = β g ( q β ) e_\beta(\infty)=\beta g(q_\beta) e β ( ∞ ) = β g ( q β ) by (147) . We have g ( 1 ) = 0 g(1)=0 g ( 1 ) = 0 and
g ′ ( y ) = ( p − 1 ) y p − 2 { ( p − 2 ) − p y } , g ′ ( 1 ) = − 2 ( p − 1 ) . g'(y)=(p-1)y^{p-2}\{(p-2)-py\},\qquad g'(1)=-2(p-1). g ′ ( y ) = ( p − 1 ) y p − 2 {( p − 2 ) − p y } , g ′ ( 1 ) = − 2 ( p − 1 ) .
Let ε = 1 − q β \varepsilon=1-q_\beta ε = 1 − q β . By Taylor’s theorem, there exists η ∈ ( q β , 1 ) \eta\in(q_\beta,1) η ∈ ( q β , 1 ) such that
g ( q β ) = g ( 1 ) − g ′ ( 1 ) ε + 1 2 g ′ ′ ( η ) ε 2 = 2 ( p − 1 ) ε + 1 2 g ′ ′ ( η ) ε 2 . g(q_\beta)=g(1)-g'(1)\varepsilon+\frac{1}{2}g''(\eta)\varepsilon^2=2(p-1)\varepsilon+\frac{1}{2}g''(\eta)\varepsilon^2. g ( q β ) = g ( 1 ) − g ′ ( 1 ) ε + 2 1 g ′′ ( η ) ε 2 = 2 ( p − 1 ) ε + 2 1 g ′′ ( η ) ε 2 .
On [ 0 , 1 ] [0,1] [ 0 , 1 ] , we have ∣ g ′ ′ ∣ ≤ K p |g''|\le K_p ∣ g ′′ ∣ ≤ K p with K p = ( p − 1 ) { ( p − 2 ) 2 + p ( p − 1 ) } K_p=(p-1)\{(p-2)^2+p(p-1)\} K p = ( p − 1 ) {( p − 2 ) 2 + p ( p − 1 )} , and therefore
∣ e β ( ∞ ) − 2 ( p − 1 ) β ( 1 − q β ) ∣ ≤ 1 2 K p β ( 1 − q β ) 2 . \left|e_\beta(\infty)-2(p-1)\beta(1-q_\beta)\right|\le\frac{1}{2}K_p\beta(1-q_\beta)^2. ∣ e β ( ∞ ) − 2 ( p − 1 ) β ( 1 − q β ) ∣ ≤ 2 1 K p β ( 1 − q β ) 2 .
As β → ∞ \beta\to\infty β → ∞ , the right side equals 1 2 K p ⋅ β ( 1 − q β ) ⋅ ( 1 − q β ) \frac{1}{2}K_p\cdot\beta(1-q_\beta)\cdot(1-q_\beta) 2 1 K p ⋅ β ( 1 − q β ) ⋅ ( 1 − q β ) and tends to zero, while 2 ( p − 1 ) β ( 1 − q β ) → 2 ( p − 1 ) / p ( p − 1 ) = E t h 2(p-1)\beta(1-q_\beta)\to2(p-1)/\sqrt{p(p-1)}=E_{\mathrm{th}} 2 ( p − 1 ) β ( 1 − q β ) → 2 ( p − 1 ) / p ( p − 1 ) = E th .
Forgetting of fixed waiting times
Theorem 8.8 (Forgetting of fixed waiting times). Let p ≥ 3 p \ge3 p ≥ 3 and β > 0 \beta> 0 β > 0 , and let ( c , r ) (c,r) ( c , r ) be the stationary profile of Proposition 8.4. Then
lim t → ∞ sup 0 ≤ s ≤ S { C ( t , s ) + R ( t , s ) } = 0 ( 0 ≤ S < ∞ ) . (149) \lim_{t\to\infty}\sup_{0\le s\le S}\{C(t,s)+R(t,s)\}=0 \qquad(0\le S<\infty). \tag*{(149)} t → ∞ lim 0 ≤ s ≤ S sup { C ( t , s ) + R ( t , s )} = 0 ( 0 ≤ S < ∞ ) . (149) If the stationary plateau is zero, the stronger whole-row conclusion holds:
sup 0 ≤ s ≤ t { ∣ C ( t , s ) − c ( t − s ) ∣ + ∣ R ( t , s ) − r ( t − s ) ∣ } ⟶ 0 ( t → ∞ ) . (150) \sup_{0\le s\le t}\{|C(t,s)-c(t-s)|+|R(t,s)-r(t-s)|\}\longrightarrow0 \qquad(t\to\infty). \tag*{(150)} 0 ≤ s ≤ t sup { ∣ C ( t , s ) − c ( t − s ) ∣ + ∣ R ( t , s ) − r ( t − s ) ∣ } ⟶ 0 ( t → ∞ ) . (150)
Proof. The proof has four steps. We first reduce (8.12) to a statement about C C C . When the plateau q q q is positive, we verify the hypotheses of part (b) of Proposition 8.1. When q = 0 q=0 q = 0 , we argue directly: the norm of the prefix center tends to zero when first t → ∞ t\to\infty t → ∞ and then L → ∞ L\to\infty L → ∞ . Finally, we prove (8.13) by splitting each row into a recent strip and a remote part.
Step 1: reduction to the correlation. Recall from (4.23) that 0 ≤ R ( t , s ) ≤ C ( t , s ) 0\le R(t,s)\le C(t,s) 0 ≤ R ( t , s ) ≤ C ( t , s ) for t ≥ s ≥ 0 t\ge s\ge0 t ≥ s ≥ 0 . For t ≥ S t\ge S t ≥ S , we have
sup 0 ≤ s ≤ S { C ( t , s ) + R ( t , s ) } ≤ 2 sup 0 ≤ s ≤ S C ( t , s ) , \sup_{0\le s\le S}\{C(t,s)+R(t,s)\}\le2\sup_{0\le s\le S}C(t,s), 0 ≤ s ≤ S sup { C ( t , s ) + R ( t , s )} ≤ 2 0 ≤ s ≤ S sup C ( t , s ) ,
and it suffices to show that sup 0 ≤ s ≤ S C ( t , s ) → 0 \sup_{0\le s\le S}C(t,s)\to0 sup 0 ≤ s ≤ S C ( t , s ) → 0 as t → ∞ t\to\infty t → ∞ .
Step 2: positive plateau. Suppose that q > 0 q>0 q > 0 . Then the translated kernels converge along every sequence T → ∞ T\to\infty T → ∞ to the single profile ( c , r ) (c,r) ( c , r ) by Proposition 8.4, and the plateau satisfies β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 \beta^2p(p-1)q^{p-2}(1-q)^2=1 β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 by Lemma 8.3. These are the hypotheses of part (b) of Proposition 8.1. Then (8.2) implies that sup 0 ≤ s ≤ S ∣ C ( t , s ) ∣ → 0 \sup_{0\le s\le S}|C(t,s)|\to0 sup 0 ≤ s ≤ S ∣ C ( t , s ) ∣ → 0 .
Step 3: zero plateau. Suppose that q = 0 q=0 q = 0 . Fix L ≥ 0 L\ge0 L ≥ 0 and let t ≥ L t\ge L t ≥ L . For 0 ≤ s ≤ t − L 0\le s\le t-L 0 ≤ s ≤ t − L , the vector v s v_s v s lies in H s ⊆ H t − L \mathcal{H}_s\subseteq\mathcal{H}_{t-L} H s ⊆ H t − L by Proposition 7.1, so P t − L v s = v s P_{t-L}v_s=v_s P t − L v s = v s . As P t − L P_{t-L} P t − L is an orthogonal projection, we have
C ( t , s ) = ⟨ v t , P t − L v s ⟩ = ⟨ P t − L v t , v s ⟩ = ⟨ M t − L ( L ) , v s ⟩ . C(t,s)=\langle v_t,P_{t-L}v_s\rangle=\langle P_{t-L}v_t,v_s\rangle=\langle M_{t-L}(L),v_s\rangle. C ( t , s ) = ⟨ v t , P t − L v s ⟩ = ⟨ P t − L v t , v s ⟩ = ⟨ M t − L ( L ) , v s ⟩ .
By the Cauchy–Schwarz inequality and ∥ v s ∥ = 1 \|v_s\|=1 ∥ v s ∥ = 1 , we obtain
sup 0 ≤ s ≤ t − L C ( t , s ) 2 ≤ ∥ M t − L ( L ) ∥ 2 . \sup_{0\le s\le t-L}C(t,s)^2\le\|M_{t-L}(L)\|^2. 0 ≤ s ≤ t − L sup C ( t , s ) 2 ≤ ∥ M t − L ( L ) ∥ 2 .
We now let t → ∞ t\to\infty t → ∞ with L L L fixed. By Proposition 8.4, the translated kernels converge to the stationary cluster ( c , r , ℓ β ) (c,r,\ell_\beta) ( c , r , ℓ β ) along every sequence T n → ∞ T_n\to\infty T n → ∞ . Then Proposition 7.5 applies along every such sequence, and (7.17) gives ∥ M T n ( L ) ∥ 2 → c ( 2 L ) \lVert M_{T_n}(L)\rVert^2 \to c(2L) ∥ M T n ( L ) ∥ 2 → c ( 2 L ) . As the sequence is arbitrary, we have ∥ M T ( L ) ∥ 2 → c ( 2 L ) \lVert M_T(L)\rVert^2 \to c(2L) ∥ M T ( L ) ∥ 2 → c ( 2 L ) as T → ∞ T \to\infty T → ∞ . Setting T = t − L T=t-L T = t − L , we obtain
lim sup t → ∞ sup 0 ≤ s ≤ t − L C ( t , s ) 2 ≤ c ( 2 L ) . (151) \limsup_{t\to\infty}\sup_{0\le s\le t-L} C(t,s)^2 \le c(2L). \tag*{(151)} t → ∞ lim sup 0 ≤ s ≤ t − L sup C ( t , s ) 2 ≤ c ( 2 L ) . (151)
This bound holds for every plateau, but it is useful only when q = 0 q=0 q = 0 . Fix 0 ≤ S < ∞ 0\le S<\infty 0 ≤ S < ∞ . For t ≥ S + L t\ge S+L t ≥ S + L , we have [ 0 , S ] ⊆ [ 0 , t − L ] [0,S]\subseteq[0,t-L] [ 0 , S ] ⊆ [ 0 , t − L ] , and (151) implies lim sup t → ∞ sup 0 ≤ s ≤ S C ( t , s ) 2 ≤ c ( 2 L ) \limsup_{t\to\infty}\sup_{0\le s\le S} C(t,s)^2 \le c(2L) lim sup t → ∞ sup 0 ≤ s ≤ S C ( t , s ) 2 ≤ c ( 2 L ) for every L ≥ 0 L\ge0 L ≥ 0 . Letting L → ∞ L\to\infty L → ∞ and using c ( 2 L ) → q = 0 c(2L)\to q=0 c ( 2 L ) → q = 0 , we find that sup 0 ≤ s ≤ S C ( t , s ) → 0 \sup_{0\le s\le S}C(t,s)\to0 sup 0 ≤ s ≤ S C ( t , s ) → 0 . Together with Steps 1 and 2, this proves (8.12).
Step 4: the whole row when q = 0 q=0 q = 0 . Fix L > 0 L>0 L > 0 , and let t ≥ L t\ge L t ≥ L . We split [ 0 , t ] [0,t] [ 0 , t ] into the recent strip [ t − L , t ] [t-L,t] [ t − L , t ] and the remote part [ 0 , t − L ] [0,t-L] [ 0 , t − L ] . On the recent strip, we use (144) with T = t − L T=t-L T = t − L and A = L A=L A = L . Writing s = T + u s=T+u s = T + u with u ∈ [ 0 , L ] u\in[0,L] u ∈ [ 0 , L ] , we have C ( t , s ) = C ( T + L , T + u ) C(t,s)=C(T+L,T+u) C ( t , s ) = C ( T + L , T + u ) and c ( t − s ) = c ( L − u ) c(t-s)=c(L-u) c ( t − s ) = c ( L − u ) , and similarly for R R R and r r r . We obtain
sup t − L ≤ s ≤ t { ∣ C ( t , s ) − c ( t − s ) ∣ + ∣ R ( t , s ) − r ( t − s ) ∣ } ⟶ 0 ( t → ∞ ) . \sup_{t-L\le s\le t}\left\{\lvert C(t,s)-c(t-s)\rvert+\lvert R(t,s)-r(t-s)\rvert\right\}\longrightarrow0\qquad(t\to\infty). t − L ≤ s ≤ t sup { ∣ C ( t , s ) − c ( t − s )∣ + ∣ R ( t , s ) − r ( t − s )∣ } ⟶ 0 ( t → ∞ ) .
On the remote part, we have t − s ≥ L t-s\ge L t − s ≥ L . Recall that 0 ≤ R ≤ C 0\le R\le C 0 ≤ R ≤ C , that 0 ≤ r ≤ c 0\le r\le c 0 ≤ r ≤ c , and that c c c is nonincreasing. For 0 ≤ s ≤ t − L 0\le s\le t-L 0 ≤ s ≤ t − L , we find
∣ C ( t , s ) − c ( t − s ) ∣ + ∣ R ( t , s ) − r ( t − s ) ∣ ≤ C ( t , s ) + c ( t − s ) + R ( t , s ) + r ( t − s ) ≤ 2 C ( t , s ) + 2 c ( L ) . \lvert C(t,s)-c(t-s)\rvert+\lvert R(t,s)-r(t-s)\rvert\le C(t,s)+c(t-s)+R(t,s)+r(t-s)
\le2C(t,s)+2c(L). ∣ C ( t , s ) − c ( t − s )∣ + ∣ R ( t , s ) − r ( t − s )∣ ≤ C ( t , s ) + c ( t − s ) + R ( t , s ) + r ( t − s ) ≤ 2 C ( t , s ) + 2 c ( L ) .
By (151) , the upper limit as t → ∞ t\to\infty t → ∞ of the supremum of the right side over 0 ≤ s ≤ t − L 0\le s\le t-L 0 ≤ s ≤ t − L is at most 2 c ( 2 L ) 1 / 2 + 2 c ( L ) 2c(2L)^{1/2}+2c(L) 2 c ( 2 L ) 1/2 + 2 c ( L ) . Combining the two parts, we have
lim sup t → ∞ sup 0 ≤ s ≤ t { ∣ C ( t , s ) − c ( t − s ) ∣ + ∣ R ( t , s ) − r ( t − s ) ∣ } ≤ 2 c ( 2 L ) 1 / 2 + 2 c ( L ) , \limsup_{t\to\infty}\sup_{0\le s\le t}\left\{\lvert C(t,s)-c(t-s)\rvert+\lvert R(t,s)-r(t-s)\rvert\right\}\le2c(2L)^{1/2}+2c(L), t → ∞ lim sup 0 ≤ s ≤ t sup { ∣ C ( t , s ) − c ( t − s )∣ + ∣ R ( t , s ) − r ( t − s )∣ } ≤ 2 c ( 2 L ) 1/2 + 2 c ( L ) ,
where t → ∞ t\to\infty t → ∞ is taken with L L L fixed. Since q = 0 q=0 q = 0 , the right side tends to zero as L → ∞ L\to\infty L → ∞ . This proves (8.13). □
Correlation aging
Corollary 8.9 (Correlation aging in the ordered limits). For every p ≥ 3 p\ge3 p ≥ 3 and β ≥ β d \beta\ge\beta_d β ≥ β d ,
lim τ → ∞ lim s → ∞ C ( s + τ , s ) = q β > 0 , lim s → ∞ lim τ → ∞ C ( s + τ , s ) = 0. (152) \lim_{\tau\to\infty}\lim_{s\to\infty}C(s+\tau,s)=q_\beta>0,\qquad\lim_{s\to\infty}\lim_{\tau\to\infty}C(s+\tau,s)=0. \tag*{(152)} τ → ∞ lim s → ∞ lim C ( s + τ , s ) = q β > 0 , s → ∞ lim τ → ∞ lim C ( s + τ , s ) = 0. (152) Proof. Fix τ ≥ 0 \tau\ge0 τ ≥ 0 . Applying (148) with A = τ A=\tau A = τ and T = s T=s T = s to the pair of offsets ( τ , 0 ) (\tau,0) ( τ , 0 ) , we find that lim s → ∞ C ( s + τ , s ) = c ( τ ) \lim_{s\to\infty}C(s+\tau,s)=c(\tau) lim s → ∞ C ( s + τ , s ) = c ( τ ) . As τ → ∞ \tau\to\infty τ → ∞ , we have c ( τ ) → q β c(\tau)\to q_\beta c ( τ ) → q β by Theorem 8.5, and q β ≥ q d > 0 q_\beta\ge q_d>0 q β ≥ q d > 0 . This gives the first limit. Next, fix s ≥ 0 s\ge0 s ≥ 0 . Applying (149) with S = s S=s S = s and t = s + τ t=s+\tau t = s + τ , we find that C ( s + τ , s ) → 0 C(s+\tau,s)\to0 C ( s + τ , s ) → 0 as τ → ∞ \tau\to\infty τ → ∞ . The inner limit is zero for every s s s , and so is the outer limit. □
The first inner limit in (152) is the stationary correlation c ( τ ) c(\tau) c ( τ ) , and the second inner limit vanishes at every fixed waiting time. Corollary 8.9 concerns only these two ordered limits. It does not identify the time scale on which C ( s + τ , s ) C(s+\tau,s) C ( s + τ , s ) decreases below q β q_{\beta} q β , and it does not give a fluctuation–dissipation relation in the slow regime. We discuss these questions in Section 17.
Proof of Theorem 1.1. We collect the results of this section, which rely on Proposition 8.1, proved in Sections 9 and 10. Fix p ≥ 3 p \ge3 p ≥ 3 and β > 0 \beta> 0 β > 0 . By Proposition 8.4, the multiplier and the energy converge to ℓ β \ell_{\beta} ℓ β and e β ( ∞ ) e_{\beta}(\infty) e β ( ∞ ) , and the translated kernels converge locally uniformly to the stationary profile ( c β , r β ) = ( c , r ) (c_{\beta},r_{\beta})=(c,r) ( c β , r β ) = ( c , r ) . This is (1) . In Step 3 of the proof of Proposition 8.4, we showed that every stationary cluster equals ( c , r , ℓ β ) (c,r,\ell_{\beta}) ( c , r , ℓ β ) , so the profile is unique. By Proposition 5.7, we have c ( 0 ) = r ( 0 ) = 1 c(0)=r(0)=1 c ( 0 ) = r ( 0 ) = 1 and r = − c ′ r=-c' r = − c ′ , and c c c is completely monotone by Corollary 7.7. The forgetting statement (2) is (149) . For β ≥ β d \beta\ge\beta_{\mathrm d} β ≥ β d , Theorem 8.5 shows that the plateau is q β ≥ q d q_{\beta} \ge q_{\mathrm d} q β ≥ q d , which is the larger solution of (3) , and it gives (4) and (5) . Finally, (6) is (152) . This completes the proof of Theorem 1.1.
Tree ceilings and the threshold inputs for cubic and quartic models
In this section, we prove Proposition 8.1 for p ∈ { 3 , 4 } p \in\{3,4\} p ∈ { 3 , 4 } . That proposition is stated in § 6.2.1 , and Section 8 deduces from it the selection of the plateau, forgetting, and correlation aging. We prove the proposition for every p ≥ 3 p \ge3 p ≥ 3 in § 6.4 .
Both parts rest on a deterministic inequality in the tree space of § 6.1.1 . For p = 3 p=3 p = 3 , the cubic tree ceiling, Theorem 9.2 , states that every unit tree vector has energy strictly below E t h E_{\mathrm{th}} E th , and that a unit vector with energy close to E t h E_{\mathrm{th}} E th has little mass at every fixed finite set of heights. Lemma 9.3 is the analogous statement for p = 4 p=4 p = 4 , and Corollary 9.4 restates both in terms of the tree energy. In § 6.3.3 , we prove part (a) of Proposition 8.1 by applying a ceiling to normalized prefix centers and passing to the limit with Proposition 7.5. Under the hypotheses of part (b), the normalized centers approach the threshold; this is Proposition 9.5. Their mass then leaves every fixed set of heights, while an earlier state is approximated by finitely many heights, uniformly on a bounded time interval. Combining these two facts, we prove part (b) in § 6.3.5 .
Besides the tree space and the realization of Proposition 7.1, we use the reflection identity of Proposition 7.5, the precompactness in Proposition 5.7, the plateau identity (105) , and the limiting center energy of Lemma 8.2. The last lemma is an algebraic statement about a stationary cluster and does not use Proposition 8.1. Hence the arguments of this section and of Section 8 are not circular. The ceilings are used again later: the participation bound enters the proof of Theorem 11.1, and the retained angular and Young defects (155) are used in Section 13. Proposition 9.5 is used in Sections 11 and 14.
The value E t h = 2 ( p − 1 ) / p E_{\mathrm{th}} = 2\sqrt{(p-1)/p} E th = 2 ( p − 1 ) / p is the threshold energy of the pure p p p -spin model. It appears in the complexity of critical points computed by Auffinger, Ben Arous, and Černý [7, equation (2.13)], where the Hamiltonian is minimized and the threshold is − E t h -E_{\mathrm{th}} − E th . It is the threshold for Lipschitz algorithms identified by Huang and Sellke, for even models in [94] and including odd pure models in [92, Theorem 1 and Corollary 1.8], and Sellke proved that low-temperature Langevin dynamics approaches it when the temperature is also sent to zero [112, Theorems 1.1 and 1.7]. The ceilings below are elementary inequalities in the tree space, and we do not use the cited results in the proofs of this section. They also differ from the branching constructions of the algorithmic literature, such as those of Subag [118, Remark 6] and of Huang and Sellke [94, Remarks 1.2–1.3. and Sections 3 and 7, which concern configurations in finite dimension. Here we retain quantitative height defects inside the causal covariance realization and use their saturation to prove escape from every fixed set of heights.
Standing notation. Throughout this section, p ∈ { 3 , 4 } p \in\{3,4\} p ∈ { 3 , 4 } and m = p − 1 m = p - 1 m = p − 1 , and H \mathcal{H} H , I \mathcal{I} I , Π j \Pi_j Π j , and P T P_T P T are the tree space, the grafting isometry, and the height and prefix projections of § 6.1.1 for this arity. For v ∈ H v \in\mathcal{H} v ∈ H and j ≥ 0 j \ge0 j ≥ 0 , we write
b j = ∥ Π j v ∥ 2 , a j = b j , B j = ∑ i ≤ j b i . b_j = \lVert\Pi_j v\rVert^2,\qquad a_j = \sqrt{b_j},\qquad B_j = \sum_{i\le j} b_i. b j = ∥ Π j v ∥ 2 , a j = b j , B j = i ≤ j ∑ b i .
with b j = B j = 0 b_j = B_j = 0 b j = B j = 0 for j < 0 j < 0 j < 0 . Recall that ∑ j Π j = Id \sum_j \Pi_j = \operatorname{Id} ∑ j Π j = Id , so that the masses b j b_j b j sum to ∥ v ∥ 2 \lVert v\rVert^2 ∥ v ∥ 2 and B j B_j B j increases to ∥ v ∥ 2 \lVert v\rVert^2 ∥ v ∥ 2 . The tree energy is h ( v ) = p ⟨ v , I ( v ⊗ m ) ⟩ h(v) = \sqrt{p}\,\langle v,\mathcal{I}(v^{\otimes m})\rangle h ( v ) = p ⟨ v , I ( v ⊗ m )⟩ , as in (112) . It is a homogeneous polynomial of degree p p p , that is, h ( α v ) = α p h ( v ) h(\alpha v) = \alpha^p h(v) h ( α v ) = α p h ( v ) for α ≥ 0 \alpha\ge0 α ≥ 0 .
The cubic tree ceiling
We begin with a computation that holds for both arities. It expresses the height profile of a graft through the cumulative masses B j B_j B j .
Lemma 9.1 (Heights of a graft). Let v ∈ H v \in\mathcal{H} v ∈ H . Then Π 0 I ( v ⊗ m ) = 0 \Pi_0\mathcal{I}(v^{\otimes m}) = 0 Π 0 I ( v ⊗ m ) = 0 , and for every j ≥ 1 j \ge1 j ≥ 1 ,
Π j I ( v ⊗ m ) = Π j I ( ( Π ≤ j − 1 v ) ⊗ m ) , ∥ Π j I ( v ⊗ m ) ∥ 2 = B j − 1 m − B j − 2 m . (153) \Pi_j\mathcal{I}(v^{\otimes m}) = \Pi_j\mathcal{I}\left((\Pi_{\le j-1}v)^{\otimes m}\right),\qquad\lVert\Pi_j\mathcal{I}(v^{\otimes m})\rVert^2 = B_{j-1}^m - B_{j-2}^m. \tag*{(153)} Π j I ( v ⊗ m ) = Π j I ( ( Π ≤ j − 1 v ) ⊗ m ) , ∥ Π j I ( v ⊗ m ) ∥ 2 = B j − 1 m − B j − 2 m . (153)
Proof. The ranges of the projections Π i \Pi_i Π i , i ≥ 0 i \ge0 i ≥ 0 , are mutually orthogonal and span H \mathcal{H} H . It follows that H ⊗ m \mathcal{H}^{\otimes m} H ⊗ m is the orthogonal sum of the subspaces Π i 1 H ⊗ ⋯ ⊗ Π i m H \Pi_{i_1}\mathcal{H} \otimes\cdots\otimes\Pi_{i_m}\mathcal{H} Π i 1 H ⊗ ⋯ ⊗ Π i m H over ( i 1 , … , i m ) (i_1,\ldots,i_m) ( i 1 , … , i m ) . Because a graft has height one plus the largest height of its root subtrees, the map I \mathcal{I} I sends the subspace indexed by ( i 1 , … , i m ) (i_1,\ldots,i_m) ( i 1 , … , i m ) into the range of Π j \Pi_j Π j with j = 1 + max k i k j = 1 + \max_k i_k j = 1 + max k i k . In particular, Π 0 I = 0 \Pi_0\mathcal{I} = 0 Π 0 I = 0 , and for j ≥ 1 j \ge1 j ≥ 1 ,
Π j I ( v ⊗ m ) = ∑ max k i k = j − 1 I ( Π i 1 v ⊗ ⋯ ⊗ Π i m v ) . \Pi_j\mathcal{I}(v^{\otimes m}) =
\sum_{\max_k i_k=j-1}
\mathcal{I}(\Pi_{i_1}v \otimes\cdots\otimes\Pi_{i_m}v). Π j I ( v ⊗ m ) = m a x k i k = j − 1 ∑ I ( Π i 1 v ⊗ ⋯ ⊗ Π i m v ) .
Only the components Π i v \Pi_i v Π i v with i ≤ j − 1 i \le j - 1 i ≤ j − 1 appear, which gives the first identity in (9.1). The terms of the sum are orthogonal, since I \mathcal{I} I is an isometry and the subspaces are orthogonal, and the term indexed by ( i 1 , … , i m ) (i_1,\ldots,i_m) ( i 1 , … , i m ) has squared norm b i 1 ⋯ b i m b_{i_1}\cdots b_{i_m} b i 1 ⋯ b i m . Summing over the m m m -tuples with largest entry j − 1 j - 1 j − 1 , we obtain
∥ Π j I ( v ⊗ m ) ∥ 2 = ( ∑ i ≤ j − 1 b i ) m − ( ∑ i ≤ j − 2 b i ) m = B j − 1 m − B j − 2 m , \lVert\Pi_j\mathcal{I}(v^{\otimes m})\rVert^2 =
\left(\sum_{i\le j-1} b_i\right)^m -
\left(\sum_{i\le j-2} b_i\right)^m
= B_{j-1}^m - B_{j-2}^m, ∥ Π j I ( v ⊗ m ) ∥ 2 = ( i ≤ j − 1 ∑ b i ) m − ( i ≤ j − 2 ∑ b i ) m = B j − 1 m − B j − 2 m ,
as desired.
We now treat the cubic case. The next estimate is the reason that a normalized prefix center selects marginality. It is an inequality in the tree space, and it involves no finite-dimensional critical points.
Theorem 9.2 (The cubic tree ceiling and its retained defects). Let p = 3 p=3 p = 3 , so that grafting is binary, and let F ∗ = 2 2 / 3 F_\ast=2\sqrt{2}/3 F ∗ = 2 2 /3 . For a unit vector v ∈ H v\in\mathcal{H} v ∈ H , define
f ( v ) = ⟨ v , I ( v ⊗ v ) ⟩ , δ = F ∗ − f ( v ) , f(v)=\langle v,\mathcal{I}(v\otimes v)\rangle,\qquad\delta=F_\ast-f(v), f ( v ) = ⟨ v , I ( v ⊗ v )⟩ , δ = F ∗ − f ( v ) , and let b j = ∥ Π j v ∥ 2 b_j=\lVert\Pi_jv\rVert^2 b j = ∥ Π j v ∥ 2 , a j = b j a_j=\sqrt{b_j} a j = b j , and B j = ∑ i ≤ j b i B_j=\sum_{i\leq j}b_i B j = ∑ i ≤ j b i for j ≥ 0 j\geq0 j ≥ 0 , with B − 1 = B − 2 = 0 B_{-1}=B_{-2}=0 B − 1 = B − 2 = 0 . Then ∣ f ( v ) ∣ < F ∗ |f(v)|<F_\ast ∣ f ( v ) ∣ < F ∗ , and
∑ j ≥ 0 b j 2 ≤ 4 2 δ , ∥ Π ≤ H v ∥ 2 ≤ 4 2 ( H + 1 ) δ ( H ≥ 0 ) . (154) \sum_{j\geq0}b_j^2\leq4\sqrt{2}\,\delta,\qquad\lVert\Pi_{\leq H}v\rVert^2\leq\sqrt{4\sqrt{2}(H+1)\delta}\qquad(H\geq0). \tag*{(154)} j ≥ 0 ∑ b j 2 ≤ 4 2 δ , ∥ Π ≤ H v ∥ 2 ≤ 4 2 ( H + 1 ) δ ( H ≥ 0 ) . (154) The supremum of f f f over unit vectors equals F ∗ F_\ast F ∗ , and it is not attained. Further, let s j = B j − 1 + B j − 2 s_j=\sqrt{B_{j-1}+B_{j-2}} s j = B j − 1 + B j − 2 , and for j ≥ 1 j\geq1 j ≥ 1 let θ j ∈ [ 0 , π ] \theta_j\in[0,\pi] θ j ∈ [ 0 , π ] be the angle between Π j v \Pi_jv Π j v and Π j I ( v ⊗ v ) \Pi_j\mathcal{I}(v\otimes v) Π j I ( v ⊗ v ) , with θ j = 0 \theta_j=0 θ j = 0 when one of these two vectors is zero. Then
∑ j ≥ 1 a j a j − 1 s j ( 1 − cos θ j ) ≤ δ , 1 2 ∑ j ≥ 1 s j ( a j − a j − 1 ) 2 ≤ δ . (155) \sum_{j\geq1}a_ja_{j-1}s_j(1-\cos\theta_j)\leq\delta,\qquad\frac{1}{2}\sum_{j\geq1}s_j(a_j-a_{j-1})^2\leq\delta. \tag*{(155)} j ≥ 1 ∑ a j a j − 1 s j ( 1 − cos θ j ) ≤ δ , 2 1 j ≥ 1 ∑ s j ( a j − a j − 1 ) 2 ≤ δ . (155)
Proof. The proof has three steps. First, we write f ( v ) f(v) f ( v ) as a sum over heights and bound it by two sums S S S and Y Y Y , keeping track of the gaps. Second, we compare Y Y Y with the integral ∫ 0 1 2 y d y = F ∗ \int_0^1\sqrt{2y}\,\mathrm{d}y=F_\ast ∫ 0 1 2 y d y = F ∗ , again keeping the gap. Third, we construct unit vectors whose values of f f f approach F ∗ F_\ast F ∗ .
Step 1: heightwise Cauchy–Schwarz and Young inequalities. By Lemma 9.1 with m = 2 m=2 m = 2 , we have, for j ≥ 1 j\geq1 j ≥ 1 ,
∥ Π j I ( v ⊗ v ) ∥ 2 = B j − 1 2 − B j − 2 2 = b j − 1 ( B j − 1 + B j − 2 ) = a j − 1 2 s j 2 . \lVert\Pi_j\mathcal{I}(v\otimes v)\rVert^2=B_{j-1}^2-B_{j-2}^2=b_{j-1}(B_{j-1}+B_{j-2})=a_{j-1}^2s_j^2. ∥ Π j I ( v ⊗ v ) ∥ 2 = B j − 1 2 − B j − 2 2 = b j − 1 ( B j − 1 + B j − 2 ) = a j − 1 2 s j 2 .
Using that the height projections are orthogonal and that Π 0 I = 0 \Pi_0\mathcal{I}=0 Π 0 I = 0 , we find that
f ( v ) = ∑ j ≥ 1 ⟨ Π j v , Π j I ( v ⊗ v ) ⟩ = ∑ j ≥ 1 a j a j − 1 s j cos θ j . (156) f(v)=\sum_{j\geq1}\langle\Pi_jv,\Pi_j\mathcal{I}(v\otimes v)\rangle=\sum_{j\geq1}a_ja_{j-1}s_j\cos\theta_j. \tag*{(156)} f ( v ) = j ≥ 1 ∑ ⟨ Π j v , Π j I ( v ⊗ v )⟩ = j ≥ 1 ∑ a j a j − 1 s j cos θ j . (156)
When one of the two vectors in the j j j -th inner product is zero, the coefficient a j a j − 1 s j a_ja_{j-1}s_j a j a j − 1 s j , which is the product of their norms, vanishes. The convention on θ j \theta_j θ j therefore does not matter. We define
S = ∑ j ≥ 1 a j a j − 1 s j , Y = 1 2 ∑ j ≥ 1 ( b j + b j − 1 ) s j . S=\sum_{j\geq1}a_ja_{j-1}s_j,\qquad Y=\frac{1}{2}\sum_{j\geq1}(b_j+b_{j-1})s_j. S = j ≥ 1 ∑ a j a j − 1 s j , Y = 2 1 j ≥ 1 ∑ ( b j + b j − 1 ) s j .
All these series converge absolutely, because s j ≤ 2 s_j\leq\sqrt{2} s j ≤ 2 and ∑ j b j = 1 \sum_jb_j=1 ∑ j b j = 1 . Using (9.4) and the inequality a j a j − 1 ≤ 1 2 ( b j + b j − 1 ) a_ja_{j-1}\leq\frac{1}{2}(b_j+b_{j-1}) a j a j − 1 ≤ 2 1 ( b j + b j − 1 ) , we see that ∣ f ( v ) ∣ ≤ S ≤ Y |f(v)|\leq S\leq Y ∣ f ( v ) ∣ ≤ S ≤ Y , with the exact gaps
S − f ( v ) = ∑ j ≥ 1 a j a j − 1 s j ( 1 − cos θ j ) , Y − S = 1 2 ∑ j ≥ 1 s j ( a j − a j − 1 ) 2 . (157) S-f(v)=\sum_{j\geq1}a_ja_{j-1}s_j(1-\cos\theta_j),\qquad Y-S=\frac{1}{2}\sum_{j\geq1}s_j(a_j-a_{j-1})^2. \tag*{(157)} S − f ( v ) = j ≥ 1 ∑ a j a j − 1 s j ( 1 − cos θ j ) , Y − S = 2 1 j ≥ 1 ∑ s j ( a j − a j − 1 ) 2 . (157)
Step 2: comparison with an integral. Let g ( y ) = 2 y g(y)=\sqrt{2y} g ( y ) = 2 y , a concave function on [ 0 , 1 ] [0,1] [ 0 , 1 ] with ∫ 0 1 g ( y ) d y = F ∗ \int_0^1 g(y)\,\mathrm{d}y=F_* ∫ 0 1 g ( y ) d y = F ∗ . Reindexing the second half of Y Y Y and using s 1 = b 0 s_1=\sqrt{b_0} s 1 = b 0 , we have
Y = 1 2 b 0 3 / 2 + 1 2 ∑ j ≥ 1 b j ( s j + s j + 1 ) . Y=\frac{1}{2}b_0^{3/2}+\frac{1}{2}\sum_{j\geq1}b_j(s_j+s_{j+1}). Y = 2 1 b 0 3/2 + 2 1 j ≥ 1 ∑ b j ( s j + s j + 1 ) .
Since B j B_j B j increases to one, we may split ∫ 0 1 g \int_0^1g ∫ 0 1 g at the points B 0 ≤ B 1 ≤ ⋯ B_0\leq B_1\leq\cdots B 0 ≤ B 1 ≤ ⋯ . Using ∫ 0 B 0 g = F ∗ b 0 3 / 2 \int_0^{B_0}g=F_*b_0^{3/2} ∫ 0 B 0 g = F ∗ b 0 3/2 , we find that
F ∗ − Y = ( F ∗ − 1 2 ) b 0 3 / 2 + ∑ j ≥ 1 [ ∫ B j − 1 B j g ( y ) d y − b j 2 ( s j + s j + 1 ) ] . (158) F_*-Y=\left(F_*-\frac{1}{2}\right)b_0^{3/2}+\sum_{j\geq1}\left[\int_{B_{j-1}}^{B_j}g(y)\,\mathrm{d}y-\frac{b_j}{2}(s_j+s_{j+1})\right]. \tag*{(158)} F ∗ − Y = ( F ∗ − 2 1 ) b 0 3/2 + j ≥ 1 ∑ [ ∫ B j − 1 B j g ( y ) d y − 2 b j ( s j + s j + 1 ) ] . (158)
We bound each bracket from below. Because g g g is concave, the trapezoid rule underestimates its integral, that is,
∫ B j − 1 B j g ( y ) d y ≥ b j 2 { g ( B j − 1 ) + g ( B j ) } . \int_{B_{j-1}}^{B_j}g(y)\,\mathrm{d}y\geq\frac{b_j}{2}\{g(B_{j-1})+g(B_j)\}. ∫ B j − 1 B j g ( y ) d y ≥ 2 b j { g ( B j − 1 ) + g ( B j )} .
We have s j ≤ g ( B j − 1 ) s_j\leq g(B_{j-1}) s j ≤ g ( B j − 1 ) , because B j − 2 ≤ B j − 1 B_{j-2}\leq B_{j-1} B j − 2 ≤ B j − 1 . If b j > 0 b_j>0 b j > 0 , then
g ( B j ) − s j + 1 = 2 B j − B j + B j − 1 = b j 2 B j + B j + B j − 1 ≥ b j 2 2 , g(B_j)-s_{j+1}=\sqrt{2B_j}-\sqrt{B_j+B_{j-1}}=\frac{b_j}{\sqrt{2B_j}+\sqrt{B_j+B_{j-1}}}\geq\frac{b_j}{2\sqrt{2}}, g ( B j ) − s j + 1 = 2 B j − B j + B j − 1 = 2 B j + B j + B j − 1 b j ≥ 2 2 b j ,
because the denominator is at most 2 2 2\sqrt{2} 2 2 . Inserting these bounds, we see that the bracket with index j j j is at least b j 2 ⋅ b j 2 2 = b j 2 / ( 4 2 ) \frac{b_j}{2}\cdot\frac{b_j}{2\sqrt{2}}=b_j^2/(4\sqrt{2}) 2 b j ⋅ 2 2 b j = b j 2 / ( 4 2 ) , and this also holds when b j = 0 b_j=0 b j = 0 . For the first term, we use b 0 3 / 2 ≥ b 0 2 b_0^{3/2}\geq b_0^2 b 0 3/2 ≥ b 0 2 and
F ∗ − 1 2 − 1 4 2 = 13 2 − 12 24 > 0. F_*-\frac{1}{2}-\frac{1}{4\sqrt{2}}=\frac{13\sqrt{2}-12}{24}>0. F ∗ − 2 1 − 4 2 1 = 24 13 2 − 12 > 0.
Combining these bounds with (158) , we obtain
F ∗ − Y ≥ 1 4 2 ∑ j ≥ 0 b j 2 . (159) F_*-Y\geq\frac{1}{4\sqrt{2}}\sum_{j\geq0}b_j^2. \tag*{(159)} F ∗ − Y ≥ 4 2 1 j ≥ 0 ∑ b j 2 . (159)
We now collect the gaps. We have the exact decomposition
δ = F ∗ − f ( v ) = ( F ∗ − Y ) + ( Y − S ) + ( S − f ( v ) ) , \delta=F_*-f(v)=(F_*-Y)+(Y-S)+(S-f(v)), δ = F ∗ − f ( v ) = ( F ∗ − Y ) + ( Y − S ) + ( S − f ( v )) ,
in which all three terms are nonnegative. By (159) , the first term is at least ( 4 2 ) − 1 ∑ j b j 2 (4\sqrt{2})^{-1}\sum_j b_j^2 ( 4 2 ) − 1 ∑ j b j 2 , which yields the first inequality in (154) . The second and third terms are the two sums in (155) by (157) , which proves (155) . Using the Cauchy–Schwarz inequality, we also have
∥ Π ≤ H v ∥ 2 = ∑ j = 0 H b j ≤ ( ( H + 1 ) ∑ j ≥ 0 b j 2 ) 1 / 2 ≤ 4 2 ( H + 1 ) δ , \|\Pi_{\leq H}v\|^2=\sum_{j=0}^{H}b_j\leq\left((H+1)\sum_{j\geq0}b_j^2\right)^{1/2}\leq\sqrt{4\sqrt{2}(H+1)\delta}, ∥ Π ≤ H v ∥ 2 = j = 0 ∑ H b j ≤ ( ( H + 1 ) j ≥ 0 ∑ b j 2 ) 1/2 ≤ 4 2 ( H + 1 ) δ ,
which is the second inequality in (154) . Finally, some b j b_j b j is positive, because ∑ j b j = 1 \sum_j b_j=1 ∑ j b j = 1 , and we have ∣ f ( v ) ∣ ≤ Y ≤ F ∗ − ( 4 2 ) − 1 ∑ j b j 2 < F ∗ |f(v)|\leq Y\leq F_*-(4\sqrt{2})^{-1}\sum_j b_j^2<F_* ∣ f ( v ) ∣ ≤ Y ≤ F ∗ − ( 4 2 ) − 1 ∑ j b j 2 < F ∗ . In particular, no unit vector attains the value F ∗ F_* F ∗ .
Step 3: sharpness. We construct unit vectors v ( n ) v^{(n)} v ( n ) with f ( v ( n ) ) → F ∗ f(v^{(n)}) \to F_\ast f ( v ( n ) ) → F ∗ . We give the construction for a general arity m ∈ { 2 , 3 } m \in\{2,3\} m ∈ { 2 , 3 } , since the proof of Lemma 9.3 uses it with m = 3 m=3 m = 3 . Fix an integer n ≥ 1 n \ge1 n ≥ 1 and let ρ = ( n + 1 ) − 1 \rho= (n+1)^{-1} ρ = ( n + 1 ) − 1 . Let w 0 = ρ e 0 w_0 = \sqrt{\rho}\,e_0 w 0 = ρ e 0 , a vector in the one-leaf summand. For j = 1 , … , n j=1,\ldots,n j = 1 , … , n , we define inductively
γ j = Π j I ( w j − 1 ⊗ m ) , u j = ρ γ j ∥ γ j ∥ , w j = w j − 1 + u j . \gamma_j = \Pi_j\mathcal{I}(w_{j-1}^{\otimes m}), \qquad u_j = \sqrt{\rho}\,\frac{\gamma_j}{\lVert\gamma_j\rVert}, \qquad w_j = w_{j-1}+u_j. γ j = Π j I ( w j − 1 ⊗ m ) , u j = ρ ∥ γ j ∥ γ j , w j = w j − 1 + u j .
We check by induction that this is well defined, and that w j − 1 w_{j-1} w j − 1 has mass ρ \rho ρ at each height 0 , … , j − 1 0,\ldots,j-1 0 , … , j − 1 and no mass at larger heights. This holds for w 0 w_0 w 0 . If it holds for w j − 1 w_{j-1} w j − 1 , then Lemma 9.1 applied to w j − 1 w_{j-1} w j − 1 gives
∥ γ j ∥ 2 = ( j ρ ) m − ( ( j − 1 ) ρ ) m > 0 , \lVert\gamma_j\rVert^2 = (j\rho)^m - ((j-1)\rho)^m > 0, ∥ γ j ∥ 2 = ( j ρ ) m − (( j − 1 ) ρ ) m > 0 ,
and u j u_j u j is well defined. The vector u j u_j u j lies in the range of Π j \Pi_j Π j and has squared norm ρ \rho ρ , and therefore w j w_j w j has mass ρ \rho ρ at each height 0 , … , j 0,\ldots,j 0 , … , j and no mass at larger heights. Let v ( n ) = w n v^{(n)}=w_n v ( n ) = w n . It is a unit vector, with b j = ρ b_j=\rho b j = ρ for 0 ≤ j ≤ n 0\le j\le n 0 ≤ j ≤ n and b j = 0 b_j=0 b j = 0 for j > n j>n j > n .
We now show that all the angles vanish. Let 1 ≤ j ≤ n 1\le j\le n 1 ≤ j ≤ n . Since Π ≤ j − 1 v ( n ) = w j − 1 \Pi_{\le j-1}v^{(n)}=w_{j-1} Π ≤ j − 1 v ( n ) = w j − 1 , Lemma 9.1 implies that Π j I ( ( v ( n ) ) ⊗ m ) = γ j \Pi_j\mathcal{I}((v^{(n)})^{\otimes m})=\gamma_j Π j I (( v ( n ) ) ⊗ m ) = γ j . The component Π j v ( n ) = u j \Pi_jv^{(n)}=u_j Π j v ( n ) = u j is a positive multiple of γ j \gamma_j γ j , which means that θ j = 0 \theta_j=0 θ j = 0 . For j > n j>n j > n , the component Π j v ( n ) \Pi_jv^{(n)} Π j v ( n ) vanishes. Only the heights 1 , … , n 1,\ldots,n 1 , … , n contribute to f f f , and we find that
f ( v ( n ) ) = ∑ j = 1 n ⟨ u j , γ j ⟩ = ∑ j = 1 n ρ ∥ γ j ∥ = ∑ j = 1 n ρ { ( j ρ ) m − ( ( j − 1 ) ρ ) m } 1 / 2 . (160) f(v^{(n)}) = \sum_{j=1}^{n}\langle u_j,\gamma_j\rangle= \sum_{j=1}^{n}\sqrt{\rho}\,\lVert\gamma_j\rVert= \sum_{j=1}^{n}\sqrt{\rho}\,\left\{(j\rho)^m-((j-1)\rho)^m\right\}^{1/2}. \tag*{(160)} f ( v ( n ) ) = j = 1 ∑ n ⟨ u j , γ j ⟩ = j = 1 ∑ n ρ ∥ γ j ∥ = j = 1 ∑ n ρ { ( j ρ ) m − (( j − 1 ) ρ ) m } 1/2 . (160)
For m = 2 m=2 m = 2 , each summand equals ρ ( 2 j − 1 ) ρ = ρ g ( ( j − 1 2 ) ρ ) \rho\sqrt{(2j-1)\rho}=\rho\,g\left((j-\frac{1}{2})\rho\right) ρ ( 2 j − 1 ) ρ = ρ g ( ( j − 2 1 ) ρ ) . In other words, f ( v ( n ) ) f(v^{(n)}) f ( v ( n ) ) is the midpoint Riemann sum for ∫ g \int g ∫ g over the first n n n of the n + 1 n+1 n + 1 intervals [ ( j − 1 ) ρ , j ρ ] [(j-1)\rho,j\rho] [( j − 1 ) ρ , j ρ ] that partition [ 0 , 1 ] [0,1] [ 0 , 1 ] . Since g g g is continuous on [ 0 , 1 ] [0,1] [ 0 , 1 ] and bounded by 2 \sqrt{2} 2 , the omitted last interval contributes at most 2 ρ \sqrt{2}\rho 2 ρ , and we obtain
lim n → ∞ f ( v ( n ) ) = ∫ 0 1 2 y d y = F ∗ . \lim_{n\to\infty}f(v^{(n)})=\int_0^1\sqrt{2y}\,\mathrm{d}y=F_\ast. n → ∞ lim f ( v ( n ) ) = ∫ 0 1 2 y d y = F ∗ .
Together with Step 2, this shows that the supremum of f f f equals F ∗ F_\ast F ∗ and is not attained. □
The quartic tree ceiling
For p = 4 p=4 p = 4 , grafting is ternary. The proof follows the cubic one, with a difference of cubes of the cumulative masses in place of a difference of squares. The comparison function becomes linear, and the ceiling calculation telescopes.
Lemma 9.3 (The quartic tree ceiling). Let p = 4 p=4 p = 4 , so that grafting has arity three. For a unit vector v ∈ H v\in\mathcal{H} v ∈ H , define f ( v ) = ⟨ v , I ( v ⊗ 3 ) ⟩ f(v)=\langle v,\mathcal{I}(v^{\otimes3})\rangle f ( v ) = ⟨ v , I ( v ⊗ 3 )⟩ . Then
∣ f ( v ) ∣ < 3 2 , ∑ j ≥ 0 ∥ Π j v ∥ 4 ≤ 2 3 ( 3 2 − f ( v ) ) . (161) |f(v)|<\frac{\sqrt{3}}{2},\qquad\sum_{j\geq0}\|\Pi_jv\|^4\leq2\sqrt{3}\left(\frac{\sqrt{3}}{2}-f(v)\right). \tag*{(161)} ∣ f ( v ) ∣ < 2 3 , j ≥ 0 ∑ ∥ Π j v ∥ 4 ≤ 2 3 ( 2 3 − f ( v ) ) . (161) The supremum of f f f over unit vectors equals 3 / 2 \sqrt{3}/2 3 /2 , and it is not attained. In particular, let h ( v ) = 2 f ( v ) h(v)=2f(v) h ( v ) = 2 f ( v ) be the tree energy and E t h = 3 E_{\mathrm{th}}=\sqrt{3} E th = 3 . If ( v n ) (v_n) ( v n ) are unit vectors with h ( v n ) → E t h h(v_n)\to E_{\mathrm{th}} h ( v n ) → E th , then ∥ Π ≤ H v n ∥ → 0 \|\Pi_{\leq H}v_n\|\to0 ∥ Π ≤ H v n ∥ → 0 for every H ≥ 0 H\geq0 H ≥ 0 .
Proof. The proof has three steps, parallel to those of Theorem 9.2: a heightwise bound, a comparison that keeps the gap, and the sharpness construction.
Step 1: heightwise bound. In this proof, we let
s j = B j − 1 2 + B j − 1 B j − 2 + B j − 2 2 , j ≥ 1. s_j=\sqrt{B_{j-1}^2+B_{j-1}B_{j-2}+B_{j-2}^2},\qquad j\geq1. s j = B j − 1 2 + B j − 1 B j − 2 + B j − 2 2 , j ≥ 1. By Lemma 9.1 with m = 3 m=3 m = 3 , we have
∥ Π j I ( v ⊗ 3 ) ∥ 2 = B j − 1 3 − B j − 2 3 = b j − 1 s j 2 = a j − 1 2 s j 2 . \|\Pi_j\mathcal{I}(v^{\otimes3})\|^2=B_{j-1}^3-B_{j-2}^3=b_{j-1}s_j^2=a_{j-1}^2s_j^2. ∥ Π j I ( v ⊗ 3 ) ∥ 2 = B j − 1 3 − B j − 2 3 = b j − 1 s j 2 = a j − 1 2 s j 2 . As in Step 1 of the proof of Theorem 9.2, using the Cauchy–Schwarz inequality at each height and the inequality a j a j − 1 ≤ 1 2 ( b j + b j − 1 ) a_ja_{j-1}\leq\frac{1}{2}(b_j+b_{j-1}) a j a j − 1 ≤ 2 1 ( b j + b j − 1 ) , we have
∣ f ( v ) ∣ ≤ S ≤ Γ , S = ∑ j ≥ 1 a j a j − 1 s j , Γ = 1 2 ∑ j ≥ 1 ( b j + b j − 1 ) s j . |f(v)|\leq S\leq\mathit{\Gamma},\qquad S=\sum_{j\geq1}a_ja_{j-1}s_j,\qquad\mathit{\Gamma}=\frac{1}{2}\sum_{j\geq1}(b_j+b_{j-1})s_j. ∣ f ( v ) ∣ ≤ S ≤ Γ , S = j ≥ 1 ∑ a j a j − 1 s j , Γ = 2 1 j ≥ 1 ∑ ( b j + b j − 1 ) s j . Reindexing the second half of Γ \mathit{\Gamma} Γ and using s 1 = B 0 = b 0 s_1=B_0=b_0 s 1 = B 0 = b 0 , we have
Γ = 1 2 b 0 2 + 1 2 ∑ j ≥ 1 b j ( s j + s j + 1 ) . \mathit{\Gamma}=\frac{1}{2}b_0^2+\frac{1}{2}\sum_{j\geq1}b_j(s_j+s_{j+1}). Γ = 2 1 b 0 2 + 2 1 j ≥ 1 ∑ b j ( s j + s j + 1 ) . Step 2: the comparison. Note that b j ( B j + B j − 1 ) = B j 2 − B j − 1 2 b_j(B_j+B_{j-1})=B_j^2-B_{j-1}^2 b j ( B j + B j − 1 ) = B j 2 − B j − 1 2 . As B j B_j B j increases to one, the sum ∑ j ≥ 0 b j ( B j + B j − 1 ) \sum_{j\geq0}b_j(B_j+B_{j-1}) ∑ j ≥ 0 b j ( B j + B j − 1 ) telescopes to one, and we can write
3 2 = 3 2 b 0 2 + 1 2 ∑ j ≥ 1 b j ( 3 B j − 1 + 3 B j ) , \frac{\sqrt{3}}{2}=\frac{\sqrt{3}}{2}b_0^2+\frac{1}{2}\sum_{j\geq1}b_j\left(\sqrt{3}B_{j-1}+\sqrt{3}B_j\right), 2 3 = 2 3 b 0 2 + 2 1 j ≥ 1 ∑ b j ( 3 B j − 1 + 3 B j ) , and subtracting the expression for Γ \mathit{\Gamma} Γ , we arrive at
3 2 − Γ = 3 − 1 2 b 0 2 + 1 2 ∑ j ≥ 1 b j [ ( 3 B j − 1 − s j ) + ( 3 B j − s j + 1 ) ] . (162) \frac{\sqrt{3}}{2}-\mathit{\Gamma}=\frac{\sqrt{3}-1}{2}b_0^2+\frac{1}{2}\sum_{j\geq1}b_j\left[\left(\sqrt{3}B_{j-1}-s_j\right)+\left(\sqrt{3}B_j-s_{j+1}\right)\right]. \tag*{(162)} 2 3 − Γ = 2 3 − 1 b 0 2 + 2 1 j ≥ 1 ∑ b j [ ( 3 B j − 1 − s j ) + ( 3 B j − s j + 1 ) ] . (162)
We have s j ≤ 3 B j − 1 s_j \le\sqrt{3}B_{j-1} s j ≤ 3 B j − 1 , because B j − 2 ≤ B j − 1 B_{j-2} \le B_{j-1} B j − 2 ≤ B j − 1 . To bound the second difference, let X ≥ X ′ ≥ 0 X \ge X' \ge0 X ≥ X ′ ≥ 0 . Then
( 2 X + X ′ ) 2 3 − ( X 2 + X X ′ + X ′ 2 ) = ( X − X ′ ) ( X + 2 X ′ ) 3 ≥ 0. \frac{(2X+X')^2}{3}-(X^2+XX'+X'^2)=\frac{(X-X')(X+2X')}{3}\ge0. 3 ( 2 X + X ′ ) 2 − ( X 2 + X X ′ + X ′2 ) = 3 ( X − X ′ ) ( X + 2 X ′ ) ≥ 0.
This implies that X 2 + X X ′ + X ′ 2 ≤ ( 2 X + X ′ ) / 3 \sqrt{X^2+XX'+X'^2} \le(2X+X')/\sqrt{3} X 2 + X X ′ + X ′2 ≤ ( 2 X + X ′ ) / 3 , and therefore
3 X − X 2 + X X ′ + X ′ 2 ≥ 3 X − 2 X + X ′ 3 = X − X ′ 3 . \sqrt{3}X-\sqrt{X^2+XX'+X'^2}\ge\sqrt{3}X-\frac{2X+X'}{\sqrt{3}}=\frac{X-X'}{\sqrt{3}}. 3 X − X 2 + X X ′ + X ′2 ≥ 3 X − 3 2 X + X ′ = 3 X − X ′ .
Taking X = B j X=B_j X = B j and X ′ = B j − 1 X'=B_{j-1} X ′ = B j − 1 , we find that 3 B j − s j + 1 ≥ b j / 3 \sqrt{3}B_j-s_{j+1}\ge b_j/\sqrt{3} 3 B j − s j + 1 ≥ b j / 3 , and the summand with index j ≥ 1 j\ge1 j ≥ 1 in (162) is at least b j 2 / ( 2 3 ) b_j^2/(2\sqrt{3}) b j 2 / ( 2 3 ) . The first term is also at least b 0 2 / ( 2 3 ) b_0^2/(2\sqrt{3}) b 0 2 / ( 2 3 ) , because
3 − 1 2 − 1 2 3 = 2 − 3 2 3 > 0. \frac{\sqrt{3}-1}{2}-\frac{1}{2\sqrt{3}}=\frac{2-\sqrt{3}}{2\sqrt{3}}>0. 2 3 − 1 − 2 3 1 = 2 3 2 − 3 > 0.
We conclude that
3 2 − γ ≥ 1 2 3 ∑ j ≥ 0 b j 2 . \frac{\sqrt{3}}{2}-\gamma\ge\frac{1}{2\sqrt{3}}\sum_{j\ge0}b_j^2. 2 3 − γ ≥ 2 3 1 j ≥ 0 ∑ b j 2 .
Since f ( v ) ≤ γ f(v)\le\gamma f ( v ) ≤ γ , this yields the second inequality in (161) . Further, ∣ f ( v ) ∣ ≤ γ |f(v)|\le\gamma ∣ f ( v ) ∣ ≤ γ and ∑ j b j 2 > 0 \sum_j b_j^2>0 ∑ j b j 2 > 0 for a unit vector, which gives ∣ f ( v ) ∣ < 3 / 2 |f(v)|<\sqrt{3}/2 ∣ f ( v ) ∣ < 3 /2 . This also shows that the value 3 / 2 \sqrt{3}/2 3 /2 is not attained.
Step 3: sharpness and finite heights. Let v ( n ) v^{(n)} v ( n ) be the unit vectors constructed in Step 3 of the proof of Theorem 9.2, now with m = 3 m=3 m = 3 , and let ρ = ( n + 1 ) − 1 \rho=(n+1)^{-1} ρ = ( n + 1 ) − 1 . Inserting m = 3 m=3 m = 3 into (160) , we obtain
f ( v ( n ) ) = ∑ j = 1 n ρ { ρ 3 ( j 3 − ( j − 1 ) 3 ) } 1 / 2 = ρ 2 ∑ j = 1 n 3 j 2 − 3 j + 1 . f\left(v^{(n)}\right)=\sum_{j=1}^{n}\sqrt{\rho}\left\{\rho^3\left(j^3-(j-1)^3\right)\right\}^{1/2}=\rho^2\sum_{j=1}^{n}\sqrt{3j^2-3j+1}. f ( v ( n ) ) = j = 1 ∑ n ρ { ρ 3 ( j 3 − ( j − 1 ) 3 ) } 1/2 = ρ 2 j = 1 ∑ n 3 j 2 − 3 j + 1 .
For j ≥ 1 j\ge1 j ≥ 1 , we have 3 ( j − 1 ) 2 ≤ 3 j 2 − 3 j + 1 ≤ 3 j 2 3(j-1)^2\le3j^2-3j+1\le3j^2 3 ( j − 1 ) 2 ≤ 3 j 2 − 3 j + 1 ≤ 3 j 2 , so that
3 2 n ( n − 1 ) ( n + 1 ) 2 ≤ f ( v ( n ) ) ≤ 3 2 n n + 1 . \frac{\sqrt{3}}{2}\frac{n(n-1)}{(n+1)^2}\le f\left(v^{(n)}\right)\le\frac{\sqrt{3}}{2}\frac{n}{n+1}. 2 3 ( n + 1 ) 2 n ( n − 1 ) ≤ f ( v ( n ) ) ≤ 2 3 n + 1 n .
Both bounds tend to 3 / 2 \sqrt{3}/2 3 /2 , which proves that the supremum of f f f equals 3 / 2 \sqrt{3}/2 3 /2 .
Finally, since h = 2 f h=2f h = 2 f , the second inequality in (161) reads ∑ j b j 2 ≤ 3 { E t h − h ( v ) } \sum_j b_j^2\le\sqrt{3}\{E_{\mathrm{th}}-h(v)\} ∑ j b j 2 ≤ 3 { E th − h ( v )} . For H ≥ 0 H\ge0 H ≥ 0 , the Cauchy–Schwarz inequality gives
∥ Π ≤ H v ∥ 2 = ∑ j = 0 H b j ≤ ( ( H + 1 ) ∑ j ≥ 0 b j 2 ) 1 / 2 ≤ { 3 ( H + 1 ) ( E t h − h ( v ) ) } 1 / 2 , \left\|\Pi_{\le H}v\right\|^2=\sum_{j=0}^{H}b_j\le\left((H+1)\sum_{j\ge0}b_j^2\right)^{1/2}\le\left\{\sqrt{3}(H+1)\left(E_{\mathrm{th}}-h(v)\right)\right\}^{1/2}, ∥ Π ≤ H v ∥ 2 = j = 0 ∑ H b j ≤ ( ( H + 1 ) j ≥ 0 ∑ b j 2 ) 1/2 ≤ { 3 ( H + 1 ) ( E th − h ( v ) ) } 1/2 ,
and the right side tends to zero along any sequence of unit vectors with h ( v n ) → E t h h(v_n)\to E_{\mathrm{th}} h ( v n ) → E th .
For later use, we restate the two ceilings in terms of the tree energy h h h and the threshold E t h E_{\mathrm{th}} E th .
Corollary 9.4 (The ceilings in terms of the tree energy). Let p ∈ { 3 , 4 } p \in\{3,4\} p ∈ { 3 , 4 } , and let κ 3 = 4 2 / 3 \kappa_3 = 4\sqrt{2/3} κ 3 = 4 2/3 and κ 4 = 3 \kappa_4 = \sqrt{3} κ 4 = 3 . Every unit vector v ∈ H v \in\mathcal{H} v ∈ H satisfies ∣ h ( v ) ∣ < E t h \lvert h(v)\rvert< E_{\mathrm{th}} ∣ h ( v )∣ < E th and
∑ j ≥ 0 ∥ Π j v ∥ 4 ≤ κ p ( E t h − h ( v ) ) , ∥ Π ≤ H v ∥ 2 ≤ { κ p ( H + 1 ) ( E t h − h ( v ) ) } 1 / 2 ( H ≥ 0 ) . (163) \sum_{j\geq0}\lVert\Pi_j v\rVert^4 \leq\kappa_p\left(E_{\mathrm{th}}-h(v)\right), \qquad\lVert\Pi_{\leq H}v\rVert^2 \leq\left\{\kappa_p(H+1)\left(E_{\mathrm{th}}-h(v)\right)\right\}^{1/2}\qquad(H\geq0). \tag*{(163)} j ≥ 0 ∑ ∥ Π j v ∥ 4 ≤ κ p ( E th − h ( v ) ) , ∥ Π ≤ H v ∥ 2 ≤ { κ p ( H + 1 ) ( E th − h ( v ) ) } 1/2 ( H ≥ 0 ) . (163) The supremum of h h h over unit vectors equals E t h E_{\mathrm{th}} E th .
Proof. For p = 3 p=3 p = 3 , we have h = 3 f h=\sqrt{3}f h = 3 f and E t h = 2 2 / 3 = 3 F ∗ E_{\mathrm{th}}=2\sqrt{2/3}=\sqrt{3}F_* E th = 2 2/3 = 3 F ∗ , so that F ∗ − f ( v ) = { E t h − h ( v ) } / 3 F_*-f(v)=\{E_{\mathrm{th}}-h(v)\}/\sqrt{3} F ∗ − f ( v ) = { E th − h ( v )} / 3 . Then Theorem 9.2 implies that ∣ h ( v ) ∣ < E t h \lvert h(v)\rvert< E_{\mathrm{th}} ∣ h ( v )∣ < E th and that ∑ j b j 2 ≤ ( 4 2 / 3 ) { E t h − h ( v ) } = κ 3 { E t h − h ( v ) } \sum_j b_j^2\leq(4\sqrt{2}/\sqrt{3})\{E_{\mathrm{th}}-h(v)\}=\kappa_3\{E_{\mathrm{th}}-h(v)\} ∑ j b j 2 ≤ ( 4 2 / 3 ) { E th − h ( v )} = κ 3 { E th − h ( v )} . For p = 4 p=4 p = 4 , we have h = 2 f h=2f h = 2 f and E t h = 3 E_{\mathrm{th}}=\sqrt{3} E th = 3 , so that 3 / 2 − f ( v ) = { E t h − h ( v ) } / 2 \sqrt{3}/2-f(v)=\{E_{\mathrm{th}}-h(v)\}/2 3 /2 − f ( v ) = { E th − h ( v )} /2 . Then Lemma 9.3 implies that ∣ h ( v ) ∣ < E t h \lvert h(v)\rvert< E_{\mathrm{th}} ∣ h ( v )∣ < E th and that ∑ j b j 2 ≤ 3 { E t h − h ( v ) } = κ 4 { E t h − h ( v ) } \sum_j b_j^2\leq\sqrt{3}\{E_{\mathrm{th}}-h(v)\}=\kappa_4\{E_{\mathrm{th}}-h(v)\} ∑ j b j 2 ≤ 3 { E th − h ( v )} = κ 4 { E th − h ( v )} . In both cases, the second inequality in (9.11) follows from the first by the Cauchy–Schwarz inequality, as in the two proofs above, and the supremum statement follows from those of Theorem 9.2 and Lemma 9.3.
The energy ceiling for prefix centers
We now prove the first threshold input. Recall the prefix centers M T ( a ) = P T v T + a M_T(a)=P_Tv_{T+a} M T ( a ) = P T v T + a of Section 7.4.
Proof of part (a) of Proposition 8.1 for p ∈ { 3 , 4 } p\in\{3,4\} p ∈ { 3 , 4 } . Let T n → ∞ T_n\to\infty T n → ∞ be a sequence along which the translated kernels converge to a stationary cluster ( c , r , ℓ ) (c,r,\ell) ( c , r , ℓ ) with plateau q > 0 q>0 q > 0 , and fix L ≥ 0 L\geq0 L ≥ 0 . We abbreviate M n = M T n ( L ) M_n=M_{T_n}(L) M n = M T n ( L ) . By (7.17), we have ∥ M n ∥ 2 → d L = c ( 2 L ) \lVert M_n\rVert^2\to d_L=c(2L) ∥ M n ∥ 2 → d L = c ( 2 L ) , and d L ≥ q > 0 d_L\geq q>0 d L ≥ q > 0 because c c c is nonincreasing with limit q q q . Then M n ≠ 0 M_n\neq0 M n = 0 for all large n n n , and U n = M n / ∥ M n ∥ U_n=M_n/\lVert M_n\rVert U n = M n / ∥ M n ∥ is a unit vector. Corollary 9.4 implies that h ( U n ) < E t h h(U_n)<E_{\mathrm{th}} h ( U n ) < E th . Since h h h is homogeneous of degree p p p , we have
h ( M n ) = ∥ M n ∥ p h ( U n ) < E t h ∥ M n ∥ p . h(M_n)=\lVert M_n\rVert^p h(U_n)<E_{\mathrm{th}}\lVert M_n\rVert^p. h ( M n ) = ∥ M n ∥ p h ( U n ) < E th ∥ M n ∥ p .
Letting n → ∞ n\to\infty n → ∞ and using (7.18) on the left side and (7.17) on the right side, we obtain h L ≤ E t h d L p / 2 h_L\leq E_{\mathrm{th}}d_L^{p/2} h L ≤ E th d L p /2 , which is (8.1).
The proof uses only the limits of Proposition 7.5 along the given sequence. In particular, it uses neither marginality nor convergence of the whole translated family, which Section 8 deduces from part (a).
Threshold-saturating prefix centers
Under the hypotheses of part (b) of Proposition 8.1 , the upper bound of part (a) becomes an equality in the limit of large offsets. The next proposition states this and converts it into a bound on the mass of the centers at low heights. It is the input to the proof of part (b) below, and we use it again in Sections 11 and 14.
Suppose that the translated kernels converge along every sequence T → ∞ T \to\infty T → ∞ to one stationary profile ( c , r ) (c,r) ( c , r ) with plateau q q q . Every stationary cluster is then of the form ( c , r , ℓ ) (c,r,\ell) ( c , r , ℓ ) , and (105) determines its multiplier as ℓ = ( 1 − q ) − 1 + β 2 p ( 1 − q p − 1 ) \ell= (1-q)^{-1} + \beta^{2}p(1-q^{p-1}) ℓ = ( 1 − q ) − 1 + β 2 p ( 1 − q p − 1 ) . The quantities d L d_L d L and h L h_L h L in (124) and (125) then do not depend on the sequence, and the energy e ∞ = ( ℓ − 1 ) / ( p β ) e_{\infty} = (\ell- 1)/(p\beta) e ∞ = ( ℓ − 1 ) / ( pβ ) in (125) is the limit of the energy e β ( t ) e_{\beta}(t) e β ( t ) ; see Step 1 of the proof below.
Proposition 9.5 (Threshold-saturating prefix centers). Let p ∈ { 3 , 4 } p \in\{3,4\} p ∈ { 3 , 4 } and β > 0 \beta> 0 β > 0 . Suppose that the translated kernels converge along every sequence T → ∞ T \to\infty T → ∞ to one stationary profile ( c , r ) (c,r) ( c , r ) , and that its plateau q q q is positive and satisfies β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 \beta^{2}p(p-1)q^{p-2}(1-q)^{2} = 1 β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 . Let d L d_L d L and h L h_L h L be defined by (124) and (125) for this profile. Then
δ L = E t h − h L d L p / 2 ≥ 0 ( L ≥ 0 ) , lim L → ∞ δ L = 0. (164) \delta_L = E_{\mathrm{th}} - \frac{h_L}{d_L^{p/2}} \ge0 \quad(L \ge0), \qquad\lim_{L \to\infty} \delta_L = 0. \tag*{(164)} δ L = E th − d L p /2 h L ≥ 0 ( L ≥ 0 ) , L → ∞ lim δ L = 0. (164) Moreover, for every L ≥ 0 L \ge0 L ≥ 0 and every integer H ≥ 0 H \ge0 H ≥ 0 ,
lim sup t → ∞ ∥ Π ≤ H P t − L v t ∥ 2 ≤ d L { κ p ( H + 1 ) δ L } 1 / 2 , (165) \limsup_{t \to\infty} \left\lVert\Pi_{\le H}P_{t-L}v_t \right\rVert^{2} \le d_L\left\{\kappa_p(H+1)\delta_L\right\}^{1/2}, \tag*{(165)} t → ∞ lim sup ∥ Π ≤ H P t − L v t ∥ 2 ≤ d L { κ p ( H + 1 ) δ L } 1/2 , (165) where κ 3 = 4 2 / 3 \kappa_3 = 4\sqrt{2}/3 κ 3 = 4 2 /3 and κ 4 = 3 \kappa_4 = \sqrt{3} κ 4 = 3 are the constants of Corollary 9.4 .
The normalized prefix center approaches the threshold; the proposition makes no threshold assertion about the state v t v_t v t itself.
Proof. The proof has three steps. We first show that the limits of Proposition 7.5 hold as T → ∞ T \to\infty T → ∞ without passing to a sequence. Then we prove (164) from part (a) of Proposition 8.1 and the identity (142) . Finally, we apply Corollary 9.4 to normalized centers.
Step 1: reflection along every sequence. Let T n → ∞ T_n \to\infty T n → ∞ be arbitrary. Using the precompactness in Proposition 5.7 , we see that every subsequence of ( T n ) (T_n) ( T n ) has a further subsequence along which ( C T n , R T n , λ T n ) (C_{T_n},R_{T_n},\lambda_{T_n}) ( C T n , R T n , λ T n ) converges to a stationary cluster. By hypothesis, this cluster is ( c , r , ℓ ) (c,r,\ell) ( c , r , ℓ ) , with the multiplier ℓ \ell ℓ given above. Along the further subsequence, Proposition 7.5 gives the limits (124) and (125) , with values d L d_L d L and h L h_L h L that do not depend on the subsequence, and λ ( T n ) → ℓ \lambda(T_n) \to\ell λ ( T n ) → ℓ . Since every subsequence has a further subsequence with the same limits, the whole sequence has them. As ( T n ) (T_n) ( T n ) was arbitrary, we conclude that, for every L ≥ 0 L \ge0 L ≥ 0 ,
lim T → ∞ ∥ M T ( L ) ∥ 2 = d L , lim T → ∞ h ( M T ( L ) ) = h L (166) \lim_{T \to\infty} \left\lVert M_T(L) \right\rVert^{2} = d_L, \qquad\lim_{T \to\infty} h(M_T(L)) = h_L \tag*{(166)} T → ∞ lim ∥ M T ( L ) ∥ 2 = d L , T → ∞ lim h ( M T ( L )) = h L (166)
and that λ ( T ) → ℓ \lambda(T) \to\ell λ ( T ) → ℓ , so that e β ( T ) → e ∞ e_{\beta}(T) \to e_{\infty} e β ( T ) → e ∞ by (56) .
Step 2: the deficits. Recall that c c c is nonincreasing with limit q > 0 q > 0 q > 0 . Then d L ≥ q > 0 d_L \ge q > 0 d L ≥ q > 0 , and δ L \delta_L δ L is well defined. By part (a) of Proposition 8.1, proved in Section 9.3, we have h L ≤ E t h d L p / 2 h_L \le E_{\mathrm{th}}d_L^{p/2} h L ≤ E th d L p /2 , that is, δ L ≥ 0 \delta_L \ge0 δ L ≥ 0 . To prove that δ L → 0 \delta_L \to0 δ L → 0 , recall from Lemma 8.2 that d L → q d_L \to q d L → q and h L → h h_L \to h h L → h as L → ∞ L \to\infty L → ∞ , where h h h is given by (8.4), and that
h q p / 2 = p − 1 p ( z + 1 z ) , z = β p ( p − 1 ) q ( p − 2 ) / 2 ( 1 − q ) , \frac{h}{q^{p/2}} = \sqrt{\frac{p-1}{p}}\left(z+\frac{1}{z}\right), \qquad z=\beta\sqrt{p(p-1)}q^{(p-2)/2}(1-q), q p /2 h = p p − 1 ( z + z 1 ) , z = β p ( p − 1 ) q ( p − 2 ) /2 ( 1 − q ) ,
by (8.5). The hypothesis β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 \beta^2p(p-1)q^{p-2}(1-q)^2=1 β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 says that z 2 = 1 z^2=1 z 2 = 1 . Since z > 0 z>0 z > 0 , we obtain z = 1 z=1 z = 1 and h / q p / 2 = 2 ( p − 1 ) / p = E t h h/q^{p/2}=2\sqrt{(p-1)/p}=E_{\mathrm{th}} h / q p /2 = 2 ( p − 1 ) / p = E th . We conclude that
lim L → ∞ h L d L p / 2 = h q p / 2 = E t h , \lim_{L\to\infty}\frac{h_L}{d_L^{p/2}}=\frac{h}{q^{p/2}}=E_{\mathrm{th}}, L → ∞ lim d L p /2 h L = q p /2 h = E th ,
which proves (9.12).
Step 3: the mass at low heights. Fix L ≥ 0 L \ge0 L ≥ 0 and H ≥ 0 H \ge0 H ≥ 0 . By (9.14), we have ∥ M T ( L ) ∥ 2 → d L > 0 \lVert M_T(L)\rVert^2 \to d_L > 0 ∥ M T ( L ) ∥ 2 → d L > 0 , and in particular M T ( L ) ≠ 0 M_T(L) \ne0 M T ( L ) = 0 for all large T T T . We let U T = M T ( L ) / ∥ M T ( L ) ∥ U_T=M_T(L)/\lVert M_T(L)\rVert U T = M T ( L ) / ∥ M T ( L )∥ . Using the homogeneity of h h h and (9.14), we find that
h ( U T ) = h ( M T ( L ) ) ∥ M T ( L ) ∥ p ⟶ h L d L p / 2 = E t h − δ L ( T → ∞ ) . h(U_T)=\frac{h(M_T(L))}{\lVert M_T(L)\rVert^p}\longrightarrow\frac{h_L}{d_L^{p/2}}=E_{\mathrm{th}}-\delta_L \qquad(T\to\infty). h ( U T ) = ∥ M T ( L ) ∥ p h ( M T ( L )) ⟶ d L p /2 h L = E th − δ L ( T → ∞ ) .
By Corollary 9.4, we have ∥ Π ≤ H U T ∥ 2 ≤ { κ p ( H + 1 ) ( E t h − h ( U T ) ) } 1 / 2 \lVert\Pi_{\le H}U_T\rVert^2\le\{\kappa_p(H+1)(E_{\mathrm{th}}-h(U_T))\}^{1/2} ∥ Π ≤ H U T ∥ 2 ≤ { κ p ( H + 1 ) ( E th − h ( U T )) } 1/2 , and therefore
lim sup T → ∞ ∥ Π ≤ H U T ∥ 2 ≤ { κ p ( H + 1 ) δ L } 1 / 2 . \limsup_{T\to\infty}\lVert\Pi_{\le H}U_T\rVert^2\le\{\kappa_p(H+1)\delta_L\}^{1/2}. T → ∞ lim sup ∥ Π ≤ H U T ∥ 2 ≤ { κ p ( H + 1 ) δ L } 1/2 .
Since ∥ Π ≤ H M T ( L ) ∥ 2 = ∥ M T ( L ) ∥ 2 ∥ Π ≤ H U T ∥ 2 \lVert\Pi_{\le H}M_T(L)\rVert^2=\lVert M_T(L)\rVert^2\lVert\Pi_{\le H}U_T\rVert^2 ∥ Π ≤ H M T ( L ) ∥ 2 = ∥ M T ( L ) ∥ 2 ∥ Π ≤ H U T ∥ 2 and ∥ M T ( L ) ∥ 2 → d L \lVert M_T(L)\rVert^2\to d_L ∥ M T ( L ) ∥ 2 → d L , we see that
lim sup T → ∞ ∥ Π ≤ H M T ( L ) ∥ 2 ≤ d L { κ p ( H + 1 ) δ L } 1 / 2 . \limsup_{T\to\infty}\lVert\Pi_{\le H}M_T(L)\rVert^2\le d_L\{\kappa_p(H+1)\delta_L\}^{1/2}. T → ∞ lim sup ∥ Π ≤ H M T ( L ) ∥ 2 ≤ d L { κ p ( H + 1 ) δ L } 1/2 .
Setting T = t − L T=t-L T = t − L , we have M t − L ( L ) = P t − L v t M_{t-L}(L)=P_{t-L}v_t M t − L ( L ) = P t − L v t , and t → ∞ t\to\infty t → ∞ if and only if T → ∞ T\to\infty T → ∞ . This proves (9.13).
Forgetting at marginal saturation
We now prove the second threshold input. When s ≤ t − L s\le t-L s ≤ t − L , a fixed earlier state v s v_s v s lies in the range of P t − L P_{t-L} P t − L , and its overlap with the late state v t v_t v t equals its overlap with the prefix center P t − L v t P_{t-L}v_t P t − L v t . Proposition 9.5 shows that the center has almost no mass at low heights once L L L is large, while the earlier states v s v_s v s , s ≤ S s\le S s ≤ S , have almost all their mass at bounded heights. The overlap is therefore small.
Proof of part (b) of Proposition 8.1 for p ∈ { 3 , 4 } p \in\{3,4\} p ∈ { 3 , 4 } . Suppose that the hypotheses of part (b) hold, and fix 0 ≤ S < ∞ 0 \le S < \infty 0 ≤ S < ∞ . The proof uses three parameters: the offset L ≥ 0 L \ge0 L ≥ 0 , the height cutoff H ≥ 0 H \ge0 H ≥ 0 , and the time t t t . We first let t → ∞ t \to\infty t → ∞ with L L L and H H H fixed, then let L → ∞ L \to\infty L → ∞ , and finally let H → ∞ H \to\infty H → ∞ .
Let L , H ≥ 0 L,H \ge0 L , H ≥ 0 , let t ≥ S + L t \ge S+L t ≥ S + L , and let 0 ≤ s ≤ S 0 \le s \le S 0 ≤ s ≤ S . Then s ≤ t − L s \le t-L s ≤ t − L , and v s ∈ H s ⊂ H t − L v_s \in\mathcal{H}_s \subset\mathcal{H}_{t-L} v s ∈ H s ⊂ H t − L by Proposition 7.1 , that is, P t − L v s = v s P_{t-L}v_s=v_s P t − L v s = v s . As P t − L P_{t-L} P t − L is an orthogonal projection, we have
C ( t , s ) = ⟨ v t , v s ⟩ = ⟨ v t , P t − L v s ⟩ = ⟨ P t − L v t , v s ⟩ . C(t,s)=\langle v_t,v_s\rangle=\langle v_t,P_{t-L}v_s\rangle=\langle P_{t-L}v_t,v_s\rangle. C ( t , s ) = ⟨ v t , v s ⟩ = ⟨ v t , P t − L v s ⟩ = ⟨ P t − L v t , v s ⟩ .
We split v s = Π ≤ H v s + ( Id − Π ≤ H ) v s v_s=\Pi_{\le H}v_s+(\operatorname{Id}-\Pi_{\le H})v_s v s = Π ≤ H v s + ( Id − Π ≤ H ) v s and move the first projection to the other side of the inner product. Using ∥ v s ∥ = 1 \lVert v_s\rVert=1 ∥ v s ∥ = 1 and ∥ P t − L v t ∥ ≤ 1 \lVert P_{t-L}v_t\rVert\le1 ∥ P t − L v t ∥ ≤ 1 , we find
∣ C ( t , s ) ∣ ≤ ∥ Π ≤ H P t − L v t ∥ + ∥ ( Id − Π ≤ H ) v s ∥ . (167) \lvert C(t,s)\rvert\le\lVert\Pi_{\le H}P_{t-L}v_t\rVert+\lVert(\operatorname{Id}-\Pi_{\le H})v_s\rVert. \tag*{(167)} ∣ C ( t , s )∣ ≤ ∥ Π ≤ H P t − L v t ∥ + ∥( Id − Π ≤ H ) v s ∥ . (167)
We first show that the second term is small uniformly in s ≤ S s \le S s ≤ S . Let
ε H = sup 0 ≤ s ≤ S ∥ ( Id − Π ≤ H ) v s ∥ . \varepsilon_H=\sup_{0\le s\le S}\lVert(\operatorname{Id}-\Pi_{\le H})v_s\rVert. ε H = 0 ≤ s ≤ S sup ∥( Id − Π ≤ H ) v s ∥ .
The map s ↦ v s s\mapsto v_s s ↦ v s is norm-continuous by Proposition 7.1 , and the set { v s : 0 ≤ s ≤ S } \{v_s:0\le s\le S\} { v s : 0 ≤ s ≤ S } is compact. Recall that ∑ j Π j = Id \sum_j\Pi_j=\operatorname{Id} ∑ j Π j = Id strongly, which means that ( Id − Π ≤ H ) x → 0 (\operatorname{Id}-\Pi_{\le H})x\to0 ( Id − Π ≤ H ) x → 0 as H → ∞ H\to\infty H → ∞ for every x ∈ H x\in\mathcal{H} x ∈ H . Let ε > 0 \varepsilon>0 ε > 0 . There exist s 1 , … , s k ∈ [ 0 , S ] s_1,\ldots,s_k\in[0,S] s 1 , … , s k ∈ [ 0 , S ] such that every v s v_s v s with s ≤ S s\le S s ≤ S lies within ε \varepsilon ε of some v s i v_{s_i} v s i , and there exists H 0 H_0 H 0 such that ∥ ( Id − Π ≤ H ) v s i ∥ < ε \lVert(\operatorname{Id}-\Pi_{\le H})v_{s_i}\rVert<\varepsilon ∥( Id − Π ≤ H ) v s i ∥ < ε for all i i i and H ≥ H 0 H\ge H_0 H ≥ H 0 . Since Id − Π ≤ H \operatorname{Id}-\Pi_{\le H} Id − Π ≤ H is a contraction, this implies ∥ ( Id − Π ≤ H ) v s ∥ < 2 ε \lVert(\operatorname{Id}-\Pi_{\le H})v_s\rVert<2\varepsilon ∥( Id − Π ≤ H ) v s ∥ < 2 ε for all s ≤ S s\le S s ≤ S and H ≥ H 0 H\ge H_0 H ≥ H 0 . As ε \varepsilon ε is arbitrary, we have shown that ε H → 0 \varepsilon_H\to0 ε H → 0 as H → ∞ H\to\infty H → ∞ .
We now take the limits in the stated order. Taking the supremum over s ≤ S s\le S s ≤ S in (167) and letting t → ∞ t\to\infty t → ∞ , we obtain from (165) that
lim sup t → ∞ sup 0 ≤ s ≤ S ∣ C ( t , s ) ∣ ≤ d L 1 / 2 { κ p ( H + 1 ) δ L } 1 / 4 + ε H . \limsup_{t\to\infty}\sup_{0\le s\le S}\lvert C(t,s)\rvert\le d_L^{1/2}\{\kappa_p(H+1)\delta_L\}^{1/4}+\varepsilon_H. t → ∞ lim sup 0 ≤ s ≤ S sup ∣ C ( t , s )∣ ≤ d L 1/2 { κ p ( H + 1 ) δ L } 1/4 + ε H .
The left side depends on neither L L L nor H H H . We let L → ∞ L\to\infty L → ∞ with H H H fixed. Since d L ≤ 1 d_L\le1 d L ≤ 1 and δ L → 0 \delta_L\to0 δ L → 0 by (164) , the first term on the right tends to zero. Then we let H → ∞ H\to\infty H → ∞ , and ε H → 0 \varepsilon_H\to0 ε H → 0 . We conclude that lim t → ∞ sup 0 ≤ s ≤ S ∣ C ( t , s ) ∣ = 0 \lim_{t\to\infty}\sup_{0\le s\le S}\lvert C(t,s)\rvert=0 lim t → ∞ sup 0 ≤ s ≤ S ∣ C ( t , s )∣ = 0 , which is (8.2).
This completes the proof of Proposition 8.1 for p ∈ { 3 , 4 } p\in\{3,4\} p ∈ { 3 , 4 } .
The threshold inputs for general pure models
In this section, we prove Proposition 8.1 for every p ≥ 3 p \ge3 p ≥ 3 . For p ∈ { 3 , 4 } p \in\{3,4\} p ∈ { 3 , 4 } , § 6.3 proves both parts of that proposition by a deterministic inequality for tree vectors. The argument given here does not use the tree ceilings and works for every pure model. Part (a) of Proposition 8.1 is the input to the proof of marginality in Lemma 8.3, and part (b) is the input to the proof of forgetting in Theorem 8.8. The finite forks of § 6.4.2 , the overlap penalty of Lemma 10.2, and the saturation identity (195) are used again in § 7.1.5 , where we extend the localization of the response to every p ≥ 3 p \ge3 p ≥ 3 .
We use the landscape bounds of Lemma 3.6, the fixed-horizon bridge of Proposition 3.3, and the Brownian form of the averaged response in Lemma 3.4. From § 4.2 , we use the energy identity of Proposition 4.1 and the bound (59) on the moments of the response, proved there. From Section 5, we use the entropy budget of Lemma 5.1, the integration by parts formula (86) , the Fisher majorant of Theorem 5.3, and the stationary clusters of Proposition 5.7. We also use the formulas (124) and (125) for d L d_L d L and h L h_L h L . The proof of part (b) uses, in addition, the identities (141) and (142) and the correlation modulus (74) .
Ideas of the proof. We obtain the energy ceiling in part (a) from the algorithmic threshold of Huang and Sellke. At a late time T T T , we continue the trajectory by K K K independent Brownian futures of length L L L , which we call a fork, and average their endpoints. The current identity of Section 5 shows that two branches of the fork have overlap close to c ( a + d ) c(a+d) c ( a + d ) , where a a a and d d d are their lengths. We compute the energy of the average exactly by Gaussian integration by parts. Subtracting the energy of a single branch removes the common past in the dimension limit. Using the hard–soft approximation of Sellke, we approximate the average by a function of the disorder that is Lipschitz with a constant independent of the dimension. The algorithmic threshold then bounds its energy. Letting K → ∞ K \to\infty K → ∞ , we obtain part (a).
For part (b), we add a deterministic field to the threshold. By convex duality, the field version of the threshold penalizes the overlap of a near-threshold algorithm with any direction that is independent of the disorder. However, at positive times, an earlier state X s X_s X s depends on the disorder. We therefore disclose the disorder in stages, along a finite sequence of gradient queries, and apply the penalty to one new direction at each stage. An Euler–Maruyama approximation places X s X_s X s close to the span of finitely many such queries. Under marginality, the normalized average of a fork saturates the threshold, and the penalty forces its overlap with X s X_s X s to vanish. Up to normalization, this overlap is C ( t , s ) C(t,s) C ( t , s ) .
Attribution. The algorithmic threshold is [92, Theorem 1 and Corollary 1.8]; for even p p p it was proved earlier in [94]. In [112, Section 3], Sellke combined it with a Lipschitz approximation of Langevin dynamics on a fixed time interval to show that the energy of the dynamics stays below the threshold. We follow that argument in § 6.4.2 . Trajectories with a common past and independent future noise are a standard construction in the physics of aging. Cugliandolo and Dean considered replicas that share their noise up to a waiting time and receive independent noise afterward in [50, arXiv version 1, Section II]. Barrat, Burioni, and Mézard classified aging through the overlaps of such copies in [11, Sections 2 and 4]. Franz and Virasoro proposed averaging cloned futures to estimate a quasi-state magnetization in [72, arXiv version 3, Section III], and noise-averaged magnetizations are central to Biroli’s dynamical TAP approach in [31, arXiv version 2, Section III.B]. Here we prove the overlap and energy identities of the forks from the current identity of Section 5 and from Gaussian integration by parts. The disclosure argument of § 6.4.3 is a Gaussian conditioning argument; we credit its antecedents there.
Order of limits. Every horizon, number of branches, field strength, approximation accuracy, and Lipschitz constant below is fixed while the dimension tends to infinity, and we take the long-time and outer limits only afterward. We take dimension limits along the subsequence ( N j ) (N_j) ( N j ) of Theorem 5.3 , and we often write N → ∞ N \to\infty N → ∞ for N = N j N = N_j N = N j , j → ∞ j \to\infty j → ∞ . The parameters and their order are as follows:
N j → ∞ , n → ∞ , ε ↓ 0 , K → ∞ , L → ∞ , M → ∞ . (168) N_j \to\infty,\qquad n \to\infty,\qquad\varepsilon\downarrow0,\qquad K \to\infty,\qquad L \to\infty,\qquad M \to\infty. \tag*{(168)} N j → ∞ , n → ∞ , ε ↓ 0 , K → ∞ , L → ∞ , M → ∞. (168)
Here n n n indexes a sequence of late times (T n T_n T n in § 6.4.2 and t n t_n t n in § 6.4.4 ), ε \varepsilon ε is the accuracy of the Lipschitz approximation in Proposition 10.4 , K K K is the number of branches of a fork, L L L is their length, and M M M is the number of steps of the Euler–Maruyama scheme of the proof of Proposition 10.8 . Each parameter is fixed while the limits to its left are taken. Part (a) uses only the first four limits, at a fixed L L L ; part (b) uses all six. For the forgetting proof, it suffices to take the approximation accuracies ε = 1 / ( m + 1 ) \varepsilon= 1/(m + 1) ε = 1/ ( m + 1 ) , m ∈ N m \in\mathbb{N} m ∈ N , so ε ↓ 0 \varepsilon\downarrow0 ε ↓ 0 there means m → ∞ m \to\infty m → ∞ . We remove the tolerance and the field strengths of the threshold theorem inside the proof of Lemma 10.2 , after the dimension limit at fixed values of all other parameters. Constants of the Lipschitz maps may depend on every fixed parameter, and they are used only before the limits in which that parameter varies.
The algorithmic threshold and its overlap penalty
Throughout this section, ∥ ⋅ ∥ \lVert\cdot\rVert ∥ ⋅ ∥ is the Euclidean norm,
B N = { x ∈ R N : ∥ x ∥ ≤ N } , B_N=\{x\in\mathbb{R}^N:\lVert x\rVert\le\sqrt{N}\}, B N = { x ∈ R N : ∥ x ∥ ≤ N } ,
and Π B N \Pi_{B_N} Π B N is the metric projection onto B N B_N B N , which is 1-Lipschitz. The coefficient tensor J J J of (3.1) lies in the N p N^p N p -dimensional space ( R N ) ⊗ p (\mathbb{R}^N)^{\otimes p} ( R N ) ⊗ p , with its Euclidean norm, and has the standard Gaussian law there. More explicitly, we keep the ordered coefficients and use the Hilbert norm
∥ J ∥ c o e f 2 = ∑ i 1 , … , i p = 1 N J i 1 … i p 2 . \lVert J\rVert_{\mathrm{coef}}^2=\sum_{i_1,\ldots,i_p=1}^{N}J_{i_1\ldots i_p}^2. ∥ J ∥ coef 2 = i 1 , … , i p = 1 ∑ N J i 1 … i p 2 .
This norm is not rescaled with the dimension. When the dependence on J J J matters, we write H N , J H_{N,J} H N , J for H N H_N H N . An algorithm is a measurable map A N = A N ( J , ζ ) \mathcal{A}_N=\mathcal{A}_N(J,\zeta) A N = A N ( J , ζ ) with values in B N B_N B N , where the seed ζ \zeta ζ is a random variable independent of J J J (possibly absent). For 0 ≤ L L i p < ∞ 0\le L_{\mathrm{Lip}}<\infty 0 ≤ L Lip < ∞ , we say that A N \mathcal{A}_N A N is L L i p L_{\mathrm{Lip}} L Lip -Lipschitz if, for almost every value of ζ \zeta ζ ,
∥ A N ( J , ζ ) − A N ( J ′ , ζ ) ∥ ≤ L L i p ∥ J − J ′ ∥ c o e f for all J , J ′ ∈ ( R N ) ⊗ p . \lVert\mathcal{A}_N(J,\zeta)-\mathcal{A}_N(J',\zeta)\rVert\le L_{\mathrm{Lip}}\lVert J-J'\rVert_{\mathrm{coef}}\qquad\text{for all }J,J'\in(\mathbb{R}^N)^{\otimes p}. ∥ A N ( J , ζ ) − A N ( J ′ , ζ )∥ ≤ L Lip ∥ J − J ′ ∥ coef for all J , J ′ ∈ ( R N ) ⊗ p .
The constant L L i p L_{\mathrm{Lip}} L Lip is deterministic and does not depend on N N N or on the seed.
Recall the tensor norm Q N Q_N Q N of (52) and the constants A p , c p > 0 A_p,c_p>0 A p , c p > 0 of Lemma 3.6 , for which P ( Q N > A p ) ≤ e − c p N \mathbb{P}(Q_N>A_p)\le e^{-c_pN} P ( Q N > A p ) ≤ e − c p N . We write
Q ∗ = sup N ( E Q N 2 ) 1 / 2 , Q_*=\sup_N\left(\mathbb{E}Q_N^2\right)^{1/2}, Q ∗ = N sup ( E Q N 2 ) 1/2 ,
which is finite by Lemma 3.6 . By the definition of Q N Q_N Q N , a contraction of J J J against vectors u 1 , … , u p u_1,\ldots,u_p u 1 , … , u p is at most N Q N ∥ u 1 ∥ ⋯ ∥ u p ∥ \sqrt{N}Q_N\lVert u_1\rVert\cdots\lVert u_p\rVert N Q N ∥ u 1 ∥ ⋯ ∥ u p ∥ in absolute value. A derivative of order k ≤ 2 k\le2 k ≤ 2 of H N H_N H N at x x x , applied to k k k vectors, is N − ( p − 1 ) / 2 N^{-(p-1)/2} N − ( p − 1 ) /2 times a sum of p ( p − 1 ) ⋯ ( p − k + 1 ) p(p-1)\cdots(p-k+1) p ( p − 1 ) ⋯ ( p − k + 1 ) such contractions in which p − k p-k p − k slots equal x x x . For R ≥ 1 R\ge1 R ≥ 1 and ∥ x ∥ ≤ R N \lVert x\rVert\le R\sqrt{N} ∥ x ∥ ≤ R N , this implies that
∣ H N ( x ) ∣ N ≤ R p Q N , ∥ ∇ H N ( x ) ∥ ≤ p R p − 1 Q N N , ∥ ∇ 2 H N ( x ) ∥ o p ≤ p ( p − 1 ) R p − 2 Q N . (169) \begin{aligned}
\frac{\lvert H_N(x)\rvert}{N}&\le R^pQ_N,\qquad\lVert\nabla H_N(x)\rVert\le pR^{p-1}Q_N\sqrt{N},\\
\lVert\nabla^2H_N(x)\rVert_{\mathrm{op}}&\le p(p-1)R^{p-2}Q_N. \tag*{(169)}
\end{aligned} N ∣ H N ( x )∣ ∥ ∇ 2 H N ( x ) ∥ op ≤ R p Q N , ∥ ∇ H N ( x )∥ ≤ p R p − 1 Q N N , ≤ p ( p − 1 ) R p − 2 Q N . (169)
For R = 1 R=1 R = 1 , the first two bounds read
sup x ∈ B N ∣ H N ( x ) ∣ N ≤ Q N , sup x ∈ B N ∥ ∇ H N ( x ) ∥ ≤ p Q N N . (170) \sup_{x\in B_N}\frac{\lvert H_N(x)\rvert}{N}\le Q_N,\qquad\sup_{x\in B_N}\lVert\nabla H_N(x)\rVert\le pQ_N\sqrt{N}. \tag*{(170)} x ∈ B N sup N ∣ H N ( x )∣ ≤ Q N , x ∈ B N sup ∥ ∇ H N ( x )∥ ≤ p Q N N . (170)
In particular, the normalized energy of any algorithm is bounded by Q N Q_N Q N , whose moments are bounded uniformly in N N N . Now let x x x and y y y be random vectors of norm at most R N R\sqrt{N} R N . The segment between them lies in the same ball. Using the mean value theorem, (10.2), and the Cauchy–Schwarz inequality, we find
E ∣ H N ( x ) − H N ( y ) ∣ N ≤ p R p − 1 Q ∗ ( E ∥ x − y ∥ 2 N ) 1 / 2 . (171) \frac{\mathbb{E}|H_N(x)-H_N(y)|}{N} \le pR^{p-1}Q_* \left(\mathbb{E}\frac{\|x-y\|^2}{N}\right)^{1/2}. \tag*{(171)} N E ∣ H N ( x ) − H N ( y ) ∣ ≤ p R p − 1 Q ∗ ( E N ∥ x − y ∥ 2 ) 1/2 . (171)
For κ ≥ 0 \kappa\ge0 κ ≥ 0 , let q 1 ( κ ) = ( κ 2 p ( p − 2 ) ) 1 / ( p − 1 ) q_1(\kappa) = \left(\frac{\kappa^2}{p(p-2)}\right)^{1/(p-1)} q 1 ( κ ) = ( p ( p − 2 ) κ 2 ) 1/ ( p − 1 ) , and define
ALG p ( κ ) = { E t h + p − 2 p p ( p − 1 ) q 1 ( κ ) p / 2 , κ 2 ≤ p ( p − 2 ) , p + κ 2 , κ 2 ≥ p ( p − 2 ) . (172) \operatorname{ALG}_p(\kappa) =
\begin{cases}
E_{\mathrm{th}}+\frac{p-2}{p}\sqrt{p(p-1)}q_1(\kappa)^{p/2}, & \kappa^2 \le p(p-2),\\
\sqrt{p+\kappa^2}, & \kappa^2 \ge p(p-2).
\end{cases} \tag*{(172)} ALG p ( κ ) = { E th + p p − 2 p ( p − 1 ) q 1 ( κ ) p /2 , p + κ 2 , κ 2 ≤ p ( p − 2 ) , κ 2 ≥ p ( p − 2 ) . (172)
In terms of κ \kappa κ , the first line equals E t h + γ p κ p / ( p − 1 ) E_{\mathrm{th}}+\gamma_p\kappa^{p/(p-1)} E th + γ p κ p / ( p − 1 ) with γ p = ( ( p − 2 ) / p ) p ( p − 1 ) [ p ( p − 2 ) ] − p / ( 2 ( p − 1 ) ) \gamma_p = ((p-2)/p)\sqrt{p(p-1)}[p(p-2)]^{-p/(2(p-1))} γ p = (( p − 2 ) / p ) p ( p − 1 ) [ p ( p − 2 ) ] − p / ( 2 ( p − 1 )) .
Theorem 10.1 (External-field Lipschitz threshold of Huang and Sellke). Fix an integer p ≥ 3 p \ge3 p ≥ 3 , 0 ≤ L L i p < ∞ 0 \le L_{\mathrm{Lip}} < \infty 0 ≤ L Lip < ∞ , κ ≥ 0 \kappa\ge0 κ ≥ 0 , and η > 0 \eta> 0 η > 0 . There exist c > 0 c > 0 c > 0 and N 0 N_0 N 0 , depending only on p p p , L L i p L_{\mathrm{Lip}} L Lip , κ \kappa κ , and η \eta η , such that the following holds for every N ≥ N 0 N \ge N_0 N ≥ N 0 . Let w ∈ R N w \in\mathbb{R}^N w ∈ R N be deterministic with ∥ w ∥ = N \|w\| = \sqrt{N} ∥ w ∥ = N , and let A N : ( R N ) ⊗ p → B N A_N : (\mathbb{R}^N)^{\otimes p} \to B_N A N : ( R N ) ⊗ p → B N be L L i p L_{\mathrm{Lip}} L Lip -Lipschitz. Then
P ( H N ( A N ( J ) ) + κ ⟨ w , A N ( J ) ⟩ N ≥ ALG p ( κ ) + η ) ≤ e − c N . (173) \mathbb{P}\left(\frac{H_N(A_N(J))+\kappa\langle w,A_N(J)\rangle}{N} \ge\operatorname{ALG}_p(\kappa)+\eta\right) \le e^{-cN}. \tag*{(173)} P ( N H N ( A N ( J )) + κ ⟨ w , A N ( J )⟩ ≥ ALG p ( κ ) + η ) ≤ e − c N . (173)
Theorem 10.1 is the case of one species and ξ ( q ) = q p \xi(q)=q^p ξ ( q ) = q p of [92], Theorem 1 and Corollary 1.8. We now check that our setting satisfies the hypotheses there. In [92], the Hamiltonian is ⟨ h , σ ⟩ \langle h,\sigma\rangle ⟨ h , σ ⟩ plus a Gaussian part on the ball of radius N \sqrt{N} N , the field is h h h times the all-ones vector 1 \mathbf{1} 1 with h ≥ 0 h \ge0 h ≥ 0 , and an algorithm is a function of the disorder coefficients, concatenated into one vector with the Euclidean distance. Theorem 1 there states that, for fixed τ , η > 0 \tau,\eta> 0 τ , η > 0 and N N N large, every τ \tau τ -Lipschitz algorithm reaches energy at least ALG + η \operatorname{ALG}+\eta ALG + η with probability at most e − c N e^{-cN} e − c N , with c c c and the threshold for N N N depending on τ \tau τ , η \eta η , the covariance, and the field only. For one species with ξ ( q ) = q p \xi(q)=q^p ξ ( q ) = q p , the Gaussian part is exactly H N H_N H N of (3.1), whose ordered coefficients are independent standard Gaussians; we take h = κ h=\kappa h = κ . Our algorithms are functions of J J J alone, the field being deterministic. Corollary 1.8 of [92], which covers odd and even p p p , states that ALG = ( ξ ′ ( 1 ) + κ 2 ) 1 / 2 \operatorname{ALG}=(\xi'(1)+\kappa^2)^{1/2} ALG = ( ξ ′ ( 1 ) + κ 2 ) 1/2 if ξ ′ ( 1 ) + κ 2 ≥ ξ ′ ′ ( 1 ) \xi'(1)+\kappa^2\ge\xi''(1) ξ ′ ( 1 ) + κ 2 ≥ ξ ′′ ( 1 ) , and otherwise
ALG = q 1 ξ ′ ′ ( q 1 ) 1 / 2 + ∫ q 1 1 ξ ′ ′ ( q ) 1 / 2 d q , \operatorname{ALG}=q_1\xi''(q_1)^{1/2}+\int_{q_1}^{1}\xi''(q)^{1/2}\,dq, ALG = q 1 ξ ′′ ( q 1 ) 1/2 + ∫ q 1 1 ξ ′′ ( q ) 1/2 d q ,
where q 1 ∈ [ 0 , 1 ) q_1\in[0,1) q 1 ∈ [ 0 , 1 ) solves ξ ′ ( q 1 ) + κ 2 = q 1 ξ ′ ′ ( q 1 ) \xi'(q_1)+\kappa^2=q_1\xi''(q_1) ξ ′ ( q 1 ) + κ 2 = q 1 ξ ′′ ( q 1 ) . For ξ ( q ) = q p \xi(q)=q^p ξ ( q ) = q p , the first condition reads κ 2 ≥ p ( p − 2 ) \kappa^2\ge p(p-2) κ 2 ≥ p ( p − 2 ) , the equation for q 1 q_1 q 1 reads κ 2 = p ( p − 2 ) q 1 p − 1 \kappa^2=p(p-2)q_1^{p-1} κ 2 = p ( p − 2 ) q 1 p − 1 , and
q 1 ξ ′ ′ ( q 1 ) 1 / 2 + ∫ q 1 1 ξ ′ ′ ( q ) 1 / 2 d q = p ( p − 1 ) ( q 1 p / 2 + 2 p ( 1 − q 1 p / 2 ) ) = E t h + p − 2 p p ( p − 1 ) q 1 p / 2 , \begin{aligned}
q_1\xi''(q_1)^{1/2}+\int_{q_1}^{1}\xi''(q)^{1/2}\,dq
=\sqrt{p(p-1)}\left(q_1^{p/2}+\frac{2}{p}(1-q_1^{p/2})\right) \\
&=E_{\mathrm{th}}+\frac{p-2}{p}\sqrt{p(p-1)}q_1^{p/2},
\end{aligned} q 1 ξ ′′ ( q 1 ) 1/2 + ∫ q 1 1 ξ ′′ ( q ) 1/2 d q = p ( p − 1 ) ( q 1 p /2 + p 2 ( 1 − q 1 p /2 ) ) = E th + p p − 2 p ( p − 1 ) q 1 p /2 ,
where we used 2 p ( p − 1 ) / p = E t h 2\sqrt{p(p-1)}/p=E_{\mathrm{th}} 2 p ( p − 1 ) / p = E th . This is (172) . At κ 2 = p ( p − 2 ) \kappa^2=p(p-2) κ 2 = p ( p − 2 ) , we have q 1 = 1 q_1=1 q 1 = 1 and both lines of (172) equal p ( p − 1 ) \sqrt{p(p-1)} p ( p − 1 ) .
It remains to replace 1 1 1 by an arbitrary direction w w w . Let O O O be an orthogonal matrix such that O 1 = w O1=w O 1 = w . The map J ↦ O ⊗ p J J\mapsto O^{\otimes p}J J ↦ O ⊗ p J is a linear isometry of ( R N ) ⊗ p (\mathbb{R}^N)^{\otimes p} ( R N ) ⊗ p that preserves the standard Gaussian law, and H N , O ⊗ p J ( O x ) = H N , J ( x ) H_{N,O^{\otimes p}J}(Ox)=H_{N,J}(x) H N , O ⊗ p J ( O x ) = H N , J ( x ) for all x x x . Given A N A_N A N , the map A N ′ ( J ) = O T A N ( O ⊗ p J ) A'_N(J)=O^{\mathsf T}A_N(O^{\otimes p}J) A N ′ ( J ) = O T A N ( O ⊗ p J ) is L L i p L_{\mathrm{Lip}} L Lip -Lipschitz with values in B N B_N B N , and, with J ′ = O ⊗ p J J'=O^{\otimes p}J J ′ = O ⊗ p J ,
H N , J ( A N ′ ( J ) ) + κ ⟨ 1 , A N ′ ( J ) ⟩ = H N , J ′ ( A N ( J ′ ) ) + κ ⟨ w , A N ( J ′ ) ⟩ . H_{N,J}(A'_N(J))+\kappa\langle1,A'_N(J)\rangle=H_{N,J'}(A_N(J'))+\kappa\langle w,A_N(J')\rangle. H N , J ( A N ′ ( J )) + κ ⟨ 1 , A N ′ ( J )⟩ = H N , J ′ ( A N ( J ′ )) + κ ⟨ w , A N ( J ′ )⟩ .
The tensor J ′ J' J ′ has the law of J J J , and [92, Theorem 1] applied to A N ′ A'_N A N ′ gives (173) , with constants that do not depend on w w w or on A N A_N A N . For κ = 0 \kappa=0 κ = 0 , we have ALG p ( 0 ) = E t h \operatorname{ALG}_p(0)=E_{\mathrm{th}} ALG p ( 0 ) = E th , and Theorem 10.1 is the pure-model threshold, recorded in this form in [112, Proposition 1.9].
In this argument, we may always use the larger positive bound L L i p + 1 L_{\mathrm{Lip}}+1 L Lip + 1 . This includes L L i p = 0 L_{\mathrm{Lip}}=0 L Lip = 0 and gives the same uniform choice of c c c and N 0 N_0 N 0 for every algorithm with the prescribed original bound. We need no separate measurability assumption on a deterministic algorithm, since Lipschitz maps are continuous.
Constructive finite-tree qualifications. The branching proof of the threshold uses finite trees whose depth and branching degrees are fixed before the dimension tends to infinity. Two auxiliary statements in [92, Appendix A] require qualifications in a constructive version. In Lemma A.8, if the absolute values of the leaf energies are bounded by C > 0 C>0 C > 0 and the depth is D ≥ 1 D\ge1 D ≥ 1 , the retained branching degree ⌊ K ε / ( 3 C D ) ⌋ \lfloor K\varepsilon/(3CD)\rfloor ⌊ K ε / ( 3 C D )⌋ is obtained in the range 0 < ε ≤ C D 0<\varepsilon\le CD 0 < ε ≤ C D , and K K K is then taken large enough to make this degree positive. This is the range used when ε ↓ 0 \varepsilon\downarrow0 ε ↓ 0 ; an unrestricted error can make the displayed degree exceed K K K .
For the base-preserving fork correction of Lemma A.9, we impose k < N k<N k < N when k k k orthogonal increments are retained. After dividing the vertices by N \sqrt{N} N , suppose that the base x x x has squared norm q ≥ q 0 > 0 q\ge q_0>0 q ≥ q 0 > 0 , the target increment has squared norm q ′ ≥ 0 q'\ge0 q ′ ≥ 0 , and the approximate increments y 1 , … , y k y_1,\ldots,y_k y 1 , … , y k satisfy, for ε ≥ 0 \varepsilon\ge0 ε ≥ 0 ,
∣ ∥ y i ∥ 2 − q ′ ∣ ≤ ε , ∣ ⟨ x , y i ⟩ ∣ ≤ ε , ∣ ⟨ y i , y j ⟩ ∣ ≤ ε ( i ≠ j ) . \left|\lVert y_i\rVert^2-q'\right|\le\varepsilon,\qquad\left|\langle x,y_i\rangle\right|\le\varepsilon,\qquad\left|\langle y_i,y_j\rangle\right|\le\varepsilon\quad(i\ne j). ∥ y i ∥ 2 − q ′ ≤ ε , ∣ ⟨ x , y i ⟩ ∣ ≤ ε , ∣ ⟨ y i , y j ⟩ ∣ ≤ ε ( i = j ) .
Under the sufficient small-error conditions ε ≤ q 0 \sqrt{\varepsilon}\le q_0 ε ≤ q 0 and 4 ( k + 1 ) ε ≤ 1 4(k+1)\sqrt{\varepsilon}\le1 4 ( k + 1 ) ε ≤ 1 , the base can be kept exactly and the increments corrected to mutually orthogonal vectors z i ⊥ x z_i\perp x z i ⊥ x with ∥ z i ∥ 2 = q ′ \lVert z_i\rVert^2=q' ∥ z i ∥ 2 = q ′ and ∥ z i − y i ∥ ≤ e k ( ε ) \lVert z_i-y_i\rVert\le e_k(\varepsilon) ∥ z i − y i ∥ ≤ e k ( ε ) , where
e k ( ε ) = ( 4 k + 1 + 1 ) ε + 2 ε . e_k(\varepsilon)=(4\sqrt{k+1}+1)\sqrt{\varepsilon}+2\sqrt{\sqrt{\varepsilon}}. e k ( ε ) = ( 4 k + 1 + 1 ) ε + 2 ε .
This bound permits q ′ = 0 q'=0 q ′ = 0 and tends to zero for fixed k k k as ε ↓ 0 \varepsilon\downarrow0 ε ↓ 0 . It supplies a vanishing modulus, independent of the dimension, in place of the piecewise numerical modulus printed in that lemma.
We handle a schedule with zero initial overlap before this correction. For fixed δ ∈ ( 0 , 1 ) \delta\in(0,1) δ ∈ ( 0 , 1 ) , we scale the normalized vertices, which have norm at most one, by 1 − δ \sqrt{1-\delta} 1 − δ and add a common orthogonal vector of norm δ \sqrt{\delta} δ . The new schedule of target overlaps is q i ( δ ) = ( 1 − δ ) q i + δ q_i^{(\delta)}=(1-\delta)q_i+\delta q i ( δ ) = ( 1 − δ ) q i + δ , so its root is at least δ \delta δ ; the terminal vectors change by at most 2 δ 2\sqrt{\delta} 2 δ . We choose the dimension larger than the number of vertices of the retained finite tree, as well as its branching degree, so that the common orthogonal direction and all fork corrections exist. For fixed depth and retained branching, the accumulated correction tends to zero, and δ \delta δ can be removed afterward. Repeated overlap levels are allowed: their target increments have norm zero.
In the algorithmic application, we can retain a fixed deterministic set of children, because the success event imposes the desired energy bound at every original terminal leaf. Internal vertices are first obtained from averages of the original terminal outputs. Restricting the independent Gaussian increments of the tree to this fixed set preserves their joint law. We therefore need no distributional assertion about an adaptively selected subtree. The depths, branching degrees, error tolerances, and dimension cutoffs are chosen before the algorithm and the deterministic field direction. The calibrated overlap schedule may depend on the algorithm, since the finite-tree ceiling is uniform over all admissible schedules. This is the uniformity asserted in Theorem 10.1 .
The field version of the threshold penalizes the overlap of an algorithm with a direction independent of J J J . To state the penalty, recall q d = ( p − 2 ) / ( p − 1 ) q_d=(p-2)/(p-1) q d = ( p − 2 ) / ( p − 1 ) and β d 2 = ( p − 1 ) p − 1 / ( p ( p − 2 ) p − 2 ) \beta_d^2=(p-1)^{p-1}/(p(p-2)^{p-2}) β d 2 = ( p − 1 ) p − 1 / ( p ( p − 2 ) p − 2 ) . The constant β d \beta_d β d is the dynamical transition point, and it enters here only as the coefficient of the penalty. The inverse temperature β \beta β of the dynamics plays no role in Theorem 10.1 and Lemma 10.2 .
Lemma 10.2 (Absolute-overlap energy cost). Fix an integer p ≥ 3 p \ge3 p ≥ 3 and 0 ≤ L L i p < ∞ 0 \le L_{\mathrm{Lip}} < \infty 0 ≤ L Lip < ∞ . There exist finite real numbers φ N = φ N ( p , L L i p ) ≥ 0 \varphi_N=\varphi_N(p,L_{\mathrm{Lip}}) \ge0 φ N = φ N ( p , L Lip ) ≥ 0 , for every N ≥ 1 N \ge1 N ≥ 1 , with φ N → 0 \varphi_N \to0 φ N → 0 as N → ∞ N \to\infty N → ∞ such that the following holds. Let ζ \zeta ζ be a random variable independent of J J J , let w = w ( ζ ) ∈ R N w=w(\zeta) \in\mathbb{R}^N w = w ( ζ ) ∈ R N satisfy ∥ w ∥ = N \lVert w\rVert=\sqrt{N} ∥ w ∥ = N , let A N A_N A N be an L L i p L_{\mathrm{Lip}} L Lip -Lipschitz algorithm with seed ζ \zeta ζ , and set a N = ⟨ w , A N ⟩ / N a_N=\langle w,A_N\rangle/N a N = ⟨ w , A N ⟩ / N . Then, almost surely,
E [ H N ( A N ) N + β d ∣ a N ∣ p ∣ ζ ] ≤ E t h + φ N . (174) \mathbb{E}\left[\left.\frac{H_N(A_N)}{N}+\beta_d|a_N|^p\right|\zeta\right]\le E_{\mathrm{th}}+\varphi_N. \tag*{(174)} E [ N H N ( A N ) + β d ∣ a N ∣ p ζ ] ≤ E th + φ N . (174) In particular,
lim sup N → ∞ { E H N ( A N ) N + β d E ∣ a N ∣ p } ≤ E t h . (175) \limsup_{N\to\infty}\left\{\mathbb{E}\frac{H_N(A_N)}{N}+\beta_d\mathbb{E}|a_N|^p\right\}\le E_{\mathrm{th}}. \tag*{(175)} N → ∞ lim sup { E N H N ( A N ) + β d E ∣ a N ∣ p } ≤ E th . (175) The lemma makes no assumption on the concentration of a N a_N a N , and the seed may be absent, in which case w w w is deterministic.
Proof. The proof has three steps. We first compute the best ceiling that the field thresholds give for a given overlap, then we use finitely many fields at once, and finally we refine the set of fields after the dimension limit.
Step 1: the conjugate ceiling. For 0 ≤ a ≤ 1 0 \le a \le1 0 ≤ a ≤ 1 , we define
E p ( a ) = inf κ ≥ 0 { ALG p ( κ ) − κ a } . \mathcal{E}_p(a)=\inf_{\kappa\ge0}\{\operatorname{ALG}_p(\kappa)-\kappa a\}. E p ( a ) = κ ≥ 0 inf { ALG p ( κ ) − κa } .
We claim that
E p ( a ) = { E t h − β d a p , 0 ≤ a ≤ q d , p ( 1 − a 2 ) , q d ≤ a ≤ 1 , and E t h − E p ( a ) ≥ β d a p ( 0 ≤ a ≤ 1 ) . (176) \mathcal{E}_p(a)=
\begin{cases}
E_{\mathrm{th}}-\beta_d a^p, & 0\le a\le\sqrt{q_d},\\
\sqrt{p(1-a^2)}, & \sqrt{q_d}\le a\le1,
\end{cases}
\qquad\text{and}\qquad
E_{\mathrm{th}}-\mathcal{E}_p(a)\ge\beta_d a^p\quad(0\le a\le1). \tag*{(176)} E p ( a ) = { E th − β d a p , p ( 1 − a 2 ) , 0 ≤ a ≤ q d , q d ≤ a ≤ 1 , and E th − E p ( a ) ≥ β d a p ( 0 ≤ a ≤ 1 ) . (176)
The function ALG p \operatorname{ALG}_p ALG p is convex on [ 0 , ∞ ) [0,\infty) [ 0 , ∞ ) , since κ p / ( p − 1 ) \kappa^{p/(p-1)} κ p / ( p − 1 ) and p + κ 2 \sqrt{p+\kappa^2} p + κ 2 are convex. It is also continuously differentiable. Indeed, let κ ∗ = p ( p − 2 ) \kappa_*=\sqrt{p(p-2)} κ ∗ = p ( p − 2 ) . On [ 0 , κ ∗ ] [0,\kappa_*] [ 0 , κ ∗ ] , its derivative is p ( p − 1 ) − 1 γ p κ 1 / ( p − 1 ) p(p-1)^{-1}\gamma_p\kappa^{1/(p-1)} p ( p − 1 ) − 1 γ p κ 1/ ( p − 1 ) , which increases from 0 0 0 to
p p − 1 γ p κ ∗ 1 / ( p − 1 ) = p − 2 p − 1 p ( p − 1 ) p ( p − 2 ) = q d . \frac{p}{p-1}\gamma_p\kappa_*^{1/(p-1)}
=\frac{p-2}{p-1}\sqrt{\frac{p(p-1)}{p(p-2)}}=\sqrt{q_d}. p − 1 p γ p κ ∗ 1/ ( p − 1 ) = p − 1 p − 2 p ( p − 2 ) p ( p − 1 ) = q d .
On [ κ ∗ , ∞ ) [\kappa_*,\infty) [ κ ∗ , ∞ ) , its derivative is κ / p + κ 2 \kappa/\sqrt{p+\kappa^2} κ / p + κ 2 , which increases from q d \sqrt{q_d} q d to 1 1 1 . By convexity, for 0 ≤ a < 1 0\le a<1 0 ≤ a < 1 the infimum defining E p ( a ) \mathcal{E}_p(a) E p ( a ) is attained where ALG p ′ ( κ ) = a \operatorname{ALG}_p'(\kappa)=a ALG p ′ ( κ ) = a .
If a ≤ q d a\le\sqrt{q_d} a ≤ q d , this point is κ = ( ( p − 1 ) a / ( p γ p ) ) p − 1 \kappa=((p-1)a/(p\gamma_p))^{p-1} κ = (( p − 1 ) a / ( p γ p ) ) p − 1 . At this point, we have γ p κ 1 / ( p − 1 ) = ( p − 1 ) a / p \gamma_p\kappa^{1/(p-1)}=(p-1)a/p γ p κ 1/ ( p − 1 ) = ( p − 1 ) a / p , and therefore
E p ( a ) = E t h + κ ( γ p κ 1 / ( p − 1 ) − a ) = E t h − κ a p = E t h − 1 p ( p − 1 p γ p ) p − 1 a p . \mathcal{E}_p(a)=E_{\mathrm{th}}+\kappa\left(\gamma_p\kappa^{1/(p-1)}-a\right)=E_{\mathrm{th}}-\frac{\kappa a}{p}=E_{\mathrm{th}}-\frac{1}{p}\left(\frac{p-1}{p\gamma_p}\right)^{p-1}a^p. E p ( a ) = E th + κ ( γ p κ 1/ ( p − 1 ) − a ) = E th − p κa = E th − p 1 ( p γ p p − 1 ) p − 1 a p .
Inserting the value of γ p \gamma_p γ p , we have
( p − 1 p γ p ) p − 1 = ( p − 1 p − 2 ) p − 1 ( p ( p − 1 ) ) − ( p − 1 ) / 2 ( p ( p − 2 ) ) p / 2 = p 1 / 2 ( p − 1 ) ( p − 1 ) / 2 ( p − 2 ) − ( p − 2 ) / 2 , \left(\frac{p-1}{p\gamma_p}\right)^{p-1}
=\left(\frac{p-1}{p-2}\right)^{p-1}(p(p-1))^{-(p-1)/2}(p(p-2))^{p/2}
=p^{1/2}(p-1)^{(p-1)/2}(p-2)^{-(p-2)/2}, ( p γ p p − 1 ) p − 1 = ( p − 2 p − 1 ) p − 1 ( p ( p − 1 ) ) − ( p − 1 ) /2 ( p ( p − 2 ) ) p /2 = p 1/2 ( p − 1 ) ( p − 1 ) /2 ( p − 2 ) − ( p − 2 ) /2 ,
and dividing by p p p , we find that the coefficient of a p a^p a p is ( ( p − 1 ) p − 1 / ( p ( p − 2 ) p − 2 ) ) 1 / 2 = β d ((p-1)^{p-1}/(p(p-2)^{p-2}))^{1/2}=\beta_d (( p − 1 ) p − 1 / ( p ( p − 2 ) p − 2 ) ) 1/2 = β d .
If q d ≤ a < 1 \sqrt{q_d}\le a<1 q d ≤ a < 1 , the point is κ = p a / 1 − a 2 \kappa=\sqrt{p}a/\sqrt{1-a^2} κ = p a / 1 − a 2 , and
E p ( a ) = p 1 − a 2 − p a 2 1 − a 2 = p ( 1 − a 2 ) . \mathcal{E}_p(a)=\sqrt{\frac{p}{1-a^2}}-\frac{\sqrt{p}a^2}{\sqrt{1-a^2}}=\sqrt{p(1-a^2)}. E p ( a ) = 1 − a 2 p − 1 − a 2 p a 2 = p ( 1 − a 2 ) .
At a = 1 a=1 a = 1 , we have E p ( 1 ) = 0 \mathcal{E}_p(1)=0 E p ( 1 ) = 0 , because the function p + κ 2 − κ \sqrt{p+\kappa^2}-\kappa p + κ 2 − κ decreases to 0 0 0 as κ → ∞ \kappa\to\infty κ → ∞ . The two formulas agree at a = q d a=\sqrt{q_d} a = q d , where both equal p / ( p − 1 ) \sqrt{p/(p-1)} p / ( p − 1 ) . This proves the first part of (10.9), and shows that E p \mathcal{E}_p E p is continuous on [ 0 , 1 ] [0,1] [ 0 , 1 ] .
Let D p ( a ) = E t h − E p ( a ) D_p(a)=E_{\mathrm{th}}-\mathcal{E}_p(a) D p ( a ) = E th − E p ( a ) . For a ≤ q d a\le\sqrt{q_d} a ≤ q d , we have D p ( a ) = β d a p D_p(a)=\beta_d a^p D p ( a ) = β d a p . For q d < a < 1 \sqrt{q_d}<a<1 q d < a < 1 , we have D p ′ ( a ) = p a / 1 − a 2 D_p'(a)=\sqrt{p}a/\sqrt{1-a^2} D p ′ ( a ) = p a / 1 − a 2 . The function a p − 2 1 − a 2 a^{p-2}\sqrt{1-a^2} a p − 2 1 − a 2 on [ 0 , 1 ] [0,1] [ 0 , 1 ] is maximal at a 2 = q d a^2=q_d a 2 = q d , where it equals
q d ( p − 2 ) / 2 ( 1 − q d ) 1 / 2 = ( p − 2 ) ( p − 2 ) / 2 ( p − 1 ) − ( p − 1 ) / 2 = 1 p β d . q_d^{(p-2)/2}(1-q_d)^{1/2}=(p-2)^{(p-2)/2}(p-1)^{-(p-1)/2}=\frac{1}{\sqrt{p}\beta_d}. q d ( p − 2 ) /2 ( 1 − q d ) 1/2 = ( p − 2 ) ( p − 2 ) /2 ( p − 1 ) − ( p − 1 ) /2 = p β d 1 .
Since D p ′ ( a ) / ( p β d a p − 1 ) = ( p β d a p − 2 1 − a 2 ) − 1 D'_p(a)/(p\beta_d a^{p-1})=\left(\sqrt{p}\,\beta_d a^{p-2}\sqrt{1-a^2}\right)^{-1} D p ′ ( a ) / ( p β d a p − 1 ) = ( p β d a p − 2 1 − a 2 ) − 1 , we conclude that D p ′ ( a ) ≥ p β d a p − 1 D'_p(a)\ge p\beta_d a^{p-1} D p ′ ( a ) ≥ p β d a p − 1 on ( q d , 1 ) (\sqrt{q_d},1) ( q d , 1 ) . Integrating this inequality from q d \sqrt{q_d} q d , where D p ( q d ) = β d q d p / 2 D_p(\sqrt{q_d})=\beta_dq_d^{p/2} D p ( q d ) = β d q d p /2 , and using the continuity of D p D_p D p at a = 1 a=1 a = 1 , we find that D p ( a ) ≥ β d a p D_p(a)\ge\beta_da^p D p ( a ) ≥ β d a p on [ q d , 1 ] [\sqrt{q_d},1] [ q d , 1 ] . This proves (10.9).
Step 2: finitely many fields. Fix a finite set G ⊂ [ 0 , ∞ ) \mathcal{G}\subset[0,\infty) G ⊂ [ 0 , ∞ ) with 0 ∈ G 0\in\mathcal{G} 0 ∈ G , and η > 0 \eta>0 η > 0 . We define
V G ( a ) = min κ ∈ G { ALG p ( κ ) − κ a } , 0 ≤ a ≤ 1. V_{\mathcal{G}}(a)=\min_{\kappa\in\mathcal{G}}\{\operatorname{ALG}_p(\kappa)-\kappa a\},\qquad0\le a\le1. V G ( a ) = κ ∈ G min { ALG p ( κ ) − κa } , 0 ≤ a ≤ 1.
Note that ∣ V G ∣ ≤ M G \lvert V_{\mathcal{G}}\rvert\le M_{\mathcal{G}} ∣ V G ∣ ≤ M G , where M G = E t h + max G M_{\mathcal{G}}=E_{\mathrm{th}}+\max\mathcal{G} M G = E th + max G , because 0 ∈ G 0\in\mathcal{G} 0 ∈ G and ALG p ≥ 0 \operatorname{ALG}_p\ge0 ALG p ≥ 0 . We condition on ζ \zeta ζ . Then w w w is fixed, J J J is standard Gaussian, and J ↦ A N ( J , ζ ) J\mapsto\mathcal{A}_N(J,\zeta) J ↦ A N ( J , ζ ) is L L i p L_{\mathrm{Lip}} L Lip -Lipschitz. For each κ ∈ G \kappa\in\mathcal{G} κ ∈ G , we use Theorem 10.1 with the field strength κ \kappa κ and the directions w w w and − w -w − w . Let c ( G , η ) > 0 c(\mathcal{G},\eta)>0 c ( G , η ) > 0 and N 0 ( G , η ) N_0(\mathcal{G},\eta) N 0 ( G , η ) be the smallest constant and the largest threshold for N N N among these ∣ G ∣ \lvert\mathcal{G}\rvert ∣ G ∣ applications. For N ≥ N 0 ( G , η ) N\ge N_0(\mathcal{G},\eta) N ≥ N 0 ( G , η ) , the event
B = ⋃ κ ∈ G { H N ( A N ) N + κ ∣ a N ∣ ≥ ALG p ( κ ) + η } \mathcal{B}=\bigcup_{\kappa\in\mathcal{G}}\left\{\frac{H_N(\mathcal{A}_N)}{N}+\kappa\lvert a_N\rvert\ge\operatorname{ALG}_p(\kappa)+\eta\right\} B = κ ∈ G ⋃ { N H N ( A N ) + κ ∣ a N ∣ ≥ ALG p ( κ ) + η }
has conditional probability at most 2 ∣ G ∣ e − c ( G , η ) N 2\lvert\mathcal{G}\rvert e^{-c(\mathcal{G},\eta)N} 2 ∣ G ∣ e − c ( G , η ) N , uniformly in ζ \zeta ζ . Off B \mathcal{B} B , we have H N ( A N ) / N < V G ( ∣ a N ∣ ) + η H_N(\mathcal{A}_N)/N<V_{\mathcal{G}}(\lvert a_N\rvert)+\eta H N ( A N ) / N < V G (∣ a N ∣) + η ; note that ∣ a N ∣ ≤ 1 \lvert a_N\rvert\le1 ∣ a N ∣ ≤ 1 , since ∥ w ∥ = N \lVert w\rVert=\sqrt{N} ∥ w ∥ = N and A N ∈ B N \mathcal{A}_N\in B_N A N ∈ B N . On B \mathcal{B} B , we use ∣ H N ( A N ) ∣ / N ≤ Q N \lvert H_N(\mathcal{A}_N)\rvert/N\le Q_N ∣ H N ( A N )∣ / N ≤ Q N from (10.3). Recall that J J J is independent of ζ \zeta ζ , which gives E [ Q N 2 ∣ ζ ] = E Q N 2 ≤ Q ∗ 2 \mathbb{E}[Q_N^2\mid\zeta]=\mathbb{E}Q_N^2\le Q_*^2 E [ Q N 2 ∣ ζ ] = E Q N 2 ≤ Q ∗ 2 . Let
r N ( G , η ) = ( Q ∗ + M G ) ( 2 ∣ G ∣ e − c ( G , η ) N ) 1 / 2 . r_N(\mathcal{G},\eta)=(Q_*+M_{\mathcal{G}})\left(2\lvert\mathcal{G}\rvert e^{-c(\mathcal{G},\eta)N}\right)^{1/2}. r N ( G , η ) = ( Q ∗ + M G ) ( 2 ∣ G ∣ e − c ( G , η ) N ) 1/2 .
Using the Cauchy–Schwarz inequality, we obtain
E [ H N ( A N ) N − V G ( ∣ a N ∣ ) ∣ ζ ] ≤ η + r N ( G , η ) (177) \mathbb{E}\left[\left.\frac{H_N(\mathcal{A}_N)}{N}-V_{\mathcal{G}}(\lvert a_N\rvert)\right|\zeta\right]\le\eta+r_N(\mathcal{G},\eta) \tag*{(177)} E [ N H N ( A N ) − V G (∣ a N ∣) ζ ] ≤ η + r N ( G , η ) (177)
for N ≥ N 0 ( G , η ) N\ge N_0(\mathcal{G},\eta) N ≥ N 0 ( G , η ) . For 1 ≤ N < N 0 ( G , η ) 1\le N<N_0(\mathcal{G},\eta) 1 ≤ N < N 0 ( G , η ) , we set r N ( G , η ) = Q ∗ + M G r_N(\mathcal{G},\eta)=Q_*+M_{\mathcal{G}} r N ( G , η ) = Q ∗ + M G . Then (10.10) still holds, directly from ∣ H N ( A N ) ∣ / N ≤ Q N \lvert H_N(\mathcal{A}_N)\rvert/N\le Q_N ∣ H N ( A N )∣ / N ≤ Q N and ∣ V G ∣ ≤ M G \lvert V_{\mathcal{G}}\rvert\le M_{\mathcal{G}} ∣ V G ∣ ≤ M G . The finite quantity r N ( G , η ) r_N(\mathcal{G},\eta) r N ( G , η ) depends only on p p p , L L i p L_{\mathrm{Lip}} L Lip , G \mathcal{G} G , and η \eta η , and tends to zero as N → ∞ N\to\infty N → ∞ .
Step 3: refining the fields. Let G k = { i 2 − k : 0 ≤ i ≤ 4 k } \mathcal{G}_k=\{i2^{-k}:0\le i\le4^k\} G k = { i 2 − k : 0 ≤ i ≤ 4 k } . These sets increase with k k k , and their union is dense in [ 0 , ∞ ) [0,\infty) [ 0 , ∞ ) . The functions V G k V_{\mathcal{G}_k} V G k are continuous on [ 0 , 1 ] [0,1] [ 0 , 1 ] and decrease in k k k . For each a ∈ [ 0 , 1 ] a\in[0,1] a ∈ [ 0 , 1 ] , the map κ ↦ ALG p ( κ ) − κ a \kappa\mapsto\operatorname{ALG}_p(\kappa)-\kappa a κ ↦ ALG p ( κ ) − κa is continuous, and its infimum over the dense set ⋃ k G k \bigcup_k\mathcal{G}_k ⋃ k G k equals E p ( a ) \mathcal{E}_p(a) E p ( a ) . The limit E p \mathcal{E}_p E p is continuous on [ 0 , 1 ] [0,1] [ 0 , 1 ] . By Dini’s theorem, the quantity s k = sup 0 ≤ a ≤ 1 { V G k ( a ) − E p ( a ) } s_k=\sup_{0\le a\le1}\{V_{\mathcal{G}_k}(a)-\mathcal{E}_p(a)\} s k = sup 0 ≤ a ≤ 1 { V G k ( a ) − E p ( a )} tends to zero. By (10.9) and (10.10) with G = G k \mathcal{G}=\mathcal{G}_k G = G k and η = 1 / k \eta=1/k η = 1/ k , we have
E [ H N ( A N ) N + β d ∣ a N ∣ p ∣ ζ ] ≤ E t h + E [ H N ( A N ) N − E p ( ∣ a N ∣ ) ∣ ζ ] ≤ E t h + s k + 1 k + r N ( G k , 1 / k ) \begin{aligned}
\mathbb{E}\left[\left.\frac{H_N(\mathcal{A}_N)}{N}+\beta_d\lvert a_N\rvert^p\right|\zeta\right]\le E_{\mathrm{th}}+\mathbb{E}\left[\left.\frac{H_N(\mathcal{A}_N)}{N}-\mathcal{E}_p(\lvert a_N\rvert)\right|\zeta\right] \\
&\le E_{\mathrm{th}}+s_k+\frac{1}{k}+r_N(\mathcal{G}_k,1/k)
\end{aligned} E [ N H N ( A N ) + β d ∣ a N ∣ p ζ ] ≤ E th + E [ N H N ( A N ) − E p (∣ a N ∣) ζ ] ≤ E th + s k + k 1 + r N ( G k , 1/ k )
for every k ≥ 1 k \ge1 k ≥ 1 . We define ϕ N = inf k ≥ 1 { s k + 1 / k + r N ( G k , 1 / k ) } \phi_N = \inf_{k \ge1}\{s_k + 1/k + r_N(\mathcal{G}_k,1/k)\} ϕ N = inf k ≥ 1 { s k + 1/ k + r N ( G k , 1/ k )} , which depends only on p p p and L L i p L_{\mathrm{Lip}} L Lip . This infimum is nonnegative and finite for every N ≥ 1 N \ge1 N ≥ 1 , since already the term with k = 1 k=1 k = 1 is finite. Then (10.7) holds. Moreover, lim sup N ϕ N ≤ s k + 1 / k \limsup_N \phi_N \le s_k + 1/k lim sup N ϕ N ≤ s k + 1/ k for every k k k , and in particular ϕ N → 0 \phi_N \to0 ϕ N → 0 . Taking expectations in (174) and letting N → ∞ N \to\infty N → ∞ gives (175) .
Finite forks and the exact energy subtraction
In this section, we fix β > 0 \beta> 0 β > 0 and a stationary cluster ( c , r , ℓ ) (c,r,\ell) ( c , r , ℓ ) of the translated CK kernels, as in Proposition 5.7 , realized along a sequence T n → ∞ T_n \to\infty T n → ∞ . Its plateau is q q q and its energy is e ∞ = ( ℓ − 1 ) / ( p β ) e_\infty= (\ell- 1)/(p\beta) e ∞ = ( ℓ − 1 ) / ( pβ ) . Recall from (102) that 0 ≤ c ≤ 1 0 \le c \le1 0 ≤ c ≤ 1 , that r = − c ′ ≥ 0 r=-c' \ge0 r = − c ′ ≥ 0 , so that c c c is nonincreasing, and that ∫ 0 ∞ r ( τ ) d τ = 1 − q \int_0^\infty r(\tau)\,\mathrm{d}\tau= 1-q ∫ 0 ∞ r ( τ ) d τ = 1 − q . Recall also that e β ( T n + a ) → e ∞ e_\beta(T_n+a) \to e_\infty e β ( T n + a ) → e ∞ for every a ≥ 0 a \ge0 a ≥ 0 , by (56) and the convergence of the translated multipliers.
Entropy notation. We use the notation of Section 5. For fixed disorder, ρ t \rho_t ρ t is the density of X t X_t X t with respect to ω N \omega_N ω N and g N g_N g N is the Gibbs density. We write
v t c u r = ∇ S log ( ρ t / g N ) , I H ( t ) = ∫ ∥ v t c u r ∥ 2 ρ t d ω N , a N ( t ) = 1 N E I H ( t ) v_t^{\mathrm{cur}} = \nabla_S \log(\rho_t/g_N), \qquad I_H(t) = \int\lVert v_t^{\mathrm{cur}}\rVert^2 \rho_t\,\mathrm{d}\omega_N, \qquad a_N(t) = \frac{1}{N}\mathbb{E}I_H(t) v t cur = ∇ S log ( ρ t / g N ) , I H ( t ) = ∫ ∥ v t cur ∥ 2 ρ t d ω N , a N ( t ) = N 1 E I H ( t )
for the relative score, the Fisher information, and its normalized mean. This is the notation of Section 5; the superscript distinguishes the score from the tree vectors v t v_t v t . Let μ N ( d t ) = a N ( t ) d t \mu_N(\mathrm{d}t)=a_N(t)\,\mathrm{d}t μ N ( d t ) = a N ( t ) d t . Lemma 5.1 implies that μ N ( [ 0 , ∞ ) ) ≤ β 2 / 2 \mu_N([0,\infty)) \le\beta^2/2 μ N ([ 0 , ∞ )) ≤ β 2 /2 . By (87) , μ N j ( I ) → μ ( I ) \mu_{N_j}(I) \to\mu(I) μ N j ( I ) → μ ( I ) for every bounded interval I I I , where μ ( d t ) = a F ( t ) d t \mu(\mathrm{d}t)=a_F(t)\,\mathrm{d}t μ ( d t ) = a F ( t ) d t is the finite measure of (92) . We write P t H P_t^H P t H for the diffusion semigroup at fixed disorder and L N \mathcal{L}_N L N for its generator.
Forks. For each fixed integer K ≥ 1 K \ge1 K ≥ 1 , we use the product probability space carrying J J J , the uniform initial point X 0 X_0 X 0 , a full Brownian path ( B u ) u ≥ 0 (B_u)_{u\ge0} ( B u ) u ≥ 0 , and K K K full Brownian paths B ( 1 ) , … , B ( K ) B^{(1)},\ldots,B^{(K)} B ( 1 ) , … , B ( K ) on [ 0 , ∞ ) [0,\infty) [ 0 , ∞ ) . These coordinate blocks are mutually independent. We call
ζ N = ( X 0 , ( B ( b ) ) 1 ≤ b ≤ K , B ) \zeta_N = (X_0,(B^{(b)})_{1\le b\le K},B) ζ N = ( X 0 , ( B ( b ) ) 1 ≤ b ≤ K , B )
the fork seed, with its uniform-initial and Wiener product law; the disorder has its independent standard Gaussian law. The seed space and law depend on K K K , which we suppress in the notation. Fix T ≥ 0 T \ge0 T ≥ 0 and L ≥ 0 L \ge0 L ≥ 0 . The trajectory X X X solves (3.3) driven by B B B . For b ≤ K b \le K b ≤ K , let Z b Z_b Z b be the solution of (3.3) on [ 0 , T + L ] [0,T+L] [ 0 , T + L ] with Z b ( 0 ) = X 0 Z_b(0)=X_0 Z b ( 0 ) = X 0 , driven by the Brownian motion that equals B u B_u B u for u ≤ T u \le T u ≤ T and B T + B u − T ( b ) B_T+B^{(b)}_{u-T} B T + B u − T ( b ) for u ≥ T u \ge T u ≥ T . Then Z b ( u ) = X u Z_b(u)=X_u Z b ( u ) = X u for u ≤ T u \le T u ≤ T , and after time T T T the paths Z 1 , … , Z K Z_1,\ldots,Z_K Z 1 , … , Z K are continuations of X X X from X T X_T X T by independent noises. We write
Y b = Z b ( T + L ) , m N , T = 1 K ∑ b = 1 K Y b . Y_b=Z_b(T+L), \qquad m_{N,T}=\frac{1}{K}\sum_{b=1}^{K}Y_b. Y b = Z b ( T + L ) , m N , T = K 1 b = 1 ∑ K Y b .
and call m N , T m_{N,T} m N , T the center of the fork. When needed, we indicate the dependence on K K K and L L L in the notation. The Brownian motion that drives Z b Z_b Z b is a standard Brownian motion independent of ( J , X 0 ) (J, X_0) ( J , X 0 ) . Hence each pair ( J , Z b ) (J, Z_b) ( J , Z b ) has the same law as ( J , ( X u ) u ≤ T + L ) (J,(X_u)_{u\le T+L}) ( J , ( X u ) u ≤ T + L ) . The branches share their past before T T T and are not independent. Note that ∥ m N , T ∥ ≤ N \lVert m_{N,T}\rVert\le\sqrt{N} ∥ m N , T ∥ ≤ N , because ∥ Y b ∥ = N \lVert Y_b\rVert=\sqrt{N} ∥ Y b ∥ = N .
Response moments. Let U b ( t , u ) U_b(t,u) U b ( t , u ) be the variational response matrix of the path Z b Z_b Z b , defined as in (33) . Each driving process is Brownian for its own full filtration and is independent of ( J , X 0 ) (J, X_0) ( J , X 0 ) , even though the branches share a common past. Therefore the proof of (59) applies to every branch. With the constants K S K_S K S and Θ S \Theta_S Θ S defined there, its coordinate columns and normalized trace have fourth moment at most K S K_S K S whenever 0 ≤ t − u ≤ S 0\le t-u\le S 0 ≤ t − u ≤ S . In particular,
E ∣ tr U b ( t , u ) N ∣ 2 ≤ Θ S 2 , E ∥ U b ( t , u ) ∥ op 2 ≤ N Θ S 2 . \mathbb{E}\left|\frac{\operatorname{tr}U_b(t,u)}{N}\right|^2\le\Theta_S^2,\qquad\mathbb{E}\lVert U_b(t,u)\rVert_{\operatorname{op}}^2\le N\Theta_S^2. E N tr U b ( t , u ) 2 ≤ Θ S 2 , E ∥ U b ( t , u ) ∥ op 2 ≤ N Θ S 2 .
We use these estimates on the whole interval [ 0 , T + L ] [0,T+L] [ 0 , T + L ] , with S = T + L S=T+L S = T + L , and on the final interval [ T , T + L ] [T,T+L] [ T , T + L ] , with S = L S=L S = L . The latter bounds are uniform in T T T .
Lemma 10.3 (Entropy comparison for two branches). Let T , a , d ≥ 0 T,a,d\ge0 T , a , d ≥ 0 , and let Y Y Y and Z Z Z be the endpoints of two branches at time T T T of lengths a a a and d d d , that is, of two continuations of X X X from X T X_T X T driven by independent Brownian motions. Set Q N , T ( a , d ) = ⟨ Y , Z ⟩ / N Q_{N,T}(a,d)=\langle Y,Z\rangle/N Q N , T ( a , d ) = ⟨ Y , Z ⟩ / N . Then, for k ∈ { 1 , 2 } k\in\{1,2\} k ∈ { 1 , 2 } ,
∣ E Q N , T ( a , d ) k − E C N ( T + 2 a + d , T + a ) k ∣ ≤ 2 k e β p 2 A p ( a + d ) a μ N ( [ T , T + a ] ) + 2 e − c p N . (178) \left|\mathbb{E}Q_{N,T}(a,d)^k-\mathbb{E}C_N(T+2a+d,T+a)^k\right|\le2k e^{\beta p^2 A_p(a+d)}\sqrt{a\mu_N([T,T+a])}+2e^{-c_pN}. \tag*{(178)} E Q N , T ( a , d ) k − E C N ( T + 2 a + d , T + a ) k ≤ 2 k e β p 2 A p ( a + d ) a μ N ([ T , T + a ]) + 2 e − c p N . (178) Moreover, if T n → ∞ T_n\to\infty T n → ∞ is a sequence along which the translated kernels converge to a stationary cluster with correlation profile c c c , then, for every L < ∞ L<\infty L < ∞ ,
lim n → ∞ lim sup j → ∞ sup 0 ≤ a , d ≤ L E ∣ Q N j , T n ( a , d ) − c ( a + d ) ∣ 2 = 0. (179) \lim_{n\to\infty}\limsup_{j\to\infty}\sup_{0\le a,d\le L}\mathbb{E}\left|Q_{N_j,T_n}(a,d)-c(a+d)\right|^2=0. \tag*{(179)} n → ∞ lim j → ∞ lim sup 0 ≤ a , d ≤ L sup E Q N j , T n ( a , d ) − c ( a + d ) 2 = 0. (179)
Proof. For k ∈ { 1 , 2 } k\in\{1,2\} k ∈ { 1 , 2 } , let Φ k ( x ) = ( x / N ) ⊗ k \Phi_k(x)=(x/\sqrt{N})^{\otimes k} Φ k ( x ) = ( x / N ) ⊗ k , with values in ( R N ) ⊗ k (\mathbb{R}^N)^{\otimes k} ( R N ) ⊗ k and its Euclidean norm, so that ⟨ Φ k ( x ) , Φ k ( y ) ⟩ = ( ⟨ x , y ⟩ / N ) k \langle\Phi_k(x),\Phi_k(y)\rangle=(\langle x,y\rangle/N)^k ⟨ Φ k ( x ) , Φ k ( y )⟩ = (⟨ x , y ⟩ / N ) k . On S N S_N S N , we have ∥ Φ k ∥ = 1 \lVert\Phi_k\rVert=1 ∥ Φ k ∥ = 1 and ∥ D S Φ k ∥ op ≤ k / N \lVert D_S\Phi_k\rVert_{\operatorname{op}}\le k/\sqrt{N} ∥ D S Φ k ∥ op ≤ k / N . Fix the disorder. For 0 ≤ z ≤ a 0\le z\le a 0 ≤ z ≤ a , we define
f z = P a − z H Φ k , g z = P d + z H Φ k , F J ( z ) = ∫ S N ρ T + z ⟨ f z , g z ⟩ d ω N , f_z=P^H_{a-z}\Phi_k,\qquad g_z=P^H_{d+z}\Phi_k,\qquad F_J(z)=\int_{S_N}\rho_{T+z}\langle f_z,g_z\rangle\,d\omega_N, f z = P a − z H Φ k , g z = P d + z H Φ k , F J ( z ) = ∫ S N ρ T + z ⟨ f z , g z ⟩ d ω N ,
where the semigroup acts on each coordinate of Φ k \Phi_k Φ k .
We first identify the endpoint values. By the Markov property and the conditional independence of the two branches given the past up to time T T T , we have E F J ( 0 ) = E Q N , T ( a , d ) k \mathbb{E}F_J(0)=\mathbb{E}Q_{N,T}(a,d)^k E F J ( 0 ) = E Q N , T ( a , d ) k . By the semigroup property, F J ( a ) F_J(a) F J ( a ) is the conditional expectation of ⟨ Φ k ( X T + a ) , Φ k ( X T + 2 a + d ) ⟩ \langle\Phi_k(X_{T+a}),\Phi_k(X_{T+2a+d})\rangle ⟨ Φ k ( X T + a ) , Φ k ( X T + 2 a + d )⟩ given J J J , so that E F J ( a ) = E C N ( T + 2 a + d , T + a ) k \mathbb{E}F_J(a)=\mathbb{E}C_N(T+2a+d,T+a)^k E F J ( a ) = E C N ( T + 2 a + d , T + a ) k . Next we compute F J ′ F_J' F J ′ . We have ∂ z f z = − L N f z \partial_z f_z=-\mathcal{L}_N f_z ∂ z f z = − L N f z , ∂ z g z = L N g z \partial_z g_z=\mathcal{L}_N g_z ∂ z g z = L N g z , and ∂ z ρ T + z = L N ∗ ρ T + z \partial_z\rho_{T+z}=\mathcal{L}_N^*\rho_{T+z} ∂ z ρ T + z = L N ∗ ρ T + z . By the product rule for the generator, applied to each pair of coordinates, L N ⟨ f , g ⟩ = ⟨ L N f , g ⟩ + ⟨ f , L N g ⟩ + 2 ∑ i ⟨ D S f [ e i ] , D S g [ e i ] ⟩ \mathcal{L}_N\langle f,g\rangle=\langle\mathcal{L}_N f,g\rangle+\langle f,\mathcal{L}_N g\rangle+2\sum_i\langle D_Sf[e_i],D_Sg[e_i]\rangle L N ⟨ f , g ⟩ = ⟨ L N f , g ⟩ + ⟨ f , L N g ⟩ + 2 ∑ i ⟨ D S f [ e i ] , D S g [ e i ]⟩ , where ( e i ) (e_i) ( e i ) is an orthonormal frame of the tangent space. Using these identities, we find
F J ′ ( z ) = ∫ ρ T + z { L N ⟨ f z , g z ⟩ − ⟨ L N f z , g z ⟩ + ⟨ f z , L N g z ⟩ } d ω N = 2 ∫ ρ T + z { ⟨ f z , L N g z ⟩ + ∑ i ⟨ D S f z [ e i ] , D S g z [ e i ] ⟩ } d ω N . \begin{aligned}
F_J'(z)=\int\rho_{T+z}\left\{\mathcal{L}_N\langle f_z,g_z\rangle-\langle\mathcal{L}_Nf_z,g_z\rangle+\langle f_z,\mathcal{L}_Ng_z\rangle\right\}\,\mathrm{d}\omega_N \\
&=2\int\rho_{T+z}\left\{\langle f_z,\mathcal{L}_Ng_z\rangle+\sum_i\langle D_Sf_z[e_i],D_Sg_z[e_i]\rangle\right\}\,\mathrm{d}\omega_N.
\end{aligned} F J ′ ( z ) = ∫ ρ T + z { L N ⟨ f z , g z ⟩ − ⟨ L N f z , g z ⟩ + ⟨ f z , L N g z ⟩ } d ω N = 2 ∫ ρ T + z { ⟨ f z , L N g z ⟩ + i ∑ ⟨ D S f z [ e i ] , D S g z [ e i ]⟩ } d ω N .
When we apply (5.8) to each coordinate of f z f_z f z and g z g_z g z , the gradient terms cancel, and we obtain the exact current identity
F J ′ ( z ) = − 2 ∫ ρ T + z ⟨ p a − z H Φ k , D S ( p d + z H Φ k ) [ v T + z c u r ] ⟩ d ω N . (180) F_J'(z)=-2\int\rho_{T+z}\left\langle p^H_{a-z}\Phi_k,D_S\left(p^H_{d+z}\Phi_k\right)\left[v^{\mathrm{cur}}_{T+z}\right]\right\rangle\,\mathrm{d}\omega_N. \tag*{(180)} F J ′ ( z ) = − 2 ∫ ρ T + z ⟨ p a − z H Φ k , D S ( p d + z H Φ k ) [ v T + z cur ] ⟩ d ω N . (180)
Note that this identity does not use stationarity of ρ T + z \rho_{T+z} ρ T + z : the score v T + z c u r v^{\mathrm{cur}}_{T+z} v T + z cur records how far ρ T + z \rho_{T+z} ρ T + z is from the Gibbs density.
We now bound the right side of (180) on the event G N = { Q N ≤ A p } G_N=\{Q_N\le A_p\} G N = { Q N ≤ A p } . By Jensen’s inequality, ∥ p t H Φ k ∥ ≤ 1 \|p^H_t\Phi_k\|\le1 ∥ p t H Φ k ∥ ≤ 1 . In the proof of Lemma 5.5, the Bochner formula, the nonnegative Ricci curvature of S N S_N S N , and the Hessian bound of (3.26) give the gradient bound ∥ ∇ S p t H φ ∥ 2 ≤ e 2 β p 2 Q N t p t H ∥ ∇ S φ ∥ 2 \|\nabla_Sp^H_t\varphi\|^2\le e^{2\beta p^2Q_Nt}p^H_t\|\nabla_S\varphi\|^2 ∥ ∇ S p t H φ ∥ 2 ≤ e 2 β p 2 Q N t p t H ∥ ∇ S φ ∥ 2 for smooth scalar φ \varphi φ ; this is the classical gradient bound under a lower bound on the curvature. Applied to φ = ⟨ w , Φ k ⟩ \varphi=\langle w,\Phi_k\rangle φ = ⟨ w , Φ k ⟩ for a unit vector w w w in ( R N ) ⊗ k (\mathbb{R}^N)^{\otimes k} ( R N ) ⊗ k , and followed by the supremum over w w w , it gives
∥ D S p t H Φ k ∥ o p ≤ k N e β p 2 A p t on G N , \|D_Sp^H_t\Phi_k\|_{\mathrm{op}}\le\frac{k}{\sqrt{N}}e^{\beta p^2A_pt}\quad\text{on }G_N, ∥ D S p t H Φ k ∥ op ≤ N k e β p 2 A p t on G N ,
with no factor depending on the dimension of ( R N ) ⊗ k (\mathbb{R}^N)^{\otimes k} ( R N ) ⊗ k . Using the Cauchy–Schwarz inequality, we find that, on G N G_N G N and for z ≤ a z\le a z ≤ a ,
∣ F J ′ ( z ) ∣ ≤ 2 k N e β p 2 A p ( a + d ) ∫ ρ T + z ∥ v T + z c u r ∥ d ω N ≤ 2 k e β p 2 A p ( a + d ) ( I H ( T + z ) N ) 1 / 2 . |F_J'(z)|\le\frac{2k}{\sqrt{N}}e^{\beta p^2A_p(a+d)}\int\rho_{T+z}\|v^{\mathrm{cur}}_{T+z}\|\,\mathrm{d}\omega_N\le2k e^{\beta p^2A_p(a+d)}\left(\frac{I_H(T+z)}{N}\right)^{1/2}. ∣ F J ′ ( z ) ∣ ≤ N 2 k e β p 2 A p ( a + d ) ∫ ρ T + z ∥ v T + z cur ∥ d ω N ≤ 2 k e β p 2 A p ( a + d ) ( N I H ( T + z ) ) 1/2 .
Taking expectations and using Jensen’s inequality, then integrating in z z z and using the Cauchy–Schwarz inequality, we obtain
∫ 0 a E [ 1 G N ∣ F J ′ ( z ) ∣ ] d z ≤ 2 k e β p 2 A p ( a + d ) ∫ 0 a a N ( T + z ) d z \int_0^a\mathbb{E}\left[\mathbf{1}_{G_N}|F_J'(z)|\right]\,\mathrm{d}z\le2k e^{\beta p^2A_p(a+d)}\int_0^a\sqrt{a_N(T+z)}\,\mathrm{d}z ∫ 0 a E [ 1 G N ∣ F J ′ ( z ) ∣ ] d z ≤ 2 k e β p 2 A p ( a + d ) ∫ 0 a a N ( T + z ) d z
≤ 2 k e β p 2 A p ( a + d ) a μ N ( [ T , T + a ] ) . \le2k e^{\beta p^2A_p(a+d)}\sqrt{a\,\mu_N([T,T+a])}. ≤ 2 k e β p 2 A p ( a + d ) a μ N ([ T , T + a ]) .
On G N c G_N^c G N c , we have ∣ F J ( 0 ) ∣ , ∣ F J ( a ) ∣ ≤ 1 |F_J(0)|,|F_J(a)|\le1 ∣ F J ( 0 ) ∣ , ∣ F J ( a ) ∣ ≤ 1 , and P ( G N c ) ≤ e − c p N \mathbb{P}(G_N^c)\le e^{-c_pN} P ( G N c ) ≤ e − c p N . Writing E [ F J ( 0 ) − F J ( a ) ] = − E [ 1 G N ∫ 0 a F J ′ ( z ) d z ] + E [ 1 G N c ( F J ( 0 ) − F J ( a ) ) ] \mathbb{E}[F_J(0)-F_J(a)]=-\mathbb{E}[\mathbf{1}_{G_N}\int_0^aF_J'(z)\,\mathrm{d}z]+\mathbb{E}[\mathbf{1}_{G_N^c}(F_J(0)-F_J(a))] E [ F J ( 0 ) − F J ( a )] = − E [ 1 G N ∫ 0 a F J ′ ( z ) d z ] + E [ 1 G N c ( F J ( 0 ) − F J ( a ))] and combining the last two bounds with the identification of the endpoint values, we obtain (10.11).
For (10.12), fix L L L and let a , d ≤ L a,d \le L a , d ≤ L . In (10.11), we may replace a μ N ( [ T , T + a ] ) a\mu_N([T,T+a]) a μ N ([ T , T + a ]) by L μ N ( [ T , T + L ] ) L\mu_N([T,T+L]) L μ N ([ T , T + L ]) and the exponential factor by e 2 β p 2 A p L e^{2\beta p^2 A_pL} e 2 β p 2 A p L . Then (5.9) implies that μ N j ( [ T , T + L ] ) → μ ( [ T , T + L ] ) \mu_{N_j}([T,T+L]) \to\mu([T,T+L]) μ N j ([ T , T + L ]) → μ ([ T , T + L ]) for each fixed T T T . By Proposition 3.3 on the horizon T + 3 L T+3L T + 3 L and ∣ C N ∣ ≤ 1 |C_N| \le1 ∣ C N ∣ ≤ 1 , the moments E C N ( T + 2 a + d , T + a ) k \mathbb{E}C_{N}(T+2a+d,T+a)^k E C N ( T + 2 a + d , T + a ) k converge to C ( T + 2 a + d , T + a ) k C(T+2a+d,T+a)^k C ( T + 2 a + d , T + a ) k uniformly in a , d ≤ L a,d \le L a , d ≤ L . Combining these facts with (10.11), we find
lim sup j → ∞ sup 0 ≤ a , d ≤ L ∣ E Q N j , T ( a , d ) k − C ( T + 2 a + d , T + a ) k ∣ ≤ 4 e 2 β p 2 A p L L μ ( [ T , T + L ] ) . \limsup_{j\to\infty}\sup_{0\le a,d\le L}\left|\mathbb{E}Q_{N_j,T}(a,d)^k-C(T+2a+d,T+a)^k\right|\le4e^{2\beta p^2 A_pL}\sqrt{L\mu([T,T+L])}. j → ∞ lim sup 0 ≤ a , d ≤ L sup E Q N j , T ( a , d ) k − C ( T + 2 a + d , T + a ) k ≤ 4 e 2 β p 2 A p L Lμ ([ T , T + L ]) .
Along T = T n T=T_n T = T n , the right side tends to zero because μ \mu μ is a finite measure, and C ( T n + 2 a + d , T n + a ) → c ( a + d ) C(T_n+2a+d,T_n+a)\to c(a+d) C ( T n + 2 a + d , T n + a ) → c ( a + d ) uniformly in a , d ≤ L a,d\le L a , d ≤ L , by the locally uniform convergence of the translated correlations on [ 0 , 3 L ] 2 [0,3L]^2 [ 0 , 3 L ] 2 . Finally, writing Q = Q N , T ( a , d ) Q=Q_{N,T}(a,d) Q = Q N , T ( a , d ) and c 0 = c ( a + d ) ∈ [ 0 , 1 ] c_0=c(a+d)\in[0,1] c 0 = c ( a + d ) ∈ [ 0 , 1 ] , we have
E ∣ Q − c 0 ∣ 2 = ( E Q 2 − c 0 2 ) − 2 c 0 ( E Q − c 0 ) , \mathbb{E}|Q-c_0|^2=(\mathbb{E}Q^2-c_0^2)-2c_0(\mathbb{E}Q-c_0), E ∣ Q − c 0 ∣ 2 = ( E Q 2 − c 0 2 ) − 2 c 0 ( E Q − c 0 ) ,
and the convergence of the first two moments, uniformly in a , d ≤ L a,d\le L a , d ≤ L , proves (10.12).
We now state the main result of this section. For K ≥ 1 K\ge1 K ≥ 1 and L ≥ 0 L\ge0 L ≥ 0 , we define
Q K , L = 1 K + ( 1 − 1 K ) c ( 2 L ) , (181) Q_{K,L}=\frac{1}{K}+\left(1-\frac{1}{K}\right)c(2L), \tag*{(181)} Q K , L = K 1 + ( 1 − K 1 ) c ( 2 L ) , (181)
k K , L ( τ ) = c ( τ ) + ( K − 1 ) c ( 2 L − τ ) K , 0 ≤ τ ≤ L , (182) k_{K,L}(\tau)=\frac{c(\tau)+(K-1)c(2L-\tau)}{K},\qquad0\le\tau\le L, \tag*{(182)} k K , L ( τ ) = K c ( τ ) + ( K − 1 ) c ( 2 L − τ ) , 0 ≤ τ ≤ L , (182)
h K , L = e ∞ − β p ∫ 0 L r ( τ ) { c ( τ ) p − 1 − k K , L ( τ ) p − 1 } d τ . (183) h_{K,L}=e_\infty-\beta p\int_0^L r(\tau)\left\{c(\tau)^{p-1}-k_{K,L}(\tau)^{p-1}\right\}\,\mathrm{d}\tau. \tag*{(183)} h K , L = e ∞ − β p ∫ 0 L r ( τ ) { c ( τ ) p − 1 − k K , L ( τ ) p − 1 } d τ . (183)
Note that Q K , L Q_{K,L} Q K , L is a convex combination of 1 1 1 and c ( 2 L ) c(2L) c ( 2 L ) , so that q ≤ c ( 2 L ) ≤ Q K , L ≤ 1 q\le c(2L)\le Q_{K,L}\le1 q ≤ c ( 2 L ) ≤ Q K , L ≤ 1 , and that 0 ≤ k K , L ≤ 1 0\le k_{K,L}\le1 0 ≤ k K , L ≤ 1 .
Proposition 10.4 (Finite forks and their center). Fix β > 0 \beta>0 β > 0 and let ( c , r , ℓ ) (c,r,\ell) ( c , r , ℓ ) be a stationary cluster with plateau q > 0 q>0 q > 0 and energy e ∞ e_\infty e ∞ , realized along T n → ∞ T_n\to\infty T n → ∞ . Fix K ≥ 1 K\ge1 K ≥ 1 and L ≥ 0 L\ge0 L ≥ 0 , and let m N , T m_{N,T} m N , T be the center of the fork at time T T T with K K K branches of length $L.
(a) The squared norm and the energy of the center satisfy
lim n → ∞ lim sup j → ∞ E ∣ ∥ m N j , T n ∥ 2 N j − Q K , L ∣ 2 = 0 , (184) \lim_{n\to\infty}\limsup_{j\to\infty}\mathbb{E}\left|\frac{\lVert m_{N_j,T_n}\rVert^2}{N_j}-Q_{K,L}\right|^2=0, \tag*{(184)} n → ∞ lim j → ∞ lim sup E N j ∥ m N j , T n ∥ 2 − Q K , L 2 = 0 , (184) lim n → ∞ lim sup j → ∞ ∣ E H N j ( m N j , T n ) N j − h K , L ∣ = 0. (185) \lim_{n\to\infty}\limsup_{j\to\infty}\left|\frac{\mathbb{E}H_{N_j}(m_{N_j,T_n})}{N_j}-h_{K,L}\right|=0. \tag*{(185)} n → ∞ lim j → ∞ lim sup N j E H N j ( m N j , T n ) − h K , L = 0. (185) (b) The limiting energy is below the threshold:
h K , L ≤ E t h Q K , L p / 2 . (186) h_{K,L}\le E_{\mathrm{th}}Q_{K,L}^{p/2}. \tag*{(186)} h K , L ≤ E th Q K , L p /2 . (186)
(c) For every T ≥ 0 T \ge0 T ≥ 0 and ε > 0 \varepsilon> 0 ε > 0 , there exist algorithms A N , T ε = A N , T ε ( J , ζ N ) A^\varepsilon_{N,T}=A^\varepsilon_{N,T}(J,\zeta_N) A N , T ε = A N , T ε ( J , ζ N ) with values in B N B_N B N and seed ζ N \zeta_N ζ N , which are L L i p L_{\mathrm{Lip}} L Lip -Lipschitz for a constant L L i p L_{\mathrm{Lip}} L Lip depending only on p p p , β \beta β , T T T , K K K , L L L , and ε \varepsilon ε , such that
lim sup j → ∞ 1 N j E ∥ A N j , T ε − Π B N j ( m N j , T / Q K , L ) ∥ 2 ≤ ε 2 . (187) \limsup_{j\to\infty}\frac{1}{N_j}\mathbb{E}\left\|A^\varepsilon_{N_j,T}-\Pi_{B_{N_j}}\left(m_{N_j,T}/\sqrt{Q_{K,L}}\right)\right\|^2\le\varepsilon^2. \tag*{(187)} j → ∞ lim sup N j 1 E A N j , T ε − Π B N j ( m N j , T / Q K , L ) 2 ≤ ε 2 . (187)
Moreover, along T = T n T=T_n T = T n , the vector Π B N ( m N , T / Q K , L ) \Pi_{B_N}(m_{N,T}/\sqrt{Q_{K,L}}) Π B N ( m N , T / Q K , L ) may be replaced by m N , T / Q K , L m_{N,T}/\sqrt{Q_{K,L}} m N , T / Q K , L , or by m ^ N , T = N m N , T / ∥ m N , T ∥ \widehat{m}_{N,T}=\sqrt{N}\,m_{N,T}/\|m_{N,T}\| m N , T = N m N , T /∥ m N , T ∥ (with m ^ N , T = 0 \widehat{m}_{N,T}=0 m N , T = 0 if $m_{N,T}=0): the scaled mean-square distance between Π B N ( m N , T / Q K , L ) \Pi_{B_N}(m_{N,T}/\sqrt{Q_{K,L}}) Π B N ( m N , T / Q K , L ) and either vector tends to zero as j → ∞ j\to\infty j → ∞ and then n → ∞ n\to\infty n → ∞ .
By (170) , the normalized energies of the algorithms in part (c) are bounded by Q N Q_N Q N . Part (c) also transfers overlaps. If V N V_N V N is a random vector on the same probability space with ∥ V N ∥ ≤ N \|V_N\|\le\sqrt{N} ∥ V N ∥ ≤ N (for example V N = X s V_N=X_s V N = X s with s ≤ T s\le T s ≤ T ), then, by the Cauchy–Schwarz inequality, we have
∣ E ⟨ A N , T ε , V N ⟩ N − E ⟨ m N , T , V N ⟩ N Q K , L ∣ ≤ ( 1 N E ∥ A N , T ε − m N , T / Q K , L ∥ 2 ) 1 / 2 . (188) \left|\mathbb{E}\frac{\langle A^\varepsilon_{N,T},V_N\rangle}{N}-\mathbb{E}\frac{\langle m_{N,T},V_N\rangle}{N\sqrt{Q_{K,L}}}\right|
\le\left(\frac{1}{N}\mathbb{E}\left\|A^\varepsilon_{N,T}-m_{N,T}/\sqrt{Q_{K,L}}\right\|^2\right)^{1/2}. \tag*{(188)} E N ⟨ A N , T ε , V N ⟩ − E N Q K , L ⟨ m N , T , V N ⟩ ≤ ( N 1 E A N , T ε − m N , T / Q K , L 2 ) 1/2 . (188)
Proof. The proof has five steps. In the first two, we compute the energy of the center exactly by Gaussian integration by parts and subtract the energy of a single branch. In the third, we show that the common past before T T T contributes nothing in the dimension limit, and in the fourth we evaluate the contribution of the last L L L units of time; this proves part (a). In the fifth step, we construct the Lipschitz algorithms of part (c) and deduce part (b) from the threshold. We write t = T + L t=T+L t = T + L .
Step 1: Gaussian integration by parts. For an ordered index I = ( i 1 , … , i p ) I=(i_1,\ldots,i_p) I = ( i 1 , … , i p ) , let G I ( x ) = N − ( p − 1 ) / 2 x i 1 ⋯ x i p G_I(x)=N^{-(p-1)/2}x_{i_1}\cdots x_{i_p} G I ( x ) = N − ( p − 1 ) /2 x i 1 ⋯ x i p , so that H N = ∑ I J I G I H_N=\sum_I J_I G_I H N = ∑ I J I G I . Since ∑ I G I ( x ) G I ( z ) = N ( ⟨ x , z ⟩ / N ) p \sum_I G_I(x)G_I(z)=N(\langle x,z\rangle/N)^p ∑ I G I ( x ) G I ( z ) = N (⟨ x , z ⟩ / N ) p , differentiating first in x i x_i x i and then in z l z_l z l gives
∑ I ∂ i G I ( x ) ∂ l G I ( z ) = p ( ⟨ x , z ⟩ N ) p − 1 δ i l + p ( p − 1 ) N ( ⟨ x , z ⟩ N ) p − 2 z i x l . (189) \sum_I \partial_iG_I(x)\,\partial_lG_I(z)
=p\left(\frac{\langle x,z\rangle}{N}\right)^{p-1}\delta_{il}
+\frac{p(p-1)}{N}\left(\frac{\langle x,z\rangle}{N}\right)^{p-2}z_i x_l. \tag*{(189)} I ∑ ∂ i G I ( x ) ∂ l G I ( z ) = p ( N ⟨ x , z ⟩ ) p − 1 δ i l + N p ( p − 1 ) ( N ⟨ x , z ⟩ ) p − 2 z i x l . (189)
Differentiating the actual terminal solution into L 2 L^2 L 2 with respect to the disorder, as in the proof of Proposition 4.1 , we have
∂ J I m N , T = − β K ∑ b = 1 K ∫ 0 t U b ( t , u ) ∇ G I ( Z b ( u ) ) d u . \partial_{J_I}m_{N,T}
=-\frac{\beta}{K}\sum_{b=1}^{K}\int_0^t U_b(t,u)\nabla G_I(Z_b(u))\,du. ∂ J I m N , T = − K β b = 1 ∑ K ∫ 0 t U b ( t , u ) ∇ G I ( Z b ( u )) d u .
The seed is independent of J J J , and the response has the column and operator moments above. As in the proof of Proposition 4.1 , apply Gaussian integration by parts to the expected coordinate observable in each disorder coefficient, using its genuine L 2 L^2 L 2 derivative:
E [ J I G I ( m N , T ) ] = E [ ⟨ ∇ G I ( m N , T ) , ∂ J I m N , T ⟩ ] . \mathbb{E}\left[J_I G_I(m_{N,T})\right]
=\mathbb{E}\left[\left\langle\nabla G_I(m_{N,T}),\partial_{J_I}m_{N,T}\right\rangle\right]. E [ J I G I ( m N , T ) ] = E [ ⟨ ∇ G I ( m N , T ) , ∂ J I m N , T ⟩ ] .
and E H N ( m N , T ) \mathrm{E}H_N(m_{N,T}) E H N ( m N , T ) is the sum of these terms over I I I . For u ≤ t u \le t u ≤ t , we write
γ b ( u ) = ⟨ Y b , Z b ( u ) ⟩ N , γ ˉ b ( u ) = ⟨ m N , T , Z b ( u ) ⟩ N = 1 K ∑ b ′ = 1 K ⟨ Y b ′ , Z b ( u ) ⟩ N . \gamma_b(u)=\frac{\langle Y_b,Z_b(u)\rangle}{N},\qquad\bar{\gamma}_b(u)=\frac{\langle m_{N,T},Z_b(u)\rangle}{N}=\frac{1}{K}\sum_{b'=1}^{K}\frac{\langle Y_{b'},Z_b(u)\rangle}{N}. γ b ( u ) = N ⟨ Y b , Z b ( u )⟩ , γ ˉ b ( u ) = N ⟨ m N , T , Z b ( u )⟩ = K 1 b ′ = 1 ∑ K N ⟨ Y b ′ , Z b ( u )⟩ .
Contracting (10.22) with U b ( t , u ) U_b(t,u) U b ( t , u ) gives the exact identity
E H N ( m N , T ) N = β p K ∑ b = 1 K ∫ 0 t E [ tr U b ( t , u ) N γ ˉ b ( u ) p − 1 ] d u + R N , T , (190) \frac{\mathrm{E}H_N(m_{N,T})}{N}=\frac{\beta p}{K}\sum_{b=1}^{K}\int_0^t\mathbb{E}\left[\frac{\operatorname{tr}U_b(t,u)}{N}\bar{\gamma}_b(u)^{p-1}\right]\,\mathrm{d}u+R_{N,T}, \tag*{(190)} N E H N ( m N , T ) = K β p b = 1 ∑ K ∫ 0 t E [ N tr U b ( t , u ) γ ˉ b ( u ) p − 1 ] d u + R N , T , (190)
R N , T = β p ( p − 1 ) K ∑ b = 1 K ∫ 0 t E [ γ ˉ b ( u ) p − 2 ⟨ Z b ( u ) , U b ( t , u ) m N , T ⟩ N 2 ] d u . R_{N,T}=\frac{\beta p(p-1)}{K}\sum_{b=1}^{K}\int_0^t\mathbb{E}\left[\bar{\gamma}_b(u)^{p-2}\frac{\langle Z_b(u),U_b(t,u)m_{N,T}\rangle}{N^2}\right]\,\mathrm{d}u. R N , T = K β p ( p − 1 ) b = 1 ∑ K ∫ 0 t E [ γ ˉ b ( u ) p − 2 N 2 ⟨ Z b ( u ) , U b ( t , u ) m N , T ⟩ ] d u .
Using ∥ m N , T ∥ , ∥ Z b ( u ) ∥ ≤ N \lVert m_{N,T}\rVert,\lVert Z_b(u)\rVert\le\sqrt{N} ∥ m N , T ∥ , ∥ Z b ( u )∥ ≤ N and ∣ γ ˉ b ∣ ≤ 1 |\bar{\gamma}_b|\le1 ∣ γ ˉ b ∣ ≤ 1 , we find that ∣ R N , T ∣ ≤ β p ( p − 1 ) t Θ t / N |R_{N,T}|\le\beta p(p-1)t\Theta_t/\sqrt{N} ∣ R N , T ∣ ≤ β p ( p − 1 ) t Θ t / N .
Step 2: the exact subtraction. The same computation with m N , T m_{N,T} m N , T replaced by Y b Y_b Y b gives E H N ( Y b ) / N = β p ∫ 0 t E [ N − 1 tr U b ( t , u ) γ b ( u ) p − 1 ] d u + O ( t Θ t / N ) \mathrm{E}H_N(Y_b)/N=\beta p\int_0^t\mathbb{E}[N^{-1}\operatorname{tr}U_b(t,u)\gamma_b(u)^{p-1}]\,\mathrm{d}u+O(t\Theta_t/\sqrt{N}) E H N ( Y b ) / N = β p ∫ 0 t E [ N − 1 tr U b ( t , u ) γ b ( u ) p − 1 ] d u + O ( t Θ t / N ) . The pair ( J , Y b ) (J,Y_b) ( J , Y b ) has the law of ( J , X t ) (J,X_t) ( J , X t ) , and therefore E H N ( Y b ) / N = e N ( t ) \mathrm{E}H_N(Y_b)/N=e_N(t) E H N ( Y b ) / N = e N ( t ) , where e N ( t ) = E H N ( X t ) / N e_N(t)=\mathrm{E}H_N(X_t)/N e N ( t ) = E H N ( X t ) / N . Averaging over b b b and subtracting (10.23), before taking any limit, we obtain
e N ( t ) − E H N ( m N , T ) N = β p K ∑ b = 1 K ∫ 0 t E [ tr U b ( t , u ) N { γ b ( u ) p − 1 − γ ˉ b ( u ) p − 1 } ] d u + O ( t Θ t N − 1 / 2 ) , (191) e_N(t)-\frac{\mathrm{E}H_N(m_{N,T})}{N}=\frac{\beta p}{K}\sum_{b=1}^{K}\int_0^t\mathbb{E}\left[\frac{\operatorname{tr}U_b(t,u)}{N}\left\{\gamma_b(u)^{p-1}-\bar{\gamma}_b(u)^{p-1}\right\}\right]\,\mathrm{d}u+O\left(t\Theta_tN^{-1/2}\right), \tag*{(191)} e N ( t ) − N E H N ( m N , T ) = K β p b = 1 ∑ K ∫ 0 t E [ N tr U b ( t , u ) { γ b ( u ) p − 1 − γ ˉ b ( u ) p − 1 } ] d u + O ( t Θ t N − 1/2 ) , (191)
where the implicit constant depends only on p p p and β \beta β . Note that this identity retains the whole history of the trajectory.
Step 3: the common past. Let u ≤ T u\le T u ≤ T . Then Z b ( u ) = X u Z_b(u)=X_u Z b ( u ) = X u for every b b b , and the pair ( Y b , X u ) (Y_b,X_u) ( Y b , X u ) has the law of ( X t , X u ) (X_t,X_u) ( X t , X u ) . By Proposition 3.3 and ∣ C N ∣ ≤ 1 |C_N|\le1 ∣ C N ∣ ≤ 1 , we have E ∣ γ b ( u ) − C ( t , u ) ∣ 2 → 0 \mathbb{E}|\gamma_b(u)-C(t,u)|^2\to0 E ∣ γ b ( u ) − C ( t , u ) ∣ 2 → 0 as N → ∞ N\to\infty N → ∞ , uniformly in u ≤ T u\le T u ≤ T . The same holds for γ ˉ b ( u ) \bar{\gamma}_b(u) γ ˉ b ( u ) , which is the average of γ b ′ ( u ) \gamma_{b'}(u) γ b ′ ( u ) over b ′ b' b ′ . The function x ↦ x p − 1 x\mapsto x^{p-1} x ↦ x p − 1 is ( p − 1 ) (p-1) ( p − 1 ) -Lipschitz on [ − 1 , 1 ] [-1,1] [ − 1 , 1 ] , and the normalized trace has second moment at most Θ t 2 \Theta_t^2 Θ t 2 . Using the Cauchy–Schwarz inequality, we find that the part of the integral in (10.24) over u ≤ T u\le T u ≤ T is at most
β p ( p − 1 ) T Θ t sup b ≤ K , u ≤ T ( E ∣ γ b ( u ) − γ ˉ b ( u ) ∣ 2 ) 1 / 2 \beta p(p-1)T\Theta_t\sup_{b\le K,u\le T}\left(\mathbb{E}|\gamma_b(u)-\bar{\gamma}_b(u)|^2\right)^{1/2} β p ( p − 1 ) T Θ t b ≤ K , u ≤ T sup ( E ∣ γ b ( u ) − γ ˉ b ( u ) ∣ 2 ) 1/2
in absolute value. This tends to zero as N → ∞ N\to\infty N → ∞ with T T T fixed. We use no estimate on the decay of the memory here. The contribution of the past is small because, at a fixed time horizon, both overlaps concentrate around the same deterministic value C ( t , u ) C(t,u) C ( t , u ) .
Step 4: the last L L L units of time. Let u = T + v u=T+v u = T + v with 0 ≤ v ≤ L 0\le v\le L 0 ≤ v ≤ L , and write τ = L − v \tau=L-v τ = L − v . The pair ( Y b , Z b ( T + v ) ) (Y_b,Z_b(T+v)) ( Y b , Z b ( T + v )) has the law of ( X t , X T + v ) (X_t,X_{T+v}) ( X t , X T + v ) . By Proposition 3.3, the overlap γ b ( T + v ) \gamma_b(T+v) γ b ( T + v ) converges in L 2 L^2 L 2 to C ( T + L , T + v ) C(T+L,T+v) C ( T + L , T + v ) as N → ∞ N\to\infty N → ∞ , uniformly in v v v . Along T = T n T=T_n T = T n , this tends to c ( L − v ) = c ( τ ) c(L-v)=c(\tau) c ( L − v ) = c ( τ ) , uniformly in v ≤ L v\le L v ≤ L . For b ′ ≠ b b'\ne b b ′ = b , the vectors Y b ′ Y_{b'} Y b ′ and Z b ( T + v ) Z_b(T+v) Z b ( T + v ) are the endpoints of two branches at T T T of lengths L L L and v v v . By (179) , the overlap ⟨ Y b ′ , Z b ( T + v ) ⟩ / N \langle Y_{b'},Z_b(T+v)\rangle/N ⟨ Y b ′ , Z b ( T + v )⟩ / N converges in L 2 L^2 L 2 to c ( L + v ) = c ( 2 L − τ ) c(L+v)=c(2L-\tau) c ( L + v ) = c ( 2 L − τ ) , in the double limit j → ∞ j\to\infty j → ∞ and then n → ∞ n\to\infty n → ∞ , uniformly in v ≤ L v\le L v ≤ L . Averaging over b ′ b' b ′ , we find
lim n → ∞ lim sup j → ∞ sup 0 ≤ v ≤ L ( E ∣ γ b ( T n + v ) − c ( L − v ) ∣ 2 + E ∣ γ ˉ b ( T n + v ) − k K , L ( L − v ) ∣ 2 ) = 0. \lim_{n\to\infty}\limsup_{j\to\infty}\sup_{0\le v\le L}\left(\mathbb{E}|\gamma_b(T_n+v)-c(L-v)|^2+\mathbb{E}|\bar{\gamma}_b(T_n+v)-k_{K,L}(L-v)|^2\right)=0. n → ∞ lim j → ∞ lim sup 0 ≤ v ≤ L sup ( E ∣ γ b ( T n + v ) − c ( L − v ) ∣ 2 + E ∣ γ ˉ b ( T n + v ) − k K , L ( L − v ) ∣ 2 ) = 0.
On this interval, we have t − u ≤ L t-u\le L t − u ≤ L , and the normalized response trace has second moment at most Θ L 2 \Theta_L^2 Θ L 2 , uniformly in T T T . As in Step 3, using the Cauchy–Schwarz inequality, we may replace γ b p − 1 − γ ˉ b p − 1 \gamma_b^{p-1}-\bar{\gamma}_b^{p-1} γ b p − 1 − γ ˉ b p − 1 in (191) by the deterministic weight
ω ( τ ) = c ( τ ) p − 1 − k K , L ( τ ) p − 1 , τ = t − u , \omega(\tau)=c(\tau)^{p-1}-k_{K,L}(\tau)^{p-1},\qquad\tau=t-u, ω ( τ ) = c ( τ ) p − 1 − k K , L ( τ ) p − 1 , τ = t − u ,
with an error whose lim sup j \limsup_j lim sup j tends to zero as n → ∞ n\to\infty n → ∞ .
It remains to pass to the limit in β p ∫ T t r ˉ N ( t , u ) ω ( t − u ) d u \beta p\int_T^t\bar{r}_N(t,u)\,\omega(t-u)\,du β p ∫ T t r ˉ N ( t , u ) ω ( t − u ) d u , where r ˉ N ( t , u ) = E tr U b ( t , u ) / N \bar{r}_N(t,u)=\mathbb{E}\operatorname{tr}U_b(t,u)/N r ˉ N ( t , u ) = E tr U b ( t , u ) / N is the averaged response of Lemma 3.4, which does not depend on b b b . Lemma 3.4 and Proposition 3.3 imply that ∫ s 1 s 2 r ˉ N ( t , u ) d u → ∫ s 1 s 2 R ( t , u ) d u \int_{s_1}^{s_2}\bar{r}_N(t,u)\,du\to\int_{s_1}^{s_2}R(t,u)\,du ∫ s 1 s 2 r ˉ N ( t , u ) d u → ∫ s 1 s 2 R ( t , u ) d u for all T ≤ s 1 ≤ s 2 ≤ t T\le s_1\le s_2\le t T ≤ s 1 ≤ s 2 ≤ t . The signed measure r ˉ N ( t , u ) d u \bar{r}_N(t,u)\,du r ˉ N ( t , u ) d u on [ T , t ] [T,t] [ T , t ] has total variation
∫ T t ∣ r ˉ N ( t , u ) ∣ d u ≤ ∫ T t E ∣ tr U b ( t , u ) N ∣ d u ≤ L Θ L . \int_T^t|\bar{r}_N(t,u)|\,du\le\int_T^t\mathbb{E}\left|\frac{\operatorname{tr}U_b(t,u)}{N}\right|\,du\le L\Theta_L. ∫ T t ∣ r ˉ N ( t , u ) ∣ d u ≤ ∫ T t E N tr U b ( t , u ) d u ≤ L Θ L .
As R ≥ 0 R\ge0 R ≥ 0 , the integral of R ( t , ⋅ ) R(t,\cdot) R ( t , ⋅ ) over [ T , t ] [T,t] [ T , t ] is the limit of the masses of these signed measures and obeys the same bound. The weight ω \omega ω is continuous on [ 0 , L ] [0,L] [ 0 , L ] and is the uniform limit of step functions. For a step function, the integral converges as N → ∞ N\to\infty N → ∞ , and the total variation bound controls the error of the approximation, uniformly in N N N . We conclude that, for fixed T T T ,
lim N → ∞ ∫ T t r ˉ N ( t , u ) ω ( t − u ) d u = ∫ T t R ( t , u ) ω ( t − u ) d u . \lim_{N\to\infty}\int_T^t\bar{r}_N(t,u)\,\omega(t-u)\,du=\int_T^tR(t,u)\,\omega(t-u)\,du. N → ∞ lim ∫ T t r ˉ N ( t , u ) ω ( t − u ) d u = ∫ T t R ( t , u ) ω ( t − u ) d u .
Along T = T n T=T_n T = T n , we have R ( T n + L , T n + v ) → r ( L − v ) R(T_n+L,T_n+v)\to r(L-v) R ( T n + L , T n + v ) → r ( L − v ) uniformly in v ≤ L v\le L v ≤ L , by the translated convergence on the closed causal triangle. Moreover, e N ( t ) → e β ( T + L ) e_N(t)\to e_\beta(T+L) e N ( t ) → e β ( T + L ) by Proposition 4.1, and e β ( T n + L ) → e ∞ e_\beta(T_n+L)\to e_\infty e β ( T n + L ) → e ∞ . Inserting these limits into (191) , we obtain
lim n → ∞ lim sup j → ∞ ∣ E H N j ( m N j , T n ) N j − e ∞ + β p ∫ 0 L r ( τ ) ω ( τ ) d τ ∣ = 0. \lim_{n\to\infty}\limsup_{j\to\infty}\left|\frac{\mathbb{E}H_{N_j}(m_{N_j,T_n})}{N_j}-e_\infty+\beta p\int_0^Lr(\tau)\,\omega(\tau)\,d\tau\right|=0. n → ∞ lim j → ∞ lim sup N j E H N j ( m N j , T n ) − e ∞ + β p ∫ 0 L r ( τ ) ω ( τ ) d τ = 0.
which is (10.18) by the definition (10.16).
For the norm, we have
∥ m N , T ∥ 2 N = 1 K + 1 K 2 ∑ b ≠ b ′ ⟨ Y b , Y b ′ ⟩ N . \frac{\|m_{N,T}\|^2}{N}=\frac{1}{K}+\frac{1}{K^2}\sum_{b\ne b'}\frac{\langle Y_b,Y_{b'}\rangle}{N}. N ∥ m N , T ∥ 2 = K 1 + K 2 1 b = b ′ ∑ N ⟨ Y b , Y b ′ ⟩ .
Each overlap ⟨ Y b , Y b ′ ⟩ / N \langle Y_b,Y_{b'}\rangle/N ⟨ Y b , Y b ′ ⟩ / N with b ≠ b ′ b \ne b' b = b ′ has the law of Q N , T ( L , L ) Q_{N,T}(L,L) Q N , T ( L , L ) , which tends to c ( 2 L ) c(2L) c ( 2 L ) in L 2 L^2 L 2 in the double limit, by (10.12). There are K ( K − 1 ) K(K-1) K ( K − 1 ) such terms, and K ( K − 1 ) / K 2 = 1 − 1 / K K(K-1)/K^2 = 1 - 1/K K ( K − 1 ) / K 2 = 1 − 1/ K . This proves (10.17) and completes the proof of part (a).
Step 5: Lipschitz algorithms and the threshold. Fix T T T and ε > 0 \varepsilon> 0 ε > 0 . We may assume that ε < 1 \varepsilon< 1 ε < 1 . Let ε 1 = ε / ( 2 K ) \varepsilon_1 = \varepsilon/(2\sqrt{K}) ε 1 = ε / ( 2 K ) . We use the hard–soft approximation of [112, Lemmas 3.1–3.2]. We first check its hypotheses. In [112], the Hamiltonian is our H N H_N H N , with an ordered tensor of independent standard Gaussian coefficients and the Euclidean distance between coefficient tensors, and the dynamics is d x v = ( β S ∇ s p H N ( x v ) − ( N − 1 ) ( 2 N ) − 1 x v ) d v + P x v d W v dx_v = \left(\beta_S\nabla_{\mathrm{sp}}H_N(x_v) - (N-1)(2N)^{-1}x_v\right)\,dv + P_{x_v}\,dW_v d x v = ( β S ∇ sp H N ( x v ) − ( N − 1 ) ( 2 N ) − 1 x v ) d v + P x v d W v , with noise coefficient one. With β S = β / 2 \beta_S = \beta/2 β S = β /2 , X u = x 2 u X_u = x_{2u} X u = x 2 u , and B u = W 2 u / 2 B_u = W_{2u}/\sqrt{2} B u = W 2 u / 2 , this is (3.3), as in the proof of Proposition 3.3, and our horizon t t t becomes 2 t 2t 2 t . Lemma 3.1 there states that, for a fixed initial point on S N S_N S N and a Hamiltonian satisfying their derivative bounds (which hold for H N H_N H N with probability at least 1 − e − c 1 N 1-e^{-c_1N} 1 − e − c 1 N , by [112, Proposition 1.11]), the hard dynamics stays within ε 1 N \varepsilon_1\sqrt{N} ε 1 N of a soft spherical dynamics driven by the same Brownian motion, on the whole horizon, with probability at least 1 − e − c 1 N 1-e^{-c_1N} 1 − e − c 1 N . Here the confinement parameter of the soft dynamics is chosen large, depending on p p p , β \beta β , t t t , and ε 1 \varepsilon_1 ε 1 , and c 1 > 0 c_1 > 0 c 1 > 0 and the threshold for N N N depend on the same parameters. Lemma 3.2 there states that, for a fixed initial point and almost every Brownian path, there exists a map ℓ \ell ℓ from coefficient tensors to B N B_N B N , Lipschitz with a constant depending only on p p p , β \beta β , t t t , and ε 1 \varepsilon_1 ε 1 , such that ( 1 + ε 1 ) ℓ ( J ) (1+\varepsilon_1)\ell(J) ( 1 + ε 1 ) ℓ ( J ) equals the soft endpoint with probability at least 1 − e − c 1 N 1-e^{-c_1N} 1 − e − c 1 N , where the probability is over both the disorder and the Brownian motion. The coefficient-Lipschitz extension uses Kirszbraun’s theorem in the proof of Lemma 3.2 of [112]; footnote 2 there gives a constructive choice that depends measurably on the Brownian path.
The construction of [112] is for a fixed initial point. To include the uniform initial point, we choose measurably an orthogonal matrix O x 0 O_{x_0} O x 0 such that O x 0 ( N e 1 ) = x 0 O_{x_0}(\sqrt{N}e_1)=x_0 O x 0 ( N e 1 ) = x 0 . Rotating the tensor by ( O x 0 T ) ⊗ p (O_{x_0}^{\mathsf{T}})^{\otimes p} ( O x 0 T ) ⊗ p and the Brownian path by O x 0 T O_{x_0}^{\mathsf{T}} O x 0 T , solving from N e 1 \sqrt{N}e_1 N e 1 , and rotating the output back by O x 0 O_{x_0} O x 0 gives the solution from x 0 x_0 x 0 , because H N H_N H N and (3.3) are equivariant under rotations. Conditionally on X 0 = x 0 X_0=x_0 X 0 = x 0 , the rotated tensor and Brownian path have the same joint law as the original ones, and the tensor rotation is an isometry of ( R N ) ⊗ p (\mathbb{R}^N)^{\otimes p} ( R N ) ⊗ p , which does not change Lipschitz constants.
We apply this to each concatenated path Z b Z_b Z b , whose driving Brownian motion is a function of the seed ζ N \zeta_N ζ N . We obtain maps ℓ b ( J ) = ℓ b ( J , ζ N ) ∈ B N \ell_b(J)=\ell_b(J,\zeta_N)\in B_N ℓ b ( J ) = ℓ b ( J , ζ N ) ∈ B N , b ≤ K b\le K b ≤ K , which are Lipschitz in J J J with a constant L L i p , 1 L_{\mathrm{Lip},1} L Lip , 1 depending only on p p p , β \beta β , t t t , and ε 1 \varepsilon_1 ε 1 . Let G N \mathcal{G}_N G N be the event on which H N H_N H N satisfies the derivative bounds of [112] and, for every b ≤ K b\le K b ≤ K , the conclusions of both lemmas hold for the branch b b b . On G N \mathcal{G}_N G N , we have ∥ ( 1 + ε 1 ) ℓ b ( J ) − Y b ∥ ≤ ε 1 N \|(1+\varepsilon_1)\ell_b(J)-Y_b\|\le\varepsilon_1\sqrt{N} ∥ ( 1 + ε 1 ) ℓ b ( J ) − Y b ∥ ≤ ε 1 N for every b ≤ K b\le K b ≤ K , and a union bound gives P ( G N c ) ≤ 3 K e − c 1 N \mathbb{P}(\mathcal{G}_N^c)\le3Ke^{-c_1N} P ( G N c ) ≤ 3 K e − c 1 N . The union bound does not require the branches to be independent. We define
A N , T ε ( J ) = Π B N ( 1 + ε 1 Q K , L 1 K ∑ b = 1 K ℓ b ( J ) ) . (192) \mathcal{A}^{\varepsilon}_{N,T}(J)=\Pi_{B_N}\left(\frac{1+\varepsilon_1}{\sqrt{Q_{K,L}}}\frac{1}{K}\sum_{b=1}^{K}\ell_b(J)\right). \tag*{(192)} A N , T ε ( J ) = Π B N ( Q K , L 1 + ε 1 K 1 b = 1 ∑ K ℓ b ( J ) ) . (192)
Since Π B N \Pi_{B_N} Π B N is 1-Lipschitz and Q K , L ≥ 1 / K Q_{K,L} \ge1/K Q K , L ≥ 1/ K , this is an L L i p L_{\mathrm{Lip}} L Lip -Lipschitz algorithm with seed ζ N \zeta_N ζ N and L L i p = 2 L L i p , 1 K L_{\mathrm{Lip}}=2L_{\mathrm{Lip},1}\sqrt{K} L Lip = 2 L Lip , 1 K . On G N \mathcal{G}_N G N , the distance between A N , T ε \mathcal{A}^{\varepsilon}_{N,T} A N , T ε and Π B N ( m N , T / Q K , L ) \Pi_{B_N}(m_{N,T}/\sqrt{Q_{K,L}}) Π B N ( m N , T / Q K , L ) is at most ε 1 N / Q K , L ≤ ε 1 K N = ε N / 2 \varepsilon_1\sqrt{N}/\sqrt{Q_{K,L}} \le\varepsilon_1\sqrt{KN}=\varepsilon\sqrt{N}/2 ε 1 N / Q K , L ≤ ε 1 K N = ε N /2 ; on G N c \mathcal{G}_N^c G N c , it is at most 2 N 2\sqrt{N} 2 N . Using P ( G N c ) ≤ 3 K e − c 1 N \mathbb{P}(\mathcal{G}_N^c) \le3Ke^{-c_1N} P ( G N c ) ≤ 3 K e − c 1 N , we find
1 N E ∥ A N , T ε − Π B N ( m N , T / Q K , L ) ∥ 2 ≤ ε 2 4 + 12 K e − c 1 N , \frac{1}{N}\mathbb{E}\left\|\mathcal{A}^{\varepsilon}_{N,T}-\Pi_{B_N}(m_{N,T}/\sqrt{Q_{K,L}})\right\|^2\le\frac{\varepsilon^2}{4}+12Ke^{-c_1N}, N 1 E A N , T ε − Π B N ( m N , T / Q K , L ) 2 ≤ 4 ε 2 + 12 K e − c 1 N ,
which proves (10.20).
Next we compare the three normalizations. Let ν N = ∥ m N , T ∥ 2 / N \nu_N=\|m_{N,T}\|^2/N ν N = ∥ m N , T ∥ 2 / N . For x ≥ 0 x\ge0 x ≥ 0 , we have
∣ x / Q K , L − 1 ∣ = ∣ x − Q K , L ∣ Q K , L ( x + Q K , L ) ≤ ∣ x − Q K , L ∣ Q K , L . (193) \left|\sqrt{x/Q_{K,L}}-1\right|=\frac{|x-Q_{K,L}|}{\sqrt{Q_{K,L}}(\sqrt{x}+\sqrt{Q_{K,L}})}\le\frac{|x-Q_{K,L}|}{Q_{K,L}}. \tag*{(193)} x / Q K , L − 1 = Q K , L ( x + Q K , L ) ∣ x − Q K , L ∣ ≤ Q K , L ∣ x − Q K , L ∣ . (193)
The scaled distance between m N , T / Q K , L m_{N,T}/\sqrt{Q_{K,L}} m N , T / Q K , L and its projection onto B N B_N B N is ( ν N / Q K , L − 1 ) + (\sqrt{\nu_N/Q_{K,L}}-1)_+ ( ν N / Q K , L − 1 ) + . If m N , T ≠ 0 m_{N,T}\ne0 m N , T = 0 , the scaled distance between the projection and m ^ N , T \widehat{m}_{N,T} m N , T is ( 1 − ν N / Q K , L ) + (1-\sqrt{\nu_N/Q_{K,L}})_+ ( 1 − ν N / Q K , L ) + , and both vectors vanish if m N , T = 0 m_{N,T}=0 m N , T = 0 . By (10.26) and Q K , L ≥ q Q_{K,L}\ge q Q K , L ≥ q , both distances are at most ∣ ν N − Q K , L ∣ / q |\nu_N-Q_{K,L}|/q ∣ ν N − Q K , L ∣/ q . Then (10.17) implies that their mean squares tend to zero as j → ∞ j\to\infty j → ∞ and then n → ∞ n\to\infty n → ∞ . This completes the proof of part (c).
Finally, we prove part (b). Since A N , T ε \mathcal{A}^{\varepsilon}_{N,T} A N , T ε is an L L i p L_{\mathrm{Lip}} L Lip -Lipschitz algorithm with seed ζ N \zeta_N ζ N , Lemma 10.2, applied with any ζ N \zeta_N ζ N -measurable direction and with the nonnegative overlap term dropped, gives
lim sup N → ∞ E H N ( A N , T ε ) N ≤ E t h . \limsup_{N\to\infty}\frac{\mathbb{E}H_N(\mathcal{A}^{\varepsilon}_{N,T})}{N}\le E_{\mathrm{th}}. N → ∞ lim sup N E H N ( A N , T ε ) ≤ E th .
This is the pure-model threshold, the case κ = 0 \kappa=0 κ = 0 of Theorem 10.1, averaged over the seed. Next we compare energies. Note that m N , T / Q K , L m_{N,T}/\sqrt{Q_{K,L}} m N , T / Q K , L has norm at most N / q \sqrt{N/q} N / q . Using (10.4) with R = q − 1 / 2 R=q^{-1/2} R = q − 1/2 and the homogeneity H N ( m N , T / Q K , L ) = Q K , L − p / 2 H N ( m N , T ) H_N(m_{N,T}/\sqrt{Q_{K,L}})=Q_{K,L}^{-p/2}H_N(m_{N,T}) H N ( m N , T / Q K , L ) = Q K , L − p /2 H N ( m N , T ) , we find
Q K , L − p / 2 E H N ( m N , T ) N ≤ E H N ( A N , T ε ) N + p q − ( p − 1 ) / 2 Q ∗ Δ N , T , Q_{K,L}^{-p/2}\frac{\mathbb{E}H_N(m_{N,T})}{N}\le\frac{\mathbb{E}H_N(\mathcal{A}^{\varepsilon}_{N,T})}{N}+p q^{-(p-1)/2}Q_*\Delta_{N,T}, Q K , L − p /2 N E H N ( m N , T ) ≤ N E H N ( A N , T ε ) + p q − ( p − 1 ) /2 Q ∗ Δ N , T ,
where
Δ N , T = ( 1 N E ∥ A N , T ε − m N , T / Q K , L ∥ 2 ) 1 / 2 . \Delta_{N,T}=\left(\frac{1}{N}\mathbb{E}\left\|\mathcal{A}^{\varepsilon}_{N,T}-m_{N,T}/\sqrt{Q_{K,L}}\right\|^2\right)^{1/2}. Δ N , T = ( N 1 E A N , T ε − m N , T / Q K , L 2 ) 1/2 .
By (10.20) and the comparison of normalizations, we have
lim sup n → ∞ lim sup j → ∞ Δ N j , T n ≤ ε . \limsup_{n\to\infty}\limsup_{j\to\infty}\Delta_{N_j,T_n}\le\varepsilon. n → ∞ lim sup j → ∞ lim sup Δ N j , T n ≤ ε .
We take j → ∞ j \to\infty j → ∞ with T = T n T=T_n T = T n fixed, then n → ∞ n \to\infty n → ∞ , and finally ε ↓ 0 \varepsilon\downarrow0 ε ↓ 0 , in the order (168) . By (185) , we obtain Q K , L − p / 2 h K , L ≤ E t h Q_{K,L}^{-p/2}h_{K,L} \le E_{\mathrm{th}} Q K , L − p /2 h K , L ≤ E th , which is (186) . The constants of the algorithms depend on T T T , but we use them only at a fixed T T T , before the limit n → ∞ n \to\infty n → ∞ .
We next record the limits of the fork parameters as K → ∞ K \to\infty K → ∞ and then L → ∞ L \to\infty L → ∞ . Recall that d L = c ( 2 L ) d_L=c(2L) d L = c ( 2 L ) and h L h_L h L are given by (124) and (125) , with the cluster energy e ∞ e_\infty e ∞ , and that h h h is the quantity in (141) .
Lemma 10.5 (The fork parameters as K → ∞ K \to\infty K → ∞ and L → ∞ L \to\infty L → ∞ ). Let ( c , r , ℓ ) (c,r,\ell) ( c , r , ℓ ) be a stationary cluster with plateau q ≥ 0 q \ge0 q ≥ 0 and energy e ∞ e_\infty e ∞ .
(i) For every L ≥ 0 L \ge0 L ≥ 0 and K ≥ 1 K \ge1 K ≥ 1 ,
0 ≤ Q K , L − d L ≤ 1 K , ∣ h K , L − h L ∣ ≤ β p ( p − 1 ) K . (194) 0 \le Q_{K,L}-d_L \le\frac{1}{K}, \qquad\lvert h_{K,L}-h_L\rvert\le\frac{\beta p(p-1)}{K}. \tag*{(194)} 0 ≤ Q K , L − d L ≤ K 1 , ∣ h K , L − h L ∣ ≤ K β p ( p − 1 ) . (194) (ii) As L → ∞ L \to\infty L → ∞ , we have d L → q d_L \to q d L → q and h L → h = e ∞ − β { 1 − q p − p q p − 1 ( 1 − q ) } h_L \to h=e_\infty-\beta\{1-q^p-pq^{p-1}(1-q)\} h L → h = e ∞ − β { 1 − q p − p q p − 1 ( 1 − q )} .
(iii) If q > 0 q>0 q > 0 and β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 \beta^2p(p-1)q^{p-2}(1-q)^2=1 β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 , then
lim L → ∞ lim K → ∞ h K , L Q K , L p / 2 = E t h . (195) \lim_{L\to\infty}\lim_{K\to\infty}\frac{h_{K,L}}{Q_{K,L}^{p/2}}=E_{\mathrm{th}}. \tag*{(195)} L → ∞ lim K → ∞ lim Q K , L p /2 h K , L = E th . (195)
Proof. For part (i), we have Q K , L − d L = ( 1 − c ( 2 L ) ) / K ∈ [ 0 , 1 / K ] Q_{K,L}-d_L=(1-c(2L))/K\in[0,1/K] Q K , L − d L = ( 1 − c ( 2 L )) / K ∈ [ 0 , 1/ K ] . By (125) and (183) ,
h K , L − h L = β p ∫ 0 L r ( τ ) { k K , L ( τ ) p − 1 − c ( 2 L − τ ) p − 1 } d τ . h_{K,L}-h_L=\beta p\int_0^L r(\tau)\left\{k_{K,L}(\tau)^{p-1}-c(2L-\tau)^{p-1}\right\}\,\mathrm{d}\tau. h K , L − h L = β p ∫ 0 L r ( τ ) { k K , L ( τ ) p − 1 − c ( 2 L − τ ) p − 1 } d τ .
The integrand is dominated by r ( τ ) r(\tau) r ( τ ) times a quantity that tends to zero uniformly. Indeed, k K , L ( τ ) − c ( 2 L − τ ) = ( c ( τ ) − c ( 2 L − τ ) ) / K k_{K,L}(\tau)-c(2L-\tau)=(c(\tau)-c(2L-\tau))/K k K , L ( τ ) − c ( 2 L − τ ) = ( c ( τ ) − c ( 2 L − τ )) / K , and both k K , L ( τ ) k_{K,L}(\tau) k K , L ( τ ) and c ( 2 L − τ ) c(2L-\tau) c ( 2 L − τ ) lie in [ 0 , 1 ] [0,1] [ 0 , 1 ] . By the mean value theorem,
∣ k K , L ( τ ) p − 1 − c ( 2 L − τ ) p − 1 ∣ ≤ p − 1 K . \left\lvert k_{K,L}(\tau)^{p-1}-c(2L-\tau)^{p-1}\right\rvert\le\frac{p-1}{K}. k K , L ( τ ) p − 1 − c ( 2 L − τ ) p − 1 ≤ K p − 1 .
Together with ∫ 0 L r ≤ 1 \int_0^L r \le1 ∫ 0 L r ≤ 1 , this proves (194) .
Part (ii) is part of Lemma 8.2. For completeness, we recall the computation. Using r = − c ′ r=-c' r = − c ′ , we find that ∫ 0 L r ( τ ) c ( τ ) p − 1 d τ = ( 1 − c ( L ) p ) / p \int_0^L r(\tau)c(\tau)^{p-1}\,\mathrm{d}\tau=(1-c(L)^p)/p ∫ 0 L r ( τ ) c ( τ ) p − 1 d τ = ( 1 − c ( L ) p ) / p . As c c c is nonincreasing, we have c ( 2 L − τ ) ∈ [ q , c ( L ) ] c(2L-\tau)\in[q,c(L)] c ( 2 L − τ ) ∈ [ q , c ( L )] for 0 ≤ τ ≤ L 0\le\tau\le L 0 ≤ τ ≤ L , and ∫ 0 L r = 1 − c ( L ) \int_0^L r=1-c(L) ∫ 0 L r = 1 − c ( L ) . Thus the integral of r ( τ ) c ( 2 L − τ ) p − 1 r(\tau)c(2L-\tau)^{p-1} r ( τ ) c ( 2 L − τ ) p − 1 over [ 0 , L ] [0,L] [ 0 , L ] lies between q p − 1 ( 1 − c ( L ) ) q^{p-1}(1-c(L)) q p − 1 ( 1 − c ( L )) and c ( L ) p − 1 ( 1 − c ( L ) ) c(L)^{p-1}(1-c(L)) c ( L ) p − 1 ( 1 − c ( L )) . Both bounds tend to q p − 1 ( 1 − q ) q^{p-1}(1-q) q p − 1 ( 1 − q ) . Inserting these two integrals into (125) , we find that h L h_L h L tends to e ∞ + β p q p − 1 ( 1 − q ) − β ( 1 − q p ) = h e_\infty+\beta p q^{p-1}(1-q)-\beta(1-q^p)=h e ∞ + β p q p − 1 ( 1 − q ) − β ( 1 − q p ) = h .
For part (iii), part (i) and d L ≥ q > 0 d_L\ge q>0 d L ≥ q > 0 imply that h K , L / Q K , L p / 2 → h L / d L p / 2 h_{K,L}/Q_{K,L}^{p/2}\to h_L/d_L^{p/2} h K , L / Q K , L p /2 → h L / d L p /2 as K → ∞ K\to\infty K → ∞ , and part (ii) gives h L / d L p / 2 → h / q p / 2 h_L/d_L^{p/2}\to h/q^{p/2} h L / d L p /2 → h / q p /2 as L → ∞ L\to\infty L → ∞ . By the equality case of (142) in Lemma 8.2, the marginality hypothesis implies that h / q p / 2 = E t h h/q^{p/2}=E_{\mathrm{th}} h / q p /2 = E th .
Part (iii) uses marginality, which is proved in Lemma 8.3 from part (a) of Proposition 8.1. The proof of that part in Section 10.5 uses only Proposition 10.4 and part (i), and there is no circularity.
Adaptive disclosure and orthogonality to early queries
The overlap penalty of Lemma 10.2 applies to directions independent of J J J . At positive times, however, an earlier state X s X_s X s depends on J J J . The goal of this section is to prove that an algorithm that saturates the threshold is almost orthogonal to every subspace explored by a fixed finite number of gradient queries. We condition J J J on the information revealed by the queries. This is adaptive Gaussian conditioning, in the line of Bolthausen’s iterative construction of solutions of the TAP equations [32, Section 3]. Bayati and Montanari used the same method in their analysis of approximate message passing [13, arXiv version 4, Section 3.8, Lemma 11], and they credit it to Bolthausen. The underlying facts on Gaussian vectors and their orthogonal decompositions are classical; see [95, Chapter 9, Theorem 9.1, pp. 127–128, and Theorems 9.8–9.9, pp. 131–132]. We use projection onto the span of the deterministic observations, which also permits linearly dependent observation families. El Alaoui, Montanari, and Sellke conditioned the disorder tensor on adaptive gradient observations in their analysis of message passing for spin glasses [63, arXiv version 1, Appendix A, Lemma A.2, and Theorem 7(a)], and Huang and Sellke extended this conditioning to multi-species spherical models [93, arXiv version 1, Appendix A, Lemma A.2, and Theorem 3(a)]. The displayed inverse-Gram formulas in these AMP analyses use rank and conditioning hypotheses. Our projection-based disclosure below also covers dependent queries. Here we disclose all tensor blocks needed to determine gradients throughout the explored span. We combine this disclosure with the external-field threshold to prove forgetting of a fixed finite history.
Outer parameters. Let θ \theta θ be a finite list of outer parameters with a prescribed order of limits; in § 6.4.4 , θ = ( n , ε , K , L ) \theta=(n,\varepsilon,K,L) θ = ( n , ε , K , L ) , in the order (168) . For nonnegative quantities F N , θ F_{N,\theta} F N , θ , we write lim θ lim sup N F N , θ = 0 \lim_{\theta}\limsup_N F_{N,\theta}=0 lim θ lim sup N F N , θ = 0 if the upper limit in N N N , followed by the upper limits in the outer parameters in their prescribed order, vanishes. We do not assume that any intermediate limit exists.
Standing hypotheses. For each N N N and θ \theta θ , let ζ N , θ \zeta_{N,\theta} ζ N , θ be a random variable independent of J J J , which contains all auxiliary randomness used both by the algorithms and by the disclosure procedure below. Its measurable space and law may depend on θ \theta θ ; below we write ζ N \zeta_N ζ N with θ \theta θ suppressed. For each N N N and θ \theta θ , let A N , θ = A N , θ ( J , ζ N ) \mathcal{A}_{N,\theta}=\mathcal{A}_{N,\theta}(J,\zeta_N) A N , θ = A N , θ ( J , ζ N ) be an L L i p , θ L_{\mathrm{Lip},\theta} L Lip , θ -Lipschitz algorithm with seed ζ N \zeta_N ζ N . The constant L L i p , θ L_{\mathrm{Lip},\theta} L Lip , θ is deterministic and independent of N N N , but it may be unbounded in the outer limits. We define the energy deficit
δ θ = max { 0 , E t h − lim inf N → ∞ E H N ( A N , θ ) N } . (196) \delta_\theta= \max\left\{0, E_{\mathrm{th}}-\liminf_{N\to\infty}\mathbb{E}\frac{H_N(\mathcal{A}_{N,\theta})}{N}\right\}. \tag*{(196)} δ θ = max { 0 , E th − N → ∞ lim inf E N H N ( A N , θ ) } . (196)
Lemma 10.2 implies that lim sup N E H N ( A N , θ ) / N ≤ E t h \limsup_N \mathbb{E}H_N(\mathcal{A}_{N,\theta})/N \le E_{\mathrm{th}} lim sup N E H N ( A N , θ ) / N ≤ E th . The hypothesis lim θ δ θ = 0 \lim_{\theta}\delta_\theta=0 lim θ δ θ = 0 says exactly that the algorithms saturate the threshold in mean.
For a subspace W ⊂ R N W\subset\mathbb{R}^N W ⊂ R N , we write
T ( W ) = ( W ⊥ ) ⊗ p ⊂ ( R N ) ⊗ p , \mathcal{T}(W)=(W^\perp)^{\otimes p}\subset(\mathbb{R}^N)^{\otimes p}, T ( W ) = ( W ⊥ ) ⊗ p ⊂ ( R N ) ⊗ p ,
and P V P_V P V for the orthogonal projection onto a subspace V V V of R N \mathbb{R}^N R N or of ( R N ) ⊗ p (\mathbb{R}^N)^{\otimes p} ( R N ) ⊗ p . If W ⊂ W ′ W\subset W' W ⊂ W ′ , then T ( W ′ ) ⊂ T ( W ) \mathcal{T}(W')\subset\mathcal{T}(W) T ( W ′ ) ⊂ T ( W ) , and we write T ( W ) ⊖ T ( W ′ ) \mathcal{T}(W)\ominus\mathcal{T}(W') T ( W ) ⊖ T ( W ′ ) for the orthogonal complement of T ( W ′ ) \mathcal{T}(W') T ( W ′ ) in T ( W ) \mathcal{T}(W) T ( W ) . We choose orthonormal bases of measurable subspaces measurably, by Gram–Schmidt in a fixed order with deterministic fallbacks.
Lemma 10.6 (Adaptive tensor disclosure). Let W 0 ⊂ R N W_0\subset\mathbb{R}^N W 0 ⊂ R N be a Z N \mathcal{Z}_N Z N -measurable subspace, and let F 0 \mathcal{F}_0 F 0 be the σ \sigma σ -algebra generated by Z N \mathcal{Z}_N Z N and P T ( W 0 ) ⊥ J P_{\mathcal{T}(W_0)^\perp}J P T ( W 0 ) ⊥ J . For j ≥ 0 j\geq0 j ≥ 0 , given W j W_j W j and F j \mathcal{F}_j F j , let u j u_j u j be an F j \mathcal{F}_j F j -measurable vector that is either zero or a unit vector in W j ⊥ W_j^\perp W j ⊥ , and set
W j + 1 = W j + span ( u j ) , F j + 1 = σ ( F j , P T ( W j ) ⊖ T ( W j + 1 ) J ) . W_{j+1}=W_j+\operatorname{span}(u_j),\qquad
\mathcal{F}_{j+1}=\sigma\left(\mathcal{F}_j,P_{\mathcal{T}(W_j)\ominus\mathcal{T}(W_{j+1})}J\right). W j + 1 = W j + span ( u j ) , F j + 1 = σ ( F j , P T ( W j ) ⊖ T ( W j + 1 ) J ) . Then, for every j j j :
(i) P T ( W j ) ⊥ J P_{\mathcal{T}(W_j)^\perp}J P T ( W j ) ⊥ J is F j \mathcal{F}_j F j -measurable, and conditionally on F j \mathcal{F}_j F j , the tensor P T ( W j ) J P_{\mathcal{T}(W_j)}J P T ( W j ) J is standard Gaussian on T ( W j ) \mathcal{T}(W_j) T ( W j ) ;
(ii) if x j ∈ W j x_j\in W_j x j ∈ W j is F j \mathcal{F}_j F j -measurable, then ∇ H N ( x j ) \nabla H_N(x_j) ∇ H N ( x j ) is F j \mathcal{F}_j F j -measurable. In particular, u j u_j u j may be chosen as the normalized projection of ∇ H N ( x j ) \nabla H_N(x_j) ∇ H N ( x j ) onto W j ⊥ W_j^\perp W j ⊥ , and as zero if that projection vanishes.
Proof. The conditional Gaussian assertions are understood almost surely with respect to the disclosed history. A zero query discloses the zero tensor block and leaves the residual law unchanged. We prove part (i) by induction on j j j . For j = 0 j=0 j = 0 , conditionally on Z N \mathcal{Z}_N Z N , the tensor J J J is standard Gaussian, because it is independent of Z N \mathcal{Z}_N Z N , and the subspaces T ( W 0 ) \mathcal{T}(W_0) T ( W 0 ) and T ( W 0 ) ⊥ \mathcal{T}(W_0)^\perp T ( W 0 ) ⊥ are fixed. The projections of a standard Gaussian vector onto two complementary orthogonal subspaces are independent standard Gaussian vectors on them. Revealing P T ( W 0 ) ⊥ J P_{\mathcal{T}(W_0)^\perp}J P T ( W 0 ) ⊥ J leaves P T ( W 0 ) J P_{\mathcal{T}(W_0)}J P T ( W 0 ) J standard Gaussian on T ( W 0 ) \mathcal{T}(W_0) T ( W 0 ) .
Suppose that part (i) holds for j j j . Conditionally on F j \mathcal{F}_j F j , the vector u j u_j u j and the subspaces in the orthogonal decomposition
T ( W j ) = T ( W j + 1 ) ⊕ ( T ( W j ) ⊖ T ( W j + 1 ) ) \mathcal{T}(W_j)=\mathcal{T}(W_{j+1})\oplus\left(\mathcal{T}(W_j)\ominus\mathcal{T}(W_{j+1})\right) T ( W j ) = T ( W j + 1 ) ⊕ ( T ( W j ) ⊖ T ( W j + 1 ) )
are fixed, and P T ( W j ) J P_{\mathcal{T}(W_j)}J P T ( W j ) J is standard Gaussian on T ( W j ) \mathcal{T}(W_j) T ( W j ) . Its projections onto the two summands are independent standard Gaussian vectors. Revealing the second leaves the first, which is P T ( W j + 1 ) J P_{\mathcal{T}(W_{j+1})}J P T ( W j + 1 ) J , standard Gaussian on T ( W j + 1 ) \mathcal{T}(W_{j+1}) T ( W j + 1 ) . Since T ( W j + 1 ) ⊥ = T ( W j ) ⊥ ⊕ ( T ( W j ) ⊖ T ( W j + 1 ) ) \mathcal{T}(W_{j+1})^\perp= \mathcal{T}(W_j)^\perp\oplus(\mathcal{T}(W_j) \ominus\mathcal{T}(W_{j+1})) T ( W j + 1 ) ⊥ = T ( W j ) ⊥ ⊕ ( T ( W j ) ⊖ T ( W j + 1 )) , the projection P T ( W j + 1 ) ⊥ J P_{\mathcal{T}(W_{j+1})^\perp}J P T ( W j + 1 ) ⊥ J is F j + 1 \mathcal{F}_{j+1} F j + 1 -measurable. This completes the induction. At each step, we choose the new direction before we reveal the corresponding part of J J J ; this is what makes the induction work, and we never condition on a subspace that depends on undisclosed randomness.
For part (ii), let x ∈ W j x \in W_j x ∈ W j and y ∈ R N y \in\mathbb{R}^N y ∈ R N . We have
⟨ ∇ H N ( x ) , y ⟩ = N − ( p − 1 ) / 2 ⟨ J , ∑ i = 1 p x ⊗ ( i − 1 ) ⊗ y ⊗ x ⊗ ( p − i ) ⟩ . \langle\nabla H_N(x),y\rangle= N^{-(p-1)/2}\left\langle J,\sum_{i=1}^{p} x^{\otimes(i-1)} \otimes y \otimes x^{\otimes(p-i)}\right\rangle. ⟨ ∇ H N ( x ) , y ⟩ = N − ( p − 1 ) /2 ⟨ J , i = 1 ∑ p x ⊗ ( i − 1 ) ⊗ y ⊗ x ⊗ ( p − i ) ⟩ .
Since p ≥ 2 p \ge2 p ≥ 2 , each tensor in the sum has at least one factor x ∈ W j x \in W_j x ∈ W j . It is orthogonal to every product tensor with all factors in W j ⊥ W_j^\perp W j ⊥ , and these product tensors span T ( W j ) \mathcal{T}(W_j) T ( W j ) . The right side is equal to N − ( p − 1 ) / 2 N^{-(p-1)/2} N − ( p − 1 ) /2 times the inner product of P T ( W j ) ⊥ J P_{\mathcal{T}(W_j)^\perp}J P T ( W j ) ⊥ J with that tensor. By part (i), it is F j \mathcal{F}_j F j -measurable when x = x j x=x_j x = x j is.
Proposition 10.7 (Orthogonality to every fixed finite query span). Assume the standing hypotheses and lim θ δ θ = 0 \lim_{\theta}\delta_\theta=0 lim θ δ θ = 0 . Fix integers k 0 ≥ 0 k_0 \ge0 k 0 ≥ 0 and M ≥ 0 M \ge0 M ≥ 0 . For each N N N and θ \theta θ , let W 0 ⊂ W 1 ⊂ ⋯ ⊂ W M W_0 \subset W_1 \subset\cdots\subset W_M W 0 ⊂ W 1 ⊂ ⋯ ⊂ W M be subspaces constructed as in Lemma 10.6 from the seed ζ N \zeta_N ζ N , with dim W 0 ≤ k 0 \dim W_0 \le k_0 dim W 0 ≤ k 0 . Then
lim θ lim sup N → ∞ E ∥ P W M A N , θ ∥ 2 N = 0. (197) \lim_{\theta}\limsup_{N\to\infty}\mathbb{E}\frac{\left\|P_{W_M}A_{N,\theta}\right\|^2}{N}=0. \tag*{(197)} θ lim N → ∞ lim sup E N ∥ P W M A N , θ ∥ 2 = 0. (197) In particular, if Y N ∈ W M ∩ B N Y_N \in W_M \cap B_N Y N ∈ W M ∩ B N is a random vector, then lim θ lim sup N E ∣ ⟨ A N , θ , Y N ⟩ / N ∣ 2 = 0 \lim_{\theta}\limsup_N \mathbb{E}\left|\left\langle A_{N,\theta},Y_N\right\rangle/N\right|^2=0 lim θ lim sup N E ∣ ⟨ A N , θ , Y N ⟩ / N ∣ 2 = 0 .
Proof. For 0 ≤ j ≤ M 0 \le j \le M 0 ≤ j ≤ M , we define
ψ j , θ = lim sup N → ∞ E ∥ P W j A N , θ ∥ 2 N . \psi_{j,\theta}=\limsup_{N\to\infty}\mathbb{E}\frac{\left\|P_{W_j}A_{N,\theta}\right\|^2}{N}. ψ j , θ = N → ∞ lim sup E N P W j A N , θ 2 .
We bound ψ 0 , θ \psi_{0,\theta} ψ 0 , θ directly and then show by induction that ψ j + 1 , θ \psi_{j+1,\theta} ψ j + 1 , θ is controlled by ψ j , θ \psi_{j,\theta} ψ j , θ and δ θ \delta_\theta δ θ . We use the constants of the threshold only at fixed θ \theta θ , before any outer limit, and the argument does not require L L i p , θ L_{\mathrm{Lip},\theta} L Lip , θ to stay bounded.
Step 1: the initial span. Let e 1 , … , e k 0 e_1,\ldots,e_{k_0} e 1 , … , e k 0 be a ζ N \zeta_N ζ N -measurable orthonormal basis of W 0 W_0 W 0 , completed by zero vectors if dim W 0 < k 0 \dim W_0<k_0 dim W 0 < k 0 . We obtain such a frame by Gram–Schmidt on the projected coordinate vectors, keeping nonzero columns in a fixed order and then padding by zero columns. For N ≥ 1 N\ge1 N ≥ 1 , fix a deterministic unit vector e r e f ∈ R N e_{\mathrm{ref}}\in\mathbb{R}^N e ref ∈ R N , and for every i i i set w i = N e i w_i=\sqrt{N}e_i w i = N e i on { e i ≠ 0 } \{e_i\ne0\} { e i = 0 } and w i = N e r e f w_i=\sqrt{N}e_{\mathrm{ref}} w i = N e ref on { e i = 0 } \{e_i=0\} { e i = 0 } . This gives a ζ N \zeta_N ζ N -measurable direction of norm N \sqrt{N} N on every seed event. We apply Lemma 10.2 with L L i p = L L i p , θ L_{\mathrm{Lip}}=L_{\mathrm{Lip},\theta} L Lip = L Lip , θ and direction w i w_i w i , and we drop its nonnegative overlap penalty on { e i = 0 } \{e_i=0\} { e i = 0 } . Since the pairing with e i e_i e i vanishes there, this yields
β d lim sup N → ∞ E ∣ ⟨ A N , θ , e i ⟩ N ∣ p ≤ E t h − lim inf N → ∞ E H N ( A N , θ ) N ≤ δ θ . \beta_d\limsup_{N\to\infty}\mathbb{E}\left|\frac{\langle A_{N,\theta},e_i\rangle}{\sqrt{N}}\right|^p
\le E_{\mathrm{th}}-\liminf_{N\to\infty}\mathbb{E}\frac{H_N(A_{N,\theta})}{N}\le\delta_\theta. β d N → ∞ lim sup E N ⟨ A N , θ , e i ⟩ p ≤ E th − N → ∞ lim inf E N H N ( A N , θ ) ≤ δ θ .
For each i i i , by Jensen’s inequality and p ≥ 2 p \ge2 p ≥ 2 , we have E ∣ ⟨ A N , θ , e i ⟩ ∣ 2 / N ≤ ( E ∣ ⟨ A N , θ , e i ⟩ ∣ / N ) 2 / p \mathbb{E}|\langle\mathcal{A}_{N,\theta},e_i\rangle|^2/N \le\left(\mathbb{E}|\langle\mathcal{A}_{N,\theta},e_i\rangle|/\sqrt{N}\right)^{2/p} E ∣ ⟨ A N , θ , e i ⟩ ∣ 2 / N ≤ ( E ∣ ⟨ A N , θ , e i ⟩ ∣/ N ) 2/ p . Summing over i i i , we obtain
ψ 0 , θ ≤ k 0 ( δ θ β d ) 2 / p . (198) \psi_{0,\theta} \le k_0\left(\frac{\delta_\theta}{\beta_d}\right)^{2/p}. \tag*{(198)} ψ 0 , θ ≤ k 0 ( β d δ θ ) 2/ p . (198)
Step 2: the energy of the residual. Fix j < M j<M j < M , write W = W j W=W_j W = W j , and let A ⊥ = P W ⊥ A N , θ \mathcal{A}^{\perp}=P_{W^\perp}\mathcal{A}_{N,\theta} A ⊥ = P W ⊥ A N , θ . Both A N , θ \mathcal{A}_{N,\theta} A N , θ and A ⊥ \mathcal{A}^{\perp} A ⊥ lie in B N B_N B N . Using (170) and the mean value theorem, we have
∣ H N ( A N , θ ) − H N ( A ⊥ ) ∣ N ≤ p Q N ∥ P W A N , θ ∥ N . \frac{\left|H_N(\mathcal{A}_{N,\theta})-H_N(\mathcal{A}^{\perp})\right|}{N}\le pQ_N\frac{\left\|P_W\mathcal{A}_{N,\theta}\right\|}{\sqrt{N}}. N H N ( A N , θ ) − H N ( A ⊥ ) ≤ p Q N N ∥ P W A N , θ ∥ .
By the Cauchy–Schwarz inequality, the expectation of the right side has upper limit at most p Q ∗ ψ j , θ pQ_*\sqrt{\psi_{j,\theta}} p Q ∗ ψ j , θ . Combining this with the definition (196) of δ θ \delta_\theta δ θ , we find
lim inf N → ∞ E H N ( A ⊥ ) N ≥ E t h − δ θ − p Q ∗ ψ j , θ . (199) \liminf_{N\to\infty}\mathbb{E}\frac{H_N(\mathcal{A}^{\perp})}{N}\ge E_{\mathrm{th}}-\delta_\theta-pQ_*\sqrt{\psi_{j,\theta}}. \tag*{(199)} N → ∞ lim inf E N H N ( A ⊥ ) ≥ E th − δ θ − p Q ∗ ψ j , θ . (199)
Step 3: the residual model. Since k 0 k_0 k 0 and M M M are fixed before the dimension limit, we may restrict to N > k 0 + M N>k_0+M N > k 0 + M . Every residual dimension below is then positive. We now show that A ⊥ \mathcal{A}^{\perp} A ⊥ is the output of a Lipschitz algorithm for a pure p p p -spin model in dimension N ′ = N − dim W N'=N-\dim W N ′ = N − dim W , and that its energy has the same normalization up to a factor tending to one. We condition on F j \mathcal{F}_j F j . Then W W W and u j u_j u j are fixed, and we choose an F j \mathcal{F}_j F j -measurable orthonormal basis f 1 , … , f N ′ f_1,\ldots,f_{N'} f 1 , … , f N ′ of W ⊥ W^\perp W ⊥ . Let J ′ ∈ ( R N ′ ) ⊗ p J'\in(\mathbb{R}^{N'})^{\otimes p} J ′ ∈ ( R N ′ ) ⊗ p be the coordinates of P T ( W ) J P_{T(W)}J P T ( W ) J in the basis ( f i 1 ⊗ ⋯ ⊗ f i p ) (f_{i_1}\otimes\cdots\otimes f_{i_p}) ( f i 1 ⊗ ⋯ ⊗ f i p ) . By Lemma 10.6 (i), J ′ J' J ′ is a standard Gaussian vector in the N ′ p N'^p N ′ p -dimensional space ( R N ′ ) ⊗ p (\mathbb{R}^{N'})^{\otimes p} ( R N ′ ) ⊗ p , conditionally on F j \mathcal{F}_j F j . Let y ′ ∈ R N ′ y'\in\mathbb{R}^{N'} y ′ ∈ R N ′ be the coordinates of A ⊥ \mathcal{A}^{\perp} A ⊥ in the basis ( f i ) (f_i) ( f i ) , and set x = N ′ / N y ′ x=\sqrt{N'/N}\,y' x = N ′ / N y ′ . Then ∥ x ∥ ≤ N ′ \|x\|\le\sqrt{N'} ∥ x ∥ ≤ N ′ , that is, x ∈ B N ′ x\in B_{N'} x ∈ B N ′ . Since ( A ⊥ ) ⊗ p ∈ T ( W ) (\mathcal{A}^{\perp})^{\otimes p}\in T(W) ( A ⊥ ) ⊗ p ∈ T ( W ) , only P T ( W ) J P_{T(W)}J P T ( W ) J contributes to H N ( A ⊥ ) H_N(\mathcal{A}^{\perp}) H N ( A ⊥ ) , and a change of normalization yields
H N ( A ⊥ ) N = N − ( p + 1 ) / 2 ⟨ J ′ , y ′ ⊗ p ⟩ = N ′ N H N ′ ′ ( x ) N ′ , (200) \frac{H_N(\mathcal{A}^{\perp})}{N}=N^{-(p+1)/2}\langle J',y'^{\otimes p}\rangle=\sqrt{\frac{N'}{N}}\frac{H'_{N'}(x)}{N'}, \tag*{(200)} N H N ( A ⊥ ) = N − ( p + 1 ) /2 ⟨ J ′ , y ′ ⊗ p ⟩ = N N ′ N ′ H N ′ ′ ( x ) , (200)
where H N ′ ′ ( x ) = N ′ − ( p − 1 ) / 2 ⟨ J ′ , x ⊗ p ⟩ H'_{N'}(x)=N'^{-(p-1)/2}\langle J',x^{\otimes p}\rangle H N ′ ′ ( x ) = N ′ − ( p − 1 ) /2 ⟨ J ′ , x ⊗ p ⟩ is the pure p p p -spin Hamiltonian in dimension N ′ N' N ′ with coefficient tensor J ′ J' J ′ . Indeed, ⟨ J ′ , y ′ ⊗ p ⟩ = ( N / N ′ ) p / 2 ⟨ J ′ , x ⊗ p ⟩ \langle J',y'^{\otimes p}\rangle=(N/N')^{p/2}\langle J',x^{\otimes p}\rangle ⟨ J ′ , y ′ ⊗ p ⟩ = ( N / N ′ ) p /2 ⟨ J ′ , x ⊗ p ⟩ , and N − ( p + 1 ) / 2 ( N / N ′ ) p / 2 N ′ ( p − 1 ) / 2 = ( N ′ / N ) 1 / 2 N ′ − 1 N^{-(p+1)/2}(N/N')^{p/2}N'^{(p-1)/2}=(N'/N)^{1/2}N'^{-1} N − ( p + 1 ) /2 ( N / N ′ ) p /2 N ′ ( p − 1 ) /2 = ( N ′ / N ) 1/2 N ′ − 1 . Moreover, J ′ J' J ′ is an affine isometric function of J ′ J' J ′ given F j \mathcal{F}_j F j , and A ⊥ ↦ x \mathcal{A}^{\perp}\mapsto x A ⊥ ↦ x is a contraction. Therefore, conditionally on F j \mathcal{F}_j F j , the map J ′ ↦ x J'\mapsto x J ′ ↦ x is L L i p , θ L_{\mathrm{Lip},\theta} L Lip , θ -Lipschitz with values in B N ′ B_{N'} B N ′ . Let u ′ ∈ R N ′ u'\in\mathbb{R}^{N'} u ′ ∈ R N ′ be the coordinates of u j u_j u j when u j ≠ 0 u_j\ne0 u j = 0 , and the first coordinate vector otherwise. The direction w ′ = N ′ u ′ w'=\sqrt{N'}u' w ′ = N ′ u ′ has norm N ′ \sqrt{N'} N ′ , and when u j ≠ 0 u_j\ne0 u j = 0 ,
⟨ w ′ , x ⟩ N ′ = ⟨ u ′ , y ′ ⟩ N = ⟨ u j , A N , θ ⟩ N , \frac{\langle w',x\rangle}{N'}=\frac{\langle u',y'\rangle}{\sqrt{N}}=\frac{\langle u_j,\mathcal{A}_{N,\theta}\rangle}{\sqrt{N}}, N ′ ⟨ w ′ , x ⟩ = N ⟨ u ′ , y ′ ⟩ = N ⟨ u j , A N , θ ⟩ ,
where we used u j ∈ W ⊥ u_j\in W^\perp u j ∈ W ⊥ in the last equality.
Step 4: the penalty in the residual model. Let α j = ⟨ u j , A N , θ ⟩ / N \alpha_j=\langle u_j,A_{N,\theta}\rangle/\sqrt{N} α j = ⟨ u j , A N , θ ⟩ / N , which is zero if u j = 0 u_j=0 u j = 0 . The conditional law of J ′ J' J ′ given F j \mathcal{F}_j F j is standard Gaussian, and on each event { N ′ = n ′ } \{N'=n'\} { N ′ = n ′ } the tensor J ′ J' J ′ is independent of F j \mathcal{F}_j F j . We may therefore apply (174) in dimension N ′ N' N ′ , with F j \mathcal{F}_j F j in the role of the seed, to the algorithm J ′ ↦ x J'\mapsto x J ′ ↦ x and the direction w ′ w' w ′ . If u j ≠ 0 u_j\ne0 u j = 0 , its overlap term is β d ∣ α j ∣ p \beta_d|\alpha_j|^p β d ∣ α j ∣ p ; if u j = 0 u_j=0 u j = 0 , we drop its nonnegative overlap term. Since N ′ ≥ N − k 0 − j N'\ge N-k_0-j N ′ ≥ N − k 0 − j and ϕ N ≥ 0 \phi_N\ge0 ϕ N ≥ 0 , we obtain
E [ H N ′ ′ ( x ) N ′ + β d ∣ α j ∣ p ∣ F j ] ≤ E t h + sup N ′ ′ ≥ N − k 0 − j ϕ N ′ ′ ( p , L L i p , θ ) . \mathbb{E}\left[\left.\frac{H_{N'}'(x)}{N'}+\beta_d|\alpha_j|^p\right|\mathcal{F}_j\right]\le E_{\mathrm{th}}+\sup_{N''\ge N-k_0-j}\phi_{N''}(p,L_{\mathrm{Lip},\theta}). E [ N ′ H N ′ ′ ( x ) + β d ∣ α j ∣ p F j ] ≤ E th + N ′′ ≥ N − k 0 − j sup ϕ N ′′ ( p , L Lip , θ ) .
We use (200) to write
H N ( A ⊥ ) N + β d ∣ α j ∣ p = N ′ N ( H N ′ ′ ( x ) N ′ + β d ∣ α j ∣ p ) + ( 1 − N ′ N ) β d ∣ α j ∣ p . \frac{H_N(A^\perp)}{N}+\beta_d|\alpha_j|^p=\sqrt{\frac{N'}{N}}\left(\frac{H_{N'}'(x)}{N'}+\beta_d|\alpha_j|^p\right)+\left(1-\sqrt{\frac{N'}{N}}\right)\beta_d|\alpha_j|^p. N H N ( A ⊥ ) + β d ∣ α j ∣ p = N N ′ ( N ′ H N ′ ′ ( x ) + β d ∣ α j ∣ p ) + ( 1 − N N ′ ) β d ∣ α j ∣ p .
Here N ′ / N ≤ 1 \sqrt{N'/N}\le1 N ′ / N ≤ 1 , 0 ≤ 1 − N ′ / N ≤ ( k 0 + j ) / N 0\le1-\sqrt{N'/N}\le(k_0+j)/N 0 ≤ 1 − N ′ / N ≤ ( k 0 + j ) / N , and ∣ α j ∣ ≤ 1 |\alpha_j|\le1 ∣ α j ∣ ≤ 1 . Taking expectations and letting N → ∞ N\to\infty N → ∞ , we find
lim sup N → ∞ { E H N ( A ⊥ ) N + β d E ∣ α j ∣ p } ≤ E t h . \limsup_{N\to\infty}\left\{\mathbb{E}\frac{H_N(A^\perp)}{N}+\beta_d\mathbb{E}|\alpha_j|^p\right\}\le E_{\mathrm{th}}. N → ∞ lim sup { E N H N ( A ⊥ ) + β d E ∣ α j ∣ p } ≤ E th .
Combining this with (199) , we obtain β d lim sup N E ∣ α j ∣ p ≤ δ θ + p Q ∗ ψ j , θ \beta_d\limsup_N\mathbb{E}|\alpha_j|^p\le\delta_\theta+pQ_*\sqrt{\psi_{j,\theta}} β d lim sup N E ∣ α j ∣ p ≤ δ θ + p Q ∗ ψ j , θ . By Jensen’s inequality as in Step 1, and since ∥ P W j + 1 A N , θ ∥ 2 = ∥ P W j A N , θ ∥ 2 + N ∣ α j ∣ 2 \|P_{W_{j+1}}A_{N,\theta}\|^2=\|P_{W_j}A_{N,\theta}\|^2+N|\alpha_j|^2 ∥ P W j + 1 A N , θ ∥ 2 = ∥ P W j A N , θ ∥ 2 + N ∣ α j ∣ 2 , we conclude that
ψ j + 1 , θ ≤ ψ j , θ + ( δ θ + p Q ∗ ψ j , θ β d ) 2 / p . (201) \psi_{j+1,\theta}\le\psi_{j,\theta}+\left(\frac{\delta_\theta+pQ_*\sqrt{\psi_{j,\theta}}}{\beta_d}\right)^{2/p}. \tag*{(201)} ψ j + 1 , θ ≤ ψ j , θ + ( β d δ θ + p Q ∗ ψ j , θ ) 2/ p . (201)
Step 5: the outer limits. The right sides of (198) and (201) are continuous nondecreasing functions of ( δ θ , ψ j , θ ) (\delta_\theta,\psi_{j,\theta}) ( δ θ , ψ j , θ ) that vanish at ( 0 , 0 ) (0,0) ( 0 , 0 ) . Upper limits pass through such functions. Taking the outer limits in their prescribed order and inducting on j ≤ M j\le M j ≤ M , we find lim θ ψ j , θ = 0 \lim_{\theta}\psi_{j,\theta}=0 lim θ ψ j , θ = 0 for every j ≤ M j\le M j ≤ M . This is (197) . Finally, if Y N ∈ W M ∩ B N Y_N\in W_M\cap B_N Y N ∈ W M ∩ B N , then
∣ ⟨ A N , θ , Y N ⟩ N ∣ 2 = ∣ ⟨ P W M A N , θ , Y N ⟩ N ∣ 2 ≤ ∥ P W M A N , θ ∥ 2 N . \left|\frac{\langle A_{N,\theta},Y_N\rangle}{N}\right|^2=\left|\frac{\langle P_{W_M}A_{N,\theta},Y_N\rangle}{N}\right|^2\le\frac{\|P_{W_M}A_{N,\theta}\|^2}{N}. N ⟨ A N , θ , Y N ⟩ 2 = N ⟨ P W M A N , θ , Y N ⟩ 2 ≤ N ∥ P W M A N , θ ∥ 2 .
which proves the last assertion.
Transfer to a fixed waiting-time state
We now combine the forks with finite-query orthogonality on their fixed product probability spaces. The hypotheses of the next proposition are those of Proposition 8.1 (b). Under them, the translated family ( C T , R T , λ T ) (C_T,R_T,\lambda_T) ( C T , R T , λ T ) converges along every sequence T n → ∞ T_n \to\infty T n → ∞ to one stationary cluster ( c , r , ℓ ) (c,r,\ell) ( c , r , ℓ ) . Indeed, by the precompactness in Proposition 5.7, every subsequence of ( T n ) (T_n) ( T n ) has a further subsequence along which the family converges, and the limit is a stationary cluster whose kernels are ( c , r ) (c,r) ( c , r ) . Its multiplier is determined by r r r : setting τ = 0 \tau= 0 τ = 0 in (5.25) and using r ( 0 ) = 1 r(0) = 1 r ( 0 ) = 1 , we find ℓ = − r ′ ( 0 ) \ell= -r'(0) ℓ = − r ′ ( 0 ) . All subsequential limits are therefore equal. In particular, Proposition 10.4 applies along every sequence T n → ∞ T_n \to\infty T n → ∞ .
Proposition 10.8 (Fixed-waiting-time decorrelation). Fix p ≥ 3 p \ge3 p ≥ 3 and β > 0 \beta> 0 β > 0 . Suppose that the translated kernels converge along every sequence T → ∞ T \to\infty T → ∞ to one stationary profile ( c , r ) (c,r) ( c , r ) , and that its plateau q q q is positive and satisfies β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 \beta^2p(p-1)q^{p-2}(1-q)^2 = 1 β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 . Then
lim t → ∞ C ( t , s ) = 0 for every fixed s ≥ 0. \lim_{t\to\infty} C(t,s) = 0 \qquad\text{for every fixed } s \ge0. t → ∞ lim C ( t , s ) = 0 for every fixed s ≥ 0.
Proof. The proof is by contradiction. Recall from (3.15) that C ≥ 0 C \ge0 C ≥ 0 . Suppose that, for some s ≥ 0 s \ge0 s ≥ 0 , there exist γ > 0 \gamma> 0 γ > 0 and t n → ∞ t_n \to\infty t n → ∞ such that C ( t n , s ) ≥ γ C(t_n,s) \ge\gamma C ( t n , s ) ≥ γ for all n n n . The proof has three steps. We first express C ( t n , s ) C(t_n,s) C ( t n , s ) through the center of a fork that ends at t n t_n t n . Then we show that the Lipschitz algorithms approximating the normalized center saturate the threshold in the order (10.1). Finally, on the fixed fork product law, we approximate X s X_s X s by a finite-query Euler vector and use Proposition 10.7 to force their overlap with X s X_s X s to vanish, which contradicts the first step.
Step 1: the overlap of the center. Fix K ≥ 1 K \ge1 K ≥ 1 and L ≥ 0 L \ge0 L ≥ 0 , and set T n = max { s + 1 , t n − L } T_n = \max\{s+1,t_n-L\} T n = max { s + 1 , t n − L } for every n n n . Then T n → ∞ T_n \to\infty T n → ∞ , T n ≥ s T_n \ge s T n ≥ s , and for all sufficiently large n n n we have T n + L = t n T_n+L=t_n T n + L = t n . Let m N , n m_{N,n} m N , n be the center of the fork at time T n T_n T n with K K K branches of length L L L . For these sufficiently large n n n , the branches end at time t n t_n t n . The time s s s lies in the common past, and each pair ( Y b , X s ) (Y_b,X_s) ( Y b , X s ) has the law of ( X t n , X s ) (X_{t_n},X_s) ( X t n , X s ) . This implies that
E ⟨ m N , n , X s ⟩ N = E C N ( t n , s ) , (202) \frac{\mathbb{E}\langle m_{N,n},X_s\rangle}{N}=\mathbb{E}C_N(t_n,s), \tag*{(202)} N E ⟨ m N , n , X s ⟩ = E C N ( t n , s ) , (202)
and by Proposition 3.3, the right side tends to C ( t n , s ) C(t_n,s) C ( t n , s ) as N → ∞ N \to\infty N → ∞ . In the limit in n n n , the endpoint of the fork is the time t n t_n t n itself, so we do not need any regularity of C ( ⋅ , s ) C(\cdot,s) C ( ⋅ , s ) in its first variable.
Step 2: saturation of the threshold. Let θ = ( n , ε , K , L ) \theta=(n,\varepsilon,K,L) θ = ( n , ε , K , L ) , where ε = 1 / ( m + 1 ) \varepsilon=1/(m+1) ε = 1/ ( m + 1 ) and K = k + 1 K=k+1 K = k + 1 for m , k ∈ N m,k\in\mathbb{N} m , k ∈ N , with the order of (10.1), and let A N , θ = A N , T n ε A_{N,\theta}=A^{\varepsilon}_{N,T_n} A N , θ = A N , T n ε be the algorithms of Proposition 10.4(c) for this fork. They satisfy the standing hypotheses of Section 10.3 on the fixed fork product law of Section 10.2, with seed ζ N \zeta_N ζ N consisting of X 0 X_0 X 0 , the K K K full future Wiener paths, and the full trunk Wiener path B B B , jointly independent of J J J , and with a constant L L i p , θ L_{\mathrm{Lip},\theta} L Lip , θ depending only on p p p , β \beta β , the fixed waiting time s s s , the horizon T n + L T_n+L T n + L , K K K , and ε \varepsilon ε . We write Q = Q K , L Q=Q_{K,L} Q = Q K , L , and recall that q ≤ Q ≤ 1 q\le Q\le1 q ≤ Q ≤ 1 . Let
Δ N , θ = ( 1 N E ∥ A N , θ − m N , n / Q ∥ 2 ) 1 / 2 . \Delta_{N,\theta}=\left(\frac{1}{N}\mathbb{E}\left\|A_{N,\theta}-m_{N,n}/\sqrt{Q}\right\|^2\right)^{1/2}. Δ N , θ = ( N 1 E A N , θ − m N , n / Q 2 ) 1/2 .
By (10.20) and the comparison of normalizations in Proposition 10.4(c), we have
lim sup n → ∞ lim sup j → ∞ Δ N j , θ ≤ ε . (203) \limsup_{n\to\infty}\limsup_{j\to\infty}\Delta_{N_j,\theta}\le\varepsilon. \tag*{(203)} n → ∞ lim sup j → ∞ lim sup Δ N j , θ ≤ ε . (203)
The vector m N , n / Q m_{N,n}/\sqrt{Q} m N , n / Q has norm at most N / q \sqrt{N/q} N / q . Using (10.4) with R = q − 1 / 2 R=q^{-1/2} R = q − 1/2 and the homogeneity of H N H_N H N , we find
E H N ( A N , θ ) N ≥ Q − p / 2 E H N ( m N , n ) N − C q Δ N , θ , C q = p q − ( p − 1 ) / 2 Q ∗ . \mathbb{E}\frac{H_N(A_{N,\theta})}{N}\ge Q^{-p/2}\mathbb{E}\frac{H_N(m_{N,n})}{N}-C_q\Delta_{N,\theta},\qquad C_q=pq^{-(p-1)/2}Q_*. E N H N ( A N , θ ) ≥ Q − p /2 E N H N ( m N , n ) − C q Δ N , θ , C q = p q − ( p − 1 ) /2 Q ∗ .
The constant C q C_q C q does not depend on n n n , ε \varepsilon ε , K K K , or L L L ; this is where we use q > 0 q>0 q > 0 . Then (10.18) implies that lim n lim inf j Q − p / 2 E H N j ( m N j , n ) / N j = Q − p / 2 h K , L \lim_n\liminf_j Q^{-p/2}\mathbb{E}H_{N_j}(m_{N_j,n})/N_j=Q^{-p/2}h_{K,L} lim n lim inf j Q − p /2 E H N j ( m N j , n ) / N j = Q − p /2 h K , L . Together with (10.36), this gives
lim sup n → ∞ δ θ ≤ max { 0 , E t h − h K , L Q K , L p / 2 + C q ε } . \limsup_{n\to\infty}\delta_\theta\le\max\left\{0,\ E_{\mathrm{th}}-\frac{h_{K,L}}{Q_{K,L}^{p/2}}+C_q\varepsilon\right\}. n → ∞ lim sup δ θ ≤ max { 0 , E th − Q K , L p /2 h K , L + C q ε } .
We let ε ↓ 0 \varepsilon\downarrow0 ε ↓ 0 , then K → ∞ K\to\infty K → ∞ , then L → ∞ L\to\infty L → ∞ . By (10.28), which applies because q q q is marginal, we conclude that lim θ δ θ = 0 \lim_\theta\delta_\theta=0 lim θ δ θ = 0 in the order (10.1).
Step 3: orthogonality on the fork product law and the contradiction. We use the algorithms of Step 2 on precisely the fork seed and disorder product space just described, and take the limits in precisely the order (10.1), with ε = 1 / ( m + 1 ) \varepsilon=1/(m+1) ε = 1/ ( m + 1 ) . All disclosure histories below include the full fork seed. If s = 0 s=0 s = 0 , then X 0 X_0 X 0 lies in the seed-measurable subspace W 0 = span ( X 0 ) W_0=\operatorname{span}(X_0) W 0 = span ( X 0 ) , and Proposition 10.7 with k 0 = 1 k_0=1 k 0 = 1 and no disclosure steps gives zero limiting squared overlap. For s > 0 s>0 s > 0 , fix M ≥ 1 M\ge1 M ≥ 1 before any limit. We construct the Euler–Maruyama approximation [91, Sections 4–5] of this fork’s trunk state X s X_s X s and prove the required normalized error directly.
The coefficients. Let Ψ N = Π B N \Psi_N=\Pi_{B_N} Ψ N = Π B N be the metric projection onto the ball of radius N \sqrt{N} N . We use P y = I − y y T / N P_y=I-yy^{\mathsf T}/N P y = I − y y T / N for every y ∈ R N y\in\mathbb{R}^N y ∈ R N , as in Section 3. For x ∈ R N x\in\mathbb{R}^N x ∈ R N , we define
b N ( x ) = β P Ψ N ( x ) ∇ H N ( Ψ N ( x ) ) − N − 1 N Ψ N ( x ) , σ N ( x ) = 2 P Ψ N ( x ) . b_N(x)=\beta P_{\Psi_N(x)}\nabla H_N(\Psi_N(x))-\frac{N-1}{N}\Psi_N(x),\qquad\sigma_N(x)=\sqrt{2}P_{\Psi_N(x)}. b N ( x ) = β P Ψ N ( x ) ∇ H N ( Ψ N ( x )) − N N − 1 Ψ N ( x ) , σ N ( x ) = 2 P Ψ N ( x ) .
Since Ψ N ( x ) = x \Psi_N(x)=x Ψ N ( x ) = x on S N S_N S N , these are the coefficients of (3.3) on S N S_N S N , and
X t = X 0 + ∫ 0 t b N ( X r ) d r + ∫ 0 t σ N ( X r ) d B r . X_t=X_0+\int_0^t b_N(X_r)\,\mathrm{d}r+\int_0^t\sigma_N(X_r)\,\mathrm{d}B_r. X t = X 0 + ∫ 0 t b N ( X r ) d r + ∫ 0 t σ N ( X r ) d B r .
Let G N = { Q N ≤ A p } G_N=\{Q_N\le A_p\} G N = { Q N ≤ A p } , and let y = Ψ N ( x ) y=\Psi_N(x) y = Ψ N ( x ) and z = Ψ N ( x ′ ) z=\Psi_N(x') z = Ψ N ( x ′ ) , so that ∥ y ∥ , ∥ z ∥ ≤ N \lVert y\rVert,\lVert z\rVert\le\sqrt{N} ∥ y ∥ , ∥ z ∥ ≤ N and ∥ y − z ∥ ≤ ∥ x − x ′ ∥ \lVert y-z\rVert\le\lVert x-x'\rVert ∥ y − z ∥ ≤ ∥ x − x ′ ∥ . The matrix P y P_y P y has eigenvalues 1 1 1 and 1 − ∥ y ∥ 2 / N ∈ [ 0 , 1 ] 1-\lVert y\rVert^2/N\in[0,1] 1 − ∥ y ∥ 2 / N ∈ [ 0 , 1 ] , which gives ∥ P y ∥ o p ≤ 1 \lVert P_y\rVert_{\mathrm{op}}\le1 ∥ P y ∥ op ≤ 1 and ∥ P y ∥ H S 2 ≤ N \lVert P_y\rVert_{\mathrm{HS}}^2\le N ∥ P y ∥ HS 2 ≤ N . Moreover,
∥ P y − P z ∥ H S = ∥ y y T − z z T ∥ H S N ≤ ( ∥ y ∥ + ∥ z ∥ ) ∥ y − z ∥ N ≤ 2 ∥ x − x ′ ∥ N . \lVert P_y-P_z\rVert_{\mathrm{HS}}=\frac{\lVert yy^{\mathsf T}-zz^{\mathsf T}\rVert_{\mathrm{HS}}}{N}\le\frac{(\lVert y\rVert+\lVert z\rVert)\lVert y-z\rVert}{N}\le\frac{2\lVert x-x'\rVert}{\sqrt{N}}. ∥ P y − P z ∥ HS = N ∥ y y T − z z T ∥ HS ≤ N (∥ y ∥ + ∥ z ∥) ∥ y − z ∥ ≤ N 2 ∥ x − x ′ ∥ .
On G N G_N G N , (169) with R = 2 R=2 R = 2 gives ∥ ∇ H N ( y ) ∥ ≤ p 2 p − 1 A p N \lVert\nabla H_N(y)\rVert\le p2^{p-1}A_p\sqrt{N} ∥ ∇ H N ( y )∥ ≤ p 2 p − 1 A p N and ∥ ∇ H N ( y ) − ∇ H N ( z ) ∥ ≤ p ( p − 1 ) 2 p − 2 A p ∥ y − z ∥ \lVert\nabla H_N(y)-\nabla H_N(z)\rVert\le p(p-1)2^{p-2}A_p\lVert y-z\rVert ∥ ∇ H N ( y ) − ∇ H N ( z )∥ ≤ p ( p − 1 ) 2 p − 2 A p ∥ y − z ∥ . Writing P y ∇ H N ( y ) − P z ∇ H N ( z ) = P y ( ∇ H N ( y ) − ∇ H N ( z ) ) + ( P y − P z ) ∇ H N ( z ) P_y\nabla H_N(y)-P_z\nabla H_N(z)=P_y(\nabla H_N(y)-\nabla H_N(z))+(P_y-P_z)\nabla H_N(z) P y ∇ H N ( y ) − P z ∇ H N ( z ) = P y ( ∇ H N ( y ) − ∇ H N ( z )) + ( P y − P z ) ∇ H N ( z ) , we obtain, on G N G_N G N and for all x , x ′ ∈ R N x,x'\in\mathbb{R}^N x , x ′ ∈ R N ,
∥ b N ( x ) − b N ( x ′ ) ∥ ≤ K b ∥ x − x ′ ∥ , ∥ σ N ( x ) − σ N ( x ′ ) ∥ H S ≤ 2 2 N ∥ x − x ′ ∥ , ∥ b N ( x ) ∥ 2 ≤ K b ′ 2 N , ∥ σ N ( x ) ∥ H S 2 ≤ 2 N , (204) \begin{aligned}
\lVert b_N(x)-b_N(x')\rVert&\le K_b\lVert x-x'\rVert, \qquad\lVert\sigma_N(x)-\sigma_N(x')\rVert_{\mathrm{HS}} \le\frac{2\sqrt{2}}{\sqrt{N}}\lVert x-x'\rVert,\\
\lVert b_N(x)\rVert^2 &\le K_b^{\prime2}N,\qquad\lVert\sigma_N(x)\rVert_{\mathrm{HS}}^2\le2N, \tag*{(204)}
\end{aligned} ∥ b N ( x ) − b N ( x ′ )∥ ∥ b N ( x ) ∥ 2 ≤ K b ∥ x − x ′ ∥ , ∥ σ N ( x ) − σ N ( x ′ ) ∥ HS ≤ N 2 2 ∥ x − x ′ ∥ , ≤ K b ′2 N , ∥ σ N ( x ) ∥ HS 2 ≤ 2 N , (204)
with K b = 1 + β p A p 2 p − 2 ( 3 p + 5 ) K_b=1+\beta pA_p2^{p-2}(3p+5) K b = 1 + β p A p 2 p − 2 ( 3 p + 5 ) and K b ′ = ( 3 β p 2 p − 1 A p + 2 ) 2 K_b'=(3\beta p2^{p-1}A_p+2)^2 K b ′ = ( 3 β p 2 p − 1 A p + 2 ) 2 . The Hilbert–Schmidt bound on σ N ( x ) − σ N ( x ′ ) \sigma_N(x)-\sigma_N(x') σ N ( x ) − σ N ( x ′ ) is the reason that the error below does not grow with N N N : a bound of order one for each matrix entry would lose a factor of N N N .
The Euler–Maruyama scheme. Let t i = i s / M t_i=is/M t i = i s / M for 0 ≤ i ≤ M 0\le i\le M 0 ≤ i ≤ M . We define Z 0 = X 0 Z_0=X_0 Z 0 = X 0 and
Z i + 1 = Z i + s M b N ( Z i ) + σ N ( Z i ) ( B t i + 1 − B t i ) , 0 ≤ i < M . Z_{i+1}=Z_i+\frac{s}{M}b_N(Z_i)+\sigma_N(Z_i)(B_{t_{i+1}}-B_{t_i}),\qquad0\le i<M. Z i + 1 = Z i + M s b N ( Z i ) + σ N ( Z i ) ( B t i + 1 − B t i ) , 0 ≤ i < M .
For r ∈ [ t i , t i + 1 ) r\in[t_i,t_{i+1}) r ∈ [ t i , t i + 1 ) , let r − = t i r_-=t_i r − = t i , and let Z r = Z i + ( r − t i ) b N ( Z i ) + σ N ( Z i ) ( B r − B t i ) Z_r=Z_i+(r-t_i)b_N(Z_i)+\sigma_N(Z_i)(B_r-B_{t_i}) Z r = Z i + ( r − t i ) b N ( Z i ) + σ N ( Z i ) ( B r − B t i ) , so that
Z t = X 0 + ∫ 0 t b N ( Z r − ) d r + ∫ 0 t σ N ( Z r − ) d B r Z_t=X_0+\int_0^t b_N(Z_{r_-})\,\mathrm{d}r+\int_0^t\sigma_N(Z_{r_-})\,\mathrm{d}B_r Z t = X 0 + ∫ 0 t b N ( Z r − ) d r + ∫ 0 t σ N ( Z r − ) d B r
and Z s = Z M Z_s=Z_M Z s = Z M . We set Y N , M = Π B N ( Z M ) Y_{N,M}=\Pi_{B_N}(Z_M) Y N , M = Π B N ( Z M ) .
The error on G N G_N G N . Fix J ∈ G N J\in G_N J ∈ G N and X 0 X_0 X 0 , and let E B \mathbb{E}_B E B denote expectation over the Brownian motion. Let u ( t ) = E B ∥ X t − Z t ∥ 2 / N u(t)=\mathbb{E}_B\lVert X_t-Z_t\rVert^2/N u ( t ) = E B ∥ X t − Z t ∥ 2 / N and v ( r ) = E B ∥ Z r − Z r − ∥ 2 / N v(r)=\mathbb{E}_B\lVert Z_r-Z_{r_-}\rVert^2/N v ( r ) = E B ∥ Z r − Z r − ∥ 2 / N . Since Z r − Z_{r_-} Z r − is independent of B r − B r − B_r-B_{r_-} B r − B r − , the Itô isometry and (204) give
v ( r ) ≤ 2 ( s M ) 2 K b ′ 2 + 2 s M 2 N N ≤ C 1 s M , C 1 = 2 s K b ′ 2 + 4. v(r)\le2\left(\frac{s}{M}\right)^2K_b^{\prime2}+2\frac{s}{M}\frac{2N}{N}\le C_1\frac{s}{M},\qquad C_1=2sK_b^{\prime2}+4. v ( r ) ≤ 2 ( M s ) 2 K b ′2 + 2 M s N 2 N ≤ C 1 M s , C 1 = 2 s K b ′2 + 4.
Subtracting the integral equations for X t X_t X t and Z t Z_t Z t , and using the Cauchy–Schwarz inequality for the drift and the Itô isometry for the noise, we find, for t ≤ s t\le s t ≤ s ,
u ( t ) ≤ 2 s K b 2 ∫ 0 t E B ∥ X r − Z r − ∥ 2 N d r + 16 N ∫ 0 t E B ∥ X r − Z r − ∥ 2 N d r . u(t)\le2sK_b^2\int_0^t\mathbb{E}_B\frac{\lVert X_r-Z_{r_-}\rVert^2}{N}\,\mathrm{d}r+\frac{16}{N}\int_0^t\mathbb{E}_B\frac{\lVert X_r-Z_{r_-}\rVert^2}{N}\,\mathrm{d}r. u ( t ) ≤ 2 s K b 2 ∫ 0 t E B N ∥ X r − Z r − ∥ 2 d r + N 16 ∫ 0 t E B N ∥ X r − Z r − ∥ 2 d r .
Inserting the bound E B ∥ X r − Z r − ∥ 2 / N ≤ 2 u ( r ) + 2 v ( r ) \mathbb{E}_B\lVert X_r-Z_{r_-}\rVert^2/N\le2u(r)+2v(r) E B ∥ X r − Z r − ∥ 2 / N ≤ 2 u ( r ) + 2 v ( r ) , we obtain u ( t ) ≤ C 2 ∫ 0 t u ( r ) d r + C 2 C 1 s 2 / M u(t)\le C_2\int_0^t u(r)\,\mathrm{d}r+C_2C_1s^2/M u ( t ) ≤ C 2 ∫ 0 t u ( r ) d r + C 2 C 1 s 2 / M with C 2 = 4 s K b 2 + 32 C_2=4sK_b^2+32 C 2 = 4 s K b 2 + 32 . By Gronwall’s inequality,
u ( s ) ≤ C 1 C 2 s e C 2 s s M . u(s)\le C_1C_2se^{C_2s}\frac{s}{M}. u ( s ) ≤ C 1 C 2 s e C 2 s M s .
The projection Π B N \Pi_{B_N} Π B N is 1-Lipschitz and fixes X s ∈ S N X_s\in S_N X s ∈ S N , which gives E B ∥ X s − Y N , M ∥ 2 / N ≤ u ( s ) \mathbb{E}_B\lVert X_s-Y_{N,M}\rVert^2/N\le u(s) E B ∥ X s − Y N , M ∥ 2 / N ≤ u ( s ) on G N G_N G N . On G N c G_N^c G N c , we have ∥ X s − Y N , M ∥ 2 / N ≤ 4 \lVert X_s-Y_{N,M}\rVert^2/N\le4 ∥ X s − Y N , M ∥ 2 / N ≤ 4 , and P ( G N c ) ≤ e − c p N \mathbb{P}(G_N^c)\le e^{-c_pN} P ( G N c ) ≤ e − c p N . Thus, with C = C 1 C 2 s e C 2 s C=C_1C_2se^{C_2s} C = C 1 C 2 s e C 2 s ,
lim sup N → ∞ E ∥ X s − Y N , M ∥ 2 N ≤ C s M . (205) \limsup_{N\to\infty}\mathbb{E}\frac{\lVert X_s-Y_{N,M}\rVert^2}{N}\le C\frac{s}{M}. \tag*{(205)} N → ∞ lim sup E N ∥ X s − Y N , M ∥ 2 ≤ C M s . (205)
The expectation here is on the fixed fork product law. Its projection onto ( J , X 0 , B ) (J,X_0,B) ( J , X 0 , B ) has exactly the original disorder, uniform initial and Wiener product law, so the error bound is independent of n n n , ε \varepsilon ε , K K K , and L L L .
The query span. Let W 0 W_0 W 0 be the span of X 0 X_0 X 0 and the increments B t i + 1 − B t i B_{t_{i+1}}-B_{t_i} B t i + 1 − B t i , 0 ≤ i < M 0 \le i < M 0 ≤ i < M . It is measurable with respect to the full fork seed ζ N \zeta_N ζ N and has dimension at most M + 1 M+1 M + 1 . Suppose that Z i ∈ W i Z_i \in W_i Z i ∈ W i and that Z i Z_i Z i is F i \mathcal{F}_i F i -measurable, where F i \mathcal{F}_i F i is the disclosure history generated using this full fork seed, which holds for i = 0 i=0 i = 0 . The point Ψ N ( Z i ) \Psi_N(Z_i) Ψ N ( Z i ) is a multiple of Z i Z_i Z i and lies in W i W_i W i . By Lemma 10.6(ii), the gradient g i = ∇ H N ( Ψ N ( Z i ) ) g_i=\nabla H_N(\Psi_N(Z_i)) g i = ∇ H N ( Ψ N ( Z i )) is F i \mathcal{F}_i F i -measurable. We choose u i u_i u i as the normalized projection of g i g_i g i onto W i ⊥ W_i^\perp W i ⊥ (zero if it vanishes), so that g i ∈ W i + 1 g_i \in W_{i+1} g i ∈ W i + 1 . Since P y w = w − y ⟨ y , w ⟩ / N P_yw=w-y\langle y,w\rangle/N P y w = w − y ⟨ y , w ⟩ / N , the step from Z i Z_i Z i to Z i + 1 Z_{i+1} Z i + 1 is a linear combination of Z i Z_i Z i , Ψ N ( Z i ) \Psi_N(Z_i) Ψ N ( Z i ) , g i g_i g i , and B t i + 1 − B t i B_{t_{i+1}}-B_{t_i} B t i + 1 − B t i , with coefficients that are F i \mathcal{F}_i F i -measurable. This shows that Z i + 1 ∈ W i + 1 Z_{i+1}\in W_{i+1} Z i + 1 ∈ W i + 1 and that Z i + 1 Z_{i+1} Z i + 1 is F i + 1 \mathcal{F}_{i+1} F i + 1 -measurable. After M M M steps, Z M ∈ W M Z_M\in W_M Z M ∈ W M , and Y N , M Y_{N,M} Y N , M , a multiple of Z M Z_M Z M , lies in W M W_M W M . Each step adds at most one dimension, which gives dim W M ≤ 2 M + 1 \dim W_M\le2M+1 dim W M ≤ 2 M + 1 .
Passing from the Euler vector to the waiting state. By Step 2, Proposition 10.7 applies to these particular full-fork disclosure histories, with k 0 = M + 1 k_0=M+1 k 0 = M + 1 and M M M queries. Hence the squared overlap of A N , θ \mathcal{A}_{N,\theta} A N , θ with Y N , M Y_{N,M} Y N , M vanishes after the dimension limit and then the limits in n n n , ε = 1 / ( m + 1 ) \varepsilon=1/(m+1) ε = 1/ ( m + 1 ) , K K K , and L L L . Since ∥ A N , θ ∥ ≤ N \|\mathcal{A}_{N,\theta}\|\le\sqrt{N} ∥ A N , θ ∥ ≤ N , we have
E ∣ ⟨ A N , θ , X s ⟩ N ∣ 2 ≤ 2 E ∣ ⟨ A N , θ , Y N , M ⟩ N ∣ 2 + 2 E ∥ X s − Y N , M ∥ 2 N . \mathbb{E}\left|\frac{\langle\mathcal{A}_{N,\theta},X_s\rangle}{N}\right|^2
\le2\mathbb{E}\left|\frac{\langle\mathcal{A}_{N,\theta},Y_{N,M}\rangle}{N}\right|^2
+2\mathbb{E}\frac{\|X_s-Y_{N,M}\|^2}{N}. E N ⟨ A N , θ , X s ⟩ 2 ≤ 2 E N ⟨ A N , θ , Y N , M ⟩ 2 + 2 E N ∥ X s − Y N , M ∥ 2 .
By (10.38), the nested upper limit of the left side is at most 2 C S / M 2C_S/M 2 C S / M . It does not depend on M M M . Sending M → ∞ M\to\infty M → ∞ last (and using the s = 0 s=0 s = 0 argument above when needed), we obtain
lim θ lim sup N → ∞ E ∣ ⟨ A N , θ , X s ⟩ N ∣ 2 = 0. (206) \lim_{\theta}\limsup_{N\to\infty}\mathbb{E}\left|\frac{\langle\mathcal{A}_{N,\theta},X_s\rangle}{N}\right|^2=0. \tag*{(206)} θ lim N → ∞ lim sup E N ⟨ A N , θ , X s ⟩ 2 = 0. (206)
On the other hand, by (10.21) with V N = X s V_N=X_s V N = X s and by (10.35), we have
E C N ( t n , s ) Q ≤ ( E ∣ ⟨ A N , θ , X s ⟩ N ∣ 2 ) 1 / 2 + Δ N , θ . \frac{\mathbb{E}C_N(t_n,s)}{\sqrt{Q}}\le\left(\mathbb{E}\left|\frac{\langle\mathcal{A}_{N,\theta},X_s\rangle}{N}\right|^2\right)^{1/2}+\Delta_{N,\theta}. Q E C N ( t n , s ) ≤ ( E N ⟨ A N , θ , X s ⟩ 2 ) 1/2 + Δ N , θ .
As N = N j → ∞ N=N_j\to\infty N = N j → ∞ , the left side tends to C ( t n , s ) / Q C(t_n,s)/\sqrt{Q} C ( t n , s ) / Q , which is at least γ \gamma γ because Q ≤ 1 Q\le1 Q ≤ 1 . We conclude that, for every fixed ε \varepsilon ε , K K K , and L L L and all sufficiently large n n n ,
γ ≤ lim sup j → ∞ ( E ∣ ⟨ A N j , θ , X s ⟩ N j ∣ 2 ) 1 / 2 + lim sup j → ∞ Δ N j , θ . \gamma\le\limsup_{j\to\infty}\left(\mathbb{E}\left|\frac{\langle\mathcal{A}_{N_j,\theta},X_s\rangle}{N_j}\right|^2\right)^{1/2}
+\limsup_{j\to\infty}\Delta_{N_j,\theta}. γ ≤ j → ∞ lim sup ( E N j ⟨ A N j , θ , X s ⟩ 2 ) 1/2 + j → ∞ lim sup Δ N j , θ .
We take the upper limit as n → ∞ n \to\infty n → ∞ , then let ε ↓ 0 \varepsilon\downarrow0 ε ↓ 0 , K → ∞ K \to\infty K → ∞ , and L → ∞ L \to\infty L → ∞ , in the order (10.1). By (10.39), the first term tends to zero, and by (10.36), the second is at most ε \varepsilon ε after the limit in n n n . Hence γ ≤ 0 \gamma\le0 γ ≤ 0 , which contradicts γ > 0 \gamma> 0 γ > 0 . This completes the proof.
Proof of Proposition 8.1
We now prove both parts of Proposition 8.1 for every p ≥ 3 p \ge3 p ≥ 3 .
Proof of Proposition 8.1(a). Let T n → ∞ T_n \to\infty T n → ∞ be a sequence along which the translated kernels converge to a stationary cluster ( c , r , ℓ ) (c,r,\ell) ( c , r , ℓ ) with plateau q > 0 q > 0 q > 0 , and fix L ≥ 0 L \ge0 L ≥ 0 . For every K ≥ 1 K \ge1 K ≥ 1 , Proposition 10.4 applies along T n T_n T n , and (10.19) gives
h K , L ≤ E t h Q K , L p / 2 . h_{K,L} \le E_{\mathrm{th}} Q_{K,L}^{p/2}. h K , L ≤ E th Q K , L p /2 .
By Lemma 10.5(i), we have ∣ Q K , L − d L ∣ ≤ 1 / K |Q_{K,L} - d_L| \le1/K ∣ Q K , L − d L ∣ ≤ 1/ K and ∣ h K , L − h L ∣ ≤ β p ( p − 1 ) / K |h_{K,L} - h_L| \le\beta p(p-1)/K ∣ h K , L − h L ∣ ≤ β p ( p − 1 ) / K . The second bound is the dominated convergence argument made explicit: the difference h K , L − h L h_{K,L} - h_L h K , L − h L is β p \beta p β p times the integral of r ( τ ) r(\tau) r ( τ ) times k K , L ( τ ) p − 1 − c ( 2 L − τ ) p − 1 k_{K,L}(\tau)^{p-1} - c(2L-\tau)^{p-1} k K , L ( τ ) p − 1 − c ( 2 L − τ ) p − 1 , which is at most ( p − 1 ) / K (p-1)/K ( p − 1 ) / K in absolute value, and ∫ 0 L r ≤ 1 \int_0^L r \le1 ∫ 0 L r ≤ 1 . Letting K → ∞ K \to\infty K → ∞ and using the continuity of x ↦ x p / 2 x \mapsto x^{p/2} x ↦ x p /2 , we obtain
h L ≤ E t h d L p / 2 , h_L \le E_{\mathrm{th}} d_L^{p/2}, h L ≤ E th d L p /2 ,
which is (8.1).
Letting L → ∞ L \to\infty L → ∞ in (8.1) and using Lemma 10.5(ii), we obtain
h ≤ E t h q p / 2 (207) h \le E_{\mathrm{th}} q^{p/2} \tag*{(207)} h ≤ E th q p /2 (207)
where h h h is given by (8.4). This is the form in which part (a) enters the proof of Lemma 8.3. It holds for every stationary cluster with positive plateau, and its proof does not use marginality.
Proof of Proposition 8.1(b). The hypotheses of part (b) are those of Proposition 10.8, which gives C ( t , s ) → 0 C(t,s) \to0 C ( t , s ) → 0 as t → ∞ t \to\infty t → ∞ for each fixed s s s . It remains to make the convergence uniform in s ∈ [ 0 , S ] s \in[0,S] s ∈ [ 0 , S ] . Let k ≥ 1 k \ge1 k ≥ 1 be an integer and let s i = i / k s_i = i/k s i = i / k for 0 ≤ i ≤ ⌈ k S ⌉ 0 \le i \le\lceil kS \rceil 0 ≤ i ≤ ⌈ k S ⌉ . Every s ∈ [ 0 , S ] s \in[0,S] s ∈ [ 0 , S ] is within 1 / k 1/k 1/ k of some s i s_i s i , and by the correlation modulus (4.19) in the second variable,
∣ C ( t , s ) − C ( t , s i ) ∣ ≤ D p , β k + 2 k |C(t,s) - C(t,s_i)| \le\frac{D_{p,\beta}}{k} + \sqrt{\frac{2}{k}} ∣ C ( t , s ) − C ( t , s i ) ∣ ≤ k D p , β + k 2
for all t t t . Since C ≥ 0 C \ge0 C ≥ 0 , we obtain
sup 0 ≤ s ≤ S ∣ C ( t , s ) ∣ ≤ max i C ( t , s i ) + D p , β k + 2 k . \sup_{0 \le s \le S} |C(t,s)| \le\max_i C(t,s_i) + \frac{D_{p,\beta}}{k} + \sqrt{\frac{2}{k}}. 0 ≤ s ≤ S sup ∣ C ( t , s ) ∣ ≤ i max C ( t , s i ) + k D p , β + k 2 .
The maximum is over finitely many points, and it tends to zero as t → ∞ t \to\infty t → ∞ by Proposition 10.8. Letting t → ∞ t \to\infty t → ∞ and then k → ∞ k \to\infty k → ∞ proves (8.2).
Response and the fluctuation–dissipation relation
Localization of the response and of correlation derivatives
In this section, we study complete rows of the response and of both partial derivatives of the correlation and show that they converge to their stationary limits. Our main result, Theorem 11.1, states that for every p ≥ 3 p \ge3 p ≥ 3 and β > 0 \beta> 0 β > 0 , the lag row v ↦ R ( t , t − v ) v \mapsto R(t,t-v) v ↦ R ( t , t − v ) , extended by zero, converges to r r r in L 2 ( 0 , ∞ ) L^2(0,\infty) L 2 ( 0 , ∞ ) . From it we deduce uniform convergence of response rows (Corollary 11.2 ). We also show that the earlier derivative ∂ s C ( t , s ) \partial_s C(t,s) ∂ s C ( t , s ) converges in the same L 2 L^2 L 2 sense, so that the squared backward FDT defect vanishes on whole rows (Theorem 11.5 ). Further, we bound the later derivative ∂ t C ( t , s ) \partial_t C(t,s) ∂ t C ( t , s ) far from the diagonal for every p ≥ 3 p \ge3 p ≥ 3 (Theorem 11.4 ), prove a smoothing estimate in the earlier time (Corollary 11.6), and prove that the thermal part of the Green covariance identity converges uniformly on late triangles (Corollary 11.7).
We use structural identities from § 4.2 (Propositions 4.2 , 4.3 , 4.5 , and 4.6), the Fisher bound of Theorem 5.3 , convergence and forgetting from Section 8 (Proposition 8.4 and Theorem 8.8 ), and the causal tree realization (Propositions 7.1 and 7.5 , Lemma 7.3 , and Corollary 7.7). When the plateau is positive, the proof of Theorem 11.1 also uses the cubic tree ceiling of § 6.3 if p = 3 p=3 p = 3 , and the finite forks of § 6.4 for general p p p . We give the second argument at the end of this section, in § 7.1.5 . The results of this section are used in § 7.2 , which relies on Theorem 11.5 , and in Sections 14 and 15, which use Theorems 11.1 and 11.4 and Corollary 11.2 , together with the Fisher bound (11.14). Combined with Theorem 5.3 , they prove (1.7), (1.8), and (1.9) in Theorem 1.2 .
All convergence statements in this section are in the L 2 L^2 L 2 norm or in the uniform norm on a row. They do not control the integral of a row over its remote part. In § 7.2 , we prove that the backward FDT defect, although small in L 2 L^2 L 2 , keeps a positive integrated mass there.
Standing assumptions and notation. Throughout this section, an integer p ≥ 3 p \ge3 p ≥ 3 and β > 0 \beta> 0 β > 0 are fixed, except where a statement restricts p p p . Let ( c , r ) (c,r) ( c , r ) be the stationary profile of Proposition 8.4 , and let q = lim v → ∞ c ( v ) ∈ [ 0 , 1 ) q=\lim_{v\to\infty}c(v)\in[0,1) q = lim v → ∞ c ( v ) ∈ [ 0 , 1 ) be its plateau. Recall from Proposition 5.7 and Corollary 7.7 that
c ( 0 ) = r ( 0 ) = 1 , r = − c ′ , ∫ 0 ∞ r ( v ) d v = 1 − q . c(0)=r(0)=1,\qquad r=-c',\qquad\int_0^\infty r(v)\,\mathrm{d}v=1-q. c ( 0 ) = r ( 0 ) = 1 , r = − c ′ , ∫ 0 ∞ r ( v ) d v = 1 − q .
and that c c c and r r r are completely monotone on ( 0 , ∞ ) (0,\infty) ( 0 , ∞ ) . In particular, r r r is nonnegative and nonincreasing, and r ( v ) → 0 r(v) \to0 r ( v ) → 0 as v → ∞ v \to\infty v → ∞ because r r r is integrable.
By Proposition 8.4, the translated kernels converge along every sequence of times tending to infinity. Taking the translation time equal to t − A t-A t − A , we find that, for every fixed 0 ≤ A < ∞ 0 \le A < \infty 0 ≤ A < ∞ ,
lim t → ∞ sup 0 ≤ v ≤ A { ∣ C ( t , t − v ) − c ( v ) ∣ + ∣ R ( t , t − v ) − r ( v ) ∣ } = 0. (208) \lim_{t\to\infty}\sup_{0\le v\le A}\left\{\lvert C(t,t-v)-c(v)\rvert+\lvert R(t,t-v)-r(v)\rvert\right\}=0. \tag*{(208)} t → ∞ lim 0 ≤ v ≤ A sup { ∣ C ( t , t − v ) − c ( v )∣ + ∣ R ( t , t − v ) − r ( v )∣ } = 0. (208)
We call { ( t , s ) : t − A ≤ s ≤ t } \{(t,s):t-A\le s\le t\} {( t , s ) : t − A ≤ s ≤ t } the recent strip of length A A A . Recall also the forgetting statement (8.12): for every fixed S ≥ 0 S\ge0 S ≥ 0 , we have sup 0 ≤ s ≤ S { C ( t , s ) + R ( t , s ) } → 0 \sup_{0\le s\le S}\{C(t,s)+R(t,s)\}\to0 sup 0 ≤ s ≤ S { C ( t , s ) + R ( t , s )} → 0 as t → ∞ t\to\infty t → ∞ .
We use the bounds 0 ≤ R ( t , s ) ≤ C ( t , s ) ≤ 1 0\le R(t,s)\le C(t,s)\le1 0 ≤ R ( t , s ) ≤ C ( t , s ) ≤ 1 for t ≥ s t\ge s t ≥ s from Proposition 4.6, and 1 ≤ λ ≤ Λ 1\le\lambda\le\Lambda 1 ≤ λ ≤ Λ from (4.17). Since the memory integral in the response equation (3.9) is nonnegative, we have ∂ t R ( t , s ) ≥ − λ ( t ) R ( t , s ) \partial_tR(t,s)\ge-\lambda(t)R(t,s) ∂ t R ( t , s ) ≥ − λ ( t ) R ( t , s ) for t > s t>s t > s . Integrating this inequality from the diagonal, where R ( s , s ) = 1 R(s,s)=1 R ( s , s ) = 1 , we find
R ( t , s ) ≥ exp ( − ∫ s t λ ( u ) d u ) ≥ e − Λ ( t − s ) , t ≥ s ≥ 0. (209) R(t,s)\ge\exp\left(-\int_s^t\lambda(u)\,\mathrm{d}u\right)\ge e^{-\Lambda(t-s)},\qquad t\ge s\ge0. \tag*{(209)} R ( t , s ) ≥ exp ( − ∫ s t λ ( u ) d u ) ≥ e − Λ ( t − s ) , t ≥ s ≥ 0. (209)
For t ≥ 0 t\ge0 t ≥ 0 , we extend the lag row of the response by zero:
f t ( v ) = 1 [ 0 , t ] ( v ) R ( t , t − v ) , v ≥ 0. (210) f_t(v)=\mathbf{1}_{[0,t]}(v)R(t,t-v),\qquad v\ge0. \tag*{(210)} f t ( v ) = 1 [ 0 , t ] ( v ) R ( t , t − v ) , v ≥ 0. (210)
We write ∥ ⋅ ∥ 2 \|\cdot\|_2 ∥ ⋅ ∥ 2 for the norm of L 2 ( 0 , ∞ ) L^2(0,\infty) L 2 ( 0 , ∞ ) . By (4.11), we have ∥ f t ∥ 2 2 = ∫ 0 t R ( t , u ) 2 d u ≤ 1 / 2 \|f_t\|_2^2=\int_0^tR(t,u)^2\,\mathrm{d}u\le1/2 ∥ f t ∥ 2 2 = ∫ 0 t R ( t , u ) 2 d u ≤ 1/2 . For t ≥ L ≥ 0 t\ge L\ge0 t ≥ L ≥ 0 , we write
S 2 ( t , L ) = ∫ 0 t − L R ( t , u ) 2 d u = ∫ L ∞ f t ( v ) 2 d v S_2(t,L)=\int_0^{t-L}R(t,u)^2\,\mathrm{d}u=\int_L^\infty f_t(v)^2\,\mathrm{d}v S 2 ( t , L ) = ∫ 0 t − L R ( t , u ) 2 d u = ∫ L ∞ f t ( v ) 2 d v
for the squared response in the remote part of the row. Here and below, an integral with upper endpoint t − L t-L t − L is considered only for t ≥ L t\ge L t ≥ L .
Let v t v_t v t be the tree vectors of Proposition 7.1, so that ⟨ v t , v s ⟩ = C ( t , s ) \langle v_t,v_s\rangle=C(t,s) ⟨ v t , v s ⟩ = C ( t , s ) and ∥ v t ∥ = 1 \|v_t\|=1 ∥ v t ∥ = 1 . Let P T P_T P T be the prefix projections, let Π j \Pi_j Π j be the projections onto trees of height j j j , and let h ( v ) = p ⟨ v , I ( v ⊗ ( p − 1 ) ) ⟩ h(v)=\sqrt{p}\langle v,\mathcal{I}(v^{\otimes(p-1)})\rangle h ( v ) = p ⟨ v , I ( v ⊗ ( p − 1 ) )⟩ be the tree energy. Recall that v s v_s v s belongs to the range of P T P_T P T when s ≤ T s\le T s ≤ T . For T , a ≥ 0 T,a\ge0 T , a ≥ 0 , we set M T ( a ) = P T v T + a M_T(a)=P_Tv_{T+a} M T ( a ) = P T v T + a . As the whole translated family converges, Proposition 7.5 applies along every sequence T → ∞ T\to\infty T → ∞ . For every fixed L ≥ 0 L\ge0 L ≥ 0 , it implies that
∥ M T ( L ) ∥ 2 ⟶ d L = c ( 2 L ) , h ( M T ( L ) ) ⟶ h L ( T → ∞ ) , (211) \|M_T(L)\|^2\longrightarrow d_L=c(2L),\qquad h(M_T(L))\longrightarrow h_L\qquad(T\to\infty), \tag*{(211)} ∥ M T ( L ) ∥ 2 ⟶ d L = c ( 2 L ) , h ( M T ( L )) ⟶ h L ( T → ∞ ) , (211)
where h L h_L h L is given by (7.18) with e = e β ( ∞ ) e=e_\beta(\infty) e = e β ( ∞ ) . If q > 0 q>0 q > 0 , then d L ≥ q > 0 d_L\ge q>0 d L ≥ q > 0 , and we define
δ L = E t h − h L d L p / 2 . \delta_L=E_{\mathrm{th}}-\frac{h_L}{d_L^{p/2}}. δ L = E th − d L p /2 h L .
By Proposition 8.1 (a), we have δ L ≥ 0 \delta_L \ge0 δ L ≥ 0 for every L L L . Recall also that the plateau is then marginal, by Lemma 8.3 . We prove in (233) below that δ L → 0 \delta_L \to0 δ L → 0 as L → ∞ L \to\infty L → ∞ for every p ≥ 3 p \ge3 p ≥ 3 . For p ∈ { 3 , 4 } p \in\{3,4\} p ∈ { 3 , 4 } , both properties are part of Proposition 9.5 , whose hypotheses hold by Proposition 8.4 and Lemma 8.3 . In words, the tree energy of the normalized prefix centers M T ( L ) / ∥ M T ( L ) ∥ M_T(L)/\lVert M_T(L)\rVert M T ( L ) / ∥ M T ( L )∥ approaches the threshold energy E t h E_{\mathrm{th}} E th when T → ∞ T \to\infty T → ∞ first and then L → ∞ L \to\infty L → ∞ .
The full response row
Theorem 11.1 (Strong localization of the response). Fix p ≥ 3 p \ge3 p ≥ 3 and β > 0 \beta> 0 β > 0 . Then
lim t → ∞ ∥ f t − r ∥ L 2 ( 0 , ∞ ) = 0. (212) \lim_{t\to\infty}\lVert f_t-r\rVert_{L^2(0,\infty)}=0. \tag*{(212)} t → ∞ lim ∥ f t − r ∥ L 2 ( 0 , ∞ ) = 0. (212)
Further, for each fixed L ≥ 0 L \ge0 L ≥ 0 ,
lim t → ∞ ∫ 0 t − L R ( t , u ) 2 d u = ∫ L ∞ r ( v ) 2 d v , lim t → ∞ χ ( t , 0 ) t = 0. (213) \lim_{t\to\infty}\int_0^{t-L}R(t,u)^2\,\mathrm{d}u=\int_L^\infty r(v)^2\,\mathrm{d}v,\qquad\lim_{t\to\infty}\frac{\chi(t,0)}{\sqrt{t}}=0. \tag*{(213)} t → ∞ lim ∫ 0 t − L R ( t , u ) 2 d u = ∫ L ∞ r ( v ) 2 d v , t → ∞ lim t χ ( t , 0 ) = 0. (213)
The main step is to show that the response keeps no squared mass in the remote part of the row:
lim L → ∞ lim sup t → ∞ S 2 ( t , L ) = 0. (214) \lim_{L\to\infty}\limsup_{t\to\infty}S_2(t,L)=0. \tag*{(214)} L → ∞ lim t → ∞ lim sup S 2 ( t , L ) = 0. (214)
Once (214) is known, the theorem follows from stationary convergence on the recent strip. We prove (214) in three cases, which use different inputs.
q = 0 q=0 q = 0 and every p ≥ 3 p\ge3 p ≥ 3 . The white-leaf component of the prefix center M T ( L ) M_T(L) M T ( L ) carries the squared response 2 S 2 ( T + L , L ) 2S_2(T+L,L) 2 S 2 ( T + L , L ) , and its norm is at most ∥ M T ( L ) ∥ \lVert M_T(L)\rVert ∥ M T ( L )∥ . Here we use only the tree realization (Proposition 7.1 ) and reflection (Proposition 7.5 ).
q > 0 q>0 q > 0 and p = 3 p=3 p = 3 . We normalize the prefix center and control its white-leaf component by the height inequality of the cubic tree ceiling (Theorem 9.2 ). Besides the inputs of the first case, we need that δ L → 0 \delta_L\to0 δ L → 0 , which is part of Proposition 9.5 in § 6.3 .
q > 0 q>0 q > 0 and every p ≥ 3 p\ge3 p ≥ 3 . We test the mean of finitely many independent continuations against a Gaussian direction built from the Brownian path, and use the overlap penalty of Lemma 10.2 for an independent direction. This case relies on the finite forks of § 6.4 and is carried out in § 7.1.5 (Proposition 11.11 ).
The third case contains the second. We include the second because it is short and uses only the deterministic tree geometry.
Proof of Theorem 11.1. We prove (214) in Steps 1–3 and deduce the theorem from it in Step 4.
Step 1: the white-leaf bound. Fix T , L ≥ 0 T,L \ge0 T , L ≥ 0 . By (110) , the component of v T + L v_{T+L} v T + L in the one-leaf summand R 0 ⊕ L 2 ( R + ) \mathbb{R}_0 \oplus L^2(\mathbb{R}_+) R 0 ⊕ L 2 ( R + ) is R ( T + L , 0 ) e 0 + 2 1 [ 0 , T + L ] R ( T + L , ⋅ ) R(T+L,0)e_0+\sqrt{2}\,1_{[0,T+L]}R(T+L,\cdot) R ( T + L , 0 ) e 0 + 2 1 [ 0 , T + L ] R ( T + L , ⋅ ) . The remaining term of (110) lies in the range of the grafting map, which is orthogonal to that summand. Recall that P T P_T P T commutes with Π 0 \Pi_0 Π 0 , and that on the one-leaf summand it restricts the noise-time function to [ 0 , T ] [0,T] [ 0 , T ] . We conclude that
∥ Π 0 M T ( L ) ∥ 2 = R ( T + L , 0 ) 2 + 2 ∫ 0 T R ( T + L , u ) 2 d u . (215) \lVert\Pi_0 M_T(L)\rVert^2=R(T+L,0)^2+2\int_0^T R(T+L,u)^2\,\mathrm{d}u. \tag*{(215)} ∥ Π 0 M T ( L ) ∥ 2 = R ( T + L , 0 ) 2 + 2 ∫ 0 T R ( T + L , u ) 2 d u . (215)
As Π 0 \Pi_0 Π 0 is an orthogonal projection, (215) implies that 2 S 2 ( T + L , L ) ≤ ∥ Π 0 M T ( L ) ∥ 2 ≤ ∥ M T ( L ) ∥ 2 2S_2(T+L,L)\le\lVert\Pi_0M_T(L)\rVert^2\le\lVert M_T(L)\rVert^2 2 S 2 ( T + L , L ) ≤ ∥ Π 0 M T ( L ) ∥ 2 ≤ ∥ M T ( L ) ∥ 2 . Letting T → ∞ T\to\infty T → ∞ and using (211) , we find that, with t = T + L t=T+L t = T + L ,
lim sup t → ∞ S 2 ( t , L ) ≤ d L 2 = c ( 2 L ) 2 . (216) \limsup_{t\to\infty}S_2(t,L)\le\frac{d_L}{2}=\frac{c(2L)}{2}. \tag*{(216)} t → ∞ lim sup S 2 ( t , L ) ≤ 2 d L = 2 c ( 2 L ) . (216)
This bound holds for every p ≥ 3 p\ge3 p ≥ 3 and every plateau. If q = 0 q=0 q = 0 , then c ( 2 L ) → 0 c(2L)\to0 c ( 2 L ) → 0 as L → ∞ L\to\infty L → ∞ , and (216) proves (214) .
Step 2: a positive plateau in the cubic model. Suppose that q > 0 q>0 q > 0 and p = 3 p=3 p = 3 , and fix L ≥ 0 L\ge0 L ≥ 0 . For all large T T T , we have ∥ M T ( L ) ∥ 2 ≥ q / 2 \lVert M_T(L)\rVert^2\ge q/2 ∥ M T ( L ) ∥ 2 ≥ q /2 by (211) ; for such T T T , let z T = M T ( L ) / ∥ M T ( L ) ∥ z_T=M_T(L)/\lVert M_T(L)\rVert z T = M T ( L ) / ∥ M T ( L )∥ . For p = 3 p=3 p = 3 , the tree energy is h = 3 f h=\sqrt{3}f h = 3 f , where f ( v ) = ⟨ v , I ( v ⊗ v ) ⟩ f(v)=\langle v,\mathcal{I}(v\otimes v)\rangle f ( v ) = ⟨ v , I ( v ⊗ v )⟩ is the functional of Theorem 9.2 , and E t h = 2 2 / 3 = 3 F ∗ E_{\mathrm{th}}=2\sqrt{2/3}=\sqrt{3}F_* E th = 2 2/3 = 3 F ∗ with F ∗ = 2 2 / 3 F_*=2\sqrt{2}/3 F ∗ = 2 2 /3 . Keeping only the term j = 0 j=0 j = 0 in the first inequality of (154) , we have
∥ Π 0 z T ∥ 4 ≤ 4 2 [ F ∗ − f ( z T ) ] = 4 2 3 [ E t h − h ( z T ) ] . \lVert\Pi_0z_T\rVert^4\le4\sqrt{2}\left[F_*-f(z_T)\right]=4\sqrt{\frac{2}{3}}\left[E_{\mathrm{th}}-h(z_T)\right]. ∥ Π 0 z T ∥ 4 ≤ 4 2 [ F ∗ − f ( z T ) ] = 4 3 2 [ E th − h ( z T ) ] .
On the other hand, (215) implies that ∥ Π 0 z T ∥ 2 ≥ 2 S 2 ( T + L , L ) / ∥ M T ( L ) ∥ 2 \lVert\Pi_0z_T\rVert^2\ge2S_2(T+L,L)/\lVert M_T(L)\rVert^2 ∥ Π 0 z T ∥ 2 ≥ 2 S 2 ( T + L , L ) / ∥ M T ( L ) ∥ 2 . Combining the two bounds, we find
S 2 ( T + L , L ) ≤ ∥ M T ( L ) ∥ 2 2 ( 4 2 3 [ E t h − h ( z T ) ] ) 1 / 2 . S_2(T+L,L)\le\frac{\lVert M_T(L)\rVert^2}{2}\left(4\sqrt{\frac{2}{3}}\left[E_{\mathrm{th}}-h(z_T)\right]\right)^{1/2}. S 2 ( T + L , L ) ≤ 2 ∥ M T ( L ) ∥ 2 ( 4 3 2 [ E th − h ( z T ) ] ) 1/2 .
The tree energy is homogeneous of degree three, which gives h ( z T ) = h ( M T ( L ) ) / ∥ M T ( L ) ∥ 3 h(z_T)=h(M_T(L))/\lVert M_T(L)\rVert^3 h ( z T ) = h ( M T ( L )) / ∥ M T ( L ) ∥ 3 , and (211) implies that h ( z T ) → h L / d L 3 / 2 = E t h − δ L h(z_T)\to h_L/d_L^{3/2}=E_{\mathrm{th}}-\delta_L h ( z T ) → h L / d L 3/2 = E th − δ L . Letting T → ∞ T\to\infty T → ∞ with L L L fixed, we obtain
lim sup t → ∞ S 2 ( t , L ) ≤ d L 2 4 2 3 δ L . (217) \limsup_{t\to\infty}S_2(t,L)\le\frac{d_L}{2}\sqrt{4\sqrt{\frac{2}{3}}\delta_L}. \tag*{(217)} t → ∞ lim sup S 2 ( t , L ) ≤ 2 d L 4 3 2 δ L . (217)
Proposition 9.5 states that δ L → 0 \delta_L\to0 δ L → 0 as L → ∞ L\to\infty L → ∞ . As d L ≤ 1 d_L\le1 d L ≤ 1 , the right side of (217) tends to zero, and (214) follows.
Step 3: a positive plateau for general p p p . Suppose that q > 0 q>0 q > 0 and p ≥ 3 p\ge3 p ≥ 3 . Proposition 11.11 states that, for every L > 0 L>0 L > 0 ,
lim sup t → ∞ S 2 ( t , L ) ≤ d L 2 β d − 2 / p δ L 2 / p , \limsup_{t\to\infty} S_2(t,L)\le\frac{d_L}{2}\,\beta_d^{-2/p}\,\delta_L^{2/p}, t → ∞ lim sup S 2 ( t , L ) ≤ 2 d L β d − 2/ p δ L 2/ p ,
and the right side tends to zero as L → ∞ L\to\infty L → ∞ by (11.26). The proof of Proposition 11.11, in Section 11.5, is independent of Theorem 11.1 and its consequences. This completes the proof of (11.7) in all cases.
Step 4: from the remote bound to strong convergence. We first check that r ∈ L 2 ( 0 , ∞ ) r\in L^2(0,\infty) r ∈ L 2 ( 0 , ∞ ) . For fixed V V V , we have f t → r f_t\to r f t → r uniformly on [ 0 , V ] [0,V] [ 0 , V ] by (11.1), so ∫ 0 V r 2 = lim t ∫ 0 V f t 2 ≤ 1 / 2 \int_0^V r^2=\lim_{t}\int_0^V f_t^2\le1/2 ∫ 0 V r 2 = lim t ∫ 0 V f t 2 ≤ 1/2 . Letting V → ∞ V\to\infty V → ∞ , we find ∥ r ∥ 2 2 ≤ 1 / 2 \lVert r\rVert_2^2\le1/2 ∥ r ∥ 2 2 ≤ 1/2 .
Next, fix L > 0 L>0 L > 0 and t ≥ L t\ge L t ≥ L . Splitting ∥ f t − r ∥ 2 2 \lVert f_t-r\rVert_2^2 ∥ f t − r ∥ 2 2 at L L L , and using ( x − y ) 2 ≤ 2 x 2 + 2 y 2 (x-y)^2\le2x^2+2y^2 ( x − y ) 2 ≤ 2 x 2 + 2 y 2 on [ L , ∞ ) [L,\infty) [ L , ∞ ) together with ∫ L ∞ f t 2 = S 2 ( t , L ) \int_L^\infty f_t^2=S_2(t,L) ∫ L ∞ f t 2 = S 2 ( t , L ) , we have
∥ f t − r ∥ 2 2 ≤ L sup 0 ≤ v ≤ L ∣ R ( t , t − v ) − r ( v ) ∣ 2 + 2 S 2 ( t , L ) + 2 ∫ L ∞ r ( v ) 2 d v . \lVert f_t-r\rVert_2^2\le L\sup_{0\le v\le L}|R(t,t-v)-r(v)|^2+2S_2(t,L)+2\int_L^\infty r(v)^2\,dv. ∥ f t − r ∥ 2 2 ≤ L 0 ≤ v ≤ L sup ∣ R ( t , t − v ) − r ( v ) ∣ 2 + 2 S 2 ( t , L ) + 2 ∫ L ∞ r ( v ) 2 d v .
The first term tends to zero by (11.1), and taking the upper limit in t t t , we find
lim sup t → ∞ ∥ f t − r ∥ 2 2 ≤ 2 lim sup t → ∞ S 2 ( t , L ) + 2 ∫ L ∞ r ( v ) 2 d v . \limsup_{t\to\infty}\lVert f_t-r\rVert_2^2\le2\limsup_{t\to\infty}S_2(t,L)+2\int_L^\infty r(v)^2\,dv. t → ∞ lim sup ∥ f t − r ∥ 2 2 ≤ 2 t → ∞ lim sup S 2 ( t , L ) + 2 ∫ L ∞ r ( v ) 2 d v .
Letting L → ∞ L\to\infty L → ∞ , and using (11.7) and r ∈ L 2 r\in L^2 r ∈ L 2 , we obtain (11.5).
For the first limit in (11.6), fix L ≥ 0 L\ge0 L ≥ 0 . Using the triangle inequality, and the fact that restriction to [ L , ∞ ) [L,\infty) [ L , ∞ ) is a contraction of L 2 ( 0 , ∞ ) L^2(0,\infty) L 2 ( 0 , ∞ ) , we have
∣ S 2 ( t , L ) 1 / 2 − ( ∫ L ∞ r ( v ) 2 d v ) 1 / 2 ∣ ≤ ∥ 1 [ L , ∞ ) ( f t − r ) ∥ 2 ≤ ∥ f t − r ∥ 2 , \left|S_2(t,L)^{1/2}-\left(\int_L^\infty r(v)^2\,dv\right)^{1/2}\right|\le\lVert\mathbf{1}_{[L,\infty)}(f_t-r)\rVert_2\le\lVert f_t-r\rVert_2, S 2 ( t , L ) 1/2 − ( ∫ L ∞ r ( v ) 2 d v ) 1/2 ≤ ∥ 1 [ L , ∞ ) ( f t − r ) ∥ 2 ≤ ∥ f t − r ∥ 2 ,
which tends to zero by (11.5). Finally, note that χ ( t , 0 ) = ∫ 0 t R ( t , u ) d u = ∫ 0 t f t ( v ) d v \chi(t,0)=\int_0^t R(t,u)\,du=\int_0^t f_t(v)\,dv χ ( t , 0 ) = ∫ 0 t R ( t , u ) d u = ∫ 0 t f t ( v ) d v . Using the Cauchy–Schwarz inequality on [ 0 , t ] [0,t] [ 0 , t ] , we obtain
0 ≤ χ ( t , 0 ) ≤ ∫ 0 t r ( v ) d v + ∫ 0 t ∣ f t ( v ) − r ( v ) ∣ d v ≤ 1 − q + t ∥ f t − r ∥ 2 . 0\le\chi(t,0)\le\int_0^t r(v)\,dv+\int_0^t|f_t(v)-r(v)|\,dv\le1-q+\sqrt{t}\lVert f_t-r\rVert_2. 0 ≤ χ ( t , 0 ) ≤ ∫ 0 t r ( v ) d v + ∫ 0 t ∣ f t ( v ) − r ( v ) ∣ d v ≤ 1 − q + t ∥ f t − r ∥ 2 .
After division by t \sqrt{t} t , the second limit in (11.6) follows from (11.5).
We next upgrade Theorem 11.1 to uniform convergence. The backward response equation prevents s ↦ R ( t , s ) s\mapsto R(t,s) s ↦ R ( t , s ) from increasing quickly. A large remote value R ( t , s ) R(t,s) R ( t , s ) would then force squared mass on the interval [ s − 1 , s ] [s-1,s] [ s − 1 , s ] , which (11.6) excludes.
Corollary 11.2 (Uniform absolute localization). Fix p ≥ 3 p\ge3 p ≥ 3 and β > 0 \beta>0 β > 0 . Then
lim t → ∞ sup 0 ≤ s ≤ t ∣ R ( t , s ) − r ( t − s ) ∣ = 0. (218) \lim_{t\to\infty}\sup_{0\le s\le t}|R(t,s)-r(t-s)|=0. \tag*{(218)} t → ∞ lim 0 ≤ s ≤ t sup ∣ R ( t , s ) − r ( t − s ) ∣ = 0. (218) In particular, if s n → ∞ s_n\to\infty s n → ∞ and t n − s n → ∞ t_n-s_n\to\infty t n − s n → ∞ , then R ( t n , s n ) → 0 R(t_n,s_n)\to0 R ( t n , s n ) → 0 .
Proof. Recall that the kernel Σ \Sigma Σ in (63) is nonnegative. Since R ≥ 0 R \ge0 R ≥ 0 , the backward response equation (76) implies that ∂ s R ( t , s ) ≤ λ ( s ) R ( t , s ) ≤ Λ R ( t , s ) \partial_s R(t,s) \le\lambda(s)R(t,s) \le\Lambda R(t,s) ∂ s R ( t , s ) ≤ λ ( s ) R ( t , s ) ≤ Λ R ( t , s ) for t > s t>s t > s . Then w ↦ e − Λ w R ( t , w ) w \mapsto e^{-\Lambda w}R(t,w) w ↦ e − Λ w R ( t , w ) is nonincreasing on [ 0 , t ] [0,t] [ 0 , t ] , that is, R ( t , u ) ≥ e − Λ ( s − u ) R ( t , s ) R(t,u) \ge e^{-\Lambda(s-u)}R(t,s) R ( t , u ) ≥ e − Λ ( s − u ) R ( t , s ) for u ≤ s ≤ t u \le s \le t u ≤ s ≤ t . Squaring this inequality and integrating it over u ∈ [ s − 1 , s ] u \in[s-1,s] u ∈ [ s − 1 , s ] , we have, for 1 ≤ s ≤ t 1 \le s \le t 1 ≤ s ≤ t ,
R ( t , s ) 2 1 − e − 2 Λ 2 Λ ≤ ∫ s − 1 s R ( t , u ) 2 d u . R(t,s)^2 \frac{1-e^{-2\Lambda}}{2\Lambda} \le\int_{s-1}^{s} R(t,u)^2\,du. R ( t , s ) 2 2Λ 1 − e − 2Λ ≤ ∫ s − 1 s R ( t , u ) 2 d u .
If moreover s ≤ t − L s \le t-L s ≤ t − L , the integral on the right is at most S 2 ( t , L ) S_2(t,L) S 2 ( t , L ) . Using (213) , we find that, for every fixed L ≥ 0 L \ge0 L ≥ 0 ,
lim sup t → ∞ sup 1 ≤ s ≤ t − L R ( t , s ) ≤ ( 2 Λ 1 − e − 2 Λ ∫ L ∞ r ( v ) 2 d v ) 1 / 2 . \limsup_{t\to\infty}\sup_{1\le s\le t-L}R(t,s) \le\left(\frac{2\Lambda}{1-e^{-2\Lambda}}\int_L^\infty r(v)^2\,dv\right)^{1/2}. t → ∞ lim sup 1 ≤ s ≤ t − L sup R ( t , s ) ≤ ( 1 − e − 2Λ 2Λ ∫ L ∞ r ( v ) 2 d v ) 1/2 .
Recall from (149) that sup 0 ≤ s ≤ 1 R ( t , s ) → 0 \sup_{0\le s\le1}R(t,s)\to0 sup 0 ≤ s ≤ 1 R ( t , s ) → 0 . On the recent strip t − L ≤ s ≤ t t-L\le s\le t t − L ≤ s ≤ t , the difference ∣ R ( t , s ) − r ( t − s ) ∣ |R(t,s)-r(t-s)| ∣ R ( t , s ) − r ( t − s ) ∣ tends to zero uniformly by (208) . On the remaining part 0 ≤ s ≤ t − L 0\le s\le t-L 0 ≤ s ≤ t − L , we have ∣ R ( t , s ) − r ( t − s ) ∣ ≤ R ( t , s ) + r ( L ) |R(t,s)-r(t-s)|\le R(t,s)+r(L) ∣ R ( t , s ) − r ( t − s ) ∣ ≤ R ( t , s ) + r ( L ) , since r r r is nonincreasing. Combining these three estimates, we have
lim sup t → ∞ sup 0 ≤ s ≤ t ∣ R ( t , s ) − r ( t − s ) ∣ ≤ ( 2 Λ 1 − e − 2 Λ ∫ L ∞ r ( v ) 2 d v ) 1 / 2 + r ( L ) . \limsup_{t\to\infty}\sup_{0\le s\le t}|R(t,s)-r(t-s)|\le\left(\frac{2\Lambda}{1-e^{-2\Lambda}}\int_L^\infty r(v)^2\,dv\right)^{1/2}+r(L). t → ∞ lim sup 0 ≤ s ≤ t sup ∣ R ( t , s ) − r ( t − s ) ∣ ≤ ( 1 − e − 2Λ 2Λ ∫ L ∞ r ( v ) 2 d v ) 1/2 + r ( L ) .
The right side tends to zero as L → ∞ L\to\infty L → ∞ , which proves (218) . For the last assertion, note that R ( t n , s n ) ≤ ∣ R ( t n , s n ) − r ( t n − s n ) ∣ + r ( t n − s n ) R(t_n,s_n)\le|R(t_n,s_n)-r(t_n-s_n)|+r(t_n-s_n) R ( t n , s n ) ≤ ∣ R ( t n , s n ) − r ( t n − s n ) ∣ + r ( t n − s n ) , and both terms tend to zero. □
The later correlation derivative
We now bound ∂ t C ( t , s ) \partial_t C(t,s) ∂ t C ( t , s ) when t − s t-s t − s is large. By Lemma 7.3, the projected curve a ↦ M T ( a ) a\mapsto M_T(a) a ↦ M T ( a ) is continuously differentiable for a > 0 a>0 a > 0 , with
d d a M T ( a ) = P T B ( v T + a ) , B ( v ) = − v + β ∇ h ( v ) − p β h ( v ) v , \frac{\mathrm{d}}{\mathrm{d}a}M_T(a)=P_T\mathcal{B}(v_{T+a}), \qquad\mathcal{B}(v)=-v+\beta\nabla h(v)-p\beta h(v)v, d a d M T ( a ) = P T B ( v T + a ) , B ( v ) = − v + β ∇ h ( v ) − pβ h ( v ) v ,
and B \mathcal{B} B is Lipschitz on the closed unit ball of H \mathcal{H} H . Reflection identifies limits of inner products of prefix centers, not of their derivatives. For this reason, we pass through difference quotients. This requires a modulus of continuity for the projected derivative that is uniform in T T T , which we now record.
Lemma 11.3 (Hölder continuity of the projected drift). Fix p ≥ 3 p\ge3 p ≥ 3 and β > 0 \beta>0 β > 0 . Let L B L_{\mathcal{B}} L B be a Lipschitz constant of B \mathcal{B} B on the closed unit ball of H \mathcal{H} H , and set κ B = L B 2 Λ \kappa_{\mathcal{B}}=L_{\mathcal{B}}\sqrt{2\Lambda} κ B = L B 2Λ . Then, for all t ≥ s ≥ 0 t\ge s\ge0 t ≥ s ≥ 0 ,
0 ≤ 1 − C ( t , s ) ≤ Λ ( t − s ) , ∥ v t − v s ∥ ≤ 2 Λ ( t − s ) , 0\le1-C(t,s)\le\Lambda(t-s), \qquad\|v_t-v_s\|\le\sqrt{2\Lambda(t-s)}, 0 ≤ 1 − C ( t , s ) ≤ Λ ( t − s ) , ∥ v t − v s ∥ ≤ 2Λ ( t − s ) , and, for all t , t ′ ≥ 0 t,t'\ge0 t , t ′ ≥ 0 and T ≥ 0 T\ge0 T ≥ 0 ,
∥ B ( v t ) − B ( v t ′ ) ∥ ≤ κ B ∣ t − t ′ ∣ 1 / 2 , ∥ P T B ( v t ) − P T B ( v t ′ ) ∥ ≤ κ B ∣ t − t ′ ∣ 1 / 2 . \|\mathcal{B}(v_t)-\mathcal{B}(v_{t'})\|\le\kappa_{\mathcal{B}}|t-t'|^{1/2}, \qquad\|P_T\mathcal{B}(v_t)-P_T\mathcal{B}(v_{t'})\|\le\kappa_{\mathcal{B}}|t-t'|^{1/2}. ∥ B ( v t ) − B ( v t ′ ) ∥ ≤ κ B ∣ t − t ′ ∣ 1/2 , ∥ P T B ( v t ) − P T B ( v t ′ ) ∥ ≤ κ B ∣ t − t ′ ∣ 1/2 .
Proof. The first bound is (75) in Proposition 4.4 . The second bound follows from the identity ∥ v t − v s ∥ 2 = 2 − 2 C ( t , s ) \lVert v_t-v_s\rVert^2=2-2C(t,s) ∥ v t − v s ∥ 2 = 2 − 2 C ( t , s ) . The vectors v t v_t v t lie in the unit ball, and the third bound follows from the second and the Lipschitz property of B \mathcal{B} B . The last bound holds because P T P_T P T is a contraction.
Theorem 11.4 (Remote derivative bound and forward FDT). Fix an integer p ≥ 3 p \ge3 p ≥ 3 and β > 0 \beta> 0 β > 0 . For every fixed L > 0 L > 0 L > 0 ,
lim sup t → ∞ sup 0 ≤ s ≤ t − L ∣ ∂ t C ( t , s ) ∣ ≤ c ′ ′ ( 2 L ) ≤ 1 − q e L . (219) \limsup_{t\to\infty}\sup_{0\le s\le t-L}\lvert\partial_t C(t,s)\rvert\le\sqrt{c^{\prime\prime}(2L)} \le\frac{\sqrt{1-q}}{eL}. \tag*{(219)} t → ∞ lim sup 0 ≤ s ≤ t − L sup ∣ ∂ t C ( t , s )∣ ≤ c ′′ ( 2 L ) ≤ e L 1 − q . (219) Further,
lim t → ∞ sup 0 ≤ s ≤ t ∣ ∂ t C ( t , s ) − c ′ ( t − s ) ∣ = 0 , lim t → ∞ sup 0 ≤ s ≤ t ∣ ∂ t C ( t , s ) + R ( t , s ) ∣ = 0. (220) \lim_{t\to\infty}\sup_{0\le s\le t}\lvert\partial_t C(t,s)-c^{\prime}(t-s)\rvert=0,\qquad\lim_{t\to\infty}\sup_{0\le s\le t}\lvert\partial_t C(t,s)+R(t,s)\rvert=0. \tag*{(220)} t → ∞ lim 0 ≤ s ≤ t sup ∣ ∂ t C ( t , s ) − c ′ ( t − s )∣ = 0 , t → ∞ lim 0 ≤ s ≤ t sup ∣ ∂ t C ( t , s ) + R ( t , s )∣ = 0. (220) Here ∂ t C ( t , t ) \partial_t C(t,t) ∂ t C ( t , t ) is the right derivative of u ↦ C ( u , t ) u\mapsto C(u,t) u ↦ C ( u , t ) at u = t u=t u = t ; it equals − 1 -1 − 1 for every t ≥ 0 t\ge0 t ≥ 0 . The value c ′ ( 0 ) = − 1 c^{\prime}(0)=-1 c ′ ( 0 ) = − 1 is also the right derivative.
Proof. All inputs to this proof hold for every integer p ≥ 3 p\ge3 p ≥ 3 : the projected drift of Lemma 7.3 , its uniform modulus in Lemma 11.3 , prefix reflection in Proposition 7.5 , complete monotonicity in Corollary 7.7, and uniform response localization in Corollary 11.2 .
The proof has three steps. First, we bound the norm of the projected derivative M T ′ ( L ) M_T^{\prime}(L) M T ′ ( L ) through difference quotients and reflection. Since ∂ t C ( T + L , s ) = ⟨ M T ′ ( L ) , v s ⟩ \partial_t C(T+L,s)=\langle M_T^{\prime}(L),v_s\rangle ∂ t C ( T + L , s ) = ⟨ M T ′ ( L ) , v s ⟩ for every s ≤ T s\le T s ≤ T , we deduce (219) from this bound. Second, we show that ∂ t C ( t , t − v ) → c ′ ( v ) \partial_t C(t,t-v)\to c^{\prime}(v) ∂ t C ( t , t − v ) → c ′ ( v ) uniformly on each recent strip, by differentiating stationary convergence through forward difference quotients. Third, we combine the two estimates with Corollary 11.2 .
Step 1: the remote bound. Fix L > 0 L>0 L > 0 and η ∈ ( 0 , 1 ] \eta\in(0,1] η ∈ ( 0 , 1 ] . For every T ≥ 0 T\ge0 T ≥ 0 , we have M T ( L + η ) − M T ( L ) = ∫ 0 η M T ′ ( L + w ) d w M_T(L+\eta)-M_T(L)=\int_0^\eta M_T^{\prime}(L+w)\,\mathrm{d}w M T ( L + η ) − M T ( L ) = ∫ 0 η M T ′ ( L + w ) d w . Lemma 11.3 then implies that
∥ M T ′ ( L ) − M T ( L + η ) − M T ( L ) η ∥ ≤ 1 η ∫ 0 η ∥ M T ′ ( L + w ) − M T ′ ( L ) ∥ d w ≤ 2 3 κ B η . \left\lVert M_T^{\prime}(L)-\frac{M_T(L+\eta)-M_T(L)}{\eta}\right\rVert\le\frac{1}{\eta}\int_0^\eta\left\lVert M_T^{\prime}(L+w)-M_T^{\prime}(L)\right\rVert\mathrm{d}w\le\frac{2}{3}\kappa_B\sqrt{\eta}. M T ′ ( L ) − η M T ( L + η ) − M T ( L ) ≤ η 1 ∫ 0 η ∥ M T ′ ( L + w ) − M T ′ ( L ) ∥ d w ≤ 3 2 κ B η .
Applying (7.16) to the three inner products in the expansion of the squared norm, we have
lim T → ∞ ∥ M T ( L + η ) − M T ( L ) η ∥ 2 = c ( 2 L + 2 η ) − 2 c ( 2 L + η ) + c ( 2 L ) η 2 . \lim_{T\to\infty}\left\lVert\frac{M_T(L+\eta)-M_T(L)}{\eta}\right\rVert^2=\frac{c(2L+2\eta)-2c(2L+\eta)+c(2L)}{\eta^2}. T → ∞ lim η M T ( L + η ) − M T ( L ) 2 = η 2 c ( 2 L + 2 η ) − 2 c ( 2 L + η ) + c ( 2 L ) .
Combining the last two displays, we find
lim sup T → ∞ ∥ M T ′ ( L ) ∥ ≤ 2 3 κ B η + ( c ( 2 L + 2 η ) − 2 c ( 2 L + η ) + c ( 2 L ) η 2 ) 1 / 2 . \limsup_{T\to\infty}\lVert M_T^{\prime}(L)\rVert\le\frac{2}{3}\kappa_B\sqrt{\eta}+\left(\frac{c(2L+2\eta)-2c(2L+\eta)+c(2L)}{\eta^2}\right)^{1/2}. T → ∞ lim sup ∥ M T ′ ( L )∥ ≤ 3 2 κ B η + ( η 2 c ( 2 L + 2 η ) − 2 c ( 2 L + η ) + c ( 2 L ) ) 1/2 .
The left side does not depend on η \eta η . The function c c c is smooth on ( 0 , ∞ ) (0,\infty) ( 0 , ∞ ) , and the second difference quotient tends to c ′ ′ ( 2 L ) c^{\prime\prime}(2L) c ′′ ( 2 L ) as η ↓ 0 \eta\downarrow0 η ↓ 0 . Taking T → ∞ T \to\infty T → ∞ first and then η ↓ 0 \eta\downarrow0 η ↓ 0 , we have
lim sup T → ∞ ∥ M T ′ ( L ) ∥ ≤ c ′ ′ ( 2 L ) . \limsup_{T\to\infty}\lVert M_T^{\prime}(L)\rVert\le\sqrt{c^{\prime\prime}(2L)}. T → ∞ lim sup ∥ M T ′ ( L )∥ ≤ c ′′ ( 2 L ) .
If s ≤ T s \le T s ≤ T , then v s v_s v s lies in the range of P T P_T P T , so C ( T + a , s ) = ⟨ M T ( a ) , v s ⟩ C(T+a,s)=\langle M_T(a),v_s\rangle C ( T + a , s ) = ⟨ M T ( a ) , v s ⟩ for all a ≥ 0 a\ge0 a ≥ 0 , and ∂ t C ( T + L , s ) = ⟨ M T ′ ( L ) , v s ⟩ \partial_t C(T+L,s)=\langle M_T^{\prime}(L),v_s\rangle ∂ t C ( T + L , s ) = ⟨ M T ′ ( L ) , v s ⟩ . As ∥ v s ∥ = 1 \lVert v_s\rVert=1 ∥ v s ∥ = 1 , we have ∣ ∂ t C ( T + L , s ) ∣ ≤ ∥ M T ′ ( L ) ∥ \lvert\partial_t C(T+L,s)\rvert\le\lVert M_T^{\prime}(L)\rVert ∣ ∂ t C ( T + L , s )∣ ≤ ∥ M T ′ ( L )∥ for every s ≤ T s\le T s ≤ T . Setting T = t − L T=t-L T = t − L proves the first inequality in (11.12).
For the second inequality, we write the representation (7.28) as c ( v ) = q + ∫ ( 0 , ∞ ) e − x v ν ( d x ) c(v)=q+\int_{(0,\infty)}e^{-xv}\,\nu(dx) c ( v ) = q + ∫ ( 0 , ∞ ) e − xv ν ( d x ) , where ν ( ( 0 , ∞ ) ) = 1 − q \nu((0,\infty))=1-q ν (( 0 , ∞ )) = 1 − q . Differentiating under the integral for v > 0 v>0 v > 0 , we have
c ′ ′ ( 2 L ) = ∫ ( 0 , ∞ ) x 2 e − 2 L x ν ( d x ) ≤ 1 − q e 2 L 2 , c^{\prime\prime}(2L)=\int_{(0,\infty)}x^2e^{-2Lx}\,\nu(dx)\le\frac{1-q}{e^2L^2}, c ′′ ( 2 L ) = ∫ ( 0 , ∞ ) x 2 e − 2 Lx ν ( d x ) ≤ e 2 L 2 1 − q ,
where we used that sup x > 0 x 2 e − 2 L x = ( e L ) − 2 \sup_{x>0}x^2e^{-2Lx}=(eL)^{-2} sup x > 0 x 2 e − 2 Lx = ( e L ) − 2 , attained at x = 1 / L x=1/L x = 1/ L .
Step 2: the recent strip. For t > s t>s t > s , we apply the projected drift with T = s T=s T = s to C ( t , s ) = ⟨ P s v t , v s ⟩ C(t,s)=\langle P_sv_t,v_s\rangle C ( t , s ) = ⟨ P s v t , v s ⟩ . This gives
∂ t C ( t , s ) = ⟨ P s B ( v t ) , v s ⟩ = ⟨ B ( v t ) , v s ⟩ . \partial_t C(t,s)=\langle P_s\mathcal{B}(v_t),v_s\rangle=\langle\mathcal{B}(v_t),v_s\rangle. ∂ t C ( t , s ) = ⟨ P s B ( v t ) , v s ⟩ = ⟨ B ( v t ) , v s ⟩ .
The right side is continuous in t ≥ s t\ge s t ≥ s . At t = s t=s t = s it equals − 1 -1 − 1 , because ⟨ ∇ h ( v ) , v ⟩ = p h ( v ) \langle\nabla h(v),v\rangle=ph(v) ⟨ ∇ h ( v ) , v ⟩ = p h ( v ) by homogeneity and ∥ v s ∥ = 1 \lVert v_s\rVert=1 ∥ v s ∥ = 1 ; this is the derivative from the causal side at the diagonal. Lemma 11.3 also implies that ∣ ∂ t C ( t , s ) − ∂ t C ( t ′ , s ) ∣ ≤ κ B ∣ t − t ′ ∣ 1 / 2 \lvert\partial_tC(t,s)-\partial_tC(t^{\prime},s)\rvert\le\kappa_B\lvert t-t^{\prime}\rvert^{1/2} ∣ ∂ t C ( t , s ) − ∂ t C ( t ′ , s )∣ ≤ κ B ∣ t − t ′ ∣ 1/2 for all t , t ′ ≥ s t,t^{\prime}\ge s t , t ′ ≥ s .
Fix L > 0 L>0 L > 0 and η ∈ ( 0 , 1 ] \eta\in(0,1] η ∈ ( 0 , 1 ] . For 0 ≤ v ≤ L 0\le v\le L 0 ≤ v ≤ L and t ≥ L t\ge L t ≥ L , we hold the earlier time t − v t-v t − v fixed in a forward difference quotient. The Hölder bound just stated gives
∣ ∂ t C ( t , t − v ) − C ( t + η , t − v ) − C ( t , t − v ) η ∣ ≤ 1 η ∫ 0 η κ B w d w = 2 3 κ B η . \left\lvert\partial_tC(t,t-v)-\frac{C(t+\eta,t-v)-C(t,t-v)}{\eta}\right\rvert\le\frac{1}{\eta}\int_0^\eta\kappa_B\sqrt{w}\,dw=\frac{2}{3}\kappa_B\sqrt{\eta}. ∂ t C ( t , t − v ) − η C ( t + η , t − v ) − C ( t , t − v ) ≤ η 1 ∫ 0 η κ B w d w = 3 2 κ B η .
By (11.1) with A = L + η A=L+\eta A = L + η , the difference quotient converges to [ c ( v + η ) − c ( v ) ] / η [c(v+\eta)-c(v)]/\eta [ c ( v + η ) − c ( v )] / η uniformly in v ∈ [ 0 , L ] v\in[0,L] v ∈ [ 0 , L ] . We obtain
lim sup t → ∞ sup 0 ≤ v ≤ L ∣ ∂ t C ( t , t − v ) − c ′ ( v ) ∣ ≤ 2 3 κ B η + sup 0 ≤ v ≤ L ∣ c ( v + η ) − c ( v ) η − c ′ ( v ) ∣ . \limsup_{t\to\infty}\sup_{0\le v\le L}\left\lvert\partial_tC(t,t-v)-c^{\prime}(v)\right\rvert\le\frac{2}{3}\kappa_B\sqrt{\eta}+\sup_{0\le v\le L}\left\lvert\frac{c(v+\eta)-c(v)}{\eta}-c^{\prime}(v)\right\rvert. t → ∞ lim sup 0 ≤ v ≤ L sup ∣ ∂ t C ( t , t − v ) − c ′ ( v ) ∣ ≤ 3 2 κ B η + 0 ≤ v ≤ L sup η c ( v + η ) − c ( v ) − c ′ ( v ) .
The function c ′ = − r c^{\prime}=-r c ′ = − r is uniformly continuous on [ 0 , L + 1 ] [0,L+1] [ 0 , L + 1 ] , including the right derivative c ′ ( 0 ) = − 1 c^{\prime}(0)=-1 c ′ ( 0 ) = − 1 , and the last supremum tends to zero as η ↓ 0 \eta\downarrow0 η ↓ 0 . We conclude that sup t − L ≤ s ≤ t ∣ ∂ t C ( t , s ) − c ′ ( t − s ) ∣ → 0 \sup_{t-L\le s\le t}\lvert\partial_tC(t,s)-c^{\prime}(t-s)\rvert\to0 sup t − L ≤ s ≤ t ∣ ∂ t C ( t , s ) − c ′ ( t − s )∣ → 0 for every fixed L L L .
Step 3: the whole row. On the remote part 0 ≤ s ≤ t − L 0\le s\le t-L 0 ≤ s ≤ t − L , we have ∣ ∂ t C ( t , s ) − c ′ ( t − s ) ∣ ≤ ∣ ∂ t C ( t , s ) ∣ + r ( L ) \lvert\partial_tC(t,s)-c^{\prime}(t-s)\rvert\le\lvert\partial_tC(t,s)\rvert+r(L) ∣ ∂ t C ( t , s ) − c ′ ( t − s )∣ ≤ ∣ ∂ t C ( t , s )∣ + r ( L ) . Using Step 2 and (11.12), we find
lim sup t → ∞ sup 0 ≤ s ≤ t ∣ ∂ t C ( t , s ) − c ′ ( t − s ) ∣ ≤ c ′ ′ ( 2 L ) + r ( L ) . \limsup_{t\to\infty}\sup_{0\le s\le t}\left\lvert\partial_tC(t,s)-c^{\prime}(t-s)\right\rvert\le\sqrt{c^{\prime\prime}(2L)}+r(L). t → ∞ lim sup 0 ≤ s ≤ t sup ∣ ∂ t C ( t , s ) − c ′ ( t − s ) ∣ ≤ c ′′ ( 2 L ) + r ( L ) .
Letting L → ∞ L\to\infty L → ∞ proves the first limit in (11.13). As c ′ = − r c^{\prime}=-r c ′ = − r , the second limit follows from the first and Corollary 11.2.
The earlier derivative and the squared FDT defect
For t > s > 0 t>s>0 t > s > 0 , let E ( t , s ) = ∂ s C ( t , s ) − R ( t , s ) E(t,s)=\partial_s C(t,s)-R(t,s) E ( t , s ) = ∂ s C ( t , s ) − R ( t , s ) be the backward FDT defect. By Theorem 5.3 , the derivative ∂ s C \partial_s C ∂ s C is continuous on the open causal triangle, and there exists a nonnegative integrable function a F a_F a F , obtained on one dimension subsequence, such that
∣ E ( t , s ) ∣ 2 ≤ a F ( s ) ( t > s > 0 ) , ∫ 0 ∞ a F ( s ) d s < ∞ , lim S → ∞ sup s ≥ S a F ( s ) = 0. (221) \lvert E(t,s)\rvert^2 \le a_F(s) \quad(t>s>0), \qquad\int_0^\infty a_F(s)\,\mathrm{d}s<\infty, \qquad\lim_{S\to\infty}\sup_{s\ge S}a_F(s)=0. \tag*{(221)} ∣ E ( t , s ) ∣ 2 ≤ a F ( s ) ( t > s > 0 ) , ∫ 0 ∞ a F ( s ) d s < ∞ , S → ∞ lim s ≥ S sup a F ( s ) = 0. (221)
We do not need a F a_F a F to be unique. The bound (221) is the spherical form used here of the entropy-production bounds on FDT violation of Cugliandolo, Dean, and Kurchan [54, arXiv version 2, equations (12)–(13), p. 3, and (18), p. 4]. The common majorant in (221) is proved in Theorem 5.3 , and the whole-row conclusions below are proved here. It shows that the defect is uniformly small when the earlier time is late. The row [ 0 , t ] [0,t] [ 0 , t ] grows with t t t , however, and this alone does not control the defect on the whole row. The next theorem shows that the integral of the squared defect over the row nevertheless tends to zero.
Theorem 11.5 (Strong backward FDT). Fix p ≥ 3 p\ge3 p ≥ 3 and β > 0 \beta>0 β > 0 . Then
lim t → ∞ sup 0 ≤ s ≤ S ∣ ∂ s C ( t , s ) ∣ = 0 for each fixed 0 ≤ S < ∞ , lim t → ∞ ∫ 0 t ∣ E ( t , s ) ∣ 2 d s = 0. (222) \lim_{t\to\infty}\sup_{0\le s\le S}\lvert\partial_s C(t,s)\rvert=0 \quad\text{for each fixed }0\le S<\infty,\qquad\lim_{t\to\infty}\int_0^t\lvert E(t,s)\rvert^2\,\mathrm{d}s=0. \tag*{(222)} t → ∞ lim 0 ≤ s ≤ S sup ∣ ∂ s C ( t , s )∣ = 0 for each fixed 0 ≤ S < ∞ , t → ∞ lim ∫ 0 t ∣ E ( t , s ) ∣ 2 d s = 0. (222) Further, if g t ( v ) = 1 [ 0 , t ] ( v ) ∂ s C ( t , t − v ) g_t(v)=\mathbf{1}_{[0,t]}(v)\partial_s C(t,t-v) g t ( v ) = 1 [ 0 , t ] ( v ) ∂ s C ( t , t − v ) , then
lim t → ∞ ∥ g t − r ∥ L 2 ( 0 , ∞ ) = 0. (223) \lim_{t\to\infty}\lVert g_t-r\rVert_{L^2(0,\infty)}=0. \tag*{(223)} t → ∞ lim ∥ g t − r ∥ L 2 ( 0 , ∞ ) = 0. (223)
For t > 0 t>0 t > 0 , the earlier derivative at s = 0 s=0 s = 0 is the right derivative. At s = t > 0 s=t>0 s = t > 0 , it is the left derivative of u ↦ C ( t , u ) u\mapsto C(t,u) u ↦ C ( t , u ) and equals 1 1 1 ; we set E ( t , t ) = 0 E(t,t)=0 E ( t , t ) = 0 .
Proof. We proceed in three steps. First, we represent the colored memory term of the Green identity through feature vectors. A positivity argument, together with forgetting, shows that this term is negligible on every bounded interval of earlier times. Second, we differentiate the Green identity in its earlier time. This expresses ∂ s C ( t , s ) \partial_s C(t,s) ∂ s C ( t , s ) through C C C , R R R , and the colored term, and it proves the first claim in (222) . Third, the Fisher majorant allows dominated convergence over the whole row, and Theorem 11.1 implies (223) .
Step 1: the colored term forgets bounded earlier intervals. For s ≥ 0 s\ge0 s ≥ 0 , let ϕ s = v s ⊗ ( p − 1 ) ∈ H ⊗ ( p − 1 ) \phi_s=v_s^{\otimes(p-1)}\in\mathcal{H}^{\otimes(p-1)} ϕ s = v s ⊗ ( p − 1 ) ∈ H ⊗ ( p − 1 ) . These are unit vectors with ⟨ ϕ u , ϕ s ⟩ = C ( u , s ) p − 1 \langle\phi_u,\phi_s\rangle=C(u,s)^{p-1} ⟨ ϕ u , ϕ s ⟩ = C ( u , s ) p − 1 and ∥ ϕ u − ϕ s ∥ 2 = 2 [ 1 − C ( u , s ) p − 1 ] \lVert\phi_u-\phi_s\rVert^2=2[1-C(u,s)^{p-1}] ∥ ϕ u − ϕ s ∥ 2 = 2 [ 1 − C ( u , s ) p − 1 ] . In particular, s ↦ ϕ s s\mapsto\phi_s s ↦ ϕ s is norm continuous. We define
F t = ∫ 0 t R ( t , u ) ϕ u d u , K ( t , s ) = ⟨ F t , ϕ s ⟩ = ∫ 0 t R ( t , u ) C ( u , s ) p − 1 d u , F_t=\int_0^t R(t,u)\phi_u\,\mathrm{d}u,\qquad\mathcal{K}(t,s)=\langle F_t,\phi_s\rangle=\int_0^t R(t,u)C(u,s)^{p-1}\,\mathrm{d}u, F t = ∫ 0 t R ( t , u ) ϕ u d u , K ( t , s ) = ⟨ F t , ϕ s ⟩ = ∫ 0 t R ( t , u ) C ( u , s ) p − 1 d u ,
where the first integral is a Bochner integral of a continuous function on [ 0 , t ] [0,t] [ 0 , t ] . Note that K ( t , s ) ≥ 0 \mathcal{K}(t,s) \ge0 K ( t , s ) ≥ 0 . When s = t s=t s = t , the colored memory term in the Green identity (65) equals β 2 p ∥ F t ∥ 2 \beta^2p\|F_t\|^2 β 2 p ∥ F t ∥ 2 . Since all three terms of (65) are nonnegative, we obtain β 2 p ∥ F t ∥ 2 ≤ C ( t , t ) = 1 \beta^2p\|F_t\|^2 \le C(t,t)=1 β 2 p ∥ F t ∥ 2 ≤ C ( t , t ) = 1 . By the Cauchy–Schwarz inequality, we have, for all t , s , v ≥ 0 t,s,v \ge0 t , s , v ≥ 0 ,
∣ K ( t , s ) − K ( t , v ) ∣ ≤ ( β 2 p ) − 1 / 2 2 [ 1 − C ( s , v ) p − 1 ] . (224) |\mathcal{K}(t,s)-\mathcal{K}(t,v)| \le(\beta^2p)^{-1/2}\sqrt{2[1-C(s,v)^{p-1}]}. \tag*{(224)} ∣ K ( t , s ) − K ( t , v ) ∣ ≤ ( β 2 p ) − 1/2 2 [ 1 − C ( s , v ) p − 1 ] . (224)
This modulus does not depend on t t t . For s ≤ t s \le t s ≤ t , Fubini’s theorem expresses the colored memory term in (4.10) as β 2 p ∫ 0 s R ( s , v ) K ( t , v ) d v \beta^2p\int_0^s R(s,v)\mathcal{K}(t,v)\,\mathrm{d}v β 2 p ∫ 0 s R ( s , v ) K ( t , v ) d v . The other two terms are nonnegative, and therefore
C ( t , s ) ≥ β 2 p ∫ 0 s R ( s , v ) K ( t , v ) d v . (225) C(t,s) \ge\beta^2p\int_0^s R(s,v)\mathcal{K}(t,v)\,\mathrm{d}v. \tag*{(225)} C ( t , s ) ≥ β 2 p ∫ 0 s R ( s , v ) K ( t , v ) d v . (225)
We claim that K ( t , s ) → 0 \mathcal{K}(t,s) \to0 K ( t , s ) → 0 as t → ∞ t \to\infty t → ∞ , for every fixed s > 0 s>0 s > 0 . Suppose instead that K ( t n , s ) ≥ ε \mathcal{K}(t_n,s) \ge\varepsilon K ( t n , s ) ≥ ε along a sequence t n → ∞ t_n \to\infty t n → ∞ , for some ε > 0 \varepsilon>0 ε > 0 . Since C C C is continuous and C ( s , s ) = 1 C(s,s)=1 C ( s , s ) = 1 , there exists h ∈ ( 0 , s ] h \in(0,s] h ∈ ( 0 , s ] such that the right side of (224) is at most ε / 2 \varepsilon/2 ε /2 for v ∈ [ s − h , s ] v \in[s-h,s] v ∈ [ s − h , s ] . Then K ( t n , v ) ≥ ε / 2 \mathcal{K}(t_n,v) \ge\varepsilon/2 K ( t n , v ) ≥ ε /2 on [ s − h , s ] [s-h,s] [ s − h , s ] . Inserting this and the lower bound (209) into (225) , we obtain
C ( t n , s ) ≥ β 2 p ε 2 ∫ s − h s e − Λ ( s − v ) d v = β 2 p ε 2 Λ ( 1 − e − Λ h ) > 0 , C(t_n,s) \ge\frac{\beta^2p\varepsilon}{2}\int_{s-h}^s e^{-\Lambda(s-v)}\,\mathrm{d}v = \frac{\beta^2p\varepsilon}{2\Lambda}(1-e^{-\Lambda h})>0, C ( t n , s ) ≥ 2 β 2 pε ∫ s − h s e − Λ ( s − v ) d v = 2Λ β 2 pε ( 1 − e − Λ h ) > 0 ,
which contradicts C ( t n , s ) → 0 C(t_n,s) \to0 C ( t n , s ) → 0 from (149) . For s = 0 s=0 s = 0 and any s ′ > 0 s'>0 s ′ > 0 , (224) implies that K ( t , 0 ) ≤ K ( t , s ′ ) + ( β 2 p ) − 1 / 2 2 [ 1 − C ( s ′ , 0 ) p − 1 ] \mathcal{K}(t,0) \le\mathcal{K}(t,s')+(\beta^2p)^{-1/2}\sqrt{2[1-C(s',0)^{p-1}]} K ( t , 0 ) ≤ K ( t , s ′ ) + ( β 2 p ) − 1/2 2 [ 1 − C ( s ′ , 0 ) p − 1 ] . Letting t → ∞ t \to\infty t → ∞ and then s ′ ↓ 0 s' \downarrow0 s ′ ↓ 0 , we find K ( t , 0 ) → 0 \mathcal{K}(t,0) \to0 K ( t , 0 ) → 0 .
Finally, fix S S S and ε > 0 \varepsilon>0 ε > 0 . The correlation is uniformly continuous on [ 0 , S ] 2 [0,S]^2 [ 0 , S ] 2 with C ( s , s ) = 1 C(s,s)=1 C ( s , s ) = 1 . Hence there exists a finite set { s 1 , … , s k } ⊂ [ 0 , S ] \{s_1,\ldots,s_k\} \subset[0,S] { s 1 , … , s k } ⊂ [ 0 , S ] such that every s ∈ [ 0 , S ] s \in[0,S] s ∈ [ 0 , S ] has some s i s_i s i with ( β 2 p ) − 1 / 2 2 [ 1 − C ( s , s i ) p − 1 ] ≤ ε (\beta^2p)^{-1/2}\sqrt{2[1-C(s,s_i)^{p-1}]} \le\varepsilon ( β 2 p ) − 1/2 2 [ 1 − C ( s , s i ) p − 1 ] ≤ ε . Then (224) implies that sup 0 ≤ s ≤ S K ( t , s ) ≤ max i K ( t , s i ) + ε \sup_{0\le s\le S}\mathcal{K}(t,s) \le\max_i \mathcal{K}(t,s_i)+\varepsilon sup 0 ≤ s ≤ S K ( t , s ) ≤ max i K ( t , s i ) + ε . Letting t → ∞ t \to\infty t → ∞ and then ε ↓ 0 \varepsilon\downarrow0 ε ↓ 0 , we conclude that
lim t → ∞ sup 0 ≤ s ≤ S K ( t , s ) = 0. (226) \lim_{t\to\infty}\sup_{0\le s\le S}\mathcal{K}(t,s)=0. \tag*{(226)} t → ∞ lim 0 ≤ s ≤ S sup K ( t , s ) = 0. (226)
Step 2: the backward correlation equation. Fix t > 0 t>0 t > 0 . By the Green identity (65) and Fubini’s theorem, we have, for 0 ≤ s ≤ t 0\le s\le t 0 ≤ s ≤ t ,
C ( t , s ) = R ( t , 0 ) R ( s , 0 ) + 2 ∫ 0 s R ( t , u ) R ( s , u ) d u + β 2 p ∫ 0 s R ( s , v ) K ( t , v ) d v . C(t,s)=R(t,0)R(s,0)+2\int_0^s R(t,u)R(s,u)\,\mathrm{d}u+\beta^2p\int_0^s R(s,v)\mathcal{K}(t,v)\,\mathrm{d}v. C ( t , s ) = R ( t , 0 ) R ( s , 0 ) + 2 ∫ 0 s R ( t , u ) R ( s , u ) d u + β 2 p ∫ 0 s R ( s , v ) K ( t , v ) d v .
By Proposition 4.5, the derivative ∂ 1 R \partial_1R ∂ 1 R is continuous on each compact causal triangle, and K ( t , ⋅ ) \mathcal{K}(t,\cdot) K ( t , ⋅ ) is continuous. We may therefore differentiate in s ∈ ( 0 , t ) s\in(0,t) s ∈ ( 0 , t ) under the integral signs. Using R ( s , s ) = 1 R(s,s)=1 R ( s , s ) = 1 , we obtain
∂ s C ( t , s ) = 2 R ( t , s ) + β 2 p K ( t , s ) + R ( t , 0 ) ∂ 1 R ( s , 0 ) + 2 ∫ 0 s R ( t , u ) ∂ 1 R ( s , u ) d u + β 2 p ∫ 0 s ∂ 1 R ( s , v ) K ( t , v ) d v . \partial_s C(t,s)=2R(t,s)+\beta^2p\mathcal{K}(t,s)+R(t,0)\partial_1R(s,0)
+2\int_0^s R(t,u)\partial_1R(s,u)\,\mathrm{d}u+\beta^2p\int_0^s \partial_1R(s,v)\mathcal{K}(t,v)\,\mathrm{d}v. ∂ s C ( t , s ) = 2 R ( t , s ) + β 2 p K ( t , s ) + R ( t , 0 ) ∂ 1 R ( s , 0 ) + 2 ∫ 0 s R ( t , u ) ∂ 1 R ( s , u ) d u + β 2 p ∫ 0 s ∂ 1 R ( s , v ) K ( t , v ) d v .
The first two terms are the boundary terms of the thermal and colored integrals. We now insert the response equation (3.9), which reads ∂ 1 R ( s , v ) = − λ ( s ) R ( s , v ) + ∫ v s Σ ( s , w ) R ( w , v ) d w \partial_1R(s,v)=-\lambda(s)R(s,v)+\int_v^s\Sigma(s,w)R(w,v)\,\mathrm{d}w ∂ 1 R ( s , v ) = − λ ( s ) R ( s , v ) + ∫ v s Σ ( s , w ) R ( w , v ) d w with Σ ( s , w ) = β 2 p ( p − 1 ) C ( s , w ) p − 2 R ( s , w ) \Sigma(s,w)=\beta^2p(p-1)C(s,w)^{p-2}R(s,w) Σ ( s , w ) = β 2 p ( p − 1 ) C ( s , w ) p − 2 R ( s , w ) . The terms with − λ ( s ) -\lambda(s) − λ ( s ) reproduce − λ ( s ) -\lambda(s) − λ ( s ) times the Green representation of C ( t , s ) C(t,s) C ( t , s ) . In the memory terms, we exchange the order of integration on the triangle { 0 ≤ u ≤ w ≤ s } \{0\le u\le w\le s\} { 0 ≤ u ≤ w ≤ s } , and they become
∫ 0 s Σ ( s , w ) [ R ( t , 0 ) R ( w , 0 ) + 2 ∫ 0 w R ( t , u ) R ( w , u ) d u + β 2 p ∫ 0 w R ( w , v ) K ( t , v ) d v ] d w . \int_0^s\Sigma(s,w)\left[R(t,0)R(w,0)+2\int_0^wR(t,u)R(w,u)\,\mathrm{d}u+\beta^2p\int_0^wR(w,v)K(t,v)\,\mathrm{d}v\right]\mathrm{d}w. ∫ 0 s Σ ( s , w ) [ R ( t , 0 ) R ( w , 0 ) + 2 ∫ 0 w R ( t , u ) R ( w , u ) d u + β 2 p ∫ 0 w R ( w , v ) K ( t , v ) d v ] d w .
By the Green identity at ( t , w ) (t,w) ( t , w ) , the bracket equals C ( t , w ) C(t,w) C ( t , w ) . We have shown that, for 0 < s < t 0<s<t 0 < s < t ,
∂ s C ( t , s ) = − λ ( s ) C ( t , s ) + 2 R ( t , s ) + β 2 p ( p − 1 ) ∫ 0 s C ( s , u ) p − 2 R ( s , u ) C ( t , u ) d u + β 2 p K ( t , s ) . (227) \partial_sC(t,s)=-\lambda(s)C(t,s)+2R(t,s)+\beta^2p(p-1)\int_0^sC(s,u)^{p-2}R(s,u)C(t,u)\,\mathrm{d}u+\beta^2pK(t,s). \tag*{(227)} ∂ s C ( t , s ) = − λ ( s ) C ( t , s ) + 2 R ( t , s ) + β 2 p ( p − 1 ) ∫ 0 s C ( s , u ) p − 2 R ( s , u ) C ( t , u ) d u + β 2 p K ( t , s ) . (227)
All integrations and differentiations here take place on finite rectangles, where the integrands are continuous and bounded. The right side of (11.20) is continuous on [ 0 , t ] [0,t] [ 0 , t ] , so it also gives the right derivative at s = 0 s=0 s = 0 and the left derivative at s = t s=t s = t .
As a check, we let s ↑ t s\uparrow t s ↑ t . Using the definition of K \mathcal{K} K and (3.11), we find
β 2 p K ( t , t ) + β 2 p ( p − 1 ) ∫ 0 t C ( t , u ) p − 1 R ( t , u ) d u = β 2 p 2 ∫ 0 t C ( t , u ) p − 1 R ( t , u ) d u = λ ( t ) − 1. \beta^2p\mathcal{K}(t,t)+\beta^2p(p-1)\int_0^tC(t,u)^{p-1}R(t,u)\,\mathrm{d}u=\beta^2p^2\int_0^tC(t,u)^{p-1}R(t,u)\,\mathrm{d}u=\lambda(t)-1. β 2 p K ( t , t ) + β 2 p ( p − 1 ) ∫ 0 t C ( t , u ) p − 1 R ( t , u ) d u = β 2 p 2 ∫ 0 t C ( t , u ) p − 1 R ( t , u ) d u = λ ( t ) − 1.
Inserting this into (11.20), we obtain ∂ s C ( t , t − ) = − λ ( t ) + 2 + λ ( t ) − 1 = 1 \partial_sC(t,t-)=-\lambda(t)+2+\lambda(t)-1=1 ∂ s C ( t , t − ) = − λ ( t ) + 2 + λ ( t ) − 1 = 1 , and E ( t , t − ) = 0 E(t,t-)=0 E ( t , t − ) = 0 , as the unit diagonal response requires.
Now fix S S S and let t > S t>S t > S . Bounding C ( s , u ) p − 2 ≤ 1 C(s,u)^{p-2}\le1 C ( s , u ) p − 2 ≤ 1 and R ( s , u ) ≤ 1 R(s,u)\le1 R ( s , u ) ≤ 1 in (11.20), we have, for 0 ≤ s ≤ S 0\le s\le S 0 ≤ s ≤ S ,
∣ ∂ s C ( t , s ) ∣ ≤ ( Λ + β 2 p ( p − 1 ) S ) sup 0 ≤ u ≤ S C ( t , u ) + 2 sup 0 ≤ u ≤ S R ( t , u ) + β 2 p sup 0 ≤ u ≤ S K ( t , u ) . \left|\partial_sC(t,s)\right|\le\left(\Lambda+\beta^2p(p-1)S\right)\sup_{0\le u\le S}C(t,u)+2\sup_{0\le u\le S}R(t,u)+\beta^2p\sup_{0\le u\le S}\mathcal{K}(t,u). ∣ ∂ s C ( t , s ) ∣ ≤ ( Λ + β 2 p ( p − 1 ) S ) 0 ≤ u ≤ S sup C ( t , u ) + 2 0 ≤ u ≤ S sup R ( t , u ) + β 2 p 0 ≤ u ≤ S sup K ( t , u ) .
Each supremum tends to zero, by (8.12) and (11.19). This proves the first claim in (11.15).
Step 3: the whole row. Let E ~ t ( s ) = 1 ( 0 , t ) ( s ) E ( t , s ) \widetilde{E}_t(s)=\mathbf{1}_{(0,t)}(s)E(t,s) E t ( s ) = 1 ( 0 , t ) ( s ) E ( t , s ) for s > 0 s>0 s > 0 . For fixed s > 0 s>0 s > 0 , the first claim in (11.15) and (8.12) imply that E ~ t ( s ) → 0 \widetilde{E}_t(s)\to0 E t ( s ) → 0 as t → ∞ t\to\infty t → ∞ . Further, ∣ E ~ t ( s ) ∣ 2 ≤ a F ( s ) |\widetilde{E}_t(s)|^2\le a_F(s) ∣ E t ( s ) ∣ 2 ≤ a F ( s ) for all t t t by (11.14), and a F a_F a F is integrable on ( 0 , ∞ ) (0,\infty) ( 0 , ∞ ) . By the dominated convergence theorem, we conclude that
lim t → ∞ ∫ 0 t ∣ E ( t , s ) ∣ 2 d s = lim t → ∞ ∫ 0 ∞ ∣ E ~ t ( s ) ∣ 2 d s = 0. \lim_{t\to\infty}\int_0^t|E(t,s)|^2\,\mathrm{d}s=\lim_{t\to\infty}\int_0^\infty|\widetilde{E}_t(s)|^2\,\mathrm{d}s=0. t → ∞ lim ∫ 0 t ∣ E ( t , s ) ∣ 2 d s = t → ∞ lim ∫ 0 ∞ ∣ E t ( s ) ∣ 2 d s = 0.
This is the second claim in (11.15). After the change of variables s = t − v s=t-v s = t − v , we have ∥ g t − f t ∥ 2 2 = ∫ 0 t ∣ E ( t , s ) ∣ 2 d s \|g_t-f_t\|_2^2=\int_0^t|E(t,s)|^2\,\mathrm{d}s ∥ g t − f t ∥ 2 2 = ∫ 0 t ∣ E ( t , s ) ∣ 2 d s . Then Theorem 11.1 implies that ∥ g t − r ∥ 2 ≤ ∥ g t − f t ∥ 2 + ∥ f t − r ∥ 2 → 0 \|g_t-r\|_2\le\|g_t-f_t\|_2+\|f_t-r\|_2\to0 ∥ g t − r ∥ 2 ≤ ∥ g t − f t ∥ 2 + ∥ f t − r ∥ 2 → 0 , which is (11.16).
The proof does not require a unique limit of the Fisher information, nor a majorant chosen anew for each terminal time: one function a F a_F a F dominates every row. The positivity of C C C and R R R enters through (11.18).
The next corollary states that remote values of the response and of the earlier derivative are small, uniformly on the late triangle, and that remote correlations change little across a window of fixed length in the earlier time. It is used in Section 14.
Corollary 11.6 (Uniform remote decay and earlier smoothing). Fix p ≥ 3 p \ge3 p ≥ 3 and β > 0 \beta> 0 β > 0 . Then
lim D → ∞ lim sup S → ∞ sup s ≥ S , t ≥ s + D ( R ( t , s ) + ∣ ∂ s C ( t , s ) ∣ ) = 0. (228) \lim_{D \to\infty}\limsup_{S \to\infty}\sup_{s \ge S,\ t \ge s+D}\left(R(t,s)+\lvert\partial_s C(t,s)\rvert\right)=0. \tag*{(228)} D → ∞ lim S → ∞ lim sup s ≥ S , t ≥ s + D sup ( R ( t , s ) + ∣ ∂ s C ( t , s )∣ ) = 0. (228) More precisely, for each fixed D > 0 D>0 D > 0 ,
lim sup S → ∞ sup s ≥ S + D , t ≥ s + D ∫ s − D s ∣ ∂ u C ( t , u ) ∣ d u ≤ D ( ∫ D ∞ r ( v ) 2 d v ) 1 / 2 . (229) \limsup_{S \to\infty}\sup_{s \ge S+D,\ t \ge s+D}\int_{s-D}^{s}\lvert\partial_u C(t,u)\rvert\,du
\le\sqrt{D}\left(\int_D^\infty r(v)^2\,dv\right)^{1/2}. \tag*{(229)} S → ∞ lim sup s ≥ S + D , t ≥ s + D sup ∫ s − D s ∣ ∂ u C ( t , u )∣ d u ≤ D ( ∫ D ∞ r ( v ) 2 d v ) 1/2 . (229) If r ( v ) = O ( v − 1 − a ) r(v)=O(v^{-1-a}) r ( v ) = O ( v − 1 − a ) as v → ∞ v\to\infty v → ∞ for some a > 0 a>0 a > 0 , the right side of (11.22) is O ( D − a ) O(D^{-a}) O ( D − a ) as D → ∞ D\to\infty D → ∞ .
When β ≥ β d \beta\ge\beta_d β ≥ β d , Theorem 16.1 gives r ( v ) ∼ a A β v − 1 − a r(v)\sim aA_\beta v^{-1-a} r ( v ) ∼ a A β v − 1 − a , with the exponent a ∈ ( 0 , 1 / 2 ) a\in(0,1/2) a ∈ ( 0 , 1/2 ) defined there, and the last hypothesis holds.
Proof. Let
ϵ ( U ) = sup t ≥ U ∥ f t − r ∥ 2 , ϵ ∞ ( U ) = sup t ≥ U sup 0 ≤ s ≤ t ∣ R ( t , s ) − r ( t − s ) ∣ . \epsilon(U)=\sup_{t\ge U}\lVert f_t-r\rVert_2,\qquad\epsilon_\infty(U)=\sup_{t\ge U}\sup_{0\le s\le t}\lvert R(t,s)-r(t-s)\rvert. ϵ ( U ) = t ≥ U sup ∥ f t − r ∥ 2 , ϵ ∞ ( U ) = t ≥ U sup 0 ≤ s ≤ t sup ∣ R ( t , s ) − r ( t − s )∣ .
Both tend to zero as U → ∞ U\to\infty U → ∞ , by Theorem 11.1 and Corollary 11.2. For t > s > 0 t>s>0 t > s > 0 , we have ∣ ∂ s C ( t , s ) ∣ ≤ R ( t , s ) + a F ( s ) \lvert\partial_s C(t,s)\rvert\le R(t,s)+\sqrt{a_F(s)} ∣ ∂ s C ( t , s )∣ ≤ R ( t , s ) + a F ( s ) by (11.14).
For the pointwise statement, let s ≥ S s\ge S s ≥ S and t ≥ s + D t\ge s+D t ≥ s + D . As r r r is nonincreasing, R ( t , s ) ≤ r ( D ) + ϵ ∞ ( S + D ) R(t,s)\le r(D)+\epsilon_\infty(S+D) R ( t , s ) ≤ r ( D ) + ϵ ∞ ( S + D ) , which implies
R ( t , s ) + ∣ ∂ s C ( t , s ) ∣ ≤ 2 r ( D ) + 2 ϵ ∞ ( S + D ) + sup u ≥ S a F ( u ) . R(t,s)+\lvert\partial_s C(t,s)\rvert\le2r(D)+2\epsilon_\infty(S+D)+\sup_{u\ge S}\sqrt{a_F(u)}. R ( t , s ) + ∣ ∂ s C ( t , s )∣ ≤ 2 r ( D ) + 2 ϵ ∞ ( S + D ) + u ≥ S sup a F ( u ) .
We take S → ∞ S\to\infty S → ∞ , using (11.14), and then D → ∞ D\to\infty D → ∞ . This proves (11.21).
For the integrated statement, fix D > 0 D>0 D > 0 , and let s ≥ S + D s\ge S+D s ≥ S + D and t ≥ s + D t\ge s+D t ≥ s + D . Then [ s − D , s ] ⊂ [ S , t − D ] [s-D,s]\subset[S,t-D] [ s − D , s ] ⊂ [ S , t − D ] and t ≥ S + 2 D t\ge S+2D t ≥ S + 2 D . Recall that μ ( [ S , ∞ ) ) = ∫ S ∞ a F ( u ) d u \mu([S,\infty))=\int_S^\infty a_F(u)\,du μ ([ S , ∞ )) = ∫ S ∞ a F ( u ) d u , where μ \mu μ is the measure of (5.14). By the Cauchy–Schwarz inequality,
∫ s − D s ∣ ∂ u C ( t , u ) ∣ d u ≤ D ( ∫ s − D s R ( t , u ) 2 d u ) 1 / 2 + D μ ( [ S , ∞ ) ) ≤ D S 2 ( t , D ) 1 / 2 + D μ ( [ S , ∞ ) ) . \int_{s-D}^{s}\lvert\partial_u C(t,u)\rvert\,du
\le\sqrt{D}\left(\int_{s-D}^{s}R(t,u)^2\,du\right)^{1/2}+\sqrt{D\mu([S,\infty))}
\le\sqrt{D}\,S_2(t,D)^{1/2}+\sqrt{D\mu([S,\infty))}. ∫ s − D s ∣ ∂ u C ( t , u )∣ d u ≤ D ( ∫ s − D s R ( t , u ) 2 d u ) 1/2 + D μ ([ S , ∞ )) ≤ D S 2 ( t , D ) 1/2 + D μ ([ S , ∞ )) .
As in Step 4 of the proof of Theorem 11.1, we have S 2 ( t , D ) 1 / 2 ≤ ( ∫ D ∞ r 2 ) 1 / 2 + ∥ f t − r ∥ 2 S_2(t,D)^{1/2} \le\left(\int_D^\infty r^2\right)^{1/2}+\lVert f_t-r\rVert_2 S 2 ( t , D ) 1/2 ≤ ( ∫ D ∞ r 2 ) 1/2 + ∥ f t − r ∥ 2 . The supremum in (229) is therefore at most
D [ ( ∫ D ∞ r ( v ) 2 d v ) 1 / 2 + ϵ ( S + 2 D ) ] + D μ ( [ S , ∞ ) ) . \sqrt{D}\left[\left(\int_D^\infty r(v)^2\,\mathrm{d}v\right)^{1/2}+\epsilon(S+2D)\right]+\sqrt{D\mu([S,\infty))}. D [ ( ∫ D ∞ r ( v ) 2 d v ) 1/2 + ϵ ( S + 2 D ) ] + D μ ([ S , ∞ )) .
Since a F a_F a F is integrable, μ ( [ S , ∞ ) ) → 0 \mu([S,\infty))\to0 μ ([ S , ∞ )) → 0 , and letting S → ∞ S\to\infty S → ∞ proves (229) . Finally, if r ( v ) ≤ A 0 v − 1 − a r(v)\le A_0v^{-1-a} r ( v ) ≤ A 0 v − 1 − a for v ≥ v 0 v\ge v_0 v ≥ v 0 , then for D ≥ v 0 D\ge v_0 D ≥ v 0 we have
D ( ∫ D ∞ r ( v ) 2 d v ) 1 / 2 ≤ D ( A 0 2 D − 1 − 2 a 1 + 2 a ) 1 / 2 = A 0 1 + 2 a D − a . \sqrt{D}\left(\int_D^\infty r(v)^2\,\mathrm{d}v\right)^{1/2}\le\sqrt{D}\left(\frac{A_0^2D^{-1-2a}}{1+2a}\right)^{1/2}=\frac{A_0}{\sqrt{1+2a}}D^{-a}. D ( ∫ D ∞ r ( v ) 2 d v ) 1/2 ≤ D ( 1 + 2 a A 0 2 D − 1 − 2 a ) 1/2 = 1 + 2 a A 0 D − a .
This completes the proof.
The direct thermal covariance
The Green identity (65) splits C ( t , s ) C(t,s) C ( t , s ) into an initial term, a thermal term, which comes directly from the white noise, and a colored memory term. We define the thermal term and its stationary counterpart by
B ( t , s ) = 2 ∫ 0 t ∧ s R ( t , u ) R ( s , u ) d u , b t h ( τ ) = 2 ∫ 0 ∞ r ( τ + v ) r ( v ) d v . B(t,s)=2\int_0^{t\wedge s}R(t,u)R(s,u)\,\mathrm{d}u,\qquad b_{\mathrm{th}}(\tau)=2\int_0^\infty r(\tau+v)r(v)\,\mathrm{d}v. B ( t , s ) = 2 ∫ 0 t ∧ s R ( t , u ) R ( s , u ) d u , b th ( τ ) = 2 ∫ 0 ∞ r ( τ + v ) r ( v ) d v .
We say that a sequence of pairs ( t n , s n ) (t_n,s_n) ( t n , s n ) with t n ≥ s n t_n\ge s_n t n ≥ s n is a late pair with diverging lag if s n → ∞ s_n\to\infty s n → ∞ and t n − s n → ∞ t_n-s_n\to\infty t n − s n → ∞ .
Corollary 11.7 (Thermal covariance on the full late triangle). Fix p ≥ 3 p\ge3 p ≥ 3 and β > 0 \beta>0 β > 0 . Then
lim S → ∞ sup t ≥ s ≥ S ∣ B ( t , s ) − b t h ( t − s ) ∣ = 0. (230) \lim_{S\to\infty}\sup_{t\ge s\ge S}\lvert B(t,s)-b_{\mathrm{th}}(t-s)\rvert=0. \tag*{(230)} S → ∞ lim t ≥ s ≥ S sup ∣ B ( t , s ) − b th ( t − s )∣ = 0. (230)
The function b t h b_{\mathrm{th}} b th is completely monotone on ( 0 , ∞ ) (0,\infty) ( 0 , ∞ ) and tends to zero at infinity. In particular, B ( t n , s n ) → 0 B(t_n,s_n)\to0 B ( t n , s n ) → 0 along every late pair with diverging lag, and B ( t , t ) → 2 ∫ 0 ∞ r ( v ) 2 d v B(t,t)\to2\int_0^\infty r(v)^2\,\mathrm{d}v B ( t , t ) → 2 ∫ 0 ∞ r ( v ) 2 d v . If C ( t n , s n ) → c 0 C(t_n,s_n)\to c_0 C ( t n , s n ) → c 0 along a late pair with diverging lag, then
lim n → ∞ β 2 p ∫ 0 t n ∫ 0 s n R ( t n , u ) R ( s n , v ) C ( u , v ) p − 1 d v d u = c 0 . (231) \lim_{n\to\infty}\beta^2p\int_0^{t_n}\int_0^{s_n}R(t_n,u)R(s_n,v)C(u,v)^{p-1}\,\mathrm{d}v\,\mathrm{d}u=c_0. \tag*{(231)} n → ∞ lim β 2 p ∫ 0 t n ∫ 0 s n R ( t n , u ) R ( s n , v ) C ( u , v ) p − 1 d v d u = c 0 . (231)
If r ( τ ) ∼ a A τ − 1 − a r(\tau)\sim aA\tau^{-1-a} r ( τ ) ∼ a A τ − 1 − a as τ → ∞ \tau\to\infty τ → ∞ for some constants a , A > 0 a,A>0 a , A > 0 , then
b t h ( τ ) ∼ 2 ( 1 − q ) r ( τ ) ∼ 2 ( 1 − q ) a A τ − 1 − a . (232) b_{\mathrm{th}}(\tau)\sim2(1-q)r(\tau)\sim2(1-q)aA\tau^{-1-a}. \tag*{(232)} b th ( τ ) ∼ 2 ( 1 − q ) r ( τ ) ∼ 2 ( 1 − q ) a A τ − 1 − a . (232)
By Theorem 16.1, the hypothesis of the last assertion holds when β ≥ β d \beta\ge\beta_d β ≥ β d , with A = A β A=A_\beta A = A β . The identity (231) says that any correlation retained along a late pair with diverging lag comes from the colored memory term, with its whole integration rectangle.
Proof. Let τ = t − s ≥ 0 \tau= t-s \ge0 τ = t − s ≥ 0 . After the substitution u = s − v u=s-v u = s − v , the zero extension (210) gives
B ( t , s ) = 2 ∫ 0 ∞ f t ( τ + v ) f s ( v ) d v . B(t,s)=2\int_{0}^{\infty}f_t(\tau+v)f_s(v)\,\mathrm{d}v. B ( t , s ) = 2 ∫ 0 ∞ f t ( τ + v ) f s ( v ) d v .
because f s ( v ) = 0 f_s(v)=0 f s ( v ) = 0 for v > s v>s v > s . Let ( T τ g ) ( v ) = g ( τ + v ) (T_\tau g)(v)=g(\tau+v) ( T τ g ) ( v ) = g ( τ + v ) ; this translation is a contraction of L 2 ( 0 , ∞ ) L^2(0,\infty) L 2 ( 0 , ∞ ) . Then B ( t , s ) = 2 ⟨ T τ f t , f s ⟩ B(t,s)=2\langle T_\tau f_t,f_s\rangle B ( t , s ) = 2 ⟨ T τ f t , f s ⟩ and b t h ( τ ) = 2 ⟨ T τ r , r ⟩ b_{\mathrm{th}}(\tau)=2\langle T_\tau r,r\rangle b th ( τ ) = 2 ⟨ T τ r , r ⟩ . Using ∥ f s ∥ 2 , ∥ r ∥ 2 ≤ 1 / 2 \lVert f_s\rVert_2,\lVert r\rVert_2\le1/\sqrt{2} ∥ f s ∥ 2 , ∥ r ∥ 2 ≤ 1/ 2 , we have
∣ B ( t , s ) − b t h ( τ ) ∣ ≤ 2 ∣ ⟨ T τ ( f t − r ) , f s ⟩ ∣ + 2 ∣ ⟨ T τ r , f s − r ⟩ ∣ ≤ 2 ( ∥ f t − r ∥ 2 + ∥ f s − r ∥ 2 ) , \left|B(t,s)-b_{\mathrm{th}}(\tau)\right|\le2\left|\langle T_\tau(f_t-r),f_s\rangle\right|+2\left|\langle T_\tau r,f_s-r\rangle\right|\le\sqrt{2}\left(\lVert f_t-r\rVert_2+\lVert f_s-r\rVert_2\right), ∣ B ( t , s ) − b th ( τ ) ∣ ≤ 2 ∣ ⟨ T τ ( f t − r ) , f s ⟩ ∣ + 2 ∣ ⟨ T τ r , f s − r ⟩ ∣ ≤ 2 ( ∥ f t − r ∥ 2 + ∥ f s − r ∥ 2 ) ,
uniformly in τ ≥ 0 \tau\ge0 τ ≥ 0 . With ϵ ( S ) = sup t ≥ S ∥ f t − r ∥ 2 \epsilon(S)=\sup_{t\ge S}\lVert f_t-r\rVert_2 ϵ ( S ) = sup t ≥ S ∥ f t − r ∥ 2 , the left side of (230) is at most 2 2 ϵ ( S ) 2\sqrt{2}\epsilon(S) 2 2 ϵ ( S ) , which tends to zero by Theorem 11.1.
Next, we write c ( v ) = q + ∫ ( 0 , ∞ ) e − x v ν ( d x ) c(v)=q+\int_{(0,\infty)}e^{-xv}\nu(\mathrm{d}x) c ( v ) = q + ∫ ( 0 , ∞ ) e − xv ν ( d x ) as in (135) . Let σ ( d x ) = x ν ( d x ) \sigma(\mathrm{d}x)=x\nu(\mathrm{d}x) σ ( d x ) = xν ( d x ) on ( 0 , ∞ ) (0,\infty) ( 0 , ∞ ) . Then r ( v ) = ∫ ( 0 , ∞ ) e − x v σ ( d x ) r(v)=\int_{(0,\infty)}e^{-xv}\sigma(\mathrm{d}x) r ( v ) = ∫ ( 0 , ∞ ) e − xv σ ( d x ) for v > 0 v>0 v > 0 , and σ ( ( 0 , ∞ ) ) = lim v ↓ 0 r ( v ) = 1 \sigma((0,\infty))=\lim_{v\downarrow0}r(v)=1 σ (( 0 , ∞ )) = lim v ↓ 0 r ( v ) = 1 by monotone convergence. By Tonelli’s theorem,
b t h ( τ ) = 2 ∫ ( 0 , ∞ ) 2 e − x τ x + y σ ( d x ) σ ( d y ) = ∫ ( 0 , ∞ ) e − x τ ρ t h ( d x ) , b_{\mathrm{th}}(\tau)=2\int_{(0,\infty)^2}\frac{e^{-x\tau}}{x+y}\,\sigma(\mathrm{d}x)\sigma(\mathrm{d}y)=\int_{(0,\infty)}e^{-x\tau}\rho_{\mathrm{th}}(\mathrm{d}x), b th ( τ ) = 2 ∫ ( 0 , ∞ ) 2 x + y e − xτ σ ( d x ) σ ( d y ) = ∫ ( 0 , ∞ ) e − xτ ρ th ( d x ) ,
where ρ t h ( d x ) = 2 σ ( d x ) ∫ ( 0 , ∞ ) ( x + y ) − 1 σ ( d y ) \rho_{\mathrm{th}}(\mathrm{d}x)=2\sigma(\mathrm{d}x)\int_{(0,\infty)}(x+y)^{-1}\sigma(\mathrm{d}y) ρ th ( d x ) = 2 σ ( d x ) ∫ ( 0 , ∞ ) ( x + y ) − 1 σ ( d y ) . The measure ρ t h \rho_{\mathrm{th}} ρ th is positive with total mass b t h ( 0 ) = 2 ∥ r ∥ 2 2 ≤ 1 b_{\mathrm{th}}(0)=2\lVert r\rVert_2^2\le1 b th ( 0 ) = 2 ∥ r ∥ 2 2 ≤ 1 . Hence b t h b_{\mathrm{th}} b th is the Laplace transform of a finite positive measure on ( 0 , ∞ ) (0,\infty) ( 0 , ∞ ) , and it is completely monotone on ( 0 , ∞ ) (0,\infty) ( 0 , ∞ ) . Also b t h ( τ ) ≤ 2 ∥ r ∥ 2 ∥ 1 [ τ , ∞ ) r ∥ 2 → 0 b_{\mathrm{th}}(\tau)\le2\lVert r\rVert_2\lVert\mathbf{1}_{[\tau,\infty)}r\rVert_2\to0 b th ( τ ) ≤ 2 ∥ r ∥ 2 ∥ 1 [ τ , ∞ ) r ∥ 2 → 0 .
Along a late pair with diverging lag, we have ∣ B ( t n , s n ) ∣ ≤ ∣ B ( t n , s n ) − b t h ( t n − s n ) ∣ + b t h ( t n − s n ) → 0 \left|B(t_n,s_n)\right|\le\left|B(t_n,s_n)-b_{\mathrm{th}}(t_n-s_n)\right|+b_{\mathrm{th}}(t_n-s_n)\to0 ∣ B ( t n , s n ) ∣ ≤ ∣ B ( t n , s n ) − b th ( t n − s n ) ∣ + b th ( t n − s n ) → 0 . Taking τ = 0 \tau=0 τ = 0 in (230) , we find B ( t , t ) → b t h ( 0 ) = 2 ∥ r ∥ 2 2 B(t,t)\to b_{\mathrm{th}}(0)=2\lVert r\rVert_2^2 B ( t , t ) → b th ( 0 ) = 2 ∥ r ∥ 2 2 . The initial term of the Green identity satisfies 0 ≤ R ( t n , 0 ) R ( s n , 0 ) ≤ R ( t n , 0 ) → 0 0\le R(t_n,0)R(s_n,0)\le R(t_n,0)\to0 0 ≤ R ( t n , 0 ) R ( s n , 0 ) ≤ R ( t n , 0 ) → 0 , by (149) . Subtracting the initial and thermal terms from (65) at ( t n , s n ) (t_n,s_n) ( t n , s n ) proves (231) .
For (232) , note that r > 0 r>0 r > 0 by Proposition 6.1 , and that
b t h ( τ ) r ( τ ) = 2 ∫ 0 ∞ r ( τ + v ) r ( τ ) r ( v ) d v . \frac{b_{\mathrm{th}}(\tau)}{r(\tau)}=2\int_{0}^{\infty}\frac{r(\tau+v)}{r(\tau)}r(v)\,\mathrm{d}v. r ( τ ) b th ( τ ) = 2 ∫ 0 ∞ r ( τ ) r ( τ + v ) r ( v ) d v .
As r r r is nonincreasing, the ratio r ( τ + v ) / r ( τ ) r(\tau+v)/r(\tau) r ( τ + v ) / r ( τ ) lies in [ 0 , 1 ] [0,1] [ 0 , 1 ] . It tends to one for each fixed v v v , by the assumed asymptotics. The measure r ( v ) d v r(v)\,\mathrm{d}v r ( v ) d v has finite mass 1 − q 1-q 1 − q . Using dominated convergence, we find b t h ( τ ) / r ( τ ) → 2 ( 1 − q ) b_{\mathrm{th}}(\tau)/r(\tau)\to2(1-q) b th ( τ ) / r ( τ ) → 2 ( 1 − q ) . □ \square □
Remark 11.8 (Square integrable versus integrated response). The convergence statements of this section concern L 2 L^2 L 2 norms and uniform norms of rows. A slowly varying contribution spread over a growing part of the row can have vanishing squared norm and a positive integral. This happens for the response in the cubic model. For p = 3 p=3 p = 3 and β ≥ 4 / 3 \beta\ge\sqrt{4/3} β ≥ 4/3 , Theorem 14.7 gives lim inf t χ ( t , 0 ) ≥ 2 ( 1 − q ) \liminf_{t}\chi(t,0)\ge2(1-q) lim inf t χ ( t , 0 ) ≥ 2 ( 1 − q ) , while ∫ 0 L f t ( v ) d v → ∫ 0 L r ( v ) d v ≤ 1 − q \int_{0}^{L}f_t(v)\,\mathrm{d}v\to\int_{0}^{L}r(v)\,\mathrm{d}v\le1-q ∫ 0 L f t ( v ) d v → ∫ 0 L r ( v ) d v ≤ 1 − q for each fixed L L L . We conclude that, for every fixed L L L ,
lim inf t → ∞ ∫ 0 t − L R ( t , u ) d u ≥ 1 − q > 0 , \liminf_{t\to\infty}\int_{0}^{t-L}R(t,u)\,\mathrm{d}u\ge1-q>0, t → ∞ lim inf ∫ 0 t − L R ( t , u ) d u ≥ 1 − q > 0 ,
although ∫ 0 t − L R ( t , u ) 2 d u → ∫ L ∞ r 2 \int_0^{t-L} R(t,u)^2\,\mathrm{d}u \to\int_L^\infty r^2 ∫ 0 t − L R ( t , u ) 2 d u → ∫ L ∞ r 2 , which tends to zero as L → ∞ L \to\infty L → ∞ . In Section 12, we prove a statement of this kind for the backward FDT defect.
The remote response for general pure models
In this section, we prove Proposition 11.11. It is the case q > 0 q > 0 q > 0 of the remote estimate (11.7) for general p ≥ 3 p \ge3 p ≥ 3 , which we used in Step 3 of the proof of Theorem 11.1. For p = 3 p = 3 p = 3 , we controlled the white-leaf component of a normalized prefix center directly, by the height inequality of the cubic tree ceiling. For general p p p , we have no such inequality. Instead, we test the mean of finitely many independent continuations of the dynamics against one Gaussian direction built from the Brownian path. The overlap penalty for a direction independent of the disorder (Lemma 10.2) then plays the role of the height inequality. That lemma rests on the external-field algorithmic threshold of Huang and Sellke [92, arXiv version 2, Theorem 1, p. 4, and Corollary 1.8, p. 8]; see Theorem 10.1 . As the test direction is independent of the disorder, we do not need the adaptive disclosure argument that Section 10 uses for forgetting.
Setting. We work in the setting of Section 10. We take dimension limits along the subsequence ( N j ) (N_j) ( N j ) of Theorem 5.3 and write N → ∞ N \to\infty N → ∞ for N = N j → ∞ N = N_j \to\infty N = N j → ∞ . We keep every time horizon, branch number, and approximation parameter fixed while N → ∞ N \to\infty N → ∞ , and take long-time limits afterward.
Fix an integer K ≥ 1 K \ge1 K ≥ 1 and times T > 0 T > 0 T > 0 and L ≥ 0 L \ge0 L ≥ 0 . We run the diffusion (3.3) up to time T T T , driven by the Brownian motion ( B u ) u ≤ T (B_u)_{u \le T} ( B u ) u ≤ T , which we call the trunk. From X T X_T X T , we run K K K continuations of duration L L L , driven by Brownian motions independent of each other and of ( J , X 0 , ( B u ) u ≤ T ) (J, X_0, (B_u)_{u \le T}) ( J , X 0 , ( B u ) u ≤ T ) . Let Y 1 , … , Y K Y_1, \ldots, Y_K Y 1 , … , Y K be their endpoints at time T + L T + L T + L , and let m N , T = K − 1 ∑ b = 1 K Y b m_{N,T} = K^{-1}\sum_{b=1}^K Y_b m N , T = K − 1 ∑ b = 1 K Y b be their mean, which also depends on K K K and L L L . For each b b b , the Brownian path driving the b b b -th continuation, extended by the trunk on [ 0 , T ] [0,T] [ 0 , T ] , is a standard Brownian motion on [ 0 , T + L ] [0,T+L] [ 0 , T + L ] independent of ( J , X 0 ) (J, X_0) ( J , X 0 ) . Since (3.3) has a unique strong solution, the vector ( J , X 0 , ( B u ) u ≤ T , Y b ) (J, X_0, (B_u)_{u \le T}, Y_b) ( J , X 0 , ( B u ) u ≤ T , Y b ) has the same law as ( J , X 0 , ( B u ) u ≤ T , X T + L ) (J, X_0, (B_u)_{u \le T}, X_{T+L}) ( J , X 0 , ( B u ) u ≤ T , X T + L ) .
Let Q K , L Q_{K,L} Q K , L and h K , L h_{K,L} h K , L be given by (10.14) and (10.16), with e = e β ( ∞ ) e = e_\beta(\infty) e = e β ( ∞ ) . When q > 0 q > 0 q > 0 , every sequence T → ∞ T \to\infty T → ∞ realizes the stationary profile ( c , r ) (c,r) ( c , r ) by Proposition 8.4 , and we may apply Proposition 10.4 along every such sequence. By Lemma 10.5 (i), we have, for every fixed L ≥ 0 L \ge0 L ≥ 0 ,
lim K → ∞ Q K , L = c ( 2 L ) = d L , lim K → ∞ h K , L = h L . \lim_{K\to\infty} Q_{K,L} = c(2L) = d_L,\qquad\lim_{K\to\infty} h_{K,L} = h_L. K → ∞ lim Q K , L = c ( 2 L ) = d L , K → ∞ lim h K , L = h L .
We now show that the quantity δ L \delta_L δ L defined at the start of Section 11 satisfies
δ L = E t h − h L d L p / 2 ≥ 0 , lim L → ∞ δ L = 0. (233) \delta_L = E_{\mathrm{th}} - \frac{h_L}{d_L^{p/2}} \ge0,\qquad\lim_{L\to\infty} \delta_L = 0. \tag*{(233)} δ L = E th − d L p /2 h L ≥ 0 , L → ∞ lim δ L = 0. (233)
The inequality is (8.1); it also follows by letting K → ∞ K \to\infty K → ∞ in (10.19). The plateau is marginal by Lemma 8.3, so (10.28) applies, and it gives the limit, because h K , L / Q K , L p / 2 → h L / d L p / 2 h_{K,L}/Q_{K,L}^{p/2} \to h_L/d_L^{p/2} h K , L / Q K , L p /2 → h L / d L p /2 as K → ∞ K \to\infty K → ∞ . For p ∈ { 3 , 4 } p \in\{3,4\} p ∈ { 3 , 4 } , the quantity δ L \delta_L δ L is the same as in (9.12).
Two lemmas. The first lemma converts the absolute-overlap cost of Lemma 10.2 into a bound on the overlap with a Gaussian vector from an independent seed. We write B N = { x ∈ R N : ∥ x ∥ ≤ N } B_N = \{x \in\mathbb{R}^N : \lVert x\rVert\le\sqrt{N}\} B N = { x ∈ R N : ∥ x ∥ ≤ N } . Recall that β d = β d ( p ) \beta_d = \beta_d(p) β d = β d ( p ) is a constant of the model, defined in Section 1.3; it does not depend on the inverse temperature β \beta β .
Lemma 11.9 (Gaussian seed overlap has a threshold cost). Fix p ≥ 3 p \ge3 p ≥ 3 and 0 ≤ L 0 < ∞ 0 \le L_0 < \infty 0 ≤ L 0 < ∞ . For each N N N , let ζ N \zeta_N ζ N be a random element independent of the coefficient tensor J J J , let G N G_N G N be a standard Gaussian vector in R N \mathbb{R}^N R N that is a measurable function of ζ N \zeta_N ζ N , and let A N = A N ( J , ζ N ) ∈ B N A_N = A_N(J,\zeta_N) \in B_N A N = A N ( J , ζ N ) ∈ B N be measurable. Suppose that, for almost every value of ζ N \zeta_N ζ N , the map J ↦ A N ( J , ζ N ) J \mapsto A_N(J,\zeta_N) J ↦ A N ( J , ζ N ) is globally L 0 L_0 L 0 -Lipschitz, for the Euclidean distances on the ordered coefficient tensors and on R N \mathbb{R}^N R N . Let δ ≥ 0 \delta\ge0 δ ≥ 0 , and suppose that
lim inf N → ∞ E H N ( A N ) N ≥ E t h − δ . \liminf_{N \to\infty} \frac{\mathbb{E}H_N(A_N)}{N} \ge E_{\mathrm{th}}-\delta. N → ∞ lim inf N E H N ( A N ) ≥ E th − δ . Then
lim sup N → ∞ E ∣ ⟨ A N , G N ⟩ N ∣ ≤ β d − 1 / p δ 1 / p . (234) \limsup_{N \to\infty} \mathbb{E}\left|\frac{\langle A_N,G_N\rangle}{N}\right| \le\beta_d^{-1/p}\delta^{1/p}. \tag*{(234)} N → ∞ lim sup E N ⟨ A N , G N ⟩ ≤ β d − 1/ p δ 1/ p . (234) The constant β d − 1 / p \beta_d^{-1/p} β d − 1/ p depends neither on L 0 L_0 L 0 nor on the law of ζ N \zeta_N ζ N . The same holds when N N N runs through a subsequence.
The algorithm A N A_N A N may depend on G N G_N G N ; only J J J must be independent of the seed. If A N A_N A N also depends on parameters held fixed while N → ∞ N \to\infty N → ∞ , the lemma applies at each of their values, and its conclusion passes to limits in these parameters taken afterward.
Proof. Let w N = N G N / ∥ G N ∥ w_N = \sqrt{N}G_N/\lVert G_N\rVert w N = N G N / ∥ G N ∥ if G N ≠ 0 G_N \ne0 G N = 0 , and w N = N e 1 w_N = \sqrt{N}e_1 w N = N e 1 otherwise. Then w N w_N w N is a measurable function of ζ N \zeta_N ζ N with ∥ w N ∥ = N \lVert w_N\rVert= \sqrt{N} ∥ w N ∥ = N . Since ∥ A N ∥ ≤ N \lVert A_N\rVert\le\sqrt{N} ∥ A N ∥ ≤ N , we have
∣ ⟨ A N , G N ⟩ − ⟨ A N , w N ⟩ ∣ N ≤ ∥ G N − w N ∥ N = ∣ ∥ G N ∥ N − 1 ∣ . \frac{\left|\langle A_N,G_N\rangle-\langle A_N,w_N\rangle\right|}{N}
\le\frac{\lVert G_N-w_N\rVert}{\sqrt{N}}
= \left|\frac{\lVert G_N\rVert}{\sqrt{N}}-1\right|. N ∣ ⟨ A N , G N ⟩ − ⟨ A N , w N ⟩ ∣ ≤ N ∥ G N − w N ∥ = N ∥ G N ∥ − 1 .
For x ≥ 0 x \ge0 x ≥ 0 , we have ∣ x − 1 ∣ ≤ ∣ x 2 − 1 ∣ |x-1| \le|x^2-1| ∣ x − 1∣ ≤ ∣ x 2 − 1∣ . The variable ∥ G N ∥ 2 / N \lVert G_N\rVert^2/N ∥ G N ∥ 2 / N has mean one and variance 2 / N 2/N 2/ N , and the expectation of the right side is at most E ∣ ∥ G N ∥ 2 / N − 1 ∣ ≤ 2 / N \mathbb{E}|\lVert G_N\rVert^2/N-1| \le\sqrt{2/N} E ∣ ∥ G N ∥ 2 / N − 1∣ ≤ 2/ N , which tends to zero.
We use Lemma 10.2 conditionally on ζ N \zeta_N ζ N , with direction w N w_N w N , which is ζ N \zeta_N ζ N -measurable, and Lipschitz constant L 0 L_0 L 0 . Writing a N = ⟨ A N , w N ⟩ / N a_N = \langle A_N,w_N\rangle/N a N = ⟨ A N , w N ⟩ / N , we have
lim sup N → ∞ { E H N ( A N ) N + β d E ∣ a N ∣ p } ≤ E t h . \limsup_{N \to\infty}\left\{\frac{\mathbb{E}H_N(A_N)}{N}+\beta_d\mathbb{E}|a_N|^p\right\}\le E_{\mathrm{th}}. N → ∞ lim sup { N E H N ( A N ) + β d E ∣ a N ∣ p } ≤ E th .
Since lim sup N ( x N + y N ) ≥ lim inf N x N + lim sup N y N \limsup_{N}(x_N+y_N)\ge\liminf_{N}x_N+\limsup_{N}y_N lim sup N ( x N + y N ) ≥ lim inf N x N + lim sup N y N , the hypothesis on the energy implies that β d lim sup N E ∣ a N ∣ p ≤ δ \beta_d\limsup_{N}\mathbb{E}|a_N|^p\le\delta β d lim sup N E ∣ a N ∣ p ≤ δ . Hölder’s inequality gives E ∣ a N ∣ ≤ ( E ∣ a N ∣ p ) 1 / p \mathbb{E}|a_N|\le(\mathbb{E}|a_N|^p)^{1/p} E ∣ a N ∣ ≤ ( E ∣ a N ∣ p ) 1/ p , and hence lim sup N E ∣ a N ∣ ≤ ( δ / β d ) 1 / p \limsup_{N}\mathbb{E}|a_N|\le(\delta/\beta_d)^{1/p} lim sup N E ∣ a N ∣ ≤ ( δ / β d ) 1/ p . Combining this with the first paragraph proves (11.27). The constants in Lemma 10.2 depend neither on the seed nor on the direction. □
The second lemma identifies the overlap of the mean m N , T m_{N,T} m N , T with a Gaussian vector built from the trunk. It is a weighted form of the Brownian response identity of Lemma 3.4 and Proposition 3.3.
Lemma 11.10 (A weighted Brownian response identity). Fix K ≥ 1 K\ge1 K ≥ 1 , T > 0 T>0 T > 0 , and L ≥ 0 L\ge0 L ≥ 0 , and let k : [ 0 , T ] → R k:[0,T]\to\mathbb{R} k : [ 0 , T ] → R be a continuous deterministic function with ∫ 0 T k ( u ) 2 d u = 1 \int_0^T k(u)^2\,\mathrm{d}u=1 ∫ 0 T k ( u ) 2 d u = 1 . Let G N = ∫ 0 T k ( u ) d B u G_N=\int_0^T k(u)\,\mathrm{d}B_u G N = ∫ 0 T k ( u ) d B u , where B B B is the trunk Brownian motion. Then G N G_N G N is a standard Gaussian vector in R N \mathbb{R}^N R N , independent of the disorder, and
lim N → ∞ E [ ⟨ m N , T , G N ⟩ N ] = 2 ∫ 0 T k ( u ) R ( T + L , u ) d u . (235) \lim_{N\to\infty}\mathbb{E}\left[\frac{\langle m_{N,T},G_N\rangle}{N}\right]=\sqrt{2}\int_0^T k(u)R(T+L,u)\,\mathrm{d}u. \tag*{(235)} N → ∞ lim E [ N ⟨ m N , T , G N ⟩ ] = 2 ∫ 0 T k ( u ) R ( T + L , u ) d u . (235)
Proof. The coordinates of G N G_N G N are Wiener integrals of the independent coordinates of B B B . They are independent centered Gaussian variables with variance ∫ 0 T k 2 = 1 \int_0^T k^2=1 ∫ 0 T k 2 = 1 , and they are independent of ( J , X 0 ) (J,X_0) ( J , X 0 ) because B B B is.
Let t = T + L t=T+L t = T + L . Since G N G_N G N is a function of the trunk, the equality of laws noted above gives E ⟨ Y b , G N ⟩ = E ⟨ X t , G N ⟩ \mathbb{E}\langle Y_b,G_N\rangle=\mathbb{E}\langle X_t,G_N\rangle E ⟨ Y b , G N ⟩ = E ⟨ X t , G N ⟩ for each b b b . Averaging over b b b , we have E ⟨ m N , T , G N ⟩ = E ⟨ X t , G N ⟩ \mathbb{E}\langle m_{N,T},G_N\rangle=\mathbb{E}\langle X_t,G_N\rangle E ⟨ m N , T , G N ⟩ = E ⟨ X t , G N ⟩ . Suppose first that k = ∑ i = 1 n k i 1 ( u i − 1 , u i ] k=\sum_{i=1}^{n}k_i\mathbf{1}_{(u_{i-1},u_i]} k = ∑ i = 1 n k i 1 ( u i − 1 , u i ] is a step function, with 0 = u 0 < ⋯ < u n = T 0=u_0<\cdots<u_n=T 0 = u 0 < ⋯ < u n = T . Then
E ⟨ X t , G N ⟩ N = ∑ i = 1 n k i E ⟨ X t , B u i − B u i − 1 ⟩ N = 2 ∑ i = 1 n k i [ E Γ N ( t , u i ) − E Γ N ( t , u i − 1 ) ] . \frac{\mathbb{E}\langle X_t,G_N\rangle}{N}
=\sum_{i=1}^{n}k_i\frac{\mathbb{E}\langle X_t,B_{u_i}-B_{u_{i-1}}\rangle}{N}
=\sqrt{2}\sum_{i=1}^{n}k_i\left[\mathbb{E}\Gamma_N(t,u_i)-\mathbb{E}\Gamma_N(t,u_{i-1})\right]. N E ⟨ X t , G N ⟩ = i = 1 ∑ n k i N E ⟨ X t , B u i − B u i − 1 ⟩ = 2 i = 1 ∑ n k i [ E Γ N ( t , u i ) − E Γ N ( t , u i − 1 ) ] .
with Γ N \Gamma_N Γ N as in Proposition 3.3. That proposition states that E Γ N ( t , u ) → ∫ 0 u R ( t , w ) d w \mathbb{E}\Gamma_N(t,u)\to\int_0^uR(t,w)\,\mathrm{d}w E Γ N ( t , u ) → ∫ 0 u R ( t , w ) d w , and the right side converges to 2 ∫ 0 T k ( u ) R ( t , u ) d u \sqrt{2}\int_0^Tk(u)R(t,u)\,\mathrm{d}u 2 ∫ 0 T k ( u ) R ( t , u ) d u .
For a general continuous k k k and ε > 0 \varepsilon>0 ε > 0 , we choose a step function k ε k_\varepsilon k ε with sup [ 0 , T ] ∣ k − k ε ∣ ≤ ε \sup_{[0,T]}|k-k_\varepsilon|\le\varepsilon sup [ 0 , T ] ∣ k − k ε ∣ ≤ ε . We have ∥ X t ∥ 2 = N \|X_t\|^2=N ∥ X t ∥ 2 = N and, by the Itô isometry, E ∥ ∫ 0 T ( k − k ε ) d B ∥ 2 = N ∫ 0 T ( k − k ε ) 2 \mathbb{E}\|\int_0^T(k-k_\varepsilon)\,\mathrm{d}B\|^2=N\int_0^T(k-k_\varepsilon)^2 E ∥ ∫ 0 T ( k − k ε ) d B ∥ 2 = N ∫ 0 T ( k − k ε ) 2 . Using the Cauchy–Schwarz inequality, we find
1 N ∣ E ⟨ X t , ∫ 0 T ( k − k ε ) d B ⟩ ∣ ≤ ( ∫ 0 T ( k − k ε ) 2 ) 1 / 2 ≤ T ε , \frac{1}{N}\left|\mathbb{E}\left\langle X_t,\int_0^T(k-k_\varepsilon)\,\mathrm{d}B\right\rangle\right|
\le\left(\int_0^T(k-k_\varepsilon)^2\right)^{1/2}
\le\sqrt{T}\varepsilon, N 1 E ⟨ X t , ∫ 0 T ( k − k ε ) d B ⟩ ≤ ( ∫ 0 T ( k − k ε ) 2 ) 1/2 ≤ T ε ,
uniformly in N N N . Also ∣ 2 ∫ 0 T ( k − k ε ) R ( t , ⋅ ) ∣ ≤ 2 T ε |\sqrt{2}\int_0^T(k-k_\varepsilon)R(t,\cdot)|\le\sqrt{2}T\varepsilon ∣ 2 ∫ 0 T ( k − k ε ) R ( t , ⋅ ) ∣ ≤ 2 T ε , since 0 ≤ R ≤ 1 0\le R\le1 0 ≤ R ≤ 1 . Using the step-function case for k ε k_\varepsilon k ε , we obtain
lim sup N → ∞ ∣ E ⟨ X t , G N ⟩ N − 2 ∫ 0 T k ( u ) R ( t , u ) d u ∣ ≤ ( T + 2 T ) ε . \limsup_{N\to\infty}\left|\frac{\mathbb{E}\langle X_t,G_N\rangle}{N}-\sqrt{2}\int_0^Tk(u)R(t,u)\,\mathrm{d}u\right|
\le(\sqrt{T}+\sqrt{2}T)\varepsilon. N → ∞ lim sup N E ⟨ X t , G N ⟩ − 2 ∫ 0 T k ( u ) R ( t , u ) d u ≤ ( T + 2 T ) ε .
Letting ε ↓ 0 \varepsilon\downarrow0 ε ↓ 0 proves (11.28). □
The Brownian observable goes back to Ben Arous, Dembo, and Guionnet [24, arXiv version 1, equation (1.9), p. 4, and Theorem 1.2, p. 5], and its hard-sphere limit is [112, arXiv version 5, Definition 3, p. 22, and Theorem 4.3, p. 23], which underlies Proposition 3.3. By Lemma 3.4, the left side of (235) at finite N N N equals 2 ∫ 0 T k ( u ) r ˉ N ( T + L , u ) d u \sqrt{2}\int_{0}^{T} k(u)\,\bar r_N(T+L,u)\,\mathrm{d}u 2 ∫ 0 T k ( u ) r ˉ N ( T + L , u ) d u when k k k is a step function; this is the Cameron–Martin identity for a deterministic force with profile k k k . We need only its limit, which Proposition 3.3 provides without a pointwise limit of the finite-dimensional response.
The remote response. We now prove the remaining case of (214) .
Proposition 11.11 (Remote squared response for general pure models). Fix p ≥ 3 p \ge3 p ≥ 3 and β > 0 \beta> 0 β > 0 , and suppose that the plateau q q q is positive. Then, for every L > 0 L > 0 L > 0 ,
lim sup t → ∞ ∫ 0 t − L R ( t , u ) 2 d u ≤ d L 2 β d − 2 / p δ L 2 / p . (236) \limsup_{t\to\infty}\int_{0}^{t-L} R(t,u)^2\,\mathrm{d}u \le\frac{d_L}{2}\beta_d^{-2/p}\delta_L^{2/p}. \tag*{(236)} t → ∞ lim sup ∫ 0 t − L R ( t , u ) 2 d u ≤ 2 d L β d − 2/ p δ L 2/ p . (236) In particular , (214) holds.
The idea is as follows. We choose the weight k k k in Lemma 11.10 proportional to the remote response row u ↦ R ( T + L , u ) u \mapsto R(T+L,u) u ↦ R ( T + L , u ) on [ 0 , T ] [0,T] [ 0 , T ] . Then the overlap of m N , T m_{N,T} m N , T with G N G_N G N is 2 S 2 ( T + L , L ) \sqrt{2S_2(T+L,L)} 2 S 2 ( T + L , L ) in the limit. After normalization by Q K , L \sqrt{Q_{K,L}} Q K , L , the mean m N , T m_{N,T} m N , T has energy close to E t h E_{\mathrm{th}} E th , and Lemma 11.9 forces this overlap to be small. The coefficient-Lipschitz approximations of Proposition 10.4 make Lemma 11.9 applicable.
Proof. Fix L > 0 L > 0 L > 0 and K ≥ 1 K \ge1 K ≥ 1 , and abbreviate Q = Q K , L Q = Q_{K,L} Q = Q K , L and δ K , L = E t h − h K , L / Q p / 2 \delta_{K,L} = E_{\mathrm{th}} - h_{K,L}/Q^{p/2} δ K , L = E th − h K , L / Q p /2 . Recall from (186) that δ K , L ≥ 0 \delta_{K,L} \ge0 δ K , L ≥ 0 , and note that Q ≥ c ( 2 L ) ≥ q > 0 Q \ge c(2L) \ge q > 0 Q ≥ c ( 2 L ) ≥ q > 0 . The proof has four steps. We take the limits in the following order:
N = N j → ∞ N = N_j \to\infty N = N j → ∞ , with T T T , K K K , L L L , and the approximation parameter ε \varepsilon ε fixed;
T → ∞ T \to\infty T → ∞ , along an arbitrary sequence;
ε ↓ 0 \varepsilon\downarrow0 ε ↓ 0 ;
K → ∞ K \to\infty K → ∞ .
Step 1: the test direction. For T > 0 T > 0 T > 0 , the response is positive by (209) , and S 2 ( T + L , L ) = ∫ 0 T R ( T + L , u ) 2 d u > 0 S_2(T+L,L) = \int_{0}^{T} R(T+L,u)^2\,\mathrm{d}u > 0 S 2 ( T + L , L ) = ∫ 0 T R ( T + L , u ) 2 d u > 0 . We define
k T , L ( u ) = R ( T + L , u ) S 2 ( T + L , L ) 1 / 2 , 0 ≤ u ≤ T , G N = ∫ 0 T k T , L ( u ) d B u . k_{T,L}(u) = \frac{R(T+L,u)}{S_2(T+L,L)^{1/2}}, \qquad0 \le u \le T, \qquad G_N = \int_{0}^{T} k_{T,L}(u)\,\mathrm{d}B_u. k T , L ( u ) = S 2 ( T + L , L ) 1/2 R ( T + L , u ) , 0 ≤ u ≤ T , G N = ∫ 0 T k T , L ( u ) d B u .
The weight k T , L k_{T,L} k T , L is continuous and deterministic: it depends on the CK solution and on the fixed times T T T and L L L , not on the disorder or the dimension. It satisfies ∫ 0 T k T , L 2 = 1 \int_{0}^{T} k_{T,L}^2 = 1 ∫ 0 T k T , L 2 = 1 . Lemma 11.10 implies that
lim N → ∞ E [ ⟨ m N , T , G N ⟩ N ] = 2 ∫ 0 T R ( T + L , u ) 2 d u S 2 ( T + L , L ) 1 / 2 = 2 S 2 ( T + L , L ) . (237) \lim_{N\to\infty}\mathbb{E}\left[\frac{\langle m_{N,T},G_N\rangle}{N}\right] = \sqrt{2}\frac{\int_{0}^{T}R(T+L,u)^2\,\mathrm{d}u}{S_2(T+L,L)^{1/2}} = \sqrt{2S_2(T+L,L)}. \tag*{(237)} N → ∞ lim E [ N ⟨ m N , T , G N ⟩ ] = 2 S 2 ( T + L , L ) 1/2 ∫ 0 T R ( T + L , u ) 2 d u = 2 S 2 ( T + L , L ) . (237)
Step 2: the normalized mean and its Lipschitz approximation. Let Π B N \Pi_{B_N} Π B N be the metric projection onto B N B_N B N , and let m ˉ N , T = Π B N ( m N , T / Q ) \bar{m}_{N,T}=\Pi_{B_N}(m_{N,T}/\sqrt{Q}) m ˉ N , T = Π B N ( m N , T / Q ) . For ε > 0 \varepsilon>0 ε > 0 , let A N , T ε \mathcal{A}^{\varepsilon}_{N,T} A N , T ε be the maps of Proposition 10.4, so that
lim sup N → ∞ 1 N E ∥ A N , T ε − m ˉ N , T ∥ 2 ≤ ε 2 , \limsup_{N\to\infty}\frac{1}{N}\mathbb{E}\left\|\mathcal{A}^{\varepsilon}_{N,T}-\bar{m}_{N,T}\right\|^2\leq\varepsilon^2, N → ∞ lim sup N 1 E A N , T ε − m ˉ N , T 2 ≤ ε 2 ,
as in (10.20). These maps take values in B N B_N B N . Conditionally on the initial point and on all Brownian paths, they are globally Lipschitz in J J J , with a constant that depends neither on N N N nor on the seed. The vector G N G_N G N is a function of the trunk Brownian path. It is therefore measurable with respect to this seed, which is independent of J J J .
We next compare energies. The vectors m N , T / Q m_{N,T}/\sqrt{Q} m N , T / Q , m ˉ N , T \bar{m}_{N,T} m ˉ N , T , and A N , T ε \mathcal{A}^{\varepsilon}_{N,T} A N , T ε have norm at most N / q \sqrt{N/q} N / q . By homogeneity and (10.3), we have ∥ ∇ H N ( x ) ∥ ≤ p Q N q − ( p − 1 ) / 2 N \|\nabla H_N(x)\|\leq pQ_Nq^{-(p-1)/2}\sqrt{N} ∥∇ H N ( x ) ∥ ≤ p Q N q − ( p − 1 ) /2 N when ∥ x ∥ ≤ N / q \|x\|\leq\sqrt{N/q} ∥ x ∥ ≤ N / q , where Q N Q_N Q N is the tensor norm (3.25). Integrating along segments and applying the Cauchy–Schwarz inequality, we find that, for random vectors x , y x,y x , y of norm at most N / q \sqrt{N/q} N / q ,
∣ E H N ( x ) − E H N ( y ) N ∣ ≤ D q ( E ∥ x − y ∥ 2 N ) 1 / 2 , D q = p q − ( p − 1 ) / 2 sup N ( E Q N 2 ) 1 / 2 , \left|\frac{\mathbb{E}H_N(x)-\mathbb{E}H_N(y)}{N}\right|
\leq D_q\left(\frac{\mathbb{E}\|x-y\|^2}{N}\right)^{1/2},
\qquad
D_q=pq^{-(p-1)/2}\sup_N\left(\mathbb{E}Q_N^2\right)^{1/2}, N E H N ( x ) − E H N ( y ) ≤ D q ( N E ∥ x − y ∥ 2 ) 1/2 , D q = p q − ( p − 1 ) /2 N sup ( E Q N 2 ) 1/2 ,
and D q < ∞ D_q<\infty D q < ∞ by Lemma 3.6. We set
γ T = lim sup N → ∞ ∣ E H N ( m N , T ) N − h K , L ∣ , κ T = lim sup N → ∞ ( E ∥ m ˉ N , T − m N , T / Q ∥ 2 N ) 1 / 2 . \gamma_T=\limsup_{N\to\infty}\left|\frac{\mathbb{E}H_N(m_{N,T})}{N}-h_{K,L}\right|,
\qquad
\kappa_T=\limsup_{N\to\infty}\left(\frac{\mathbb{E}\|\bar{m}_{N,T}-m_{N,T}/\sqrt{Q}\|^2}{N}\right)^{1/2}. γ T = N → ∞ lim sup N E H N ( m N , T ) − h K , L , κ T = N → ∞ lim sup ( N E ∥ m ˉ N , T − m N , T / Q ∥ 2 ) 1/2 .
Note that H N ( m N , T / Q ) = Q − p / 2 H N ( m N , T ) H_N(m_{N,T}/\sqrt{Q})=Q^{-p/2}H_N(m_{N,T}) H N ( m N , T / Q ) = Q − p /2 H N ( m N , T ) by homogeneity. Comparing energies through the intermediate vector m ˉ N , T \bar{m}_{N,T} m ˉ N , T , we obtain
lim inf N → ∞ E H N ( A N , T ε ) N ≥ Q − p / 2 ( h K , L − γ T ) − D q ( ε + κ T ) = E t h − δ K , L − Q − p / 2 γ T − D q ( ε + κ T ) . (238) \begin{aligned}
\liminf_{N\to\infty}\frac{\mathbb{E}H_N(\mathcal{A}^{\varepsilon}_{N,T})}{N}
&\geq Q^{-p/2}(h_{K,L}-\gamma_T)-D_q(\varepsilon+\kappa_T)\\
&=E_{\mathrm{th}}-\delta_{K,L}-Q^{-p/2}\gamma_T-D_q(\varepsilon+\kappa_T). \tag*{(238)}
\end{aligned} N → ∞ lim inf N E H N ( A N , T ε ) ≥ Q − p /2 ( h K , L − γ T ) − D q ( ε + κ T ) = E th − δ K , L − Q − p /2 γ T − D q ( ε + κ T ) . (238)
Step 3: the seed cost. By Step 2, the maps A N , T ε \mathcal{A}^{\varepsilon}_{N,T} A N , T ε satisfy the hypotheses of Lemma 11.9. The seed is formed by the initial point and all Brownian paths, the Gaussian vector is the vector G N G_N G N of Step 1, and δ = δ K , L + Q − p / 2 γ T + D q ( ε + κ T ) \delta=\delta_{K,L}+Q^{-p/2}\gamma_T+D_q(\varepsilon+\kappa_T) δ = δ K , L + Q − p /2 γ T + D q ( ε + κ T ) by (11.31). Lemma 11.9 implies that
lim sup N → ∞ E ∣ ⟨ A N , T ε , G N ⟩ N ∣ ≤ β d − 1 / p ( δ K , L + Q − p / 2 γ T + D q ( ε + κ T ) ) 1 / p . \limsup_{N\to\infty}\mathbb{E}\left|\frac{\langle\mathcal{A}^{\varepsilon}_{N,T},G_N\rangle}{N}\right|
\leq\beta_d^{-1/p}\left(\delta_{K,L}+Q^{-p/2}\gamma_T+D_q(\varepsilon+\kappa_T)\right)^{1/p}. N → ∞ lim sup E N ⟨ A N , T ε , G N ⟩ ≤ β d − 1/ p ( δ K , L + Q − p /2 γ T + D q ( ε + κ T ) ) 1/ p .
To return to m N , T m_{N,T} m N , T , we use E ∥ G N ∥ 2 = N \mathbb{E}\|G_N\|^2=N E ∥ G N ∥ 2 = N and the Cauchy–Schwarz inequality; the fact that G N G_N G N and the approximation share the trunk seed plays no role here. We have
∣ E ⟨ m N , T / Q − A N , T ε , G N ⟩ N ∣ ≤ ( E ∥ m N , T / Q − m ˉ N , T ∥ 2 N ) 1 / 2 + ( E ∥ m ˉ N , T − A N , T ε ∥ 2 N ) 1 / 2 . \left|\frac{\mathbb{E}\langle m_{N,T}/\sqrt{Q}-\mathcal{A}^{\varepsilon}_{N,T},G_N\rangle}{N}\right|
\leq
\left(\frac{\mathbb{E}\|m_{N,T}/\sqrt{Q}-\bar{m}_{N,T}\|^2}{N}\right)^{1/2}
+
\left(\frac{\mathbb{E}\|\bar{m}_{N,T}-\mathcal{A}^{\varepsilon}_{N,T}\|^2}{N}\right)^{1/2}. N E ⟨ m N , T / Q − A N , T ε , G N ⟩ ≤ ( N E ∥ m N , T / Q − m ˉ N , T ∥ 2 ) 1/2 + ( N E ∥ m ˉ N , T − A N , T ε ∥ 2 ) 1/2 .
Combining the last two displays with (237) , we find that, for every T > 0 T>0 T > 0 ,
2 S 2 ( T + L , L ) Q ≤ β d − 1 / p ( δ K , L + Q − p / 2 γ T + D q ( ε + κ T ) ) 1 / p + ε + κ T . (239) \sqrt{\frac{2S_2(T+L,L)}{Q}} \le\beta_d^{-1/p}\left(\delta_{K,L}+Q^{-p/2}\gamma_T+D_q(\varepsilon+\kappa_T)\right)^{1/p}+\varepsilon+\kappa_T. \tag*{(239)} Q 2 S 2 ( T + L , L ) ≤ β d − 1/ p ( δ K , L + Q − p /2 γ T + D q ( ε + κ T ) ) 1/ p + ε + κ T . (239)
Step 4: the long-time limits. Let T n → ∞ T_n\to\infty T n → ∞ be an arbitrary sequence. Using (185) , we have γ T n → 0 \gamma_{T_n}\to0 γ T n → 0 . For κ T \kappa_T κ T , note that ∥ Π B N ( x ) − x ∥ = ( ∥ x ∥ − N ) + \|\Pi_{B_N}(x)-x\|=(\|x\|-\sqrt{N})_+ ∥ Π B N ( x ) − x ∥ = ( ∥ x ∥ − N ) + , and that ∣ y / Q − 1 ∣ ≤ ∣ y − Q ∣ / Q |\sqrt{y/Q}-1|\le|y-Q|/Q ∣ y / Q − 1∣ ≤ ∣ y − Q ∣/ Q for y ≥ 0 y\ge0 y ≥ 0 . With y = ∥ m N , T ∥ 2 / N y=\|m_{N,T}\|^2/N y = ∥ m N , T ∥ 2 / N , we find
κ T 2 ≤ lim sup N E ∣ ∥ m N , T ∥ 2 N − Q 2 Q 2 ∣ , \kappa_T^2\le\limsup_{N}\mathbb{E}\left|\frac{\|m_{N,T}\|^2}{N}-\frac{Q^2}{Q^2}\right|, κ T 2 ≤ N lim sup E N ∥ m N , T ∥ 2 − Q 2 Q 2 ,
and (184) implies that κ T n → 0 \kappa_{T_n}\to0 κ T n → 0 . The left side of (11.32 does not depend on ε \varepsilon ε . Taking T = T n → ∞ T=T_n\to\infty T = T n → ∞ in (239) and then ε ↓ 0 \varepsilon\downarrow0 ε ↓ 0 , we obtain
lim sup n → ∞ S 2 ( T n + L , L ) ≤ Q 2 β d − 2 / p δ K , L 2 / p . \limsup_{n\to\infty}S_2(T_n+L,L)\le\frac{Q}{2}\beta_d^{-2/p}\delta_{K,L}^{2/p}. n → ∞ lim sup S 2 ( T n + L , L ) ≤ 2 Q β d − 2/ p δ K , L 2/ p .
Since the sequence T n T_n T n was arbitrary, the same bound holds for lim sup t → ∞ S 2 ( t , L ) \limsup_{t\to\infty}S_2(t,L) lim sup t → ∞ S 2 ( t , L ) . This upper limit does not depend on K K K . As K → ∞ K\to\infty K → ∞ , we have Q K , L → d L Q_{K,L}\to d_L Q K , L → d L and δ K , L → δ L \delta_{K,L}\to\delta_L δ K , L → δ L , by Lemma 10.5(i). This proves (236) . As d L ≤ 1 d_L\le1 d L ≤ 1 and δ L → 0 \delta_L\to0 δ L → 0 by (233) , the right side of (236) tends to zero as L → ∞ L\to\infty L → ∞ , which is (214) . □
Together with Steps 1, 2, and 4 of the proof of Theorem 11.1, Proposition 11.11 proves strong L 2 L^2 L 2 convergence of the response rows, the exact limits of the squared tails, and χ ( t , 0 ) = o ( t ) \chi(t,0)=o(\sqrt{t}) χ ( t , 0 ) = o ( t ) for every pure model with p ≥ 3 p\ge3 p ≥ 3 .
Persistent integrated violation of the fluctuation–dissipation relation
By Theorem 11.5 , the backward FDT defect E ( t , s ) = ∂ s C ( t , s ) − R ( t , s ) E(t,s)=\partial_s C(t,s)-R(t,s) E ( t , s ) = ∂ s C ( t , s ) − R ( t , s ) tends to zero in L 2 ( 0 , t ) L^2(0,t) L 2 ( 0 , t ) as t → ∞ t\to\infty t → ∞ . In this section, we prove that, above the dynamical transition, the defect nevertheless does not disappear. Its positive part keeps an integrated mass bounded below by a positive constant on the part of the row away from any fixed initial interval [ 0 , S ] [0,S] [ 0 , S ] and any fixed recent strip [ t − L , t ] [t-L,t] [ t − L , t ] . This is what we mean by a persistent integrated violation: the defect is small in L 2 L^2 L 2 , but it has positive integrated mass, spread over a history whose length grows with t t t . The two statements are compatible. By the Cauchy–Schwarz inequality, a mass m m m spread over an interval of length ℓ \ell ℓ forces a squared norm of at least m 2 / ℓ m^2/\ell m 2 / ℓ , and here ℓ \ell ℓ grows like t t t .
The main result is Theorem 12.4, and its proof has two ingredients. The first is Proposition 12.1 . The energy identity determines the response integrated against the weight p C ( t , u ) p − 1 pC(t,u)^{p-1} pC ( t , u ) p − 1 over the whole row, and stationary convergence determines the contribution of a recent strip. The remainder identifies one weighted ratio of the slow response with the number x = ( p − 2 ) ( 1 − q ) / q x=(p-2)(1-q)/q x = ( p − 2 ) ( 1 − q ) / q . The second ingredient is Lemma 12.3, an elementary inequality for one absolutely continuous function, which converts a deficit in this weighted response budget into a lower bound on the unweighted positive defect. This inequality is sharp (Remark 12.5).
The proofs use the energy identity (56) , the selected plateau and energy of Theorem 8.5 together with stationary convergence (148) , forgetting (149) , the absolute continuity of correlation rows from Theorem 5.3 , and Theorem 11.5 . The results of this section prove (1.10) and (1.11) in Theorem 1.2 . We return to them in Section 17.
The physical mechanism is the one described by Cugliandolo, Dean, and Kurchan in [54, arXiv version 2, equations (12)–(14), p. 3, equation (18), p. 4, and the integrated-bounds discussion on p. 3]. Entropy production bounds the violation of the fluctuation–dissipation relation, and the violation is therefore small at late times; its integral over a time interval that grows with the age of the system may nevertheless remain of order one. In our setting, the smallness at late times is Theorem 11.5 , which rests on the entropy bound of Theorem 5.3 . The lower bound on the integrated violation for the CK solution is proved here, from the energy identity.
Standing assumptions and notation. Throughout this section, we fix an integer p ≥ 3 p \ge3 p ≥ 3 and β > β d \beta> \beta_{\mathrm d} β > β d . By Theorem 8.5 , the plateau q = q β q = q_\beta q = q β is the larger root of
β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 , (240) \beta^2 p(p-1)q^{p-2}(1-q)^2 = 1, \tag*{(240)} β 2 p ( p − 1 ) q p − 2 ( 1 − q ) 2 = 1 , (240)
and the limiting energy is
e ∞ = e β ( ∞ ) = lim t → ∞ e β ( t ) = β [ 1 + ( p − 2 ) q p − 1 − ( p − 1 ) q p ] . (241) e_\infty= e_\beta(\infty) = \lim_{t\to\infty} e_\beta(t) = \beta\left[1 + (p-2)q^{p-1} - (p-1)q^p\right]. \tag*{(241)} e ∞ = e β ( ∞ ) = t → ∞ lim e β ( t ) = β [ 1 + ( p − 2 ) q p − 1 − ( p − 1 ) q p ] . (241)
Since β > β d \beta> \beta_{\mathrm d} β > β d , we have q > q d = ( p − 2 ) / ( p − 1 ) q > q_{\mathrm d} = (p-2)/(p-1) q > q d = ( p − 2 ) / ( p − 1 ) , as noted before Theorem 8.5 . Indeed, the function g ( y ) = y p − 2 ( 1 − y ) 2 g(y) = y^{p-2}(1-y)^2 g ( y ) = y p − 2 ( 1 − y ) 2 is decreasing on [ q m , 1 ] [q_{\mathrm m},1] [ q m , 1 ] , where q m = ( p − 2 ) / p < q d q_{\mathrm m} = (p-2)/p < q_{\mathrm d} q m = ( p − 2 ) / p < q d , and β 2 p ( p − 1 ) g ( q d ) = β 2 / β d 2 > 1 \beta^2p(p-1)g(q_{\mathrm d}) = \beta^2/\beta_{\mathrm d}^2 > 1 β 2 p ( p − 1 ) g ( q d ) = β 2 / β d 2 > 1 . The larger root of (240) therefore lies in ( q d , 1 ) (q_{\mathrm d},1) ( q d , 1 ) . We set
x = ( p − 2 ) ( 1 − q ) q , d ∗ = 1 − e ∞ β . (242) x = \frac{(p-2)(1-q)}{q}, \qquad d_* = 1 - \frac{e_\infty}{\beta}. \tag*{(242)} x = q ( p − 2 ) ( 1 − q ) , d ∗ = 1 − β e ∞ . (242)
The inequality q > q d q > q_{\mathrm d} q > q d is equivalent to ( p − 2 ) ( 1 − q ) < q (p-2)(1-q) < q ( p − 2 ) ( 1 − q ) < q , which means that x ∈ ( 0 , 1 ) x \in(0,1) x ∈ ( 0 , 1 ) . Using (241) , we find
d ∗ = ( p − 1 ) q p − ( p − 2 ) q p − 1 = q p [ ( p − 1 ) − p − 2 q ] = ( 1 − x ) q p > 0 , d_* = (p-1)q^p - (p-2)q^{p-1} = q^p\left[(p-1)-\frac{p-2}{q}\right] = (1-x)q^p > 0, d ∗ = ( p − 1 ) q p − ( p − 2 ) q p − 1 = q p [ ( p − 1 ) − q p − 2 ] = ( 1 − x ) q p > 0 ,
where we used ( p − 1 ) − ( p − 2 ) / q = 1 − ( p − 2 ) ( 1 − q ) / q (p-1)-(p-2)/q = 1-(p-2)(1-q)/q ( p − 1 ) − ( p − 2 ) / q = 1 − ( p − 2 ) ( 1 − q ) / q . Equivalently,
e ∞ β − ( 1 − q p ) = q p − d ∗ = x q p . (243) \frac{e_\infty}{\beta} - (1-q^p) = q^p-d_* = xq^p. \tag*{(243)} β e ∞ − ( 1 − q p ) = q p − d ∗ = x q p . (243)
We write E ( t , s ) = ∂ s C ( t , s ) − R ( t , s ) E(t,s) = \partial_s C(t,s)-R(t,s) E ( t , s ) = ∂ s C ( t , s ) − R ( t , s ) for t > s > 0 t>s>0 t > s > 0 , as in § 7.1.3 , and E + = max { E , 0 } E_+ = \max\{E,0\} E + = max { E , 0 } . For t > 0 t>0 t > 0 , we use the right earlier derivative at s = 0 s=0 s = 0 and set E ( t , t ) = 0 E(t,t)=0 E ( t , t ) = 0 , consistently with the left earlier derivative at the diagonal. Recall from Theorem 5.3 that, for each t t t , the row u ↦ C ( t , u ) u \mapsto C(t,u) u ↦ C ( t , u ) is absolutely continuous on [ 0 , t ] [0,t] [ 0 , t ] , and that its derivative on ( 0 , t ) (0,t) ( 0 , t ) is the continuous function ∂ u C ( t , u ) \partial_u C(t,u) ∂ u C ( t , u ) . In particular, E ( t , ⋅ ) E(t,\mathord\cdot) E ( t , ⋅ ) is integrable on ( 0 , t ) (0,t) ( 0 , t ) . Let ( c , r ) (c,r) ( c , r ) be the stationary profile, with r = − c ′ r=-c' r = − c ′ , c ( 0 ) = 1 c(0)=1 c ( 0 ) = 1 , and c c c decreasing to q q q . Stationary convergence (148) implies that, for every fixed A ≥ 0 A\ge0 A ≥ 0 ,
lim t → ∞ sup 0 ≤ v ≤ A { ∣ C ( t , t − v ) − c ( v ) ∣ + ∣ R ( t , t − v ) − r ( v ) ∣ } = 0. (244) \lim_{t\to\infty}\sup_{0\le v\le A}\{|C(t,t-v)-c(v)|+|R(t,t-v)-r(v)|\}=0. \tag*{(244)} t → ∞ lim 0 ≤ v ≤ A sup { ∣ C ( t , t − v ) − c ( v ) ∣ + ∣ R ( t , t − v ) − r ( v ) ∣ } = 0. (244)
A weighted slow ratio
Proposition 12.1 (An exact weighted slow ratio). For each fixed A > 0 A>0 A > 0 , the denominator below is positive for all large t t t , the ratio has a limit as t → ∞ t\to\infty t → ∞ , and the subsequent limit as A → ∞ A\to\infty A → ∞ is
lim A → ∞ lim t → ∞ p ∫ 0 t − A C ( t , u ) p − 1 R ( t , u ) d u C ( t , t − A ) p − C ( t , 0 ) p = x . (245) \lim_{A\to\infty}\lim_{t\to\infty}\frac{p\int_0^{t-A}C(t,u)^{p-1}R(t,u)\,\mathrm{d}u}{C(t,t-A)^p-C(t,0)^p}=x. \tag*{(245)} A → ∞ lim t → ∞ lim C ( t , t − A ) p − C ( t , 0 ) p p ∫ 0 t − A C ( t , u ) p − 1 R ( t , u ) d u = x . (245)