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# Long-range correlations and nonstationarity in the Brazilian stock market

## 1 Introduction

In recent years, it has been realized that many problems from Economics can be studied with the standard “toolkit” of statistical physics . For instance, asset prices in financial markets are commonly described in terms of a geometric Brownian motion, an assumption that is at the heart of the so-called Efficient Market Hypothesis (EMH). Thus, in the EMH scenario the returns on a given stock follow an uncorrelated Gaussian process (white noise). In more common parlance, the EMH says that all information available about a given financial asset is already reflected on its current price, so that knowing the asset past history does not in any way help us to predict future prices. Although the EMH stands as a cornerstone of modern Finance , deviations from efficiency have been recently observed in many different financial markets . In such ‘inefficient’ markets the empirical data violate either the independence or the Gaussian assumptions of the EMH. The former instance of ‘inefficiency’ is of particular interest to us here because it implies the existence of long-range correlations that are not accounted for in the standard EMH model.

A time series can be tested for correlation in many different ways . One general methodology consists in estimating how a certain fluctuation measure, to be denoted here generically by $`F`$, scales with the size $`\tau `$ of the time window considered. Specific methods, such as the Hurst rescaled range analysis  or the Detrendend Fluctuation Analysis , differ basically on the choice of the fluctuation measure; see below for more details about these two methods. If the time series is uncorrelated one expects that $`F\tau ^{1/2}`$, as is the case for the standard Brownian motion. On the other hand, if $`F\tau ^H`$ with $`H1/2`$ one then says that the time series has long-term memory, with $`H>1/2`$ ($`H<1/2`$) meaning persistence (antipersistence). The exponent $`H`$ is generally referred to as the Hurst exponent.

In the present paper we analyze the behavior of the São Paulo Stock Exchange Ibovespa index, which is the main index of the Brazilian stock market. We have carried out a Detrended Fluctuation Analysis (DFA) of the Ibovespa covering over 30 years of data, since its inception in 1968 until the year 2001. Here we introduce however a rescaled variant of the original DFA  that has the advantage of allowing us to determine the Hurst exponent $`H`$ with a one-parameter fitting. For the complete Ibovespa time series we find $`H=0.6`$, indicating that the Ibovespa index exhibits persistence. We have also computed a ‘local’ Hurst exponent $`H(t)`$ in moving three-year time windows and found that $`H(t)`$ varies considerably over time. In particular, we find that the curve $`H(t)`$ undergoes a distinct change in character around the year 1990. More specifically, we observe that before 1990 the exponent $`H(t)`$ is always greater than 1/2. Then around the year 1990 $`H(t)`$ drops quite rapidly towards 1/2 and stays (within some fluctuation) around this value afterwards. We identify this drastic change in $`H(t)`$ as a consequence of the economic plan adopted in March 1990, the so-called Collor Plan, that marked the beginning of structural reforms in the Brazilian economy. This interpretation is confirmed by separate analyses of the Ibovespa returns prior and after the Collor Plan, where in the former case we find $`H=0.63`$ while for the latter period we have $`H0.5`$. We thus argue that the process of opening and modernization of the economy started by the Collor Plan has led to a more efficient stock market in Brazil, in the sense that the Hurst exponent $`H`$ for this period is close to the value predicted by the EMH.

The fact that its Hurst exponent changes over time indicates that the Ibovespa follows a multifractal (rather than monofractal) process. We thus suggest that the Ibovespa basic dynamics could perhaps be captured by the so-called multifractional Brownian motion (MFBM) , which is a generalized fractional Brownian motion with a time-dependent Hurst exponent $`H(t)`$. One interesting property of the MFBM is that it is a Gaussian additive process, while the multifractal processes often considered in physics  and economics  are in general multiplicative.

The paper is organized as follows. In Sec. 2 we describe our data. In Sec. 3 we present some background material about fractional Brownian motion and give a brief description of the Detrended Fluctuation Analysis. In particular, we discuss a rescaled version of the DFA that allows us to determine the Hurst exponent $`H`$ through a one-parameter fitting. The results of this rescaled DFA for the Ibovespa time series are shown in Sec. 4. In Sec. 5 we offer a succinct discussion of the multifractional Brownian motion and its possible relevance to financial time series. In Sec. 6 we review our main results and conclusions. For completeness, we present in Appendix A the results of the Hurst analysis for our Ibovespa time series. It is shown there that in this case the Hurst method is slightly less reliable than the DFA in detecting long-correlation, thus justifying our choice of restricting ourselves to the DFA in the main portion of the present paper.

## 2 The Data

The Ibovespa index represents the present value of a self-financing hypothetical portfolio made up of the most traded stocks on the São Paulo Stock Exchange. In this paper we have analyzed the daily closing values of the Ibovespa since its inception (January 02, 1968) until recent times (May 31, 2001), amounting to 8209 trading days. The nominal figures of the daily Ibovespa were deflated by Brazil’s general price index (IGP-DI, in its Portuguese acronym) and converted to Brazilian Reais (BRL) in values of August 1994. The corresponding time series for the deflated Ibovespa is shown in Fig. 1, while the IGP-DI price index is plotted in Fig. 2 in monthly rates.

In the period comprised in our study many economic events took place in Brazil and abroad that had a direct impact on the Brazilian stock market. For the benefit of the reader less familiar with Brazil’s recent economic history, it was thought desirable to recall here some of the main events whose effects can be clearly distinguished in the data shown in Figs. 1 and 2. For instance, the first large peak in the Ibovespa in the early 1970’s corresponds to the so-called ‘Brazilian economic miracle’ (during the military regime that took power in 1964 and ended in 1985) when Brazil’s GDP grew over 10% a year. After the first oil crises in 1973 the Brazilian economy entered a long period of slower growth and steadily increasing inflation, as reflected in the consistent decline of the Ibovespa from 1973 to 1984 (Fig. 1) and a corresponding surge of the inflation rate (Fig. 2). From 1986 to 1991 six largely unsuccessful economic plans were adopted by the succeeding governments in attempts to control inflation. The effects of these economic plans are very clearly distinguished in Fig. 2 as they correspond to sudden drops in the inflation rate. For example, the first of such plans, the so-called Cruzado Plan, was launched in February 1986 and led not only to a sharp decline in the inflation rate (arrow A in Fig. 2) but also to a strong peak in the Ibovespa index (see Fig. 1). Shortly afterwards, however, inflation picks up again and the Ibovespa recedes to pre-Cruzado levels. Although it also failed to rein in inflation, a plan of more lasting impact on the Brazilian economy was the Collor Plan (arrow B in Fig. 2), as we shall see later. It should also be recalled that the Real Plan, launched in July 1994 (arrow C in Fig. 2), has so far succeeded in stabilizing the economy and keeping inflation at bay.

In what follows we shall carry out a detailed analysis of the Ibovespa daily returns, which we define in the usual way. Let $`y_t`$ denote the closing value of the Ibovespa at time $`t`$, where $`t`$ is measured in trading days and $`t=0`$ corresponds to the date January 02, 1968, when the Ibovespa was created. The return $`r_t`$ at time $`t`$ is given by the logarithmic difference between consecutive daily values:

$$r_t\mathrm{ln}y_{t+1}\mathrm{ln}y_t=\mathrm{ln}\left(\frac{y_{t+1}}{y_t}\right).$$
(1)
In Fig. 3 we plot the daily returns $`r_t`$ for the Ibovespa index. In what follows we wish to investigate the existence of long-term dependence in the Ibovespa daily returns. Before going into this analysis, however, we shall first present some background material about correlated time series and describe briefly the method we will use to detect correlation in our data.

## 3 Correlated Time Series

One of the simplest and most important stochastic models that display long-term dependence is the fractional Brownian motion (FBM), whose main properties we will briefly review below. Following this, we shall then describe the Detrended Fluctuation Analysis (DFA) which, as already noted, is the main method we will use to estimate the Hurst exponent $`H`$ for our empirical data. (Several other estimators for $`H`$ have been discussed in the literature; see, e.g., Ref.  for a comparison among some of them.)

### 3.1 Fractional Brownian motion

We recall here that the fractional Brownian motion $`\{B_H(t),t>0\}`$ is a Gaussian process with zero mean and stationary increments whose variance and covariance are given by

$`E[B_H^2(t)]=\sigma ^2t^{2H},`$ (2)
$`E[B_H(s)B_H(t)]={\displaystyle \frac{1}{2}}\sigma ^2\left(s^{2H}+t^{2H}|ts|^{2H}\right),`$ (3)
where $`0<H<1`$, $`\sigma >0`$, and $`E[]`$ denotes expected value. The process $`B_H(t)`$ is statistically self-similar (or more exactly self-affine) in the sense of finite-dimensional distributions:

$$B_H(at)\stackrel{d}{=}a^HB_H(t),$$
(4)
for all $`a>0`$, where $`\stackrel{d}{=}`$ means equality in distribution.

The parameter $`H`$ is called the self-similarity exponent or the Hurst exponent. For $`H=1/2`$ the process $`B_H(t)`$ corresponds to the standard Brownian motion, in which case the increments $`X_t=B_H(t+1)B_H(t)`$ are statistically independent and represent the usual white noise. On the other hand, for $`H1/2`$ the increments $`X_t`$, known as fractional white noise, display long-range correlation in the sense that

$$E[X_{t+h}X_t]\sigma ^22H(2H1)h^{2H2}\text{for}h\mathrm{},$$
(5)
as one can easily verify from (2) and (3). Thus, if $`1/2<H<1`$ the increments of the FBM are positively correlated and we say that the process $`B_H(t)`$ exhibits persistence. Likewise, for $`0<H<1/2`$ the increments are negatively correlated and the FBM is said to show antipersistence.

### 3.2 Detrended fluctuation analysis

The Detrended Fluctuation Analysis (DFA), which is a modification of the usual variance analysis, was proposed independently albeit with different names in Refs.  and  . (In Ref.  the analogous of the fluctuation function $`F(\tau )`$ defined below was termed Straight Line Roughness.) The DFA has the advantage over the standard variance analysis of being able to detect long-term dependence in nonstationary time series . The idea of the method is to subtract possible deterministic trends from the original time series and then analyze the fluctuation of the detrended data, as explained below.

To implement the DFA, we first integrate the original time series $`\{r_t\}_{t=1,\mathrm{},T}`$ to obtain the cumulative time series $`X(t)`$:

$$X(t)=\underset{t^{}=1}{\overset{t}{}}(r_t^{}\overline{r}),t=1,\mathrm{},T,$$
(6)
where

$$\overline{r}=\frac{1}{T}\underset{t^{}=1}{\overset{T}{}}r_t^{}.$$
(7)
Next we break up $`\{X(t)\}`$ into $`N`$ non-overlapping time intervals, $`I_n`$, of equal size $`\tau `$, where $`n=0,1,\mathrm{},N1`$ and $`N`$ corresponds to the integer part of $`T/\tau `$. We then introduce the local trend function $`Y_\tau (t)`$ defined by

$$Y_\tau (t)=a_n+b_nt\text{for}tI_n,$$
(8)
where the coefficients $`a_n`$ and $`b_n`$ represent the least-square linear fit of $`X(t)`$ in the interval $`I_n`$. We now compute the fluctuation function $`F(\tau )`$ defined as the root mean deviation of $`X(t)`$ with respect to the trend function $`Y_\tau (t)`$:

$$F(\tau )=\sqrt{\frac{1}{T}\underset{t=1}{\overset{T}{}}\left[X(t)Y_\tau (t)\right]^2}.$$
(9)
In the original DFA  the Hurst exponent $`H`$ is obtained directly from the scaling behavior of the above fluctuation function: $`F(\tau )\tau ^H`$. For reasons that will become apparent shortly, we find it convenient to introduce a rescaled (dimensionless) fluctuation function $`F_S(\tau )`$,

$$F_S(\tau )\frac{F(\tau )}{S},$$
(10)
where $`S`$ is the data standard deviation

$$S=\sqrt{\frac{1}{T}\underset{t=1}{\overset{T}{}}\left(r_t\overline{r}\right)^2}.$$
(11)
The rescaled fluctuation function $`F_S(\tau )`$ obviously has the same functional form as the original $`F(\tau )`$ and so we write

$$F_S(\tau )=C\tau ^H,$$
(12)
where $`C`$ is a constant independent of the time lag $`\tau `$. From here on, we shall drop the subscript from $`F_S(\tau )`$, with the understanding that we will be working solely with the rescaled fluctuation function.

In a double-logarithmic plot the relationship (12) yields a straight line whose slope is precisely the exponent $`H`$, and so the empirical value for $`H`$ can be easily obtained from a linear regression (in log-log scale) of the corresponding data for $`F(\tau )`$. One practical problem with this method, however, is that one needs to choose an appropriate interval within which to perform the linear fit. For instance, the first few points at the low end of the graph of $`F(\tau )`$ should be disregarded because in this region the detrending procedure removes too much of the fluctuation—this effect accounts for the usual ‘bending down’ of $`F(\tau )`$ for small $`\tau `$. For large $`\tau `$, on the other hand, there are few boxes $`I_n`$ for a proper averaging to be made and hence the values of $`F(\tau )`$ are not statistically reliable in this case. Furthermore, it has been found  that the values obtained for $`H`$ using this procedure are somewhat dependent on the choice of the fitting interval. In order to avoid some of these difficulties we shall use here a slightly different procedure to estimate the exponent $`H`$ from the graph of $`F(\tau )`$.

To do this, we shall rely on the fact that for the fractional Brownian motion, i.e., for $`X(t)=B_H(t)`$, the (rescaled) fluctuation function $`F(\tau )`$ can be computed exactly :

$$F_H(\tau )=C_H\tau ^H,$$
(13)
where

$$C_H=\frac{2}{2H+1}+\frac{1}{H+2}\frac{2}{H+1}.$$
(14)
In (13) we have added a subscript $`H`$ to the fluctuation function $`F(\tau )`$ to denote explicitly that it refers to $`B_H(t)`$. Now, to estimate $`H`$ for our time series we shall simply adjust the parameter $`H`$ so as to obtain the best agreement between the theoretical curve predicted by $`F_H(\tau )`$ and our empirical data for $`F(\tau )`$. In this way, we can estimate $`H`$ with a one-parameter fitting! In principle, one could carry out a formal nonlinear regression using (13) and (14) to determine $`H`$, but in practice it suffices to vary $`H`$ incrementally and decide by visual inspection when the theoretical curve best matches the empirical data. We shall now apply this methodology to estimate the Hurst exponent for the Ibovespa returns.

## 4 Fluctuation analysis of the Ibovespa

In this section we discuss the results of the DFA applied to our Ibovespa time series, which we recall spans the period from January 1968 through May 2001. In Fig. 4 we plot in double-logarithmic scale the corresponding fluctuation function $`F(\tau )`$ against the window size $`\tau `$. Using the procedure outlined at the end of the previous section, we obtain the following estimate for the Hurst exponent: $`H=0.60\pm 0.01`$. In Fig. 4 we have also plotted (straight line) the corresponding theoretical curve $`F_H(\tau )`$ given by (13) and (14), which as one can see is in excellent agreement with the empirical data for intermediate values of $`\tau `$. Since $`H>1/2`$ we conclude that the Ibovespa returns show persistence. We also note that for $`\tau >130`$ (indicated by the arrow in Fig. 4) the empirical data deviate somewhat from the initial scaling behavior and appear to cross over to a regime with a slope closer to $`1/2`$. This indicates that the Ibovespa tends to loose its ‘memory’ after a period of about 6 months. It is perhaps worth pointing out that similar behavior was seen, for example, in several equity indices of the London Stock Exchange . There, the break from the scaling regime typically occurred around 160 trading days , which is not very different from what we found for the Ibovespa, especially considering that the location of the crossover point is difficult to determine precisely.

In order to check the validity of our analysis above, we have also computed the Hurst exponent for a shuffled version of our data in which we have randomly mixed the time series of the Ibovespa returns. Because the process of shuffling tends to destroy any previously existing correlation, we would now expect a Hurst exponent equal (or very close) to 1/2. This is indeed the case, as shown in Fig. 5, where we plot $`F(\tau )`$ for the shuffled data. In this figure one sees that the data points are extremely well described by the theoretical curve (straight line) given by $`F_H(\tau )`$ with $`H=0.5`$. This thus confirms the fact that the long-term dependence seen in the original time series was not an spurious effect.

We now wish to investigate whether the Hurst exponent for the Ibovespa varies in time, which would indicate the existence of nonstationary fluctuations in the Brazilian stock market. In fact, a simple visual inspection of the distribution of the Ibovespa returns shown in Fig. 3 already revels evidences of nonstationary behavior, which we would like to quantify better. Furthermore, in the recent past not only the Brazilian economy was plagued by runaway inflation and but it also endured several ‘shock-therapy’ economic plans, as we have already mentioned. It is thus natural to ask how such stressful events may have affected the dynamics of the Ibovespa index, particularly in regard to its degree of correlation. We now turn our attention to this point.

In order to estimate a time-varying Hurst exponent using a fluctuation analysis (or any method for that matter) one is presented with a difficult challenge, for one has to try to satisfy competing requirements. Indeed, to determine a ‘local’ exponent $`H`$ at a particular time $`t`$ one has to consider a time interval around $`t`$ that is considerably smaller than the total time spanned by the data but still sufficiently large to contain enough points for a meaningful statistics. In the case of the Ibovespa we have found that a three-year period (736 trading days) is an acceptable compromise between these two opposing demands. (For smaller periods the fluctuations in the values of $`H`$ are too large to be trusted.) We have accordingly applied the DFA to the Ibovespa returns in moving three-year intervals. More specifically, our methodology is as follows: starting at the beginning of our time series we compute the exponent $`H`$ considering only the data points within three years from the initial point, then we advance our three-year time window by 20 days and compute $`H`$ for this new period, and so on. Proceeding in this way we obtain the curve for $`H(t)`$ shown in Fig. 6, where $`t`$ denotes the origin of each three-year time interval.

The most striking feature seen in Fig. 6 is perhaps the fact that the Ibovespa shows persistence ($`H>1/2`$) all the way up to the early 1990’s, after which it ‘switches’ to a regime with alternating persistent and antipersistent behavior but where $`H`$ remains somewhat close to 1/2. Notice in particular that during the 1970’s and 1980’s the curve $`H(t)`$ stays well above 1/2, the only exception to this trend occurring around the year 1986 when $`H`$ dips momentarily towards 1/2—we associate this effect with the launch of the Cruzado Plan in February 1986; see Sec. 2. Shortly after the Cruzado Plan, however, inflation picks up again (Fig. 2), the Ibovespa declines (Fig. 1), and the exponent $`H`$ returns to pre-Cruzado levels (Fig. 6). Then in the early 1990’s, at the time of the Collor Plan (see below), we observe a dramatic decline in the curve $`H(t)`$ towards 1/2, with $`H`$ remaining (within some fluctuation) around this value afterwards. Note also that around the time of the launch of the Real Plan in July 1994 the curve $`H(t)`$ reaches its lowest values. We have thus seen that the Ibovespa Hurst exponent declines following the adoption of a major economic plan (such as the Cruzado, Collor and Real Plans), thus confirming the fact  that a firm intervention on the market tends to reduce $`H`$ momentarily.

As we already mentioned, the drop in $`H`$ that occurs in the early 1990’s can be unambiguously traced back to the launch, in March 1990, of the Collor Plan which marked the beginning of structural reforms in Brazil . In this context, it is important to realize that this decline in $`H`$ takes place well before the adoption of the Real Plan. It is indeed quite surprising that the Hurst exponents found in the early 1990’s, in a macroeconomic environment dominated by very high inflation, are on about the same level as those found after the Real Plan when the economy had been stabilized. This fact in itself is a clear evidence of the profound impact that the structural reforms set off by the Collor Plan had on the Brazilian economy. In order to study this effect in more detail, we have applied the DFA separately to the Ibovespa returns prior and after the Collor Plan. Our results are shown in Fig. 7. In this figure one sees that before the Collor Plan the Brazilian stock market shows a significant amount of persistence ($`H=0.63`$), while after the Collor Plan the Ibovespa displays essentially no long-term dependence ($`H=0.5`$).

In light of the preceding results, it thus seems legitimate to conclude that the opening and consequent modernization  of the Brazilian economy that begun in the early 1990’s has led to a more efficient stock market, in the sense that $`H=0.5`$ for the Ibovespa after 1990. By the same token, we associate the period of higher $`H`$ before 1990 with a less efficient market. In those years, the Brazilian economy was considerably closed to foreign competition and its financial markets were not readily accessible to international investors. In such closed economic environment the Brazilian stock market was conceivably more prone to ‘correlated fluctuations’ (and perhaps also more susceptible to being pushed around by aggressive investors), which may explain in part a Hurst exponent greater than 0.5 for that period.

## 5 Multifractional Brownian motion

We have seen above that the Hurst exponent $`H`$ for the Ibovespa stock index changes appreciably over time. In this regard, the fractional Brownian motion appears to be a somewhat restrictive model, unable to capture more fully the complex dynamics of the Brazilian stock market. Similar time-dependent Hurst exponents have also been observed in other financial markets  and in physical processes such as traffic flow in the Internet . To circumvent this shortcoming of the FBM, Peltier and Levy-Vehel  have proposed a multifractional Brownian motion (MFBM) in which the scaling exponent $`H`$ is allowed to vary in time. For a rigorous exposition of the definition and mathematical properties of MFBM the interested reader is referred to Ref. . Here we shall present only the main properties of the MFBM that are of interest to us. Before we proceed, it should however be emphasized that our aim in this section is not to develop a specific model for the Ibovespa but rather to present a generic theoretical framework based on the MFBM in which the time-dependence of the Ibovespa Hurst exponent could, in principle, be understood.

Let $`H(t)`$ be a Hölder-continuous function in the interval $`t[0,1]`$ with Hölder exponent $`\beta >0`$, such that for any $`t>0`$ we have $`0<H(t)<\mathrm{min}(1,\beta )`$ . (For ease of notation, we shall sometimes indicate the $`t`$-dependence as a subscript and write $`H_t`$.) The multifractional Brownian motion $`\{W_{H_t}(t),t>0\}`$ is the Gaussian process defined by

$$W_{H_t}(t)=\frac{1}{\mathrm{\Gamma }(H_t+\frac{1}{2})}_{\mathrm{}}^t[(ts)_+^{H_t1/2}(s)_+^{H_t1/2}]𝑑B(t),$$
(15)
where $`\mathrm{\Gamma }(x)`$ is the gamma function, $`(x)_+`$ equals $`x`$ if $`x>0`$ and zero otherwise, and $`B(t)`$ denotes the usual Brownian motion. One important aspect of the process defined above is that its increments are no longer stationary since it can be shown  that

$`E[\{W_{H_{t+h}}(t+h)W_{H_t}(t)\}^2]h^{2H(t)}\text{as}h0.`$ (16)
Because of its non-stationarity the MFBM is no longer a self-similar process either. However, it is possible to define the concept of locally asymptotically similarity at the point $`t_0>0`$ in the following way

$$\frac{W_{H_{t_0+at}}(t_0+at)W_{H_{t_0}}(t_0)}{a^{H_{t_0}}}\stackrel{d}{=}W_{H_{t_0}}(t)\text{as}a0.$$
(17)
\[Compare this with the global self-similar property of the FBM given in (4).\] In this sense, $`W_{H_t}(t)`$ can be thought of as a process that locally at time $`t`$ ‘resembles’ a fractional Brownian motion $`B_{H_t}(t)`$. In fact, a practical way to generate a multifractional Brownian path consists in generating for each time $`t[0,1]`$ a fractional Brownian motion $`B_{H_t}(s)`$, $`s[0,1]`$, and then setting $`W_{H_t}(t)=B_{H_t}(t)`$. More details about this method together with an algorithm for its implementation can be found in Ref. . (We remark parenthetically, however, that the algorithm presented there for the computation of $`H(t)`$ is not appropriate for empirical time series, as inadvertently used in Ref. , because such algorithm requires previous knowledge of the variance of the FBM used to generate the MFBM, which of course is not known for empirical data.)

In Fig. 8 we show an example of a path of multifractional Brownian motion characterized by the Hurst function

$$H(t)=0.630.076\mathrm{arctan}(30t24).$$
(18)
Although somewhat arbitrary, this example was chosen to mimic the generic trend seen in the Ibovespa where $`H(t)`$ can be viewed as having (on average) two distinct ‘plateaus,’ one before and the other after 1990, with a swift crossover between them. For comparison purpose, we have generated a MFBM path with approximately the same number of data points ($`N=2^{13}=8192`$) as in the original Ibovespa time series ($`N=8209`$). We have then applied the detrended fluctuation analysis to our MFBM path, with the result being shown in Fig. 9. Since a MFBM path is not characterized by a constant Hurst exponent, the functional dependence of the DFA fluctuation function $`F(\tau )`$ will not, in general, be a power law. Nevertheless, we see from Fig. 9 that $`F(\tau )`$ exhibits an approximate scaling regime, $`F(\tau )\tau ^{\overline{H}}`$ with $`\overline{H}=0.6`$, up to about $`\tau =160`$. For comparison, we also show in Fig. 9 the corresponding relationship (straight line) predicted by $`F_H(\tau )`$ given in (13), which as one sees is in good agreement with the data in the scaling region.

We thus interpret the scaling exponent $`\overline{H}`$ as a kind of average Hurst exponent for our MFBM time series. Note, however, that although the region of small $`H`$ represents only about 20% of the total time series it has nonetheless a significant weight on the exponent $`\overline{H}`$, since its value is considerably smaller than what one would obtain by simply averaging the curve $`H(t)`$ \[in this case one gets $`H_{\mathrm{ave}}=0.68`$\]. This result is in agreement with the known fact  that regions of large fluctuations (and hence smaller $`H`$) tend to dominate the behavior of $`F(\tau )`$ for small-to-intermediate values of $`\tau `$. A more detailed discussion about the detrended fluctuation analysis of MFBM paths will be presented elsewhere.

The preceding discussion thus suggests that the Hurst exponent $`H`$ obtained by applying the DFA (and similar fluctuation analyses ) to financial time series might perhaps capture only an average behavior over the time period spanned the data. This seems to be particularly true for the Ibovespa index, where we find that the DFA Hurst exponent obtained using the complete time series (spanning over 30 years of data) is $`H=0.6`$, whereas during this period the local exponent $`H(t)`$ varies considerably within the range $`(0.76,0.42)`$; see Fig. 6. One is thus lead to conclude that when dealing with long financial time series, a more localized (in time) analysis is necessary to determine a possible dependence of $`H`$ on time. In particular, note that a global Hurst exponent equal to 1/2 does not necessarily imply the absence of correlation: there could be positive and negative correlations at different periods of time that average out so as to yield an effective $`H=0.5`$.

## 6 Conclusions

We have carried out a Detrended Fluctuation Analysis of the daily returns of the São Paulo Stock Exchange Index (Ibovespa), spanning over 30 years of data from January 1968 up to May 2001. For this time series we have obtained a Hurst exponent greater than 1/2, indicating that the Ibovespa has long-term dependence (persistence). This memory effect seems to last for up to about 6 months (130 trading days), after which time the fluctuation function $`F(\tau )`$ deviates from the initial scaling behavior and crosses over to a regime with a slope closer to 1/2. Similar behavior has been observed in other stock indices , and it thus appears that stock markets tend to loose their ‘memory’ typically in about half a year.

We have also performed a more localized (in time) analysis of the Ibovespa returns, where we have calculated the local Hurst exponent $`H(t)`$ in three-year moving time windows. Here the most striking feature is the fact that after 1990 the Hurst exponent stays close to 1/2 (within some fluctuation), whereas in the preceding decades it was, in general, considerably larger than 1/2. We have thus argued that the liberalizing measures (e.g., substantial reduction of import tariffs, cutting down the ‘red tape’ for foreign investments, and privatisation of state companies ) brought about by the Collor Plan in the early 1990’s and continued with the Real Plan in 1994 resulted in a more efficient stock market in the sense that $`H`$ remained close to 1/2 after 1990.

The fact that its Hurst exponent changes over time time indicates that the Ibovespa time series cannot be satisfactorily modeled in terms of a simple fractional Brownian motion. In other words, the Ibovespa follows a multifractal process. We have thus suggested that the multifractional Brownian motion, in which the scaling exponent $`H`$ is allowed to vary in time, could perhaps be a more appropriate description for the Brazilian stock market dynamics. It thus remains an interesting question to investigate to what extent the MFBM is a valid model for other financial time series.

We thank A. Ohashi for fruitful discussions at early stages of this work. Stimulating discussions on related topics with D. Rothman and R. Almgren are also acknowledged. This research was supported in part by the Brazilian agencies FINEP and CNPq and the special program PRONEX.

## Appendix A Appendix: Hurst rescaled range analysis

The Hurst rescaled range ($`R/S`$) analysis is a technique devised by the hydrologist Henry Hurst in 1951  to test for the presence of correlations in empirical time series. A detailed description of the Hurst analysis (including its historical origin) can now be found in textbooks , so that here we shall give only a brief summary of the method and then proceed to apply it to the Ibovespa returns.

In the Hurst analysis, we start by dividing our time series $`\{r_t\}_{t=1,\mathrm{},T}`$ in $`N`$ non-overlapping time intervals $`I_n`$ of equal size $`\tau `$. For each interval $`I_n`$ we compute the range

$$R_n=\underset{1k\tau }{\mathrm{max}}\left[\underset{t=1}{\overset{k}{}}\left(r_{n\tau +t}\overline{r}_n\right)\right]\underset{1k\tau }{\mathrm{min}}\left[\underset{t=1}{\overset{k}{}}\left(r_{n\tau +t}\overline{r}_n\right)\right],$$
(19)
where

$$\overline{r}_n=\frac{1}{\tau }\underset{t=1}{\overset{\tau }{}}r_{n\tau +t},$$
(20)
and the data standard deviation

$$S_n=\sqrt{\frac{1}{\tau }\underset{t=1}{\overset{\tau }{}}\left(r_{n\tau +t}\overline{r}_n\right)^2}.$$
(21)
The rescaled range $`(R/S)_\tau `$ is then defined as the average of the ratio $`R_n/S_n`$ over all intervals $`I_n`$

$$\left(R/S\right)_\tau \frac{R_n}{S_n}=\frac{1}{N}\underset{n=0}{\overset{N1}{}}\frac{R_n}{S_n}.$$
(22)
The Hurst exponent $`H`$ is obtained from the scaling behavior of $`(R/S)_\tau `$:

$$\left(R/S\right)_\tau \tau ^H.$$
(23)
A plot of the rescaled range $`R/S`$ as a function of $`\tau `$ for the Ibovespa returns over the entire period (1968–2001) analyzed in this paper is shown in the upper curve of Fig. 10. The data in this case show a scaling regime that goes from $`\tau =10`$ up to about $`\tau =160`$. A linear regression in this region yields the value $`H=0.65`$, which is somewhat larger than the exponent ($`H=0.6`$) obtained via the DFA for the same time series. In order to understand the origin of such discrepancy, we have also applied the Hurst method to the shuffled Ibovespa data (lower graph in Fig. 10) and found $`H=0.57`$ in this case. We thus see that the Hurst analysis of the shuffled data predicts an unexpected residual correlation. (Recall that applying the DFA to the shuffled data yields $`H=0.5`$, as expected.) This ‘excess of correlation’ found in the $`R/S`$ analysis of the shuffled Ibovespa is perhaps not entirely surprising, given that it is known that the Hurst method tends to overestimate the Hurst exponent for time series of small sizes . This effect may perhaps explain why the exponent $`H`$ obtained via the Hurst method is usually larger than that found via the DFA . We thus conclude that the DFA appears to be a more reliable method for detecting true correlation in financial time series. It is worth therefore emphasizing that the numerical values obtained for the exponent $`H`$ via the Hurst method should be interpreted with some caution, specially when the time series is not sufficiently large, as is commonly the case in practice.


text:
# Lagrangian Formalism for Multiform Fields on Minkowski SpacetimeThis paper is a new version of a paper published: Int. J. Theor. Phys. 40, 2347-2378 (2001), which includes some additional references.

## 1 Introduction

It is now well known that the *multiform*  and *extensor* fields over Minkowski spacetime provides an unifying language for expressing the main field equations of contemporany physics (Hestenes, 1966; Hestenes and Sobczyk, 1984; Rodrigues and de Souza, 1993, 1994; Moya 1999; Moya, Fernández, and Rodrigues, 2001), including gravitation111A complete review, including many new mathematical topics of the overall subject has been published in a special edition of Advances in Applied Clifford Algebras (Moya, Fernández and Rodrigues, 2001). See also (Moya, Fernández and Rodrigues, 2003).. However, a comprehensive *multiform Lagrangian formalism* using rigorous mathematics is still lacking, despite some previous attempts (Lasenby, Doran and Gull, 1993; Rodrigues and de Souza, 1994; Rodrigues et al,1995). In this paper we provides such a theory. In our formalism several different kinds of Lagrangians which occurs in well known physical theories are treated with the same mathematics. We include several examples, from simple to sophisticated ones, which show the power of the multiform calculus, together with the main identities (the tricks of trade) necessary for the derivation of several equations of motion in the different theories studied in this paper222In (Moya, Fernández and Rodrigues, 2000a,b) we present a Lagrangian formulation for the gravitational field, as a distortion field (an extensor field) on Minkowski spacetime. There, we show, that the formulation of the same problem by (Lasenby, Doran and Gull,1998) is non sequitur. A preliminary version of the gravitational field as a distortion field appears in (Rodrigues and de Souza, 1993)..

The power of the multiform calculus on Minkowski spacetime, $`(M,\eta ,\tau _\eta ,D^\eta )`$333$`M`$ is a 4-dimensional manifold oriented by $`\tau _\eta `$ (the volume element 4-form) and time oriented, which is diffeomorphic to $`R^4`$, $`\eta \mathrm{sec}T_2^0(M)`$ is a Lorentzian flat metric and $`D^\eta `$ is the Levi-Civita connection of $`\eta .`$ For details, see (Sachs and Wu,1977). is enhanced once we use as a representation of this one an *affine space* ($`M,^{}`$), where $`^{}`$ the dual of $`(R^4)`$, is the vector space of the structure. In the rest of this section we introduce some necessary notations. Given a global coordinate system over $`M,`$ say $`Mxx^\mu (x)R`$ ($`\mu =0,1,2,3`$) associated to a inertial reference frame (Rodrigues and Rosa, 1989) at $`xM`$. $`\frac{}{x^\mu }|_x`$ and $`dx^\mu |_x`$ are the natural basis for the tangent vector space $`T_xM`$ and the tangent covector space $`T_x^{}M.`$

We have,

$`\eta `$ $`=\eta _{\mu \nu }dx^\mu dx^\nu ,`$
$`\eta _{\mu \nu }`$ $`=\eta ({\displaystyle \frac{}{x^\mu }},{\displaystyle \frac{}{x^\nu }})=diag(1,1,1,1).`$ (1)
###### Definition 1

$`T_xM𝐯_x`$ is said to be equipolent to $`𝐯_x^{}T_x^{}M`$ (written $`𝐯_x=𝐯_x^{}`$) if and only if

$$\eta _{(x)}(\frac{}{x^\mu }|_x,𝐯_x)=\eta _{(x^{})}(\frac{}{x^\mu }|_x^{},𝐯_x^{}),\text{ }(\mu =0,1,2,3).$$
(2)
Note that $`{\displaystyle \frac{}{x^\beta }}|_x={\displaystyle \frac{}{x^\beta }}|_x^{}`$ ($`\beta =0,1,2,3`$).

###### Definition 2

The set of equivalent classes of tangent vectors over the tangent bundle,

$$=\{𝒞_{𝐯_x}\text{for all }xM\},$$
(3)
has a natural structure of vector space, it is called Minkowski vector space.

Note that $`𝒞_{{\scriptscriptstyle \frac{}{x^\mu }}|_x}`$ is a natural basis for $``$ ($`dim=4`$). With the notations: $`\stackrel{}{v}𝒞_{𝐯_x}`$ and $`\stackrel{}{e}_\mu 𝒞_{{\scriptscriptstyle \frac{}{x^\mu }}|_x},`$ we can write $`\stackrel{}{v}=v^\mu \stackrel{}{e}_\mu .`$

###### Definition 3

The 2-tensor over $`,`$

$$\eta :\times R,$$
(4)
such that for each $`\stackrel{}{v}=𝒞_{𝐯_x}`$ and $`\stackrel{}{w}=𝒞_{𝐰_x}:\eta (\stackrel{}{v},`$ $`\stackrel{}{w})=\eta _{(x)}(𝐯_x,`$ $`𝐰_x),`$ for all $`xM,`$ is called Minkowski metric tensor.

Note that, for each pair of basis vectors $`\stackrel{}{e}_\mu 𝒞_{{\scriptscriptstyle \frac{}{x^\mu }}|_x}`$ and $`\stackrel{}{e}_\nu 𝒞_{{\scriptscriptstyle \frac{}{x^\nu }}|_x},`$ it holds

$$\eta (\stackrel{}{e}_\mu ,\stackrel{}{e}_\nu )=diag(1,1,1,1).$$
(5)
###### Definition 4

The dual basis of $`\stackrel{}{e}_\mu `$ will be symbolized by $`\gamma ^\mu ,`$ i.e., $`\gamma ^\mu ^{}\mathrm{\Lambda }^1()`$ and $`\gamma ^\mu (\stackrel{}{e}_\nu )=\delta _\nu ^\mu .`$

To continue, we observe the existence of a fundamental isomorphism between $``$ and $`\mathrm{\Lambda }^1()`$ given by,

$$\stackrel{}{a}a\mathrm{\Lambda }^1(),$$
(6)
such that if $`\stackrel{}{a}=a^\mu \stackrel{}{e}_\mu `$ then $`a=\eta _{\mu \nu }a^\mu \gamma ^\nu `$ and if $`a=a_\mu \gamma ^\mu `$ then $`\stackrel{}{a}=\eta ^{\mu \nu }a_\mu \stackrel{}{e}_\nu `$, where $`\eta _{\mu \nu }=\eta (\stackrel{}{e}_\mu ,\stackrel{}{e}_\nu )`$, $`\eta ^{\mu \nu }=\eta _{\mu \nu }`$.

###### Remark 5

To each basis vector $`\stackrel{}{e}_\mu `$ correspond a basis form $`\gamma _\mu =\eta _{\mu \nu }\gamma ^\nu .`$

###### Definition 6

A scalar product of forms can be defined by

$$\mathrm{\Lambda }^1()\times \mathrm{\Lambda }^1()(a,b)abR,$$
(7)
such that if $`\stackrel{}{a}a`$ and $`\stackrel{}{b}b`$ then $`ab=\eta (\stackrel{}{a},\stackrel{}{b}).`$

###### Remark 7

$`\gamma _\mu \gamma _\nu =\eta _{\mu \nu },`$ $`\gamma ^\mu \gamma _\nu =\delta _\nu ^\mu `$ ($`\gamma _\mu `$ is called the reciprocal basis of $`\gamma ^\mu `$) and $`\gamma ^\mu \gamma ^\nu =\eta ^{\mu \nu }`$. Thus, $`\eta `$ admits the expansions $`\eta =\eta _{\mu \nu }\gamma ^\mu \gamma ^\nu =\eta ^{\mu \nu }\gamma _\mu \gamma _\nu `$.

###### Remark 8

The oriented affine space $`(M,^{})`$ (oriented by $`\gamma ^5=\gamma ^0\gamma ^1\gamma ^2\gamma ^3`$) is a representation of the Minkowski manifold.

###### Remark 9

$`(M,^{})`$ equipped with the scalar product given by eq.(7) is a representation of Minkowski spacetime.

###### Definition 10

Let $`x^\mu `$ be a global affine coordinate system for $`(M,^{})`$, relative to an arbitrary point $`o`$ $`M`$. A position form associated to $`xM`$, is the form over $``$ (designed by the same letter), given by the following correspondence

$$Mxx=x^\mu \gamma _\mu \mathrm{\Lambda }^1().$$
(8)
###### Remark 11

We denote by $`𝒞\mathrm{}()𝒞\mathrm{}(1,3)𝐇(2)`$, the spacetime algebra, i.e., the Clifford algebra (Lounesto, 1997) of $`^{}`$ equipped with the scalar product defined by eq.(7).

###### Remark 12

As a vector space over the reals, we have $`𝒞\mathrm{}()=\underset{p=0}{\overset{4}{}}\mathrm{\Lambda }^p().`$

###### Definition 13

A smooth multiform field $`A`$ on Minkowski spacetime is a multiform valued function of position form,

$$\mathrm{\Lambda }^1()xA(x)\mathrm{\Lambda }()$$
(9)
###### Definition 14

Let $`0p,q4`$. A $`(p,q)`$-extensor $`t`$ is a linear mapping

$$t:\mathrm{\Lambda }^p()\mathrm{\Lambda }^q().$$
(10)
###### Remark 15

The set of all $`(p,q)`$-extensors is denoted by $`ext(\mathrm{\Lambda }^p(),\mathrm{\Lambda }^q()).`$

###### Definition 16

A smooth $`(p,q)`$-extensor field $`t`$ on Minkowski spacetime is a differentiable $`(p,q)`$-extensor valued function of position form,

$$\mathrm{\Lambda }^1()xt_xext(\mathrm{\Lambda }^p(),\mathrm{\Lambda }^q()).$$
(11)
###### Definition 17

The $`a`$-directional derivative ($`a`$ is an arbitrary form) of a smooth multiform field $`X`$, denoted as $`aX,`$ is defined by

$$aX=\underset{\lambda 0}{lim}\frac{X(x+\lambda a)X(x)}{\lambda }=\frac{d}{d\lambda }X(x+\lambda a)|_{\lambda =0}.$$
(12)
###### Remark 18

The $`\gamma _\mu `$-directional derivative $`\gamma _\mu X`$ coincides with the coordinate derivative $`\frac{X}{x^\mu }.`$ For short, we will use the notation $`_\mu \gamma _\mu .`$

###### Definition 19

The gradient, divergence and curl of a smooth multiform field $`X,`$ respectively denoted by $`X,`$ $`\mathrm{}X`$ and $`X,`$ are defined by

$`X`$ $`=\gamma ^\mu (_\mu X).`$ (13)
$`\mathrm{}X`$ $`=\gamma ^\mu \mathrm{}(_\mu X).`$ (14)
$`X`$ $`=\gamma ^\mu (_\mu X).`$ (15)
###### Remark 20

For any $`X`$, it holds $`X=\mathrm{}X+X.`$

## 2 Lagrangian mappings $`(X,X)(X,X)`$

Let $`X`$ be a smooth multiform field over the Minkowski spacetime $`M`$. Consider the ordinary multiform444Called multivector derivatives in (Hestenes and Sobczyk, 1984), where this concept, for the best of our knowledge, has been introduced. derivatives $`X,`$ where $``$ means any one of the multiform products $`(\mathrm{}),()`$ or $`(`$Clifford product$`)`$ (i.e., the divergence, the curl or the gradient of $`X`$)555The dot product of defintion 1.5 is extended in a natural way to all $`Cl()`$ as follows: $`X,Y\mathrm{\Lambda }(),`$ $`XY=X\stackrel{~}{Y}_0.`$ Note that it is an operation different from the left and right contractions. See (Rodrigues et al, 1995; Lounesto, 1999, Moya, Fernández and Rodrigues, 2000)..

###### Definition 21

A differentiable scalar-valued function of two multiform variables,

$$:\mathrm{Im}X\times \mathrm{Im}XR,$$
(16)
(where Im$`X`$ means image of the multiform field $`X`$, etc.) will be called Lagrangian mapping (*LM*) associated to $`X.`$

###### Definition 22

Let $`X`$ be any smooth multiform field, then $`\widehat{}[X]`$ is a smooth scalar field defined by

$$\mathrm{\Lambda }^1()x\widehat{}[X](x)R,$$
(17)
such that $`\widehat{}[X](x)=[X(x),X(x)].`$

The operator $`\widehat{}`$ will be called Lagrangian operator and the smooth scalar field $`\widehat{}[X]`$ will be called Lagrangian scalar field associated to $`X.`$

###### Remark 23

For abuse of notation, in what follows, the Lagrangian mapping $``$ and the Lagrangian scalar field $`\widehat{}[X]`$ will be symbolized simply by $`(X,X)(X,X).`$

###### Definition 24

To any LM $`(X,X)(X,X)`$, the *action* for the multiform field $`X`$ (on $`UM`$) is the scalar (i.e., a real number)

$$S=_U\widehat{}[X](x)d^4x,$$
(18)
or, in abused notation $`S=_U(X,X)`$ $`d^4x.`$

Take an arbitrary smooth multiform field $`A,`$ with the property $`A=A_X`$ (i.e., $`A`$ and $`X`$ are contains the same grades), such that it vanishes on the boundary $`U`$ (i.e., $`A|_U=O`$), and take an open set $`S_0R,`$ containing zero.

###### Definition 25

The $`\lambda `$-parametrized smooth scalar field

$$\mathrm{\Lambda }^1()\times S_0(x,\lambda )\widehat{}[X+\lambda A](x)R,$$
(19)
will be called varied Lagrangian.

Note that $`\widehat{}[X+\lambda A](x)=[X(x)+\lambda A(x),X(x)+\lambda A(x)].`$ Thus, for abuse of notation, the varied Lagrangian would be sometimes denoted by $`(X+\lambda A,X+\lambda A).`$

###### Definition 26

The $`\lambda `$-parametrized scalar (i.e., an ordinary scalar function of the real variable $`\lambda `$)

$$S_0\lambda S(\lambda )R,$$
(20)
such that

$$S(\lambda )=_U\widehat{}[X+\lambda A](x)d^4x,\text{ }$$
(21)
(or $`S(\lambda )=_U(X+\lambda A,X+\lambda A)d^4x`$, in abused notation) is called varied action .

###### Definition 27

Given any smooth multiform field $`X`$ and Lagrangian scalar field $`\widehat{}[X]`$, the variational operator $`\delta _X`$ is defined by $`\mathrm{\Lambda }^1()x\delta _X\widehat{}[X](x)R,`$

$`\delta _X\widehat{}[X](x)`$ $`={\displaystyle \frac{d}{d\lambda }}\widehat{}[X+\lambda A](x)|_{\lambda =0}`$
$`={\displaystyle \frac{d}{d\lambda }}[X(x)+\lambda A(x),X(x)+\lambda A(x)]|_{\lambda =0}.`$ (22)
We simply write $`\delta _X(X,X)=\frac{d}{d\lambda }(X+\lambda A,X+\lambda A)|_{\lambda =0}`$, in what follows.

In Lagrangian field theory, the dynamics of a multiform field $`X`$ is supposed to satisfy the so-called *condition of stationary action*, hereafter denoted *AP*, i.e.,

$$S^{}(0)=0,\text{ for all }A\text{ such that }A|_U=O.$$
(23)
The *AP* can also be written as

$$_U\delta _X(X,X)d^4x=0,\text{ }A\text{ }A|_U=O,$$
(24)
The *AP* implies the so-called *Euler-Lagrange equation (ELE)* for the multiform field $`X`$ (*i.e., the field equation for* $`X`$).

###### Proposition 28

Given a dynamical variable $`X`$ on $`UM`$, and a LM$`(X,X)(X,X)`$, where $``$ is respectively: (a) $`\mathrm{}`$, or (b) $``$, or (c) the Clifford product, the AP implies for the cases (a), (b), (c) respectively the following ELEs*.*

(a) $`:\text{ }_X(X,\mathrm{}X)_\mathrm{}X(X,\mathrm{}X)=O.,`$ (25)
(b) $`:\text{ }_X(X,X)\mathrm{}_X(X,X)=O,`$ (26)
(c) $`:_X(X,X)_X(X,X)=O.`$ (27)
Proof.

Here we prove only case (c), leaving the proofs of (a) and (b) to the reader. The $`X`$-variation of $`(X,X)`$ yields

$$\delta _X(X,X)=A_X(X,X)+A_X(X,X).$$
(28)
Using the identity $`(6.3)`$, we have

$$\delta _X(X,X)=A[_X(X,X)_X(X,X)]+[_a(aA)_X(X,X)],$$
(29)
and the *AP* yields

$$_UA(_X_X)\text{ }d^4x+_U[_a(aA)_X]\text{ }d^4x=0,$$
(30)
for all $`A`$ such that $`A|_U=O`$.

Using the Gauss-Stokes theorem with the boundary condition $`A|_U=O`$, the second term gives

$`{\displaystyle _U}[_a(aA)_X]\text{ }d^4x`$ $`={\displaystyle _U}\gamma ^\mu [_a(aA)_X]\text{ }d^3S_\mu `$
$`={\displaystyle _U}A(\gamma ^\mu _X)\text{ }d^3S_\mu =0.`$ (31)
Putting eq.(31) into eq.(30) gives

$$_UA[_X(X,X)_X(X,X)]\text{ }d^4x=0,\text{ for all }A,$$
(32)
and due to the arbitrariness of $`A,`$ we get

$$_X(X,X)_X(X,X)=O.\text{ }$$
(33)
## 3 Lagrangian mappings $`(X,𝒟X)(X,𝒟X)`$

Let $`X`$ be a smooth multiform field on ($`U`$ $`M,^{}`$) and let $`h`$ be an invertible $`(1,1)`$-extensor field. ($`h_x:^{}xext(\mathrm{\Lambda }^1(),\mathrm{\Lambda }^1())`$) called the *gauge metric extensor field* (which is representation of the gravitational field in the most general possible gravitational theory over Minkowski spacetime) . Also, define $`h^{}=(h^1)^{}=(h^{})^1`$. Consider the operators $`𝒟`$ where $``$ means any multiform product $`(\mathrm{}),()`$ or the Clifford product acting on the set of smooth multivector fields. They are called, the $`h`$-*divergence* $`𝒟\mathrm{}Xh^{}(_a)\mathrm{}𝒟_aX,`$ the $`h`$-*curl* $`𝒟Xh^{}(_a)𝒟_aX`$ and the $`h`$-*gradient* $`𝒟Xh^{}(_a)𝒟_aX`$.

$`𝒟_aX`$ here is a *directional covariant derivative*, obtained from the Levi-Civita directional covariant derivative $`D_a`$, $`𝒟_aX=h(D_ah^1(X))`$ studied in the general geometrical algebraic theory of connections developed in (Fernández, Moya and Rodrigues, 2000b; Moya, Fernández and Rodrigues, 2000a,b)

$$𝒟_aX=aX+\mathrm{\Omega }(a)\times X.$$
(34)
We briefly recall that, $`\mathrm{\Omega }`$ is called second connection extensor field, $`\mathrm{\Omega }_x:\mathrm{\Lambda }^1()\mathrm{\Lambda }^2()`$, $`x^{}`$, $`\mathrm{\Omega }_x(a)=\frac{1}{2}_{n(x)}𝒟_an(x)`$.

In theories which make use of the gauge covariant derivative concept, the action for the multiform field $`X`$ (on ($`U`$ $`M,^{}`$)), with dynamics given by an a *LM* $`(X,𝒟X)(X,𝒟X)`$, the action is postulated to be the scalar

$$S=_U(X,𝒟X)d^4x.$$
(35)
Take an arbitrary smooth multiform field $`A`$, with the property $`A=A_X`$, such that $`A|_U=O`$ and take an open set $`S_0R,`$ containing zero.

###### Definition 29

The $`A`$-varied action for the multivector field $`X`$ (on $`UM`$) is the $`\lambda `$-parametrized scalar

$$S(\lambda )=_U(X+\lambda A,𝒟X+\lambda 𝒟A)\text{ }d^4x.$$
(36)
The dynamics of the multiform field $`X`$ is supposed to satisfy the *AP*

$$S^{}(0)=0,\text{ for all }A\text{ such that }A|_U=O.$$

Equivalently, we have,

$$_U\delta _X(X,𝒟X)\text{ }d^4x=0,\text{ for all }A\text{ such that }A|_U=O,$$
(37)
where $`\delta _X(X,𝒟X)=\frac{d}{d\lambda }(X+\lambda A,𝒟X+\lambda 𝒟A)|_{\lambda =0}`$ is the so-called $`X`$-variation of $`(X,𝒟X)`$.

###### Proposition 30

Given a dynamical variable $`X`$ and a LM $`(X,𝒟X)`$$`(X,𝒟X)=det(h)\mathrm{}(X,𝒟X)`$ where $``$ is respectively: (a) $`\mathrm{}`$, or (b) $``$, or (c) the Clifford product, the AP implies for the cases (a), (b), (c) the following ELEs*,*

(a) $`:\text{ }_X\mathrm{}(X,𝒟\mathrm{}X)𝒟_{𝒟\mathrm{}X}\mathrm{}(X,𝒟\mathrm{}X)=O,`$ (38)
(b) $`:_X\mathrm{}(X,𝒟X)𝒟\mathrm{}_{𝒟X}\mathrm{}(X,𝒟X)=O,`$ (39)
(c) $`:_X\mathrm{}(X,𝒟X)𝒟_{𝒟X}\mathrm{}(X,𝒟X)=O.`$ (40)
Proof.

We prove only the case (b).Using the multiform identity ( 6.8) the $`X`$-variation of $`(X,𝒟X)`$ yields

$`\delta _X(X,𝒟X)`$ $`=det(h)[A_X\mathrm{}(X,𝒟X)+𝒟A_{𝒟X}\mathrm{}(X,𝒟X)]`$
$`=det(h)A[_X\mathrm{}(X,𝒟X)𝒟\mathrm{}_{𝒟X}\mathrm{}(X,𝒟X)]+`$
$`=[det(h)_a(h^{}(a)A)_{𝒟X}\mathrm{}(X,𝒟X)].`$ (41)
The *AP* action yields,

$$_Udet(h)A(_X\mathrm{}𝒟\mathrm{}_{𝒟X}\mathrm{})\text{ }d^4x+_U[det(h)_a(h^{}(a)A)_{𝒟X}\mathrm{}]\text{ }d^4x=0,$$
(42)
for all $`A`$ such that $`A|_U=O`$.

Using the Gauss-Stokes theorem with the boundary condition $`A|_U=O,`$ the second term gives,

$`{\displaystyle _U}[det(h)_a(h^{}(a)A)_{𝒟X}\mathrm{}]\text{ }d^4x`$
$`={\displaystyle _U}det(h)\gamma ^\mu [_a(h^{}(a)A)_{𝒟X}\mathrm{}]\text{ }d^3S_\mu `$
$`={\displaystyle _U}det(h)A[h^{}(\gamma ^\mu )\mathrm{}_{𝒟X}\mathrm{}]\text{ }d^3S_\mu =0.`$ (43)
Putting eq.(43) into eq.(42), we have

$$_Udet(h)A[_X\mathrm{}(X,𝒟X)𝒟\mathrm{}_{𝒟X}\mathrm{}(X,𝒟X)]\text{ }d^4x=0,\text{ for all }A.$$

and due to the arbitrariness of $`A,`$ we finally get

$$_X\mathrm{}(X,𝒟X)𝒟\mathrm{}_{𝒟X}\mathrm{}(X,𝒟X)=O.\text{ }$$
(44)
###### Remark 31

The proofs of (a) and (b) can be easily obtained by using the multiform identities ( 6.7) and (6.9).

## 4 Lagrangian Mapping $`(\psi ,𝒟^s\psi )(\psi ,𝒟^s\psi )`$

Let $`\psi `$ be a smooth Dirac-Hestenes spinor field (*DHSF*) on ($`UM,^{}`$) We can take the *gauge spinor derivative* (Rodrigues et al,1995; Fernández, Moya and Rodrigues, 2000b) $`𝒟^s\psi h^{}(_a)𝒟_a^s\psi `$ (recall that $`𝒟_a^s\psi a\psi +\frac{1}{2}\mathrm{\Omega }(a)\psi `$ is the *directional spinor derivative*) and consider a *LM* $`(\psi ,𝒟^s\psi )(\psi ,𝒟^s\psi ).`$

###### Definition 32

The action for a DHSF $`\psi `$ (on $`UM`$) is

$$S=_U(\psi ,𝒟^s\psi )\text{ }d^4x.$$
(45)
If we take an arbitrary smooth *DHSF* $`\eta ,`$ such that $`\eta |_U=O`$, then, the so-called $`\psi `$-variation of $`(\psi ,𝒟^s\psi )`$ is

$$\delta _\psi (\psi ,𝒟^s\psi )=\frac{d}{d\lambda }(\psi +\lambda \eta ,𝒟^s\psi +\lambda 𝒟^s\eta )|_{\lambda =0}.$$
(46)
###### Proposition 33

Given a DHSF $`\psi ,`$ as dynamical variable, and a LM$`(\psi ,𝒟^s\psi )(\psi ,𝒟^s\psi )`$ the AP

$$_U\delta \psi (\psi ,𝒟^s\psi )d^4x=0,$$

for all $`\eta `$ such that $`\eta |_U=O`$, implies the ELE,

$$_\psi \mathrm{}(\psi ,𝒟^s\psi )𝒟^s_{𝒟^s\psi }\mathrm{}(\psi ,𝒟^s\psi )=O.$$
(47)
Proof.

The $`\psi `$-variation of $`(\psi ,𝒟^s\psi )`$ is

$$\delta \psi (\psi ,𝒟^s\psi )=det(h)[\eta _\psi \mathrm{}(\psi ,𝒟^s\psi )+𝒟^s\eta _{𝒟^s\psi }\mathrm{}(\psi ,𝒟^s\psi )],$$
(48)
and using the multiform identity (6.14) we have

$`\delta \psi (\psi ,𝒟^s\psi )`$ $`=det(h)\eta [_\psi \mathrm{}(\psi ,𝒟^s\psi )𝒟^s_{𝒟^s\psi }\mathrm{}(\psi ,𝒟^s\psi )]`$
$`+[det(h)_a(h^{}(a)\eta )_{𝒟^s\psi }\mathrm{}(\psi ,𝒟^s\psi )].`$ (49)
Thus, the *AP* can be written,

$$_Udet(h)\eta (_\psi \mathrm{}𝒟^s_{𝒟^s\psi }\mathrm{})\text{ }d^4x+_U[det(h)_a(h^{}(a)\eta )_{𝒟^s\psi }\mathrm{}]\text{ }d^4x=0,$$
(50)
for all $`\eta `$ such that $`\eta |_U=O.`$

The second term can be integrated using the Gauss-Stokes theorem with the boundary condition $`\eta |_U=O`$. We get,

$`{\displaystyle _U}[det(h)_a(h^{}(a)\eta )_{𝒟^s\psi }\mathrm{}]\text{ }d^4x`$ $`={\displaystyle _U}\gamma ^\mu [det(h)_a(h^{}(a)\eta )_{𝒟^s\psi }\mathrm{}]\text{ }d^3S_\mu `$
$`={\displaystyle _U}det(h)\eta [h^{}(\gamma ^\mu )_{𝒟^s\psi }\mathrm{}]\text{ }d^3S_\mu =0.`$
(51)
Putting eq.(51) into eq.(50), we get

$$_Udet(h)\eta [_\psi \mathrm{}(\psi ,𝒟^s\psi )𝒟^s_{𝒟^s\psi }\mathrm{}(\psi ,𝒟^s\psi )]\text{ }d^4x=0,\text{ for all }\eta .$$
(52)
And since $`\eta `$ is arbitrary, it follows that

$$_\psi \mathrm{}(\psi ,𝒟^s\psi )𝒟^s_{𝒟^s\psi }\mathrm{}(\psi ,𝒟^s\psi )=O.\text{ }$$
(53)
## 5 Examples

### 5.1 Maxwell and Dirac-Hestenes Lagrangians on Minkowski spacetime

(a) The Lagrangian associated to the Maxwell field $`A:^{}\mathrm{\Lambda }^1()`$ (i.e, the electromagnetic potential) generated by an electric charge current density $`J:^{}\mathrm{\Lambda }^1(),`$ is

$$(A,A)=\frac{1}{2\mu _0}(A)(A)AJ.$$
(54)
The Euler-Lagrange is then, according to previous results

$$_A(A,A)\mathrm{}_A(A,A)=O.$$
(55)
Then, the Maxwell field $`A`$ and the Faraday field $`F=A,`$ satisfy the equations

$$\mathrm{}(A)=\mu _0J,\text{ }F=\mu _0J.$$
(56)
The second equation in (56) is *Maxwell equation* in the spacetime calculus formalism (Hestenes,1966).

(b) In quantum mechanics, the Lagrangian666A thoughtful study of the Dirac-Hestenes Lagrangian which shows hidden assumptions in usual presentation can be found in (De Leo et al, 1999) associated to the *DHSF*777*DHSF* are certain equivalence classes of even sections of $`𝒞\mathrm{}()`$. For details, see (Rodrigues et al, 1995). $`\psi :^{}\mathrm{\Lambda }^0()+\mathrm{\Lambda }^2()+\mathrm{\Lambda }^4()`$ , corresponding to a particle with mass $`m,`$ electric charge $`e`$ and spin $`\frac{1}{2}`$ (i.e., a Dirac particle) in interaction with the Maxwell field $`A`$ , is

$$(\psi ,\psi )=\mathrm{}(\psi 𝐢\gamma _3)\psi e(A\psi \gamma _0)\psi mc\psi \psi ,$$
(57)
where $`𝐢=\gamma _0\gamma _1\gamma _2\gamma _3`$. To get the *ELE* we need

$`_\psi (\psi ,\psi )`$ $`=\mathrm{}\psi 𝐢\gamma _32eA\psi \gamma _02mc\psi ,`$
$`_\psi (\psi ,\psi )`$ $`=\mathrm{}_\psi (\psi \psi 𝐢\gamma _3)=\mathrm{}\psi 𝐢\gamma _3.`$ (58)
where the following multiform derivative formulas have been used,

$$_X(XX)=2X,\text{ }_X(XY)=Y_X,\text{ }_X[(YXZ)X]=YXZ+\stackrel{~}{Y}X\stackrel{~}{Z}_X.$$
(59)
Thus, the *DHSF* $`\psi `$ satisfies

$$\mathrm{}\psi 𝐢\sigma _3eA\psi =mc\psi \gamma _0,\text{ }\sigma _3=\gamma _3\gamma _0$$
(60)
which is the expression of the Dirac equation (called the Dirac-Hestenes equation (Hestenes, 1996)) in the spacetime calculus formalism.

### 5.2  Lagrangian for Maxwell and Dirac-Hestenes fields on a gravitational field background

In the flat spacetime formulation of the most general possible gravitational field theory (which includes curvature and torsion), this field is described by an invertible (1,1)- extensor field $`h`$ (section 3).

(a) The *dynamics* of a Maxwell field $`A`$ generated by a electric charge current density $`J`$, moving in a background gravitational field is postulated to derived from the *AP* and the following Lagrangian

$$(A,𝒟A)=det(h)[\frac{1}{2\mu _0}(𝒟A)(𝒟A)AJ].$$
(61)
Then (using the identities in remark 4 in the Appendix), we obtain that $`A`$ and $`F=𝒟A`$ satisfy

$$𝒟\mathrm{}(𝒟A)=\mu _0J,\text{ }𝒟F=\mu _0J.$$
(62)
(b) The dynamics of a *DHSF* $`\psi `$ corresponding to a particle with mass $`m,`$ electric charge $`e`$ and spin $`\frac{1}{2}`$ (i.e., a Dirac particle), is supposed to be governed by the *AP* with Lagrangian

$$(\psi ,𝒟^s\psi )=det(h)[\mathrm{}(𝒟^s\psi 𝐢\gamma _3)\psi e(A\psi \gamma _0)\psi mc\psi \psi ],$$
(63)
Then (using the identities mentioned in remark 5 of Appendix) we get that the *DHSF* $`\psi `$ satisfies

$$\mathrm{}𝒟^s\psi 𝐢\sigma _3eA\psi =mc\psi \gamma _0.$$
(64)
## 6  Appendix: fundamental identities used in Lagrangian formalism

###### Proposition 34

For all smooth multiform fields $`X,Y`$ and 1-form field $`a,`$ it holds

$`(\mathrm{}X)Y+X(Y)`$ $`=[_a(a\mathrm{}X)Y].`$ (65)
$`(X)Y+X(\mathrm{}Y)`$ $`=[_a(aX)Y].`$ (66)
$`(X)Y+X(Y)`$ $`=[_a(aX)Y].`$ (67)
Proof.

In order to prove the first identity (65), we use the definitions of divergence and curl of a multiform field and the algebraic identity $`(a\mathrm{}B)C=B(aC),`$ where $`a`$ is a 1-fom and $`B,C`$ are multiforms. Then,

$`(\mathrm{}X)Y+X(Y)`$ $`=(\gamma ^\mu \mathrm{}\gamma _\mu X)Y+X(\gamma ^\mu \gamma _\mu Y)`$
$`=\gamma _\mu (\gamma ^\mu \mathrm{}X)Y+(\gamma ^\mu \mathrm{}X)(\gamma _\mu Y)`$
$`=\gamma _\mu (\gamma ^\mu \mathrm{}X)Y,`$ (68)
but, it is not difficult to transform the right side of (68) into a divergence of a 1-form field. Indeed,

$`\gamma _\mu (\gamma ^\mu \mathrm{}X)Y`$ $`=\gamma _\beta [\gamma ^\beta \gamma _\mu (\gamma ^\mu \mathrm{}X)Y]`$
$`=\gamma ^\beta \gamma _\beta [\gamma _\mu (\gamma ^\mu \mathrm{}X)Y]`$
$`=[_a(a\mathrm{}X)Y].`$ (69)
Putting (68) into (69), complete the proof.

###### Remark 35

These identities are necessary, e.g., in the derivation from the AP of the ELE equations for a multiform field $`X`$ with dynamics governed by LM $`(X,\mathrm{}X)(X,\mathrm{}X)`$, $`(X,X)(X,X)`$ or $`(X,X)(X,X)`$.

The identity (66) can be proved by using (65) and, once again, the algebraic identity $`(a\mathrm{}B)C=B(aC)`$. We have,

$`(X)Y+X(\mathrm{}Y)`$ $`=(\mathrm{}Y)X+Y(X)=[_a(a\mathrm{}Y)X]`$
$`=[_aY(aX)]=[_a(aX)Y].`$ (70)
Identity (67) can be proved without difficulties by adding (65) and (66),

###### Proposition 36

For all smooth multiform fields $`X,Y`$ and 1-form field $`a,`$ it holds

$`(𝒟\mathrm{}X)Y+X(𝒟Y)`$ $`=det(h^1)[det(h)_a(h^{}(a)\mathrm{}X)Y].`$ (71)
$`(𝒟X)Y+X(𝒟\mathrm{}Y)`$ $`=det(h^1)[det(h)_a(h^{}(a)X)Y].`$ (72)
$`(𝒟X)Y+X(𝒟Y)`$ $`=det(h^1)[det(h)_a(h^{}(a)X)Y].`$ (73)
Proof.

To prove the identity (71), we shall need to use two important multiform identities relating the gauge covariant divergence and the ordinary divergence, and the gauge covariant curl and the ordinary curl, respectively (Fernández, Moya and Rodrigues, 2000b)

$$𝒟\mathrm{}A=det(h^1)\underset{¯}{h}[\mathrm{}det(h)\underset{¯}{h}^1(A)],\text{ }𝒟A=\underset{¯}{h}^{}[\underset{¯}{h}^{}(A)].$$
(74)
and the multiform identity (65) above. We have

$`(𝒟\mathrm{}X)Y+X(𝒟Y)`$ $`=det(h^1)\underset{¯}{h}[\mathrm{}det(h)\underset{¯}{h}^1(X)]Y+X\underset{¯}{h}^{}[\underset{¯}{h}^{}(Y)]`$
$`=det(h^1)\{[\mathrm{}det(h)\underset{¯}{h}^1(X)]\underset{¯}{h}^{}(Y)`$
$`+det(h)\underset{¯}{h}^1(X)[\underset{¯}{h}^{}(Y)]\}`$
$`=det(h^1)[_a(a\mathrm{}det(h)\underset{¯}{h}^1(X))\underset{¯}{h}^{}(Y)]`$
$`=det(h^1)[det(h)_a(a\mathrm{}\underset{¯}{h}^1(X))\underset{¯}{h}^{}(Y)].`$ (75)
Using the algebraic identity $`a\mathrm{}\underset{¯}{t}(B)=\underset{¯}{t}[\underset{¯}{t}^{}(a)\mathrm{}B],`$ where $`\underset{¯}{t}`$ is the extension888Given a (1,1)-extensor $`t`$ over $`\mathrm{\Lambda }()`$ its extension $`\underset{¯}{t}`$ , a general extensor over $`\mathrm{\Lambda }()`$, is defined by $`\underset{¯}{t}(X)=1.X+_{k=1}^n\frac{1}{k!}t(\gamma ^{j_1})\mathrm{}t(\gamma ^{j_k})(\gamma _{j_1}\mathrm{}\gamma _{j_k})X`$ of a (1,1) extensor $`t`$, $`a`$ is a 1-form and $`B`$ is a multiform, we can write

$$[a\mathrm{}\underset{¯}{h}^1(X)]\underset{¯}{h}^{}(Y)=\underset{¯}{h}^1[\underset{¯}{h}^{}(a)\mathrm{}X]\underset{¯}{h}^{}(Y)=\underset{¯}{h}\underset{¯}{h}^1[\underset{¯}{h}^{}(a)\mathrm{}X]Y=[\underset{¯}{h}^{}(a)\mathrm{}X]Y.$$
(76)
Putting (76) into the right side of (75), completes the proof.

The second identity (72) can be proved using (71), the algebraic identity $`(a\mathrm{}B)C=B(aC),`$ and following analogous steps just used in demonstrating the identity (66). The third identity (73) can be proved easily by adding (71) and (72).

###### Remark 37

These multiform identities are necessary in order to derive from the APthe ELEs for multiform fields $`X`$ with Lagrangian mappings $`(X,𝒟\mathrm{}X)(X,𝒟\mathrm{}X)`$, or $`(X,𝒟X)(X,𝒟X)`$ or $`(X,𝒟X)(X,𝒟X)`$.

###### Proposition 38

For all smooth *DHSF* $`\psi `$ and $`\phi ,`$ it holds

$`(𝒟^s\psi )\phi +\psi (𝒟^s\phi )`$ $`=(𝒟\psi )\phi +\psi (𝒟\phi ).`$ (77)
$`(𝒟^s\psi )\phi +\psi (𝒟^s\phi )`$ $`=det(h^1)[det(h)_a(h^{}(a)\psi )\phi ].`$ (78)
To prove (77), note that for a smooth spinor field $`\psi ,`$ we have

$$𝒟\psi =𝒟^s\psi \frac{1}{2}h^{}(_a)\psi \mathrm{\Omega }(a).$$
(79)
Thus, by using (79) with the *DHSF* $`\psi `$ and $`\phi ,`$ we can write

$`(𝒟^s\psi )\phi +\psi (𝒟^s\phi )`$ $`=[𝒟\psi +\frac{1}{2}h^{}(_a)\psi \mathrm{\Omega }(a)]\phi +\psi [𝒟\phi +\frac{1}{2}h^{}(_a)\phi \mathrm{\Omega }(a)]`$
$`=(𝒟\psi )\phi +\psi (𝒟\phi )`$
$`\frac{1}{2}h^{}(_a)\phi \mathrm{\Omega }(a)\stackrel{~}{\psi }\frac{1}{2}h^{}(_a)\psi \mathrm{\Omega }(a)\stackrel{~}{\phi },`$ (80)
but, the last two terms yield zero, as can be seen from,

$`\frac{1}{2}h^{}(_a)[\phi \mathrm{\Omega }(a)\stackrel{~}{\psi }+\psi \mathrm{\Omega }(a)\stackrel{~}{\phi }]`$ $`=\frac{1}{2}h^{}(_a)[\phi \mathrm{\Omega }(a)\stackrel{~}{\psi }(\phi \mathrm{\Omega }(a)\stackrel{~}{\psi })^{}]`$
$`=\frac{1}{2}h^{}(_a)2\phi \mathrm{\Omega }(a)\stackrel{~}{\psi }_2=0,`$ (81)
which completes the proof. Eq.(78) follows directly from (77) and (6.9).

References

De Leo, S., Oziewicz, Z., Rodrigues, W. A. , Jr., and Vaz, J., Jr. (1999). The Dirac-Hestenes Lagrangian, *Int. J. Theor. Phys*. 38, 2347-2367.

Moya, A. M. (1999). Lagrangian formalism for Multivector fields on Minkowski spacetime, Ph.D. Thesis, IMECC-UNICAMP.

Moya, A. M., Fernández, V. V., and Rodrigues, W. A., Jr. (2001). Multivector and Extensor Calculus, Advances in Applied Clifford Algebras 11(S3), 1-103, (2001)

Moya, A. M., Fernández, V. V., and Rodrigues, W. A., Jr. (2003). Gravitational Fields as Distortion Fields on Minkowski spacetime, to be subm. for publ.

Hestenes, D. (1966). *Space-time Algebra*, Gordon&Breach, New York.

Hestenes, D. and Sobczyk, G. (1984). *Clifford Algebra to Geometrical Calculu*s, Reidel, Dordrecht.

Fernández, V. V., Moya, A. M., and Rodrigues, W. A., Jr. (2000a). Covariant derivatives on Minkowski manifolds, in Ryan, J. and Sproessig, W. (eds.), *Proc. 5th Int.* *Conf. on Clifford Algebras and their Applications in Mathematical Physics*, vol 1: *Algebra and Physics*, pp. 367-392, Birkhauser, Boston, 2000.

Fernández, V. V., Moya, A. M., and Rodrigues, W. A., Jr. (2000b). The algebraic theory of connections, differential and Lie operators for Clifford and extensor fields, to be subm. for publ. (2003)

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Lasenby, A., Doran, C., and Gull, S. (1998). Gravity, gauge theories and geometric algebra, *Phil. Trans. R. Soc*. 356, 487-582.

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Rodrigues, W. A., Jr., de Souza, Q. A. G., and Vaz, J., Jr. (1994). Lagrangian formulation in the Clifford bundle of the Dirac-Hestens equation on a Riemann-Cartan manifold, in *Gravitation*: *The Spacetime Structure*. Proc. SILARG VIII, Águas de Lindóia, SP, Brazil, 25-30, July, 1993, P. Letelier and W. A. Rodrigues, Jr., eds., World Scientific, Singapore, pp. 522-531.

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text:
# Entanglement purification of multi-mode quantum states

## I  Introduction

The impossibility to isolate a physical system completely from its environment represents a major difficulty in the experimental realization of devices processing quantum information. Of crucial interest are therefore schemes which tolerate a certain amount of environmental coupling yet protect the actual information, e.g., by accepting some redundance in the quantum state preparations. For example, a pure entangled state may be recovered from a number of mixed entangled states of spatially extended signals shared by separated parties Bennett et al. (1996). A potential application of such entanglement purification schemes is the realization of a secure data transmission despite using a lossy channel and apparatus Aschauer and Briegel (2002). Apart from this, the treatment of entanglement purification helps to deepen the understanding of entanglement itself Bennett et al. (1996); Parker et al. (2000). Related questions which have been addressed are whether it is sufficient to process each signal state copy individually Linden et al. (1998) or how to deal with copies which cannot be factorized into separate states Brun et al. (2001). Entanglement swapping Dür et al. (1999); Shi et al. (2000) has been discussed to propose schemes operating more efficient, despite loss.

While for certain classes of states such a superpositions of coherent states, methods solely based on linear optical elements like beam splitters and photodetections could be found Jeong and Kim (2002), an implementation covering other classes of entangled states remains a challenge. Schemes based on cross-Kerr couplers have been described for Gaussian continuous variable entangled states Duan et al. (2000a, b, c). Alternatively to the generalization to continuous variable states shared by two stations, multi-user schemes have been considered which involve more than two parties Murao et al. (1998).

The aim of this work is to investigate a range of truncated mixtures of entangled multi-mode states, whose periodic nature allows a relatively simple separation of their pure components despite the fact that the states themselves are infinite. Here, focus is on the theoretical possibility of a purification. From a practical point of view, an implementation of the suggested scheme may be realistic only for special signal states. The effect of loss is discussed in a selected example of application.

## II  Input states

Within this work, we assume that the mixture describing the input signal state $`\widehat{\varrho }`$ can be truncated at a sufficiently large number $`M`$,

$$\widehat{\varrho }=\underset{n=0}{\overset{M}{}}p_n|\mathrm{\Psi }_n\mathrm{\Psi }_n|,\mathrm{\Psi }_n^{}|\mathrm{\Psi }_n=\delta _{n^{}n}.$$
(1)
By entanglement purification we understand the extraction of some pure component $`|\mathrm{\Psi }_0\mathrm{\Psi }_0|`$ of $`\widehat{\varrho }`$ by effectively implementing a transformation $`\widehat{\varrho }^{}`$ $`=`$ $`p^1\widehat{Y}\widehat{\varrho }\widehat{Y}^{}`$, $`p`$ $`=`$ $`\widehat{Y}^{}\widehat{Y}`$ with $`\widehat{Y}`$ $``$ $`|\mathrm{\Psi }_0\mathrm{\Psi }_0|`$. It may therefore be understood as a multi-mode state purification. We assume that in each signal mode $`j`$, whose entity is denoted by $`𝑰`$ $`=`$ $`1,\mathrm{},N`$, a repeater is located whose operation involves some auxiliary modes $`𝒃_j`$. If the repeaters can only use local preparations $`|F_{𝒃_j}`$, unitary transformations $`\widehat{U}_{j,𝒃_j}`$, and detections $`{}_{𝒃_j}{}^{}G_j|`$, they can solely implement local operators $`\widehat{Y}_j(G_j)`$ $`=`$ $`\widehat{U}_j(G_j)_{𝒃_j}G_j|\widehat{U}_{j,𝒃_j}|F_{𝒃_j}`$, which may depend on the results $`G_j`$ of the local detections in the auxiliary modes. In contrast, the $`|\mathrm{\Psi }_n`$ may be arbitrary entangled states of the spatially separated signal modes. Therefore, the repeaters must share an entangled state in general. If this state has not been provided previously by a separate resource similar to teleportation setups, then the only alternative is to equip each of the repeaters with a second signal input mode $`j`$, whose entity is denoted by $`𝑰𝑰`$ $`=`$ $`1,\mathrm{},N`$, and which is fed with a second copy of the signal state $`\widehat{\varrho }`$. If the repeaters periodically receive preparations $`\widehat{\varrho }`$, the purification can be implemented in a loop (using, e.g., a cavity) as a repeated transformation of the signal, each time applying a further copy of the signal state.

In what follows, we assume that there exists a single-mode basis $`\{|\mathrm{\Phi }_n\}`$ allowing the representation of the signal eigenstates in the form of

$`|\mathrm{\Psi }_n`$ $`=`$ $`(M+1)^{\frac{1N}{2}}{\displaystyle \underset{𝒍=0}{\overset{\mathrm{}}{}}}c_𝒍(n){\displaystyle \underset{𝒏}{\overset{(n)}{}}}`$ (2)
$`\times |\mathrm{\Phi }_{l_1(M+1)+n_1}_1\mathrm{}|\mathrm{\Phi }_{l_N(M+1)+n_N}_N,`$
where $`𝒍`$ $`=`$ $`l_1,\mathrm{},l_N`$, and to ensure normalization we must have $`_{𝒍=0}^{\mathrm{}}|c_𝒍(n)|^2`$ $`=`$ $`1`$. The expression $`_𝒏^{(n)}`$ denotes the sum over all $`(M`$ $`+`$ $`1)^{N1}`$ different $`N`$-tuples $`𝒏`$ $`=`$ $`n_1,\mathrm{},n_N`$ of numbers $`n_j`$ that can each take the values $`0,\mathrm{},M`$ but must obey $`_{j=1}^Nn_j`$ $`=`$ $`n`$. Here, we have used the notation

$$m\mathrm{Mod}(m,M+1).$$
(3)
In order to explain the operation of the purification scheme, it will be convenient to distinguish between the states

$`\widehat{}_𝑰`$ $`=`$ $`{\displaystyle \underset{n=0}{\overset{M}{}}}P_n|\mathrm{\Psi }_n_𝑰\mathrm{\Psi }_n|,`$ (4a)
$`\widehat{\varrho }_{𝑰𝑰}`$ $`=`$ $`{\displaystyle \underset{n=0}{\overset{M}{}}}p_n|\mathrm{\Psi }_n_{𝑰𝑰}\mathrm{\Psi }_n|,`$ (4b)
where $`\widehat{}_𝑰`$ is the state of the signal currently processed in the loop and $`\widehat{\varrho }_{𝑰𝑰}`$ that of the original signal just entering the second signal input ports of the repeaters.

## III  Implementation of the quantum repeater

To describe the transformation of the input states Eqs. (4), let us take a closer look at the quantum repeater illustrated in Fig. 1(a).

$`\widehat{V}`$ is a unitary single-mode operator that transforms the basis states $`|\mathrm{\Phi }_n`$ to Fock states $`|n`$ $`=`$ $`\widehat{V}|\mathrm{\Phi }_n`$, i.e., the single-mode basis $`\{|\mathrm{\Phi }_n\}`$ is supposed to be known. A realization of a desired single-mode operator or detection in a truncated space also based on beam splitter arrays, zero and single photon detections as well as cross-Kerr elements is presented in Clausen et al. (2002a). (Note that the $`\widehat{V}`$ are not required if attention is limited to the photon number basis.) Enclosed between devices implementing $`\widehat{V}`$ and $`\widehat{V}^{}`$, an array of 2($`M`$+1) cross-Kerr elements is placed, whose operation is described by the operator

$$\widehat{K}=\mathrm{e}^{\mathrm{i}\frac{2\pi }{M+1}(\widehat{a}_j^{}\widehat{a}_j\widehat{a}_j^{}\widehat{a}_j)_{m=0}^Mm\widehat{b}_m^{}\widehat{b}_m}.$$
(5)
This array couples the signal modes $`j`$ and $`j`$ to $`M`$+1 auxiliary modes $`0,\mathrm{},M`$, themselves coupled by two 2($`M`$+1)-port beam splitter arrays implementing the operators $`\widehat{U}`$ and $`\widehat{U}^{}`$, respectively. The latter are defined by the matrix elements

$`U_{kl}`$ $`=`$ $`\phi _k|\widehat{U}|\phi _l={\displaystyle \frac{1}{\sqrt{M+1}}}\mathrm{e}^{\mathrm{i}kl\frac{2\pi }{M+1}},`$ (6a)
$`|\phi _k`$ $`=`$ $`\widehat{b}_k^{}|0_0\mathrm{}|0_M.`$ (6b)
Initially, these auxiliary modes are prepared in the state $`|\phi _0`$, i.e., a single-excited Fock state is fed into input port 0 of the $`\widehat{U}`$-array, while the remaining input ports are left in the vacuum. Assuming a final detection of the auxiliary modes in the state $`|\phi _{k_j}`$, i.e., the photodetectors at the output ports $`m`$ of the $`\widehat{U}^{}`$-array detect $`\delta _{m,k_j}`$ photons, the action of the $`j`$th repeater without the detector placed in the signal output port $`j`$ can be formally described by an operator

$`\widehat{Y}_{j,j}(k_j)`$ $`=`$ $`\widehat{V}_j^{}\phi _{k_j}|\widehat{U}^{}\widehat{K}\widehat{U}|\phi _0\widehat{V}_j\widehat{V}_j,`$ (7a)
$`\phi _{k_j}|\widehat{U}^{}\widehat{K}\widehat{U}|\phi _0`$ $`=`$ $`{\displaystyle \frac{1}{M+1}}{\displaystyle \underset{m=0}{\overset{M}{}}}`$ (7b)
$`\times \mathrm{e}^{\mathrm{i}\frac{2\pi }{M+1}(\widehat{a}_j^{}\widehat{a}_j\widehat{a}_j^{}\widehat{a}_jk_j)m}.`$
The detector placed in the signal output port $`j`$ is assumed to perform a Pegg-Barnett phase measurement such that each trial gives a value $`m_j`$ that can take the values $`0,\mathrm{},M`$ and is described by the Positive Operator Valued Measure (POVM)

$`\widehat{\mathrm{\Pi }}_j(m_j)`$ $`=`$ $`{\displaystyle \underset{l=0}{\overset{\mathrm{}}{}}}|l,m_jl,m_j|,`$ (8a)
$`|l,m_j`$ $`=`$ $`{\displaystyle \frac{1}{\sqrt{M+1}}}{\displaystyle \underset{n=0}{\overset{M}{}}}\mathrm{e}^{\mathrm{i}\frac{2\pi }{M+1}m_jn}`$ (8b)
$`\times |l(M+1)+n_j.`$
In turn, the value $`m_j`$ determines the operator

$$\widehat{V}_j^{}=\widehat{V}_j^{}\mathrm{e}^{\mathrm{i}\frac{2\pi }{M+1}m_j\widehat{a}_j^{}\widehat{a}_j}$$
(9)
in Eq. (7a).

## IV  Input-output relations

We now consider the overall setup including all signal modes as depicted in Fig. 1(b). If states $`|\phi _{k_j}`$ and POVM values $`m_j`$ are detected in the auxiliary and second signal output modes of the quantum repeaters, the reduced state of the first signal output modes becomes

$`\widehat{}_𝑰^{}(𝒎,𝒌)`$ $`=`$ $`{\displaystyle \frac{\mathrm{Tr}_{𝑰𝑰}\left[\widehat{Y}(𝒌)\widehat{}_𝑰\widehat{\varrho }_{𝑰𝑰}\widehat{Y}^{}(𝒌)\widehat{\mathrm{\Pi }}(𝒎)\right]}{p(𝒎,𝒌)}}`$ (10)
$`=`$ $`{\displaystyle \frac{(M+1)^{12N}}{p(𝒎,𝒌)}}\widehat{}_𝑰\widehat{W}^k\widehat{\varrho }_𝑰\widehat{W}^k.`$
In the first line of Eq. (10), $`𝒌`$ $`=`$ $`k_1,\mathrm{},k_N`$ and

$$\widehat{Y}(𝒌)=\underset{j=1}{\overset{N}{}}\widehat{Y}_{j,j}(k_j)$$
(11)
denotes the product of the individual operators Eq. (7a). Similarly, $`𝒎`$ $`=`$ $`m_1,\mathrm{},m_N`$ and

$$\widehat{\mathrm{\Pi }}(𝒎)=\underset{j=1}{\overset{N}{}}\widehat{\mathrm{\Pi }}_j(m_j)$$
(12)
is the product of the respective single-mode POVM’s Eq. (8a). In the second line of Eq. (10), an operator $`\widehat{W}`$ has been introduced to express a rotation of the eigenstate indices according to $`\widehat{W}^{}|\mathrm{\Psi }_n`$ $`=`$ $`|\mathrm{\Psi }_{n+1}`$, and $`k`$ $`=`$ $`_{j=1}^Nk_j`$. $`\widehat{\varrho }_𝑰`$ is the original input state $`\widehat{\varrho }_{𝑰𝑰}`$ given by Eq. (4b) but transferred from $`𝑰𝑰`$ to $`𝑰`$, i.e., using a formal mode transfer operator $`\widehat{I}_{𝑰,𝑰𝑰}`$ $`=`$ $`_{j=1}^N\widehat{I}_{j,j}`$, where

$$\widehat{I}_{jk}=\underset{n=0}{\overset{\mathrm{}}{}}|n_j_kn|=_k0|\mathrm{e}^{\widehat{a}_j^{}\widehat{a}_k}|0_j=\widehat{I}_{kj}^{},$$
(13)
we may write $`\widehat{\varrho }_𝑰`$ $`=`$ $`\widehat{I}_{𝑰,𝑰𝑰}\widehat{\varrho }_{𝑰𝑰}\widehat{I}_{𝑰,𝑰𝑰}^{}`$. Since only the signal modes $`𝑰`$ appear in the second line of Eq. (10), let us leave out this mode index in what follows. From Eq. (10), we see that the state $`\widehat{}^{}(𝒎,𝒌)`$ only depends on $`k`$, so that the signal output state in case of an event $`k`$ can be written as

$`\widehat{}^{}(k)`$ $`=`$ $`{\displaystyle \frac{1}{p(k)}}{\displaystyle \underset{𝒎=0}{\overset{M}{}}}{\displaystyle \underset{𝒌}{\overset{(k)}{}}}p(𝒎,𝒌)\widehat{}^{}(𝒎,𝒌)`$ (14)
$`=`$ $`{\displaystyle \frac{1}{p(k)}}\widehat{}\widehat{W}^k\widehat{\varrho }\widehat{W}^k.`$
A repeated run of the purification can then be described as an iteration such that the $`j`$th iteration step generates a signal state

$$\widehat{}^{(j)}(k)=\frac{1}{p(k)}\widehat{}^{(j1)}\widehat{W}^k\widehat{\varrho }\widehat{W}^k$$
(15)
from its precursor $`\widehat{}^{(j1)}`$, originally descending from a signal state copy, $`\widehat{}^{(0)}`$ $`=`$ $`\widehat{\varrho }`$. At each step, $`k`$ $`=`$ $`k^{(j)}`$ takes some value $`0,\mathrm{},M`$. An observer unaware of any detection result simply observes the average

$$\widehat{}^{(j)}=\underset{k=0}{\overset{M}{}}p(k)\widehat{}^{(j)}(k)=\widehat{}^{(j1)},$$
(16)
so that $`\widehat{}^{(j)}`$ $`=`$ $`\widehat{}^{(0)}`$ $`=`$ $`\widehat{\varrho }`$, which is just the unchanged original signal state. Thinking of the complete purification procedure as a linear array of repeating stations rather than a loop, the resulting setup therefore constitutes a ‘quantum state guide’ which only may increase the observer’s knowledge rather than changing the signal state. In the special case of an equipartition, $`p_n`$ $`=`$ $`(M`$ $`+`$ $`1)^1`$, no additional knowledge can be gained even from the measurements, so that a purification is not possible, $`\widehat{}^{(j)}(k)`$ $`=`$ $`\widehat{}^{(j1)}`$. By taking into account all detection results $`k^{(1)},\mathrm{},k^{(j)}`$ obtained during the steps $`1,\mathrm{},j`$, the explicit expression of the iterated state becomes

$`\widehat{}^{(j)}[k^{(1)},\mathrm{},k^{(j)}]`$ $`=`$ $`{\displaystyle \frac{\widehat{\varrho }_{l=1}^j\widehat{W}^{k^{(l)}}\widehat{\varrho }\widehat{W}^{k^{(l)}}}{p[k^{(1)},\mathrm{},k^{(j)}]}}`$ (17)
$`=`$ $`{\displaystyle \underset{n=0}{\overset{M}{}}}P_n^{(j)}|\mathrm{\Psi }_n\mathrm{\Psi }_n|`$
with

$`P_n^{(j)}`$ $`=`$ $`{\displaystyle \frac{1}{p[k^{(1)},\mathrm{},k^{(j)}]}}p_n{\displaystyle \underset{l=1}{\overset{j}{}}}p_{nk^{(l)}}`$ (18)
$`=`$ $`{\displaystyle \frac{1}{p[k^{(1)},\mathrm{},k^{(j)}]}}p_n{\displaystyle \underset{l=0}{\overset{M}{}}}p_{nl}^{s_l},`$
where $`s_l`$ is the number of events for which $`k`$ $`=`$ $`l`$. From Eq. (18) we see that $`\widehat{}^{(j)}`$ only depends on $`𝒔`$ $`=`$ $`s_0,\mathrm{},s_M`$, so that we can refer the iterated state to this event,

$`\widehat{}^{(j)}(𝒔)`$ (19)
$`=`$ $`{\displaystyle \frac{1}{p(𝒔)}}{\displaystyle \underset{k^{(1)},\mathrm{},k^{(j)}}{\overset{}{}}}p[k^{(1)},\mathrm{},k^{(j)}]\widehat{}^{(j)}[k^{(1)},\mathrm{},k^{(j)}]`$
$`=`$ $`{\displaystyle \frac{1}{p(𝒔)}}\left({\displaystyle \genfrac{}{}{0pt}{}{j}{𝒔}}\right){\displaystyle \underset{n=0}{\overset{M}{}}}p_n{\displaystyle \underset{l=0}{\overset{M}{}}}p_{nl}^{s_l}|\mathrm{\Psi }_n\mathrm{\Psi }_n|`$
$`=`$ $`{\displaystyle \frac{1}{p(𝒔)}}\left({\displaystyle \genfrac{}{}{0pt}{}{j}{𝒔}}\right)\widehat{\varrho }^{s_0+1}\widehat{W}^{}\widehat{\varrho }^{s_1}\widehat{W}^{}\widehat{\varrho }^{s_2}\widehat{W}^{}\mathrm{}\widehat{W}^{}\widehat{\varrho }^{s_M}\widehat{W}^{}.`$
Here $`^{}`$ denotes the sum over all $`j`$-tuples $`k^{(1)},\mathrm{},k^{(j)}`$ containing $`s_l`$ times the numbers $`l`$ ($`=`$ $`0,\mathrm{},M`$), whose number is given by the polynomial coefficient $`\left(\genfrac{}{}{0pt}{}{j}{𝒔}\right)`$. Since a pure signal input state results in a pure signal output state, the random walk of the state may eventually end in a pure state. If this happens, the probability of obtaining $`|\mathrm{\Psi }_n`$ is $`p_n`$ $`=`$ $`\mathrm{\Psi }_n|\widehat{\varrho }|\mathrm{\Psi }_n`$ as becomes plausible from Eq. (16).

## V  Binary operation

Let us return to Eq. (15). Since we are only interested in obtaining the state $`|\mathrm{\Psi }_0`$, we may limit attention to a binary detection by only discriminating between the event $`k`$ $`=`$ $`0`$ and its complement $`k`$ $``$ $`0`$. Eq. (15) then gives the transformation

$`\widehat{}^{(j)}(0)`$ $`=`$ $`{\displaystyle \frac{1}{p(0)}}\widehat{}^{(j1)}\widehat{\varrho },`$ (20a)
$`\widehat{}^{(j)}(\neg 0)`$ $`=`$ $`{\displaystyle \frac{1}{1p(0)}}\widehat{}^{(j1)}(\widehat{I}\widehat{\varrho }).`$ (20b)
Analogous to Eq. (19), the explicit expression of the iterated state

$$\widehat{}^{(j)}(q)=\frac{1}{p(q)}\left(\genfrac{}{}{0pt}{}{j}{q}\right)\widehat{\varrho }^{q+1}(\widehat{I}\widehat{\varrho })^{jq}$$
(21)
can be expressed in terms of the number $`q`$ of events $`k`$ $`=`$ $`0`$. To give an example, in a situation where our desired state $`|\mathrm{\Psi }_0`$ is still dominant over the impurities, $`p_0`$ $`>`$ $`p_n`$ $``$ $`n`$ $``$ $`0`$, the state $`|\mathrm{\Psi }_0`$ is obtained in situations when $`j^1q`$ is sufficiently large. This case is illustrated in Fig. 2, monitoring on the basis of the expectation value of the von Neumann entropy $`\widehat{S}`$ $`=`$ $`\mathrm{ln}\widehat{}^{(j)}`$ a successful example of a simulated random purification process calculated according to Eqs. (20).

## VI  Purification in a single instant

If the signal state is a mixture of the $`(M+1)^N`$ states

$$|\mathrm{\Psi }_𝒏=\underset{𝒍=0}{\overset{\mathrm{}}{}}c_𝒍(𝒏)|\mathrm{\Phi }_{l_1(M+1)+n_1}_1\mathrm{}|\mathrm{\Phi }_{l_N(M+1)+n_N}_N$$
(22)
instead of Eq. (2), each copy can be purified individually without need of further inputs. All we have to do is feeding the second signal input ports of the repeaters with vacuum states $`|0_j`$ and removing the devices implementing $`\widehat{V}_j`$ thus making the $`m_j`$-measurements redundant. Together with $`\widehat{\varrho }_𝑰`$ $`=`$ $`_{𝒏=0}^Mp_𝒏|\mathrm{\Psi }_𝒏\mathrm{\Psi }_𝒏|`$, Eq. (10) is then replaced with

$`\widehat{\varrho }_𝑰^{}(𝒌)`$ $`=`$ $`{\displaystyle \frac{\mathrm{Tr}_{𝑰𝑰}\left[\widehat{Y}(𝒌)\widehat{\varrho }_𝑰|\mathrm{𝟎}_{𝑰𝑰}\mathrm{𝟎}|\widehat{Y}^{}(𝒌)\right]}{p(𝒌)}}`$ (23)
$`=`$ $`|\mathrm{\Psi }_𝒌\mathrm{\Psi }_𝒌|.`$
The probability of obtaining $`|\mathrm{\Psi }_𝒌`$ is just $`p_𝒌`$.

## VII  Influence of loss in an example

Let us return to mixtures of states Eq. (2). From a practical point of view, the loss occuring in the purification loop must be taken into account. The problem is that its effect depends on the respective circulating signal state $`\widehat{}`$ itself. Let us therefore choose the particular example of a superposition

$`\widehat{\varrho }(r)`$ $`=`$ $`{\displaystyle \frac{\left(|𝜶𝜶|+|𝜶𝜶|\right)+r\left(|𝜶𝜶|+|𝜶𝜶|\right)}{2(1+r\mathrm{e}^{2|𝜶|^2})}}`$ (24)
$`=`$ $`{\displaystyle \underset{n=0}{\overset{1}{}}}p_n|\mathrm{\Psi }_n\mathrm{\Psi }_n|`$
of two $`N`$-mode coherent states $`|𝜶`$ $`=`$ $`|\alpha _1_1\mathrm{}|\alpha _N_N`$, characterized by their complex amplitude $`𝜶`$ $`=`$ $`\alpha _1,\mathrm{},\alpha _N`$ according to $`|\alpha _j_j`$ $`=`$ $`\mathrm{e}^{\alpha _j\widehat{a}_j^{}\alpha _j^{}\widehat{a}_j}|0_j`$. The eigenvalues and eigenstates are given by

$`p_n`$ $`=`$ $`{\displaystyle \frac{1+(1)^n\mathrm{e}^{2|𝜶|^2}}{2(1+r\mathrm{e}^{2|𝜶|^2})}}[1+(1)^nr],`$ (25a)
$`|\mathrm{\Psi }_n`$ $`=`$ $`{\displaystyle \frac{|𝜶+(1)^n|𝜶}{\sqrt{2[1+(1)^n\mathrm{e}^{2|𝜶|^2}]}}},`$ (25b)
where we have defined $`|𝜶|^2`$ $`=`$ $`_{j=1}^N|\alpha _j|^2`$. In the mesoscopic case, $`\mathrm{e}^{2|\alpha _j|^2}`$ $``$ $`1`$, the $`|\mathrm{\Psi }_n`$ can be written in the form of Eq. (2),

$`|\mathrm{\Psi }_n`$ $``$ $`2^{\frac{1N}{2}}{\displaystyle \underset{𝒏}{\overset{(n)}{}}}|\mathrm{\Phi }_{n_1}\mathrm{}|\mathrm{\Phi }_{n_N},`$ (26a)
$`|\mathrm{\Phi }_{n_j}`$ $`=`$ $`{\displaystyle \frac{|\alpha _j+(1)^{n_j}|\alpha _j}{\sqrt{2[1+(1)^{n_j}\mathrm{e}^{2|\alpha _j|^2}]}}}.`$ (26b)
The pure states $`|\mathrm{\Psi }_n`$, to which Eq. (24) reduces for $`r`$ $`=`$ $`(1)^n`$, just represent the superpositions $`|0,\mathrm{},0\pm |1,\mathrm{},1`$ considered in Murao et al. (1998). Modeling the decoherence of the state Eq. (24) by the master equation

$$L\frac{\mathrm{d}\widehat{\varrho }}{\mathrm{d}x}=\underset{j=1}{\overset{N}{}}\eta _j(2\widehat{a}_j\widehat{\varrho }\widehat{a}_j^{}\widehat{n}_j\widehat{\varrho }\widehat{\varrho }\widehat{n}_j),$$
(27)
where $`x`$ may be, e.g., the propagation distance, we see that the purity parameter $`r`$ and the individual complex amplitudes $`\alpha _j`$ decrease according to

$`r(x)`$ $`=`$ $`r(0)\mathrm{e}^{2\left(|𝜶|^2|𝜶_0|^2\right)}\stackrel{xL}{}r(0)\mathrm{e}^{4|𝜶_0|^2\frac{x}{L}\eta },`$ (28a)
$`\alpha _j(x)`$ $`=`$ $`\alpha _j(0)\mathrm{e}^{\eta _j\frac{x}{L}}\stackrel{xL}{}\alpha _j(0),`$ (28b)
where $`\eta `$ $`=`$ $`\frac{1}{N}_{j=1}^N\eta _j`$ is determined by the $`\eta _j`$ $``$ $`0`$ defining the (e.g., scattering) losses and $`𝜶_0`$ $`=`$ $`𝜶(0)`$. For distances small compared to the classical transparency length, $`x`$ $``$ $`L`$, the damping of the complex amplitudes can be neglected. For given complex amplitudes, the state Eq. (24) is then determined by its purity parameter $`r`$.

The aim of our purification process is therefore to reobtain a state with $`r`$ $`=`$ $`1`$ from a number of states with $`0`$ $`<`$ $`|r|`$ $`<`$ $`1`$. Our model of a lossy purification is that during the feedback between subsequent purification steps, the signal state undergoes a decoherence according to Eq. (27), which leads to a damping of the purity parameter by some factor $`\eta _\mathrm{F}`$ $``$ $`1`$, which we call feedback efficiency. To obtain the resulting evolution of $`r`$, we insert Eq. (24) into Eqs. (20), i.e., $`\widehat{}^{(j1)}`$ $`=`$ $`\widehat{\varrho }[R^{(j1)}]`$ and $`\widehat{\varrho }`$ $`=`$ $`\widehat{\varrho }(r)`$, which gives a state $`\widehat{\varrho }[R^{(j)}]`$ given by Eq. (24) with

$`R^{(j)}`$ $`=`$ $`\eta _\mathrm{F}{\displaystyle \frac{R^{(j1)}\pm r}{1\pm rR^{(j1)}}},`$ (29a)
$`R^{(0)}`$ $`=`$ $`r.`$ (29b)
Here, a positive sign corresponds to the event ‘0’ and negative sign to the event ‘$`\neg 0`$’ . With the stationary condition $`R^{(j)}`$ $`=`$ $`R^{(j1)}`$ $`=`$ $`R^{(\mathrm{})}`$, Eqs. (29) give a lower and upper bound

$$R^{(\mathrm{})}=\pm \frac{\sqrt{(1\eta _\mathrm{F})^2+4r^2\eta _\mathrm{F}}(1\eta _\mathrm{F})}{2|r|}$$
(30)
between $`|R^{(j)}|`$ is able to walk. To allow an increase of $`|R^{(j)}|`$ above its initial value $`|r|`$, the condition $`|R^{(\mathrm{})}|`$ $``$ $`|r|`$ must hold, which gives

$$\eta _\mathrm{F}\frac{1+r^2}{2}.$$
(31)
It follows that the required feedback efficiency increases with the initial purity. For $`\eta _\mathrm{F}`$ $``$ $`1/2`$, the scheme is of no use at all. On the other hand, the ideal value $`R^{(\mathrm{})}`$ $`=`$ $`1`$ can only be approached in practice. In order to keep the bound sufficiently close to one, $`|R^{(\mathrm{})}|`$ $``$ $`1\epsilon `$ with some given $`\epsilon `$ $``$ $`1`$, the requirement

$$\eta _\mathrm{F}{}_{}{}^{>}\mathrm{\hspace{0.33em}1}\frac{2\epsilon |r|}{1+|r|}$$
(32)
must hold. For sufficiently small $`\epsilon `$, a behavior similar to the perfect case is observed. Note that the case considered here is analogous to the example of a related two-mode state discussed in Clausen et al. (2002b). For a more detailed analysis including numerical simulations, we therefore refer to that work.

## VIII  Conclusion and outlook

We have described a procedure allowing a purification of a class of $`N`$-mode quantum states as an iterative random process. While in general, a number of identical signal state preparations is applied, only a single preparation is required in certain cases of mixed states. The physical implementation suggested involves beam splitter arrays, zero and single photon detections as well as cross-Kerr elements. The role of imperfections of the procedure is modeled in the example of a superposition of two $`N`$-mode coherent states. In this case, the demands on the device increase with the initial purity of the input state to be enhanced. A main drawback of the scheme is its relying on large non-linearities which are difficult to implement at present. An alternative solely based on, e.g., beam splitter arrays and photodetections would therefore be desirable. From a theoretical point of view, the scheme suggests that different types of entanglement may also be distinguished by the effort required for a purification.

###### Acknowledgements.

This work was supported by the Deutsche Forschungsgemeinschaft.