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# Searching for Planetary Transits in the Field of Open Cluster NGC 6819 - I. Based on observations made with the Isaac Newton Telescope operated on the island of La Palma by the Isaac Newton Group in the Spanish Observatorio del Roque de los Muchachos of the Instituto de Astrofisica de Canarias.

## 1 Introduction

Following the discoveries of Hot Jupiter-type extra-solar planets, it was apparent that a photometric survey to detect these planets in transit was feasible from ground-based telescopes. This was confirmed by the detection of transits by HD 209458b by Charbonneau et al. (2000) and Henry et al. (2000). Such a survey has the potential to broaden the search for planets over a greater volume of space by monitoring stars at fainter magnitudes than are accessible to the spectroscopic radial velocity technique. The transit method enables us to probe far greater numbers of stars simultaneously and so obtain a statistically significant sample of planets in a comparatively short time. Discoveries can be used to determine the abundance of planets in a range of stellar environments, allowing us to investigate the relationship between planet formation and key properties; for example metallicity, age, stellar and radiation density. Follow-up observations of transiting planets can provide vital information on individual planets – their true masses, radii and orbital inclinations – crucial for testing theories of planetary structure. Once transit candidates are obtained from photometric surveys, these data combined with spectrographic observations will not only provide this information but will also distinguish planetary transits from grazing-incidence eclipses by stellar and brown dwarf companions. Follow-up observations are discussed in greater detail in Section 7.1.

From the radial velocity survey results, we know that approximately 1 percent of F–K-type solar neighbourhood stars harbour hot Jupiters (giant planets with periods of $``$2–6 days). The typical orbital separation (0.05 AU) for these planets implies that about 10% of them should exhibit transits if their orbital planes are randomly oriented with respect to the line of sight. Assuming that planetary orbits are distributed isotropically, we can expect there to be one transit for every 1000 stars. The detection probability is affected by factors such as the sampling rate of the observations, the efficiency of detection from the data and the fraction of late-type dwarfs in the sample. Correspondingly, transit surveys that monitor tens of thousands of stars simultaneously may expect to detect tens of planets. This requirement must then be balanced against the need to avoid fields so crowded that blending makes stars difficult to measure precisely.

Janes (1996) suggested that open clusters would make a good compromise for ground-based surveys. They provide large numbers of stars within a relatively small field with minimal blending. They also provide a distinct population of stars of known age and metallicity and allow us to probe stars in the environment where they formed. Additionally, these fields provide a separate population of background stars for comparison.

A number of groups are pursuing transit surveys using large (2–4m) telescopes with wide field, mosaic CCD cameras. Most notably, the explore project has used the CTIO-4m and the 3.6m CFHT to observe two Galactic plane fields in 2001 (Yee et al., 2002). These data have revealed 3 possible planetary transit candidates, and the team are in the process of obtaining radial velocity follow-up (Mallén-Ornelas et al., 2002). The ogle group have used their microlensing observations of Galactic disc stars to search for transits in the lightcurves of $``$52,000 stars, yielding 59 candidates so far (Udalski et al., 2002). Dreizler et al. (2002) obtained classification spectra for 16 of these stars, allowing them to estimate the radius of the primary and infer the radius of the companion. This analysis ruled out 14 candidates as having stellar-mass companions, while the companions of two objects were found to have radii similar to that of HD 209458b. Recently, Mochejska et al. (2002) have undertaken a survey of open clusters using the F. L. Whipple Observatory’s 1.2m telescope, discovering 47 new, low amplitude variables.

In 1999 we began a survey of three open clusters for planetary transits: NGC 6819, 7789 and 6940. The wide field of view of the Isaac Newton Telescope’s (INT) Wide Field Camera (WFC) is ideally suited to this task, and we were awarded a total of 3 bright runs of 10 nights each in June/July 1999 and September 2000 for these observations.

Open cluster NGC 6819 was observed during the first 19 of these nights and the results presented here stem from our analysis of these data. The basic parameters of this cluster are given in Table 1. Previous relevant work on this cluster was discussed in Street et al. (2002); most important is a recent study by Kalirai et al. (2001) which provided $`B`$ and $`V`$ magnitudes for large numbers of stars in this field.

In the rest of this paper, Section 2 details these observations, and Sections 3 and 4 present the data reduction procedure. Section 5 discusses our transit-detection algorithm while our results are presented in Section 6. Finally we draw conclusions in Section 8.

## 2 Observations

We observed NGC 6819 on 19 nights during 1999 June 22–30 and 1999 July 22–31, using the 2.5m Isaac Newton Telescope, La Palma. The Wide Field Camera (WFC) employs four 2048$`\times `$4096 pixel EEV CCDs to image a $``$0.5$`\mathrm{°}\times `$0.5$`\mathrm{°}`$ field of view with a pixel scale of 0.33$`\mathrm{}`$ pix-1. The gain and readout noise values for each CCD were taken from the Cambridge Astronomical Survey Unit webpage111http://www.ast.cam.ac.uk/$``$wfcsur/ccd.html and are listed in Table 2.

Three open clusters, NGC 6819, 6940 and 7789, were observed in rotation during these two runs, taking pairs of 300s exposures through the Sloan r’ filter on each visit. The readout time of the WFC at the time required 160 sec of deadtime between exposures. No dithering was applied between exposures as we aimed to place each star as close to the same pixel each time as possible. In practise, the $`x,y`$ shifts between images were up to a few pixels. NGC 6819 was observed for $`78`$ hours each night, typically resulting in 16 – 25 frames per night or about 2 frames/hour. In total, 361, 384, 364 and 325 frames were obtained of this cluster for CCDs 1 – 4 respectively. The number of available frames varied due to unpredictable readout failures which could affect individual CCDs. The average gap between pairs of exposures was, at most, roughly an hour and we had good observing conditions on all nights. The field of view covered by the WFC is shown in Figure 1.

## 3 Data Reduction

We developed a semi-automated data reduction pipeline in order to process this large dataset. This pipeline has been previously described in Street et al. (2002) and in detail in Street (2002).

The debiasing, flatfielding and trimming of the frames were carried out using the Starlink package figaro Shortridge et al. (1998). A correction for the nonlinear response of each chip was also applied. Point-spread function (PSF) photometry was performed using iraf’s daophot task Stetson (1987). It was found that stars subtracted from an image using a fixed PSF showed residuals that varied with position. These residuals were best reduced by employing daophot’s “penny2” function and allowing it to vary quadratically with position. This is a two-component model, consisting of an elliptical Gaussian core and Lorentzian wings. Both parts of the model are aligned along separate and arbitrary position angles. daophot handles pixel defects, cosmic rays etc. by employing a formula which reduces the weights of pixels that do not converge towards the model as the fit is calculated. This is discussed in more detail in Davis (1994). The post-processing (discussed below) is also able to detect and remove strongly outlying points. Where a star of interest is found to lie close to dead columns/pixels conclusions have been drawn with caution. We chose to have the star positions re-fitted independently in each frame, having found that the cross-correlation technique aligned the star centroids to around $`1`$ pixel accuracy.

For a significant number of images, we found that a position-dependent element still remained in the magnitude residuals, particularly dominant along the long ($`y`$) axis of the CCD. To counteract this problem, we have employed our own post-processing software, described in Street et al. (2002). This included a procedure which cross-correlates all lightcurves in the sample in order to identify and remove remaining systematic trends.

Following this processing, the precision achieved is illustrated by plotting the RMS scatter in each star’s lightcurve against its weighted mean magnitude over the whole dataset. Figure 2 shows these plots for each CCD, and for reference shows the effects of the main expected sources of noise. While some systematic effects remain in the data, our software improves the precision particularly at brighter magnitudes, where we can achieve the $``$0.004 mag precision required to detect planetary transits. We notice that the residual systematic variations are reduced to a level of $``$0.0025–0.0035 mags. After post-processing, these residuals do not appear to show a positional distribution. We also notice that the “backbone” of points falls slightly below the theoretical noise prediction at the faint end. This seems to be due to daophot underestimating the magnitude errors used to weight the calculations at fainter magnitudes. We note the presence of “clumps” of stars with high RMS in CCD3. Investigation of these points reveals that they are hot pixels located in the vignetted areas and dead columns which this CCD suffers from.

Astrometric positions for all the stars in our sample were obtained using the method described in Street et al. (2002). The average RMS error in the resulting RA and Dec are presented in Table 3, and correspond to an RMS scatter of less than 1 pixel on the CCD.

## 4 Stellar Radii

### 4.1 Colour Index Calibration

Kalirai (2001) kindly provided us with $`BV`$ colours indices for many of the stars in the NGC 6819 field. These data and the procedure used to cross-identify stars are described in Street et al. (2002). Although most of our data were taken in the Sloan r band, we obtained enough Sloan i data to calibrate approximate $`VR`$ colours for all the stars in our sample in the following way. We calculated the mean broadband flux using known passband functions and the Bruzual, Persson, Gunn and Stryker atlas of stellar spectra. The mean broadband flux was then used to calculate theoretical magnitudes and colours for a range of stellar spectral types relative to the flux from Vega in that passband. The INT instrumental Sloan $`ri`$ colours were calibrated by superimposing the xcal plot of Sloan $`ri`$ against $`BV`$ over that of the INT stars, and applying vertical and horizontal offsets. The horizontal offset provided the calibration factor for the INT data, in the sense that the true Sloan $`ri`$ colour of a star ($`ri`$) is found from the instrumental one ($`ri)_{inst}`$ by adding the offset, $`\mathrm{\Delta }_{ri}`$:

$$ri=(ri)_{inst}+\mathrm{\Delta }_{ri}.$$
(1)
$`\mathrm{\Delta }_{ri}`$ was found to be 0$`\stackrel{m}{.}`$50, 0$`\stackrel{m}{.}`$50, 0$`\stackrel{m}{.}`$30 and 0$`\stackrel{m}{.}`$41 for the data from CCDs 1, 2, 3 and 4 respectively. In all cases, the vertical offset (the difference between the theoretical and measured $`BV`$) was found to be 0$`\stackrel{m}{.}`$2. This we attribute to extinction in the direction of the cluster and is not very different from the value of $`E(BV)=0.1`$ measured by Kalirai et al. (2001).

We used a similar method to convert the now-calibrated Sloan $`ri`$ colours into Johnson $`VR`$. xcal was used to produce a dataset of $`VR`$ and corresponding Sloan $`ri`$ values. To derive a formula to convert Sloan $`ri`$ colours into Johnson $`VR`$, a function was fitted to these data using the method of least squares. As the shape of the curve changes at $`ri0.4`$, two functions were fitted; a straight line for $`ri`$ values $`0.20.4`$ and an exponential function for the remaining curve:

$`VR=\{\begin{array}{cc}0.009+0.93(ri)\hfill & 0.2ri0.356\hfill \\ 1.301.72e^{1.6(ri)}\hfill & 0.356ri2.5\hfill \end{array}`$ (2)
These relations were then used to calculate $`VR`$ colour indices for all INT stars with Sloan $`ri`$ colours.

### 4.2 Colour-Magnitude Diagram

Figure 3 shows the $`(V,VR)`$ colour-magnitude diagrams (CMD) for the four CCDs. The cluster main sequence is clearly visible in the data from CCD4 and faintly in the other three plots. This is expected from the radius of the cluster Kalirai et al. (2001) which fits within the field of view of one of the WFC CCDs. Field stars greatly outnumber cluster members in these data, and are located above and below the cluster main sequence in the CMD. The field stars above and below the cluster main sequence are predominantly main sequence stars at closer and more remote distances than the cluster, respectively. In our following analysis, we assume that all stars in our sample are main sequence. This is reasonable since class IV subgiants are sufficiently rare that their frequency in the sample is negligible. Giant stars are so bright ($`0\stackrel{m}{.}4<M_V<1\stackrel{m}{.}2`$) that for one to be measurable (unsaturated) in our data it would have to be at a distance of $``$9 Kpc. We therefore adopt main sequence relationships and use the likely distance and spectral type and hence radius of the stars in our sample.

### 4.3 Stellar Radii

We use the $`VR`$ index to estimate the radius of each star in this survey. This was done by interpolating between measured values of $`VR`$ and $`R_{}`$ for the range of main sequence star types from Gray (1992). These values were supplemented at the low-mass end by data from Reid & Gizis (1997), who list $`VR`$ index, absolute magnitude and spectral type for 106 low-mass systems. The absolute magnitudes were then used to calculate the radii of these stars. An exponential curve was least-squares fitted to the Reid and Gizis data and used to calculate values of stellar radii at fixed intervals of $`VR`$ in order to provide one smooth, continuous dataset. Interpolation over this dataset was then used to compute main sequence star radii from the $`VR`$ colour index of each star. Figure 4 plots RMS scatter versus $`VR`$ colour. This is overlaid with curves illustrating the predicted transit depth of planets with radii of 0.5, 1.0 and 2.0 Rjuporbiting cluster member stars of various masses. If the RMS of a given star falls below one of these curves, then we would expect to be able to detect a transit of a planet that size around that star.

We find that $``$30% of the stars in our sample fall below the 1.0 Rjup-transit curve, while $``$79% fall below the 2.0 Rjupline. Thus around $``$11,500 and $``$30,000 stars, respectively, are measured to sufficient precision to allow the detection of transits. Assuming $``$1% of all main sequence stars have hot Jupiter companions and $``$10% of those transit, then we can roughly expect to detect $``$11 Jupiter-radius objects in our data.

## 5 Transit Detection Algorithm

Having obtained the required high-precision photometry, there are a number of different approaches to the problem of detecting transit events. We have developed our own transit-finding software, using the method of matched-filter analysis.

After identifying and removing known large-amplitude variables from the data, the software works in two stages. The first stage, or “standard search”, generates a series of model lightcurves with a single transit. These models are generated for a range of transit durations $`0.5<\delta t<5.0`$ hours, in intervals of 0.25 hours and with the time of mid-transit ranging from the start to the end of the observing campaign in steps of $`\delta t/4`$. A constant magnitude is least-squares-fitted to each lightcurve and the corresponding $`\chi _c^2`$ is calculated. Each model is then $`\chi ^2`$-fitted to each lightcurve, the transit depth and out-of-transit magnitude being optimised by minimising the quality-of-fit statistic $`\chi _m^2`$. The details of the best-fitting model with the lowest value of $`\chi _m^2`$ are stored.

A transit-finder index, $`\mathrm{\Delta }\chi _{tf}^2`$, is then calculated as:

$$\mathrm{\Delta }\chi _{tf}^2=\chi _c^2\chi _m^2.$$
(3)
Plotting this index against $`\chi _m^2`$ allows us to separate transit events from constant stars and other types of variables. A genuine transit event would be expected to show a significant improvement in $`\chi ^2`$ when comparing the fit of a constant line and a suitable transit model; hence it would have a relatively low value of $`\chi _m^2`$ and a high value of $`\mathrm{\Delta }\chi _{tf}^2`$. To isolate these candidates, a straight line is least-squares fitted to the “backbone” of points. This fit is iterated, rejecting all points $`\pm 3\sigma `$ above the line, until the parameters change by less than 0.0001. A cut-off line is established by raising this line by $`+N\sigma `$ where $`N`$ is set by the user; all stars falling to the top-left of this cut-off are regarded as candidates. To illustrate how this isolates transit candidates, we tested the algorithm by injecting fake transits with known parameters into the data stream. Transits were added to 1% of stars in the CCD1 data, with a period of 3.4 days, a duration of 2.5 hours, and an amplitude of 0$`\stackrel{m}{.}`$02. The first transit occurred at HJD 2451355.5 and at every multiple of the period. The transit-finder algorithm was then applied to this modified dataset and the resulting plot of $`\mathrm{\Delta }\chi _{tf}^2`$ against $`\chi _m^2`$ is shown in Figure 5. The transits of an HD 209458b-like planet are clearly separated from the rest of the data. This figure was used to set the detection threshold. It was found that a $`+4\sigma `$ threshold retains all but 5 of the 90 fake transits while excluding $``$99.2% of the constant stars.

The second stage of the search is a “period search” applied to candidates highlighted by the standard search. For each candidate, multiple-transit models are generated across a range of periods (2–5 days) and fitted to the lightcurve as described above. Once again, the minimum value of $`\chi _m^2`$ sets the best-fitting model, and candidates are selected by the method described above. This two stage approach ensures that all the relevant transit-parameters are determined for all candidates, but restricts the number of least-squares fits required by applying the period search to transit-candidates only. This allows a statistically-optimal matched-filter technique to be applied without prohibitive computational time requirements.

We note that an element of human judgement enters into our transit detection procedure. The candidates presented by the algorithm are sorted by manual examination. In the process we have rejected a large number of “possible” transits; lightcurves which show dips at the beginning or end of a night which do not repeat, for example, or those that show dips sampled with very few datapoints. Of course this means we could potentially miss transit ingresses/egresses, but a real candidate must show at least two well-sampled transit events.

## 6 Results

In total, over 38,000 star lightcurves have been analysed in this way. The transit search algorithm highlighted 276 stars worthy of further investigation, and these were examined manually. The majority ($``$51.9%) were found to show only a few, fainter-than-average, scattered points. The cause of the scattering was found to be one of three situations: (a) the presence of nearby or blended companion star(s), (b) the star is bright and saturated in a significant number of images or (c) the star falls close to a dead column or vignetted area on the CCD. The algorithm also detected what we judge to be stellar variability in $``$20.3% of cases; most of these stars showed eclipses due to stellar companions while some displayed low-amplitude “dips” in brightness due to stellar activity, although on longer timescales than transits. No obvious explanation for spurious detection could be found for 67 of these stars; in these cases examination of the lightcurve revealed unconvincing “transits” consisting of well-scattered points, often on nights of poor conditions.

Of the remaining stars ($``$2.9%), 8 appear to show short-duration transit-like eclipses. The sample includes a number of active stars which show brief eclipses. This is not unexpected since transit amplitude scales inversely with star radius squared, while stellar activity is more common among small, young stars. All short-duration eclipses were considered regardless of amplitude, since hot Jupiter transits could reach depths of up to several tenths of a magnitude, given a late-M type primary.

A full lightcurve solution to a fitted model is not possible because of the sparseness of the data. However, the $`VR`$ colours for these stars can be used to estimate the radius of the primary star ($`R_{}`$), assuming for the moment that the star is main sequence and that negligible light is contributed from the companion body. The amplitude, $`\delta m`$, of the transit is proportional to the ratio of the star’s radius to that of the companion ($`R_c`$):

$$\delta m\left(\frac{R_c}{R_{}}\right)^2,$$
(4)
We estimate $`R_c`$ from Equation 4, noting that this gives a lower limit because a larger companion can cover the same fraction of primary star if the eclipse is partial rather than total. The radius of the companion gives a general indication of its nature. However, while the radius of a main sequence M star can be $``$0.1–0.5 R, the radii of gas giant planets (Rjup$``$0.1 R) are thought to be similar to those of brown dwarfs ($``$0.2 R), owing to their degenerate nature. The transits of HD 209458b have also shown that hot Jupiter radii can be larger than expected due to their early proximity to their primary star slowing the rate of contraction Burrows et al. (2000). For this reason, follow-up radial velocity measurements yielding the minimum mass will be required to distinguish between planetary and stellar companions.

Table 4 presents the details of the 8 candidates. Note that one candidate is marked as being blended with nearby stars. The conclusions drawn from these stars come with the caveat that the results need to be confirmed. All the candidates are found to have a minimum companion radius below 0.5 R, while 3 have $`R_c0.25\text{R}\text{}\text{ }`$. The phased lightcurves of the stars with M-dwarf or smaller companions are presented in Figure 7. The candidates are discussed individually below. Some of the companion objects could be brown dwarfs although most are found to be low mass stars. In these cases, we note that stellar companions will contribute by reddening the measured colour - this would mean that the primary and companion stars are of larger radii than calculated here, as would inclinations of less than 90. Stellar binaries would also exhibit secondary eclipses not seen in transit lightcurves. We have not included objects which clearly show eclipses of different depths, as these will be stellar binaries. Where objects showing similar eclipse-depths turn out to be stars, then the period will be twice that given in Table 4.

### 6.1 Star 249 – P=2.233 days, $`\delta m`$=0$`\stackrel{m}{.}`$19

With all binary objects with periods as short as these it is possible for the rotation of the primary to have become synchronised with the orbital period of the companion. If this is the case, then stellar activity on the primary is expected, resulting in the variable out-of-eclipse lightcurves. This seems to be the case for star 249: the implied companion radius (0.37 R) is that of an M-dwarf or larger. While the eclipses are not well sampled there is some suggestion that they may be rounded-bottomed.

### 6.2 Star 4619 – P=3.682 days, $`\delta m`$=0$`\stackrel{m}{.}`$03

This candidate shows the classic transit lightcurve: sharp ingress/egress to low amplitude eclipse with no out of transit variations. The eclipse profiles are not well sampled but could be rounded-bottomed, and the period is typical of the known hot Jupiters. The $`VR`$ colour (0$`\stackrel{m}{.}`$283) indicates a primary radius of $``$1.5 Rwhich together with the low amplitude implies a companion radius of $``$0.26 R. The companion could be a brown dwarf.

### 6.3 Star 6690 – P=1.682 days, $`\delta m`$=0$`\stackrel{m}{.}`$09

This candidate also shows the expect transit lightcurve except that the eclipses appear to have a sharp, pointed profile, suggesting that these are grazing incidence eclipses. This would mean that the companion radius is larger than 0.23 R. However, the colour (0$`\stackrel{m}{.}`$719) and amplitude (0$`\stackrel{m}{.}`$09) imply a relatively small primary and secondary radii. In this case the companion is likely to be a low mass star.

### 6.4 Star 10400 – P=1.46 days, $`\delta m`$=0$`\stackrel{m}{.}`$14

Measurements of this star are complicated by the presence of close, blended companions. The colour (0$`\stackrel{m}{.}`$343) and amplitude (0$`\stackrel{m}{.}`$14) indicate that both primary and secondary radii are stellar.

### 6.5 Star 11644 – P=2.302 days, $`\delta m`$=0$`\stackrel{m}{.}`$04

The lightcurve of this star also shows some modulation between the eclipses, which seem to be flat-bottomed; further photometric data are needed to confirm this. The colour (0$`\stackrel{m}{.}`$397) and amplitude (0$`\stackrel{m}{.}`$04) suggest that the primary has a radius of $``$1.32 Rwhile the minimum secondary radius is found to be $``$0.264 R. The companion object could therefore be a brown dwarf.

### 6.6 Star 16155 – P=3.486 days, $`\delta m`$=0$`\stackrel{m}{.}`$07

This lightcurve is similar to that of star 6690, with pointed eclipse profiles. However, in this case even the companion’s minimum radius (0.35 R) implies a small star and a grazing incidence eclipse suggests a larger companion.

### 6.7 Star 20910 – P=1.3112 days, $`\delta m`$=0$`\stackrel{m}{.}`$1

This lightcurve displays eclipses apparently rounded and weak rotational modulation of the out-of-eclipse lightcurve. The 1.3 day period and early-K spectral type suggest that magnetic starspot activity driven by the tidally-synchronised rotation of the primary is responsible for the modulation. The lack of a clear secondary eclipse suggests a very low effective temperature for the companion, which is probably a late-M dwarf or a brown dwarf.

### 6.8 Star 22790 – P=3.621 days, $`\delta m`$=0$`\stackrel{m}{.}`$25

The eclipse profile again suggests a grazing incidence orbit while the minimum radius (0.37 R) implies that the companion is a low mass star.

### 6.9 Single-transit Candidates

Normally we would require at least two transits in a lightcurve in order to consider a star as a candidate, but the range of possible orbital periods means that in $``$50% of cases, a transiting planet will only show a single transit in 20 nights of observations. The procedure outlined above also identified 3 lightcurves which appear to show single transit-like eclipses. The calculated minimum radii of these companions are all less than 0.3 R. Table 5 gives the details of these stars, while Figure 8 displays the full lightcurves next to lightcurves of the “transits”.

In all three lightcurves the transit-like events could be flat-bottomed, although better sampled photometry is required to determine this conclusively and to confirm the events. The calculated minimum radii suggest brown dwarf companions; the radius of star 9329 could even be planetary. We strongly urge follow-up of these candidates.

## 7 Future Observations

### 7.1 Follow-up of Transit Candidates

Since hot Jupiter planets can have similar radii to brown dwarfs and even small stars Burrows et al. (2000), it is necessary to obtain radial velocity measurements in order to determine the minimum mass of the companion. Together with high precision, continuously sampled lightcurves, the true companion mass can then be derived. While this survey has not produced any clear planetary candidates, several of our companion objects may be brown dwarfs, and follow-up study would be valuable to confirm or deny this. Although the candidates from this survey are much fainter than those covered by the radial velocity planet hunting surveys, spectroscopic follow-up of low-radius companions is possible and can provide very useful information.

Firstly, low resolution spectra of each would provide a more secure spectral classification (and radius) of the primary than our present estimates based on broad-band colour indices. For the faintest candidates ($`V18.^m5`$), this will be the only spectroscopy follow-up possible. For most of our candidates however, it is possible to obtain radial velocity measurements using 8–10m class telescopes (see for example, Yee et al. (2002)). While they will not be precise enough to measure a planetary mass, they will place useful limits on the mass, confirming or ruling out stellar companions.

Continuously sampled photometric follow-up is highly desirable, in two colours if possible. In our original observation strategy we decided to cycle around three separate cluster fields in order to cover as many stars as possible. In retrospect, we find that continuous observations of a single field is preferable, in order to get clear, well defined eclipses. Highly sampled photometry would clearly reveal the eclipse morphology, distinguish total eclipses from grazing incidence events and allow detailed models to be fitted. For the fainter candidates with no radial velocity observations, this will be crucial in determining the nature of the system. Photometry would also improve the ephemeris, allowing us to time radial velocity observations better. The INT/WFC or similarly equiped 2m class telescope could be used for this purpose.

### 7.2 Transit Search Strategy

The results reported here were obtained from our survey’s first observing season, and several improvements to our strategy have now been adopted as a result. Firstly, well sampled lightcurves are crucial. Originally, we tried to include as many stars as possible by covering 3 clusters in rotation, resulting in a sampling rate of about 2 observations/star/hour. A planetary transit, of typical duration $``$2.5 hours would be represented by perhaps 4–6 datapoints. We have shown that our algorithm can detect such transits (see Figure 6). However, in practise a greater signal-to-noise is very desirable. It also helps in distinguishing stellar eclipses from transits, in determining the properties of the system, and not least in calculating an accurate ephemeris for follow-up. We have now begun continuously sampled observations.

From the point of view of detecting transits, blended stars in crowded fields represent the most significant problem. The additional scattering caused in the lightcurve can resemble a transit sufficiently well to distract the algorithm, and even visual inspection. Better sampled data will help to alleviate this, and we are investigating image-subtraction techniques which should deal with blending more effectively (see for example, Mochejska et al. (2002)). The other major source of false detections is stellar activity and eclipsing binaries, which obviously the algorithm is very good at finding. We are currently investigating improvements which will reject these stars automatically.

Another issue raised by this work was cluster membership. Firstly, it is difficult to know whether any given star is a member or not. Although this can be decided by astrometry, few clusters have been studied in this way, and usually not to faint enough magnitudes. The best photometric solution is to obtain good quality colour data for colour-magnitude and if possible colour-colour diagrams. These together with separation from cluster centre measurements can be used to assign membership probabilities. Secondly, a transit survey needs to cover large numbers of stars in its chosen population. This survey found that only $``$6% of the stars measured were cluster members from their colours, amounting to just over 2113 stars out of 38,118. This total could be improved slightly by selecting larger radius clusters which would better cover the field of view and reducing the number of unmeasured stars due to blending/crowding. A combination of short/long exposures would cover stars over a larger range of magnitudes, although some caution is required not simply to increase the number of unsuitable early-type stars in the sample. Ultimately, however, open clusters only contain a few thousand stars at most. This highlights the need to survey a number of clusters, in order to observe enough cluster stars with similar ages and metallicities to be able to make definitive statements about the planetary population. The ultimate aim is then to extend the survey to include a significant number of clusters covering ranges of age and metallicity, which will reveal the dependence of planetary formation and evolution on these parameters. As each cluster requires around 20 nights of observing time on a 2–4m class telescope, these aims are best achieved by collaborative efforts between survey teams in order to obtain sufficient telescope time or else a large dedicated telescope.

## 8 Conclusions

We have obtained high-precision photometry on over 38,000 stars in the field of open cluster NGC 6819. We have developed an algorithm which can effectively identify transit-like events in sparsely-sampled data. This has produced 8 candidates showing multiple transit-like events plus a further 3 candidates showing single eclipses. Closer analyses of these lightcurves indicates some of these candidates could be brown dwarfs, while one has a minimum radius similar to that of HD 209458b. Follow-up observations of these candidates are well worth exploring, especially for the single-transit candidates, as mass limits could be derived for most of them, allowing us to distinguish their real nature. This is particularly important as the periods of these objects are all 5 days or less. If brown dwarfs are confirmed among the sample, then they would fall into the so-called “brown dwarf desert”. This in turn might indicate that the low-mass object population in this field differs from that of the solar neighbourhood.

Such a result would be interesting given the lack of transiting planets (and brown dwarfs) found in the old, metal-poor globular cluster, 47 Tuc. Brown et al. (2001) concluded that the absence of planets might be explained by the low metallicity, and/or crowded environment serving to disrupt planetary formation and evolution. NGC 6819 is comparatively metal-rich and provides a different environment in which to study the importance of these factors. Our rough estimate suggests that we should have detected about 11 transiting planets in these data, if hot Jupiters are as common as they are in the solar neighbourhood. Of course, the transit method favours stars of later spectral type than the RV technique, so it is possible that planetary frequency decreases for later spectral type. We will discuss the significance of this result in detail in an forthcoming paper.

## 9 Acknowledgements

We would like to thank Jasonjot Kalirai for kindly agreeing to share his CFHT results with us prior to their public release. This research made use of the simbad database operated at CDS, Strasbourg, France and the webda database operated at University of Lausanne, Switzerland. RAS was funded by a PPARC research studentship during the course of this work. The data reduction and analysis was carried out at the St. Andrews node of the PPARC Starlink project.


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# Untitled Document

Some notes on Ishimori’s magnet model

E.Sh.Gutshabash

Institute Research for Physics, Sankt-Petersburg State University, Russia. e-mail: gutshab@EG2097.spb.edu

Abstract Gauge transformation properties for an associated linear system of model Ishimori’s magnet model have been discussed. Explicit formulas for the gauge transformation matrix have been obtained. Darboux Transformation has been suggested and appropriate dressing relations have been found.

1. Ishimori’s magnet model is a natural generalization of the well-known one-dimensional integrable model of Heisenberg’s magnet in two-dimensional case. It has the following form :

$$𝐒_t=𝐒\left(𝐒_{xx}+\alpha ^2𝐒_{yy}\right)+u_y𝐒_x+u_x𝐒_y,$$
$`\left(1a\right)`$
$$u_{xx}\alpha ^2u_{yy}=2\alpha ^2𝐒\left(𝐒_x𝐒_y\right).$$
$`\left(1b\right)`$
Here $`𝐒=𝐒(x,y,t)=(S_1,S_2,S_3)`$ is a three-dimensional vector of magnetization, $`|𝐒|=1,u=u(x,y,t)`$ is an auxiliary real-valued field, parameter $`\alpha ^2`$ takes values $`\pm 1`$. The case $`\alpha ^2=1`$ will be denoted a model of Ishimori’s magnet-I (MI-I), the case $`\alpha ^2=1`$ will be denoted the model MI-II.

From the equation (1b) at $`\alpha =1,\xi =(x+y)/2,\eta =(xy)/2`$ it follows:

$$u_\xi =_{\mathrm{}}^\eta 𝐒\left(𝐒_\xi 𝐒_\eta ^{}\right)𝑑\eta ^{}+u_1(\xi ,t),$$

$`\left(1c\right)`$
$$u_\eta =_{\mathrm{}}^\xi 𝐒\left(𝐒_\xi ^{}𝐒_\eta \right)𝑑\xi ^{}+u_2(\eta ,t),$$

where $`u_1(\xi ,t),u_2(\eta ,t)`$ are arbitrary functions, by virtue of the relations

$$u_1(\xi ,t)=\underset{\eta \mathrm{}}{lim}u_\xi ,u_2(\eta ,t)=\underset{\xi \mathrm{}}{lim}u_\eta ,$$

they playing a part of boundary conditions for the model MI-I.

It should be pointed two characteristic particular cases of the system (1a) - (1b): a). If $`𝐒`$ does not depend on a variable $`y`$, and $`u=\mathrm{c}onst`$, we obtain an one-dimensional integrable model of Heisenberg’s magnet ; b). If $`𝐒`$ does not depend on $`t`$ (a static limit), $`\alpha ^2=1`$, $`u=\mathrm{c}onst`$, we deal with so-called nonlinear $`O(3)`$ \- sigma-model (an elliptical version) that was solved in \[3-4\] by the Inverse Scattering Transform method (using boundary conditions of the spiral structures type).

An important feature of the model (1) is a presence of so-called topological charge:

$$Q_T=\frac{1}{4\pi }_{\mathrm{}}^{\mathrm{}}_{\mathrm{}}^{\mathrm{}}𝑑x𝑑y𝐒\left(𝐒_x𝐒_y\right).$$
$`\left(2\right)`$
The value remains in evolving the system and represents a mapping of a unitary 2-sphere onto a 2-sphere: $`\stackrel{~}{S}^2\stackrel{~}{S}^2`$. Such mapping is known to be characterized by a homotopic group $`\pi _2(\stackrel{~}{S}^2)=Z`$, where $`Z`$ is a group of whole numbers, which means that a value $`Q_T`$ should be an integer. According to the equation (1b) a scalar function $`u=u(x,t)`$ has a significance of a production density of a topological charge.

There are many papers devoted to the model (1). Here we quote just works \[5-7\], where to solve the system (1) it was used a number of methods like the method of Riemann-Hilbert’s problem (at $`\alpha =1`$) and the $`\overline{}`$-problem method (at $`\alpha =i`$) and as well as , where a gauge equivalence of two integrable (2+1)-dimensional systems, namely, the model MI-II and the Devey-Stewartson’s-II, was established for the first time, and, at last, a paper  devoted to analyzing the model (1) from the point of view of compatible boundary conditions.

The goal of the given work is to apply Darboux’s Transformation method (DT) to the model (1). It will allow to obtain a number of new additional symmetries of the problem and to study some useful and important relations characterizing (1). It should be noted that for the first time the method was applied to (1) in a work , where a rather non-standard approach to DT was employed and a particular physical problem was solved though. It has to do with the fact that applying a standard DT method to the corresponding associated linear problem, in view of its structure, does not result to the desirable answer (”dressing” formulas). Therefore here, with the purpose of a consecutive application of a standard form of DT, based on the results of , at first the gauge transformation for an initial associated linear system will be used and only after a matrix of the transformation has been defined explicitly, Darboux’s covariance of the gauged system will be checked up.

2. To illustrate distinctions between behavior of systems MI-I and MI-II at the beginning we shall consider the simplest, but rater important from a physical point of view, special case of waves of constant amplitude.

Let $`\alpha ^2=1`$ (model MI-I). On putting $`S_+=S_1+iS_2,S_{}=\overline{S}_+,S_3=\mathrm{c}onst,S_+=\sqrt{1S_3^2}e^{i(kx+ly\omega _0t+\varphi )}`$, where $`k,l,\omega _0,\varphi `$ are parameters, and substituting this solution to equations sequent from (1a):

$$S_{+t}=iS_3\mathrm{}S_++u_yS_{+y}+u_xS_{+x},S_{}\mathrm{}S_+=S_+\mathrm{}S_{},$$

considering (1c) and in the assumption $`u_1=u_20`$ one obtains:

$$\omega _0=S_3\left(k^2+l^2\right).$$
$`\left(3\right)`$
Let $`\alpha ^2=1`$ (model MI-II). In this case one has:

$$S_{+t}=iS_3\left(S_{+xx}S_{+yy}\right)+u_yS_{+y}+u_xS_{+x},S_1\left(S_{2xx}S_{2yy}\right)=S_2\left(S_{1xx}S_{1yy}\right).$$

Using the same anzats (with the assumption, that $`S_3=\mathrm{c}onst)`$ and the same boundary conditions, one obtains:

$$\omega _0=S_3\left(k^2l^2\right).$$
$`\left(4\right)`$
The discrepancy between signatures of square forms of dispersion relations (3) and (4) indicates a distinction of behaviour of appropriate linearized solutions and, hence, as well as the nonlinear equations depending on a sign of $`\alpha ^2`$. The formulas (3), (4) generalize a corresponding formula for an one-dimensional model of Heisenberg’s magnet  to the two-dimensional case.

3. Model (1) is a compatibility condition ($`\mathrm{\Psi }_{yt}=\mathrm{\Psi }_{ty}`$) of the next overdetermined linear matrix system:

$$\mathrm{\Psi }_y=\frac{1}{\alpha }S\mathrm{\Psi }_x,$$
$`\left(5a\right)`$
$$\mathrm{\Psi }_t=2iS\mathrm{\Psi }_{xx}+Q\mathrm{\Psi }_x,$$
$`\left(5b\right)`$
where $`Q=u_yI+\alpha ^3u_xS+i\alpha S_ySiS_x,\mathrm{\Psi }=\mathrm{\Psi }(x,y,t)Mat(2,),S=_{i=1}^3S_i\sigma _i,\sigma _i`$ are Pauli’s standard matrixes, $`I`$ is an unitary $`2\times 2`$ matrix. By virtue of its definition the matrix $`S`$ has the following properties: $`S=S^{},S^2=I,\mathrm{d}etS=1`$ (a symbol ($``$) denotes hermitian conjugation).

One puts

$$\mathrm{\Psi }=\mathrm{\Omega }\mathrm{\Phi },$$
$`\left(6\right)`$
where $`\mathrm{\Phi }=\mathrm{\Phi }(x,y,t),\mathrm{\Omega }=\mathrm{\Omega }(x,y,t)Mat(2,)`$ and in (5) makes a gauge transformation with the matrix $`\mathrm{\Omega }`$. Then we have ($`US`$):

$$\mathrm{\Phi }_y=A\mathrm{\Phi }_x+B\mathrm{\Phi },$$
$`\left(7\right)`$
$$\mathrm{\Phi }_t=L\mathrm{\Phi }_{xx}+M\mathrm{\Phi }_x+R\mathrm{\Phi },$$
$`\left(8\right)`$
where

$$A=A(x,y,t)=\left(1/\alpha \right)\mathrm{\Omega }^1U\mathrm{\Omega },B=B(x,y,t)=\left(1/\alpha \right)\mathrm{\Omega }^1U\mathrm{\Omega }_x\mathrm{\Omega }^1\mathrm{\Omega }_y,$$

$$L=L(x,y,t)=2i\mathrm{\Omega }^1U\mathrm{\Omega },M=M(x,y,t)=4i\mathrm{\Omega }^1U\mathrm{\Omega }_x+\mathrm{\Omega }^1Q\mathrm{\Omega },$$

$$R=R(x,y,t)=2i\mathrm{\Omega }^1U\mathrm{\Omega }_{xx}+\mathrm{\Omega }^1Q\mathrm{\Omega }_x\mathrm{\Omega }^1\mathrm{\Omega }_t,$$

$`A,B,L,M,RMat(2,),L=2i\alpha A`$, and, besides $`A^2=(1/\alpha ^2)I,L^2=4I`$.

A requirement of the compatibility of (7)-(8) results to relations including the initial potential and the matrix $`\mathrm{\Omega }`$:

$$[A,L]=0,$$
$`\left(9\right)`$
$$AL_xL_y2LA_x+[A,M]+[B,L]=0,$$
$`\left(10\right)`$
$$A_t+[A,M_x]+[A,R]+[B,M]=LA_{xx}+2LA_x+2LB_x+M_y,$$
$`\left(11\right)`$
$$AR_x+B_t+[B,R]=R_y+LB_{xx}+MB_x.$$
$`\left(12\right)`$
Hereinafter we shall restrict ourselves to considering the case $`AC=\mathrm{c}onst`$. Then from (10) it follows ($`L_x=L_y=0):M=2i\alpha B`$, and we obtain a closed linear partial differential equation on the matrix $`\mathrm{\Omega }`$:

$$2i\mathrm{\Omega }_x+2i\alpha U\mathrm{\Omega }_y=UQ\mathrm{\Omega }.$$
$`\left(13a\right)`$
Using the expression for matrix $`A`$, we have the evolutionary equation on $`\mathrm{\Omega }`$:

$$U\mathrm{\Omega }_t\alpha \mathrm{\Omega }_tC+U_t\mathrm{\Omega }=0.$$
$`\left(13b\right)`$
Let $`\alpha =1`$ (the case MI-I). Then equation (13a) reduces to the form:

$$2i\left(I+U\right)\mathrm{\Omega }_\xi =\left(I+U\right)Q\mathrm{\Omega }.$$
$`\left(14\right)`$
Here $`det(I+U)=0`$, and characteristic coordinates already introduced in (1c) are used.

From the relation $`\overline{Q}(U,u)=\sigma _2Q(U,u)\sigma _2`$ it follows an involution:

$$\mathrm{\Omega }(U,u)=\sigma _2\overline{\mathrm{\Omega }}(U,u)\sigma _2,$$
$`\left(15\right)`$
then the matrix $`\mathrm{\Omega }`$ is represented as:

$$\mathrm{\Omega }(U,u)=\left(\begin{array}{cc}\omega _{11}(U,u)& \overline{\omega }_{21}(U,u)\\ \omega _{21}(U,u)& \overline{\omega }_{11}(U,u)\end{array}\right).$$
$`\left(16\right)`$
To solve the equation (13a) one assumes that

$$S\sigma _3,u0,$$
$`\left(17\right)`$
as well as that at $`r=\sqrt{x^2+y^2}\mathrm{}`$ these limits can be rapidly achieved.

For further discussions it is useful to introduce a stereographic projection (here and below we omit a dependence on $`t`$):

$$w=w(\xi ,\eta )=\frac{S_+}{1S_3}.$$
$`\left(18\right)`$
Integrating (14) on the assumption that $`\mathrm{\Omega }(\xi ,\eta )I,u(\xi ,\eta )0`$ at $`\sqrt{\xi ^2+\eta ^2}\mathrm{}`$, on fulfilling a number of calculations one finds ($`\mathrm{\Omega }=\{\omega _{ij}\},i,j=1,2`$):

$$\omega _{11}(\xi ,\eta )=e^{\sigma _{01}+i\mathrm{\Phi }_{01}},\omega _{21}(\xi ,\eta )=\frac{\omega _{11}(\xi ,\eta )}{\overline{w}},$$
$`\left(19\right)`$
where

$$\sigma _{01}=\sigma _{01}(\xi ,\eta )=_{\mathrm{}}^\xi 𝑑\xi ^{}\frac{\overline{w}_\xi ^{}}{\overline{w}\left(\left|w\right|^2+1\right)},\mathrm{\Phi }_{01}=\mathrm{\Phi }_{01}(\xi ,\eta )=\frac{1}{2}u(\xi ,\eta ).$$
$`\left(20\right)`$
Thus, the requirement of coincidence of asymptotics of the function $`\omega _{11}(\xi ,\eta )`$ at $`\xi \pm \mathrm{}`$ results in restriction (bound) for all $`\eta `$:

$$_{\mathrm{}}^+\mathrm{}𝑑\xi ^{}\frac{\overline{w}_\xi ^{}}{\overline{w}\left(\left|w\right|^2+1\right)}=0.$$
$`\left(21\right)`$
The expression for $`\sigma _{01}`$ can be rewritten in a more symmetrical form:

$$\sigma _{01}=\sigma _{01}(\xi ,\eta )=_{\mathrm{}}^+\mathrm{}_{\mathrm{}}^+\mathrm{}𝑑\xi ^{}𝑑\eta ^{}\theta \left(\xi \xi ^{}\right)\delta \left(\eta \eta ^{}\right)\frac{\overline{w}_\xi ^{}}{\overline{w}\left(\left|w\right|^2+1\right)},$$
$`\left(22\right)`$
where $`\theta (.)`$ is Heaviside’s function.

In the issue the matrix $`\mathrm{\Omega }`$ is written as a product:

$$\mathrm{\Omega }=\mathrm{\Omega }^{\left(11\right)}\mathrm{\Omega }^{\left(12\right)}=\left(\begin{array}{cc}e^{\sigma _{01}}& \frac{1}{w}e^{\overline{\sigma }_{01}}\\ \frac{1}{\overline{w}}e^{\sigma _{01}}& e^{\overline{\sigma }_{01}}\end{array}\right)\left(\begin{array}{cc}e^{i\mathrm{\Phi }_{01}}& 0\\ 0& e^{i\mathrm{\Phi }_{01}}\end{array}\right).$$
$`\left(23\right)`$
It is not difficult to show that if $`u(\xi ,\eta )\to ̸0`$ at $`\sqrt{\xi ^2+\eta ^2}\mathrm{}`$ and also, generally speaking, $`\mathrm{\Omega }\to ̸I`$, then from the requirement of coincidence of asymptotics at $`\xi \pm \mathrm{}`$ is followed by the necessity of satisfying the equality (21) and a condition $`\mathrm{\Phi }_{01}(\mathrm{},\eta )=\mathrm{\Phi }_{01}(+\mathrm{},\eta )`$ for all $`\eta `$.

On using the equation (1b) and rewriting the expression for the density of a topological charge in terms of variable $`w`$, one represents function $`u(\xi ,\eta )`$:

$$u(\xi ,\eta )=C_1𝑑\xi ^{}𝑑\eta ^{}G_1(\frac{\xi \xi ^{}}{2},\frac{\eta \eta ^{}}{2})\frac{w_\eta ^{}\overline{w}_\xi ^{}w_\xi ^{}\overline{w}_\eta ^{}}{\left(\left|w\right|^2+1\right)^2},$$
$`\left(24\right)`$
where $`G_1(\xi ,\eta )=(1/2)[\theta (\xi )\theta (\eta )]`$ is Green’s function for the wave equation, $`C_1`$ is a pure imaginary constant, and, hence, the matrix $`\mathrm{\Omega }`$ depends only on a variable $`w`$.

Similarly at $`\alpha =i`$ (the case MI-II), putting $`z=x+iy,\overline{z}=xiy`$, from (13a) one obtains an equation:

$$4i\left(I+U\right)\mathrm{\Omega }_{\overline{z}}=\left(I+U\right)Q\mathrm{\Omega },$$
$`\left(25\right)`$
so in virtue of an involution

$$\mathrm{\Omega }(U,u)=\sigma _2\overline{\mathrm{\Omega }}(U,u)\sigma _2,$$
$`\left(26\right)`$
that follows from the symmetry relation $`Q(U,u)=\sigma _2\overline{Q}(U,u)\sigma _2`$, the matrix $`\mathrm{\Omega }`$ takes the form:

$$\mathrm{\Omega }(U,u)=\left(\begin{array}{cc}e^{\sigma _{02}(z,\overline{z})}& \frac{1}{w}e^{\overline{\sigma }_{02}(z,\overline{z})}\\ \frac{1}{\overline{w}}e^{\sigma _{02}(z,\overline{z})}& e^{\overline{\sigma }_{02}(z,\overline{z})}\end{array}\right)e^{\mathrm{\Phi }_{02}},$$
$`\left(27\right)`$
where

$$\sigma _{02}(z,\overline{z})=\mathrm{ln}\omega _{11}=\frac{d\zeta d\overline{\zeta }}{2\pi i}\frac{\overline{w}_{\overline{\zeta }}(\zeta ,\overline{\zeta })\overline{w}^1(\zeta ,\overline{\zeta })}{\left(z\zeta \right)\left(1+\left|w(\zeta ,\overline{\zeta })\right|^2\right)},$$

$`\left(28\right)`$
$$\mathrm{\Phi }_{02}=\mathrm{\Phi }_{02}(z,\overline{z})=\frac{1}{2}u(z,\overline{z}).$$

The relation (27) is obtained assuming $`\mathrm{\Omega }I,u(r)0`$ at $`r\mathrm{}`$, where $`r=|z|=\sqrt{x^2+y^2}`$, and applying the $`\overline{}`$ problem technique (see for example , ) in integrating the equation (25).

Analogously to the case MI-I, from (27) it is possible to exclude the function $`u(z,\overline{z})`$, on using (1b):

$$u(z,\overline{z})=C_2\frac{dz^{}d\overline{z}^{}}{2i}G_2(zz^{},\overline{z}\overline{z}^{})\frac{w_{\overline{z}^{}}\overline{w}_z^{}\overline{w}_{\overline{z}^{}}w_z^{}}{\left(\left|w\right|^2+1\right)^2},$$
$`\left(29\right)`$
where $`G_2(z,\overline{z})=(1/\pi )\mathrm{ln}|z|`$ is Green’s function of Laplace’s operator, $`C_2`$ is a real constant, so the matrix $`\mathrm{\Omega }`$ depends only on a variable $`w`$.

The expression for $`\mathrm{\Omega }^1`$ for the system MI-II, as has already been noticed, for the first time was obtained by other means in . It does not contain the second co-factor in (27), which is connected with the fact that in , as distinct from the given paper, an associated linear system for a gauge equivalent counterpart (equation of Davey-Stewartson-II) is assumed to be known. Moreover, from the relation $`S=\mathrm{\Omega }\sigma _3\mathrm{\Omega }^1`$, used in  in obtaining the gauge equivalence, it follows that the matrix $`\mathrm{\Omega }`$ can be determined to multiplication by a diagonal matrix from the right.

Thus, for the system MI-II the relations (27)-(28) generalize the result obtained in  whereas for the systems MI-I corresponding expressions (23), (19)-(24) are completely new. A gauge equivalence of the MI-I system and Devey-Stewartson-I one is absent (as it was shown in , it holds only for effectively one-dimensional models),which means that properties of their solutions, strictly speaking, can be quite different.

4. Now let us proceed to checking-up the Darboux’s covariance of the system (7)-(8). Let us assume

$$\stackrel{~}{\mathrm{\Phi }}=\mathrm{\Phi }_x\tau _1\mathrm{\Phi },\tau _1=\mathrm{\Phi }_{1x}\mathrm{\Phi }_1^1,$$
$`\left(30\right)`$
where $`\mathrm{\Phi }_1`$ is some fixed solution of the system at $`S=S^{(1)}`$, and $`S^{(1)}`$ is a fixed solution of (1). Then the requirement of covariance of (7)-(8) with respect to the transformation (30) results in the following dressing formulas:

$$\stackrel{~}{A}=A,\stackrel{~}{B}=B+[A,\tau _1],\stackrel{~}{B}=\tau _1B\tau _1+\left(B_x+\tau _{1y}A\tau _{1x}\right)\tau _1^1,$$
$`\left(31\right)`$
$$\stackrel{~}{M}=M+[L,\tau _1],\stackrel{~}{L}=L,\stackrel{~}{R}=R+M_x+2\stackrel{~}{L}\tau _{1x}+\stackrel{~}{M}\tau _1\tau _1M.$$
$`\left(32\right)`$
It should be noticed that in applying DT (30) the matrix $`\mathrm{\Omega }`$ ($`\mathrm{\Omega }=\mathrm{\Omega }(U)`$) is also transformed: $`\mathrm{\Omega }\stackrel{~}{\mathrm{\Omega }}`$, where $`\stackrel{~}{\mathrm{\Omega }}Mat(2,),\stackrel{~}{\mathrm{\Omega }}=\stackrel{~}{\mathrm{\Omega }}(\stackrel{~}{U})`$. It means that (31)-(32), along with $`\stackrel{~}{U}`$ and the matrix $`\mathrm{\Omega }`$ has been calculated, all include an unknown matrix $`\stackrel{~}{\mathrm{\Omega }}`$ as well, therefore obtaining an information about new solutions of the model (1) from this system meets with difficulties.

However, it is possible to act as follows. Let us assume that

$$\stackrel{~}{\mathrm{\Omega }}=K\mathrm{\Omega },$$
$`\left(33\right)`$
where $`K=K(x,y,t)Mat(2,)`$, then from the former of the relations (31) we immediately find:

$$\stackrel{~}{U}=KUK^1.$$
$`\left(34\right)`$
Comparing this expression with a formula of potential reconstruction obtained in a soliton sector of the problem for the case of a (one-dimensional) model of Heisenberg’s magnet , it is not difficult to see that the matrix $`K`$ plays a part of Blyashke’s multiplier and it satisfies to generalized unitarity conditions (see below).

Using now expressions for $`M`$ and $`\stackrel{~}{M},\stackrel{~}{Q}`$ by means of matrixes $`\mathrm{\Omega }`$ and $`\stackrel{~}{\mathrm{\Omega }}`$ correspondingly, and calculating traces of matrixes $`\stackrel{~}{M}`$ and $`\stackrel{~}{Q}`$, considering (33)-(34) from the former from equalities (32) we find 111A more explicit expression for $`\stackrel{~}{u}`$ will be given below.

$$\stackrel{~}{u}_y(x,y,t)=u_y+2i\mathrm{S}p\left(UK^1K_x\right).$$
$`\left(35a\right)`$
Relations (34), (35a) are a solution of the system (1), provided that matrix $`K`$ has been found.

Let us proceed to constructing dressing formulas in terms of the matrix $`K`$ for the topological charge (2) assuming that in applying DT $`Q_T\stackrel{~}{Q}_T`$. For this purpose, taking into account the identity $`𝐒(𝐒_x𝐒_y)=(1/(2i))\mathrm{S}p(SS_xS_y)`$ (2) is rewritten as:

$$Q_T=\frac{1}{8\pi i}_{\mathrm{}}^{\mathrm{}}_{\mathrm{}}^{\mathrm{}}𝑑x𝑑y\mathrm{S}p\left(SS_xS_y\right).$$
$`\left(36\right)`$
Using (33)-(34), for $`\stackrel{~}{Q}_T`$ we have:

$$\stackrel{~}{Q}_T=\frac{1}{4\pi i}_{\mathrm{}}^{\mathrm{}}_{\mathrm{}}^{\mathrm{}}𝑑x𝑑y\mathrm{S}p\left\{K^1K_x[U,K^1K_y]\right\}.$$
$`\left(37a\right)`$
Let us find out some properties of the matrix $`K`$.

From the dressing relation (31) for $`\stackrel{~}{B}`$ and using (33)-(34) we have an equation:

$$UK^1K_x\alpha K^1K_y=\alpha \mathrm{\Omega }[A,\tau _1]\mathrm{\Omega }^1,$$

or, considering an expression for the matrix $`A`$:

$$UK^1K_x\alpha K^1K_y=[U,\mathrm{\Omega }\tau _1\mathrm{\Omega }^1].$$
$`\left(38a\right)`$
On multiplying both sides of this equation from the right of the matrix $`K^1`$ we obtain a closed linear equation on the matrix $`\widehat{K}K^1`$:

$$U\widehat{K}_x\alpha \widehat{K}_y=[U,\mathrm{\Omega }\tau _1\mathrm{\Omega }^1]\widehat{K}.$$
$`\left(38b\right)`$
Taking into account the definition of $`\tau _1`$ and the formula (6) we have:

$$U\widehat{K}_x\alpha \widehat{K}_y=[U,\mathrm{\Psi }_{1x}\mathrm{\Psi }_1^1\mathrm{\Omega }_x\mathrm{\Omega }^1]\widehat{K},$$
$`\left(39a\right)`$
where $`\mathrm{\Psi }_1`$ is some fixed solution of (5).

Using (13b), (33), we can find the second (evolutionary) linear equation on matrix $`K`$:

$$K_t\left(U\mathrm{\Omega }\alpha \mathrm{\Omega }C\right)+K\left(U_t\mathrm{\Omega }U\mathrm{\Omega }_t\alpha \mathrm{\Omega }_tC\right)=0.$$
$`\left(39b\right)`$
The equation (38a) allows rewriting the formula (35a) after integration over $`y`$ in the following form:

$$\stackrel{~}{u}(x,y,t)=u(x,y,t)+2i\alpha \mathrm{ln}\mathrm{d}etK+f(x,t),$$
$`\left(35b\right)`$
where it is supposed, that $`f(x,t)`$ is a real-valued function that can be defined considering boundary conditions of the type (1c) and an asymptotic of the matrix $`K`$ at $`y\pm \mathrm{}`$. It follows that a requirement of realty $`\stackrel{~}{u}`$ in the case of the model MI-I results in the restriction: $`\mathrm{ln}|\mathrm{d}etK|=0`$, and, hence, then we have

$$\stackrel{~}{u}(x,y,t)=u(x,y,t)2\mathrm{a}rg\mathrm{d}etK+f(x,t).$$
$`\left(35c\right)`$
Using an easily checked identity

$$\mathrm{S}p\left[\left(K_yK^1\right)_y\alpha ^2\left(K_xK^1\right)_x\right]=\frac{1}{\alpha }\mathrm{S}p\left[U\left(K^1\right)_xK_yU\left(K^1\right)_yK_x\right],$$
$`\left(40\right)`$
we find:

$$\stackrel{~}{Q}_T=\frac{i\alpha }{4\pi }_{\mathrm{}}^{\mathrm{}}_{\mathrm{}}^{\mathrm{}}𝑑x𝑑y\left[\left(_{yy}\alpha ^2_{xx}\right)\mathrm{ln}detK\right].$$
$`\left(37b\right)`$
The realty of this value for the case MI-I follows from the remark made above.

It is necessary to note that relations (34), (35) and (37) are in accord with similar relations deduced by another technique in -, namely, by the $`\overline{}`$-dressing method and the Inverse Scattering Transform one.

Having denoted $`\mathrm{\Phi }[0]=\mathrm{\Phi },\mathrm{\Phi }[1]=\stackrel{~}{\mathrm{\Phi }},\mathrm{\Phi }[2]=\stackrel{~}{\stackrel{~}{\mathrm{\Phi }}},\mathrm{},\mathrm{\Omega }[0]=\mathrm{\Omega },\mathrm{\Omega }[1]=\stackrel{~}{\mathrm{\Omega }},\mathrm{\Omega }[2]=\stackrel{~}{\stackrel{~}{\mathrm{\Omega }}},\mathrm{},K_0=K,\mathrm{\Omega }[i+1]=K_i\mathrm{\Omega }[i],i=0,1,\mathrm{}`$, at next applications of DT we have chains of the form: $`\mathrm{\Phi }[0]\mathrm{\Phi }[1]\mathrm{\Phi }[2]\mathrm{},\mathrm{\Omega }[0]\mathrm{\Omega }[1]\mathrm{\Omega }[2]\mathrm{},K_0K_1K_2\mathrm{}`$.

Thus, after applying a $`N`$-multiple recurrence of the dressing procedure, from relations (34), (35), (37) it is easily to write formulas describing $`N`$-soliton solutions ($`U[N]S[N]`$) 222It should be especially emphasized that as distinct from - in the given paper a spectral problem was not solved.:

$$U\left[N\right]=\left(\underset{j=0}{\overset{N}{}}K_{Nj}\right)U\left(\underset{j=0}{\overset{N}{}}K_{Nj}\right)^1,$$
$`\left(41\right)`$
$$u\left[N\right]=u+2i\alpha \mathrm{ln}\left(\underset{j=0}{\overset{N}{}}\mathrm{d}etK_j\right)+\underset{i=0}{\overset{N}{}}f\left[i\right],$$
$`\left(42\right)`$
$$Q_T\left[N\right]=\frac{i\alpha }{4\pi }_{\mathrm{}}^{\mathrm{}}_{\mathrm{}}^{\mathrm{}}𝑑x𝑑y\left[\left(_{yy}\alpha ^2_{xx}\right)\mathrm{ln}\mathrm{d}etK_N\right].$$
$`\left(43\right)`$
The other equation for the matrix $`K`$ can be found substituting the anzats (34) in (1a). For simplicity we restrict ourselves by an initial solution 333Otherwise such an equation would be too bulky. $`S=\sigma _3`$ taking into account the identity: $`(K\sigma _3K^1)_x=[K_xK^1,K\sigma _3K^1]`$ and the formula (35b), as a result we find:

$$K_tK^1+\frac{1}{2i}\left\{\left(K_{xx}+\alpha ^2K_{yy}\right)\sigma _3K^1+K\sigma _3\left[\left(K^1\right)_{xx}+\alpha ^2\left(K^1\right)_{yy}\right]\right\}+$$

$$+\frac{1}{i}\left[K_x\sigma _3\left(K^1\right)_x+\alpha ^2K_y\sigma _3\left(K^1\right)_y\right]$$
$`\left(44\right)`$
$$\left(u+2i\alpha \mathrm{ln}detK\right)_yK_xK^1\left(u+2i\alpha \mathrm{ln}detK\right)_xK_yK^1=0.$$

In closing this section it should be noticed that, thus, we have obtained two, generally speaking, independent techniques to solve the system (1).

The first one is reduced to finding the matrix $`\mathrm{\Omega }`$ on putting some initial solution of the system (5) and solving the equation (13), then from (39) one obtains the matrix $`\widehat{K}`$ (or $`K`$) and, in according to the dressing relations constructed above one has new solutions of (1).

The second one is connected with an immediate solution of the equation (44) (though in the general case it can be rather difficult, but it might be possible in elementary special cases) and with a following employment of the dressing relations.

5. Let $`\alpha =1`$. Then on using characteristic variables from (39a) it follows the linear equation:

$$\left(IU\right)\widehat{K}_\xi +\left(I+U\right)\widehat{K}_\eta =[U,\left(\mathrm{\Psi }_{1\xi }+\mathrm{\Psi }_{1\eta }\right)\mathrm{\Psi }_1^1\left(\mathrm{\Omega }_\xi +\mathrm{\Omega }_\eta \right)\mathrm{\Omega }^1]\widehat{K}.$$
$`\left(45\right)`$
Besides from (15) one has:

$$K(U,u)=\sigma _2\overline{K}(U,u)\sigma _2,$$
$`\left(46\right)`$
and the same relation for the matrix $`\widehat{K}`$.

From (45) it is not difficult to show that equations for the matrix $`\widehat{K}`$ columns can be reduced to a hyperbolic system of equations.

Considering (34) and (46) one finds implicit representations for components $`\stackrel{~}{S}\stackrel{~}{U}`$ in terms of matrix elements of the matrix $`K`$ and for an arbitrary initial solution $`S`$:

$$\stackrel{~}{S}_3=\frac{k_{11}(S,u)\overline{k}_{11}(S,u)k_{21}(S,u)\overline{k}_{21}(S,u)}{detK}S_3$$

$$\frac{\overline{k}_{21}(S,u)\overline{k}_{11}(S,u)S_++k_{11}(S,u)K_{21}(S,u)S_{}}{detK},$$

$`\left(47\right)`$
$$\stackrel{~}{S}_+=\frac{2k_{21}(S,u)\overline{k}_{11}(U,u)S_3+\overline{K}_{11}^2(S,u)S_+k_{21}^2(S,u)S_{}}{detK},$$

where $`detK=k_{11}(S,u)\overline{k}_{11}(S,u)+k_{21}(S,u)\overline{K}_{21}(S,u)`$, and, as it has already been shown, the condition $`|\mathrm{d}etK|=1`$ should hold true.

Let us also cite an equation of the form (44) that formally can be rewritten as a system of equations ($`u_\xi =u_\eta =0`$):

$$K_t+\frac{1}{4i}\left(K_{\xi \xi }+K_{\eta \eta }\right)\sigma _3+\frac{1}{4i}K\sigma _3\left(\widehat{K}_{\xi \xi }+\widehat{K}_{\eta \eta }\right)K+\frac{1}{2i}K_\xi \sigma _3\widehat{K}_\xi K+$$

$$+\frac{1}{2i}K_\eta \sigma _3\widehat{K}_\eta Ki\left(\mathrm{ln}\mathrm{d}etK\right)_\xi K_\xi +i\left(\mathrm{ln}\mathrm{d}etK\right)_\eta K_\eta =0,$$

$`\left(48\right)`$
$$\widehat{K}_t\frac{1}{4i}\sigma _3\left(\widehat{K}_{\xi \xi }+\widehat{K}_{\eta \eta }\right)\frac{1}{4i}\widehat{K}\left(K_{\xi \xi }+K_{\eta \eta }\right)\sigma _3\widehat{K}\frac{1}{2i}\widehat{K}K_\xi \sigma _3\widehat{K}_\xi $$

$$\frac{1}{2i}\widehat{K}K_\eta \sigma _3\widehat{K}_\eta i\left(\mathrm{ln}\mathrm{d}etK\right)_\xi \widehat{K}_\xi +i\left(\mathrm{ln}\mathrm{d}etK\right)_\eta \widehat{K}_\eta =0.$$

Let $`\alpha =i`$. Then from (39a), using variables $`z,\overline{z}`$, we have:

$$\left(U+I\right)\widehat{K}_z+\left(UI\right)\widehat{K}_{\overline{z}}=[U,\left(\mathrm{\Psi }_z+\mathrm{\Psi }_{\overline{z}}\right)\mathrm{\Psi }^1\left(\mathrm{\Omega }_z+\mathrm{\Omega }_{\overline{z}}\right)\mathrm{\Omega }^1]\widehat{K},$$
$`\left(49\right)`$
where for the matrix $`\widehat{K}`$ there exists a symmetry relation:

$$\widehat{K}(z,\overline{z},t)=\sigma _2\overline{\widehat{K}}(z,\overline{z},t)\sigma _2.$$
$`\left(50\right)`$
It is obvious that the equation (49) can be reduced to an elliptical system of equations.

Moreover, from (34) and (50) we obtain dressing relations of the form

$$\stackrel{~}{S}_3(z,\overline{z},t)=\frac{\left(\left|k_{11}\right|^2\left|k_{21}\right|^2\right)S_3k_{11}k_{21}S_{}\overline{k}_{21}\overline{K}_{11}S_+}{detK},$$
$`\left(51\right)`$
$$\stackrel{~}{S}_+(z,\overline{z},t)=\frac{2\overline{k}_{11}k_{21}S_3+\overline{K}_{11}^2S_+k_{21}^2S_{}}{detK},$$
$`\left(52\right)`$
where $`detK=|k_{11}|^2+|k_{21}|^2`$.

It should be noticed that in this case the equation (44) also can be formulated as a system of nonlinear equations ($`u_z=u_{\overline{z}}=0`$):

$$K_t+\frac{1}{i}\left(K_{zz}+K_{\overline{z}\overline{z}}\right)\sigma _3+\frac{1}{i}K\sigma _3\left(\widehat{K}_{zz}+\widehat{K}_{\overline{z}\overline{z}}\right)K$$

$$2i\left(K_z\sigma _3\widehat{K}_z+K_{\overline{z}}\sigma _3\widehat{K}_{\overline{z}}\right)K+4i\left[\left(\mathrm{ln}detK\right)_zK_z\left(\mathrm{ln}detK\right)_{\overline{z}}K_{\overline{z}}\right]=0,$$

$`\left(53\right)`$
$$\widehat{K}_t\frac{1}{i}\widehat{K}\left(K_{zz}+K_{\overline{z}\overline{z}}\right)\sigma _3\widehat{K}\frac{1}{i}\sigma _3\left(\widehat{K}_{zz}+\widehat{K}_{\overline{z}\overline{z}}\right)+$$

$$+2i\widehat{K}(K_z\sigma _3\widehat{K}_z+K_{\overline{z}}\sigma _3\widehat{K}_{\overline{z}})4i\widehat{K}[(\mathrm{ln}detk)_zK_z(\mathrm{ln}detK)_{\overline{z}}K_{\overline{z}}]\widehat{K}=0.$$

Despite of complexity and cumbersomeness of equations (48) and (53) they can be useful as sources of some solutions of the model (1).

6. Now let us establish a link between the approach developed here and a spectral one. For that it is necessary to introduce a spectral parameter into the system (5). In (5a) one puts $`\mathrm{\Psi }=\psi \mathrm{exp}[(i/\lambda )xII\sigma ^{(1)}y/(\alpha \lambda )+2iUt/\lambda ^2)]`$, where $`\lambda `$ is the spectral parameter, $`\sigma ^{(1)}=\sigma ^{(1)}(x,y,t),\psi =\psi (x,y,t),\sigma ^{(1)},\psi Mat(2,)`$, assuming $`[\sigma ^{(1)},U]=0`$. Then the function $`\psi `$ must obey an equation:

$$\psi _y\frac{i}{\alpha \lambda }\psi \sigma ^{\left(1\right)}=\frac{1}{\alpha }U\psi _x+\frac{i}{\alpha \lambda }U\psi .$$
$`\left(54\right)`$
Representing $`\psi `$ as $`\psi =_{k=0}^{\mathrm{}}\psi _k\lambda ^k`$, at $`|\lambda |0`$ from (54), in particular, one finds: $`\psi _0\sigma ^{(1)}=U\psi _0`$.

Similarly for the system (7), putting $`\mathrm{\Phi }=\phi \mathrm{exp}[(i/\lambda )xIi\sigma ^{(1)}y/(\alpha \lambda )+2iUt/\lambda ^2]`$, one obtains an equation

$$\phi _y\frac{i}{\alpha \lambda }\phi \sigma ^{\left(1\right)}=A\phi _x+\frac{i}{\lambda }A\phi +B\phi .$$
$`\left(55\right)`$
Putting $`\phi =_{k=0}^{\mathrm{}}\phi _k\lambda ^k,|\lambda |0`$, one has: $`A=(1/\alpha )\phi _0\sigma ^{(1)}\phi _0^1=(1/\alpha )\mathrm{\Omega }^1U\mathrm{\Omega }.`$ Thus, $`\sigma ^{(1)}=U,\psi _0=\mathrm{\Omega }\phi _0`$, and from an equality for the matrix $`A`$ one finds: $`\phi _0=\mathrm{\Omega }^1`$, and hence, $`\psi _0=1`$.

7. In summary it should be noted that in the given paper the main accent was made on the specificity of a DT application to the model (1) without exhibiting explicit solutions because a rather wide number of the solutions as well as their classification have been given in \[5-7\]. On the other hand, a series of integrable models (Myrzakulov’s magnets) that are some modifications (or generalizations) of Ishimori’s model have been proposed in papers -. But owing to appropriate associated linear systems of these models are similar, the DT application technique used above is applicable also to the series though it can result in changing gauge transformation matrixes. A differential-geometrical interpretation of a number of quoted relations might be of interest as well.

The author is thankful to P.P.Kulish for supporting.

REFERENCES

1.  Y.Ishimori, - Progr. Theor. Phys. 72 (1984), 33.  2.  L.A.Takhtadjan and L.D.Faddeev, - Hamiltonian approach in the theory of solitons. M., Science (1986).  3.  E.Sh.Gutshabash and V.D.Lipovski, - Teor.Math.Phys 90 No.2 (1992), 175.  4.  G.G.Varzugin, E.Sh.Gutshabash and V.D.Lipovski, - Theor.Math.Phys 104 No.3 (1995), 513.  5.  V.G.Dubrovsky and B.G.Konopelchenko, - Coherent structures for the Ishimori equation. 1. Localized solitons with the stationary boundaries. Preprint No.90-76. Institute of Nuclear Physics. Novosibirsk. 1990.

6.  V.G.Dubrovsky and B.G.Konopelchenko, - Coherent structures for the Ishimori equation. 2. Time-depend boundaries. Preprint No. 91-29. Institute of Nuclear Physics. Novosibirsk. 1990.

7.  B.G.Konopelchenko, - Solitons in Multidimensions. World Scientific. 1993.

8.  V.D.Lipovski and A.V.Shirokov, - Funct.An. Appl., 104, No.3 (1989), 65.  9.  I.T.Habibullin, - Theor.Math.Phys, 91, No.3 (1992), 363.

10.  K.Imai and K.Nozaki, - Progr. Theor. Phys, 96 (1996), 521.

11.  H.C.Fogedby, - J.Phys. A, 13 (1980), 1467.

12.  M.J.Ablowitz and P.A.Clarkson, - Solitons, Nonlinear Evolution Equations and Inverse Scattering. Cambridge University Press.1991.

13.  R.Myrzakulov, - On some integrable and nonintegrable soliton equations of magnets. Preprint KSU. Alma-Ata. 1987.

14.  G.N.Nugmanova, - The Myrzakulov equatuions: the Gauge equivalent counteparts and soliton solutions. Nonintegrable soliton equations of magnets. Preprint KSU. Alma-Ata. 1992.

15.  N.K.Bliev, G.Nugmanova, R.N.Syzdukova and R.Myrzakulov, \- Soliton equations in 2+1 dimensions: reductions, bilinearizations and simplest solutions. Preprint CNLP No.1997-05. Alma-Ata.1997; solv/int 990214.


text:
# Peltier effect in normal metal-insulator-heavy fermion metal junctions.

## Abstract

A theoretical study has been undertaken of the Peltier effect in normal metal - insulator - heavy fermion metal junctions. The results indicate that, at temperatures below the Kondo temperature, such junctions can be used as electronic microrefrigerators to cool the normal metal electrode and are several times more efficient in cooling than the normal metal - heavy fermion metal junctions.

71.27.+a, 72.20.Pa, 85.30.Mn

The attention of physicists has been drawn to heavy fermion (HF) compounds  the unusual properties of which make them attractive for various physical applications such as thermoelectric devices . In this paper the Peltier effect of a normal metal (N) - insulator (I) - HF metal (NHF) junction is investigated. It is shown that NINHF junction can be used as an electronic microrefrigerator. The physical principle of the microrefrigerator is that the current flowing through the junction removes high-energy thermal electrons from the normal metal, thus cooling it. Recently, electronic microrefrigerators based on a normal metal-insulator-superconductor (NIS) tunnel junctions have been proposed and investigated . It is the existence of a superconducting gap in the superconductive electrode of the NIS junction that permits manipulation of the Fermi-Dirac distribution of electrons. Similar refrigeration effect also can be achieved through the internal field emission in a thin-film device , vacuum devices  and superconductor-semiconductor-superconductor structures .

In the present paper it is shown that the existence of a hybridization gap produced by strong electron correlations near the Fermi surface in a HF metal also allows manipulation of the energy transfer from the electron gas in the normal metal electrode (thermoelement) to electrons in the HF electrode in the NINHF junction. Calculation of the temperature dependence of the power transfer from the normal metal electrode reveals that it attains a maximum at a temperature below the Kondo temperature $`T_k`$.

The tunneling current and thermal properties of the NINHF junction shown in Fig. 1(a) is investigated. A potential $`V`$ is applied to the normal metal electrode. The tunneling current is given by

$`I`$ $`=`$ $`2\pi e{\displaystyle \underset{\nu \alpha k,\sigma p}{}}|T_{\nu \alpha k,\sigma p}|^2\delta (\epsilon _{Lp}+eVE_{\nu k})\times `$ (2)
$`[f(\epsilon _{Lp})f(E_{\nu k})]`$
where $`\epsilon _{Lp}`$ is the kinetic energy of conduction electrons with momentum $`p`$ in the normal metal electrode, $`f(E)`$ is the Fermi-Dirac distribution function,$`T_{\nu \alpha k,\sigma p}=\nu \alpha kH\sigma p`$ is the matrix element of the electron transition through the barrier from an electron state ($`\sigma p)`$ in the normal metal electrode into a quasiparticle state ($`\nu \alpha k`$) in the energy band $`E_\nu (𝐤)`$ of the HF metal, $`\sigma `$ and $`\alpha `$ are spin indices, $`H`$ is the Hamiltonian of the junction.

The thermal transport properties of the NINHF junction are determined by the energy transferred by the tunneling current. When electrons with kinetic energy $`\epsilon _{Lp}`$ are removed from the normal metal and transit into the HF metal, then electrons with an average kinetic energy equal to the chemical potential $`\mu `$ are returned to the normal metal electrode through normal contact. Then the power transfer $`P`$ from the normal metal electrode on the left into the HF electrode on the right is given by

$`P`$ $`=`$ $`2\pi {\displaystyle \underset{\nu \alpha k,\sigma p}{}}|T_{\nu \alpha k,\sigma p}|^2\delta (\epsilon _{Lp}+eVE_{\nu k})\times `$ (4)
$`(\epsilon _{Lp}\mu )[f(\epsilon _{Lp})f(E_{\nu k})].`$
If $`P>0`$ then the tunneling current cools the electron gas in the normal metal electrode. In order to determine $`I`$ and $`P`$ it is necessary to obtain $`T_{\nu \alpha k,\sigma p}`$ and $`E_\nu (𝐤).`$ This is a non-trivial task for HF compounds due to the strong electron correlations. The physical properties of HF compounds depend strongly on temperature due to the Kondo effect. At temperatures $`T>>T_k`$ bare electron states are well defined quasiparticle states. With decreasing temperature when $`TT_k`$, the scattering of conduction electrons off the localized $`f`$ electrons is enhanced and results in the Kondo resonance which is responsible for the unusual transport properties of HF compounds . In particular, at $`TT_k`$ the Seebeck coefficient of a HF metal displays a giant peak. At temperatures below $`T_k`$ hybrid quasiparticles are formed. They can be described as a quantum superposition of conduction and $`f`$ electrons. Thus, it is expected that tunneling of electrons from the normal metal electrode into the HF electrode is different above and below $`T_k`$ due to the different nature of quasiparticle states.

In order to study the Peltier effect of the NINHF junction at $`T<T_k`$ the following Hamiltonian was considered: $`H=H_L+H_R+H_T`$ where $`H_L`$ and $`H_R`$ are the Hamiltonians of the normal and HF metals, respectively. $`H_T`$ is the tunneling Hamiltonian:

$$H_T=\underset{k,p,\sigma }{}(T_{k,p}a_{\sigma p}^+c_{\sigma k}+T_{k,p}^{}c_{\sigma k}^+a_{\sigma p})$$
(5)
where $`a_{\sigma p}^+`$$`(a_{\sigma p})`$ and $`c_{\sigma k}^+`$($`c_{\sigma k})`$ are creation (annihilation) operators for bare electron states with spin $`\sigma `$ and momentum $`p`$ and $`k`$ in the normal and HF metals, respectively, $`T_{k,p}`$ is the bare matrix element. $`H_R`$ is the Hamiltonian of the periodic Anderson model. At $`T<T_k`$, in the framework of the mean field approach, the Hamiltonian $`H_R`$ can be written in the form :

$`H_R`$ $`=`$ $`{\displaystyle \underset{\sigma k}{}}\epsilon _{Rk}c_{\sigma k}^+c_{\sigma k}+{\displaystyle \underset{\alpha k}{}}\epsilon _ff_{ak}^+f_{ak}`$ (7)
$`+{\displaystyle \underset{\sigma \alpha k}{}}(V_{eff}\varphi _{\alpha \sigma }(𝐤)f_{ak}^+c_{\sigma k}+H.c.)`$
where $`\epsilon _{Rk}`$ is the kinetic energy of noninteracting conduction electrons in the HF metal, $`V_{eff}`$ and $`\epsilon _f`$ are the effective hybridization parameter and effective $`f`$-level energy, respectively. The parameters $`V_{eff}`$, $`\epsilon _f`$ and the chemical potential $`\mu `$ have to be determined self-consistently, minimizing the free energy with respect to $`V_{eff}`$, $`\epsilon _f`$ and $`\mu `$ at a given total number $`N_t`$ of electrons. Here $`N_t=N_c+N_f`$ where $`N_c`$ and $`N_f`$ are the number of conduction and $`f`$ electrons per $`f`$ ion, respectively. This gives a set of the mean-field equations (see, for example, ). Ce+3 ions in the ground state have one electron in the $`f`$-shell. Valence fluctuations leads to $`N_f1`$. In this case $`\epsilon _f>\mu `$. The function $`\varphi _{\alpha \sigma }(𝐤)`$ characterizes the anisotropy of the Kondo coupling. The diagonalization of the Hamiltonian (7) gives the quasiparticle energies

$$E_{\nu k}=\{\epsilon _f+\epsilon _{Rk}[(\epsilon _f\epsilon _{Rk})^2+4\left|V(𝐤)\right|^2]^{1/2}\}/2.$$
(8)
Here $`V(𝐤)V_{eff}\varphi (𝐤)`$, $`\varphi ^2(𝐤)_{\alpha \sigma }\left|\varphi _{\alpha \sigma }(𝐤)\right|^2/2`$. The upper and lower signs correspond to $`\nu =1`$ and 2, respectively. For the isotropic coupling $`\varphi ^2(𝐤)=1`$ a hybridization gap between the lower and upper hybrid bands $`E_{1k}`$ and $`E_{2k}`$ is equal to $`\mathrm{\Delta }E\mathrm{min}E_2\mathrm{max}E_1W\left|V_{eff}\right|^2/(W\mu )\mu `$ where $`W`$ is the width of the conduction band. The gap is opened at $`\epsilon _f`$. Calculating the eigenfunctions related to $`E_{\nu k}`$, the matrix element $`T_{\nu \alpha k,\sigma p}`$ can be found:

$$T_{\nu \alpha k,\sigma p}T_{\alpha k,\sigma p}u_{\nu k}=i\varphi _{\alpha \sigma }(𝐤)u_{\nu k}T_{k,p}/\varphi (𝐤).$$
(9)
This equation shows that $`T_{\nu \alpha k,\sigma p}`$ differs strongly from the bare matrix element $`T_{k,p}`$. The factors $`i\varphi _{\alpha \sigma }(𝐤)/\varphi (𝐤)`$ and $`u_{\nu k}`$ describe the renormalization of the tunneling matrix element due to the anisotropy of the Kondo coupling and the formation of the hybrid states (8). There is the relation $`\left|u_{\nu k}\right|^2=E_{\nu k}/\epsilon _{Rk}`$. The hybrid quasiparticles are called ‘heavy-fermions’ as the mass of the quasiparticles at the Fermi surface is much larger than the bare electron mass $`m_R`$: $`m_R^{}/m_R=\left|u_{1k}\right|^21`$ at $`k=k_F`$. In accordance with Eq. (9) at $`T<T_k`$ the renormalized matrix element $`T_{\nu \alpha k,\sigma p}`$ for tunneling into HF states near the Fermi surface becomes in $`1/\left|u_{1k}\right|(m_R^{}/m_R)^{1/2}`$ times smaller than the $`T_{k,p}`$ value. Substituting Eq. (9) into Eqs. (2) and (4) gives

$`I`$ $`=`$ $`4\pi e{\displaystyle \underset{\nu k,p}{}}\left|T_{k,p}|^2\right|u_{\nu k}|^2\delta (\epsilon _{Lp}+eVE_{\nu k})\times `$ (11)
$`[f(E_{\nu k}eV)f(E_{\nu k})],`$
$`P`$ $`=`$ $`4\pi {\displaystyle \underset{\nu k,p}{}}\left|T_{k,p}|^2\right|u_{\nu k}|^2\delta (\epsilon _{Lp}+eVE_{\nu k})\times `$ (13)
$`(E_{\nu k}eV\mu )[f(E_{\nu k}eV)f(E_{\nu k})].`$
It is important to note that the increase of the density of states (DOS) in the hybrid bands, $`\rho _\nu (E)_k\delta (EE_{\nu k})=\rho _R\left|u_{\nu k}\right|^2`$, with regard to the bare DOS $`\rho _R`$, compensates for the decrease of the tunneling matrix element Eq. (9), as $`\rho _\nu (E)\left|T_{\nu \alpha k,\sigma p}\right|^2=\rho _R\left|T_{k,p}\right|^2`$. Taking into account this result, it is concluded that the formation of heavy fermions does not change noticeably the magnitude of the tunneling current $`I`$ through the NINHF junction.

In order to examine the properties of the NINHF junction caused by the formation of the hybridization gap, the following approximation is made. The energy dependences of the bare density of states is neglected, as is also the momentum dependence of $`T_{k,p}`$ and anisotropy of the Kondo coupling. With these assumptions the following is obtained

$`I`$ $`=`$ $`4\pi e\rho _L\rho _R\left|T_{k,p}\right|^2{\displaystyle \underset{\nu }{}}{\displaystyle _{\mathrm{min}E_\nu }^{\mathrm{max}E_\nu }}[f(EeV)f(E)]𝑑E,`$ (14)
$`P`$ $`=`$ $`4\pi \rho _L\rho _R|T_{k,p}|^2{\displaystyle \underset{\nu }{}}{\displaystyle _{\mathrm{min}E_\nu }^{\mathrm{max}E_\nu }}(EeV\mu )\times `$ (16)
$`[f(EeV)f(E)]dE.`$
At $`\left|eV\right|T`$ these equations give $`P=\mathrm{\Pi }I`$ where

$`\mathrm{\Pi }`$ $`=`$ $`[\mathrm{\Delta }E+E_tf(E_t)E_bf(E_b)`$ (18)
$`T\mathrm{ln}(f(E_t)/f(E_b))]/(1+f(E_b)f(E_t))|e|.`$
Here $`E_t=\mathrm{max}E_{1k}`$, $`E_b=\mathrm{max}E_{2k}`$

In order to obtain the temperature dependence of the Peltier coefficient $`\mathrm{\Pi }`$ the set of mean-field equations are solved numerically and $`\epsilon _f(T)`$, $`V_{eff}(T)`$ and $`\mu (T)`$ are obtained. These parameters determine the energy spectrum Eq. (8). The temperature dependences of $`\mathrm{\Pi }(T)`$ and the energy gap $`\mathrm{\Delta }E`$ are presented in Fig. 2. These calculations show that in the case of a low-lying Kramers doublet $`N=2`$ the Peltier coefficient $`\mathrm{\Pi }(T)`$ achieves a peak value of order of $`0.5T_k/\left|e\right|`$ at $`T0.2T_k`$. Therefore, if $`eV>0,`$ then a current flowing from the left to the right cools the electrons in the normal metal electrode. The cooling effect has the following origin. Consider a flow of electrons from the HF electrode into the normal metal electrode. Such a flow corresponds to $`I>0`$. In accordance with the above calculations, electrons with an average energy smaller than $`\mu `$ are transferred from the HF electrode into the normal metal due to the hybridization gap which lies above the chemical potential $`\mu `$ in the energy spectrum of the HF metal, while electrons with an average energy equal to $`\mu `$ leave the normal metal electrode through normal contact.

In the case of impurity scattering at $`T<T_k`$ the Peltier coefficient $`\mathrm{\Pi }_{HF}`$ of HF metals is equal to $`\mathrm{\Pi }_{HF}=\pi ^2T^2N_f/(3eN_cT_0)`$ where $`T_0`$ is the low temperature Kondo scale, $`T_0T_k`$ . In accordance with the calculations represented in Fig. 2 for $`N=2`$, at $`T=T_m`$ the ratio of the peak value $`\mathrm{\Pi }(T_m)`$ to $`\mathrm{\Pi }_{HF}`$ is given by $`\mathrm{\Pi }(T_m)/\mathrm{\Pi }_{HF}0.15N_cT_k^2/N_fT_m^2.`$ As $`N_cN_f`$ and $`T_m0.24T_k`$, $`\mathrm{\Pi }(T_m)`$ is three times larger than $`\mathrm{\Pi }_{HF}`$. This means that at low temperatures $`TT_m`$ the NINHF junction is substantially more efficient in cooling than the normal metal-heavy fermion metal contact.

Unlike Ce+3 ions, a magnetic moment of Yb+3 ions is produced by one hole in its $`f`$ shell, and the hybridization gap is opened at $`\epsilon _f<\mu `$. If the right electrode is made from a Yb based HF compound, then $`\mathrm{\Pi }`$ is negative unlike the positive $`\mathrm{\Pi }`$ for Ce based HF compounds. In the latter case, electrons in the normal metal thermoelement are cooled when $`eV<0`$. For more effective cooling of the normal metal electrode a junction NHF(Yb)ININHF(Ce) may be proposed because the current flowing through both NHF(Yb)IN and NINHF(Ce) junctions will cool the electrons in the normal metal electrode.

The above calculations of the Peltier coefficient of NINHF junctions have been carried out in the isotropic approximation neglecting anisotropy of the Kondo coupling produced by the crystal field effect. It is well known that this effect influences the DOS in HF compounds . It is also expected that it will affect the tunneling current and the power transfer through the junction.

In conclusion, the tunneling current and Peltier effect of the normal metal-insulator-heavy fermion metal junctions have been studied. It has been demonstrated that at temperatures below the Kondo temperature the tunneling current transfers energy from the normal metal cooling electrons in the normal metal electrode. Thus, these junctions as well as the normal-insulator-superconductor junctions may be used as an electronic microrefrigerator to cool electrons in the normal metal electrode below the lattice temperature.

This work was supported by the EPSRC (UK) grant No. 04003/01 and in part by the Russian Fund for Basic Research, Grant No.01-02-17794.


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# A three-dimensional wavelet based multifractal method : about the need of revisiting the multifractal description of turbulence dissipation data

(October 24, 2003)

## Abstract

We generalize the wavelet transform modulus maxima (WTMM) method to multifractal analysis of 3D random fields. This method is calibrated on synthetic 3D monofractal fractional Brownian fields and on 3D multifractal singular cascade measures as well as their random function counterpart obtained by fractional integration. Then we apply the 3D WTMM method to the dissipation field issued from 3D isotropic turbulence simulations. We comment on the need to revisiting previous box-counting analysis which have failed to estimate correctly the corresponding multifractal spectra because of their intrinsic inability to master non-conservative singular cascade measures.

The multifractal formalism was introduced in the mid-eighties to provide a statistical description of the fluctuations of regularity of singular measures found in chaotic dynamical systems ref1  or in modelling the energy cascading process in turbulent flows ref2 ; aMen91 ; bFri95 . Box-counting (BC) algorithms were successfully adapted to resolve multifractal scaling for isotropic self-similar fractals aMen91 ; ref5 . As to self-affine fractals, Parisi and Frisch aPar85  developed, in the context of turbulence velocity data analysis, an alternative multifractal description based on the so-called structure functions. Unfortunately, there are some drawbacks to these classical multifractal methods and as proposed in Ref. ref9 , a natural way of performing a unified multifractal analysis of both singular measures and multi-affine functions, consists in using the continuous wavelet transform (WT). Applications of the so-called WTMM method to 1D signals have already provided insight into a wide variety of problems, e.g. fully-developed turbulence, financial markets, meteorology, physiology, DNA sequences bArn95 . Recently, the WTMM method has been generalized to 2D for multifractal analysis of rough surfaces ref14 , and successfully applied to characterize the intermittent nature of satellite images of the cloud structure ref15  and to assist in the diagnosis in digitized mammograms akes01 . Our aim here is to go one step further and to generalize the WTMM method from 2D to 3D.

The 3D WTMM method consists in smoothing the discrete 3D field data by convolving it with a filter and then in computing the gradient on the smoothed signal as for multiscale edge detectors ref10 . Define three wavelets $`\psi _i(x,y,z)=\varphi (x,y,z)/x_i`$ with $`x_i=x,y`$ or $`z`$ for $`i=1,2`$ or 3 respectively and $`\varphi (x,y,z)`$ is a 3D smoothing function well localized around $`x=y=z=0`$. For any function $`f(x,y,z)L^2`$($``$3), the WT at the point $`𝐛`$ and scale $`a`$ can be expressed in a vectorial form ref14 ; ref10 :

$$𝐓_𝝍[f](𝐛,a)=\mathbf{}\{\varphi _{𝐛,a}f\},$$
(1)
where $`\varphi _{𝐛,a}(𝐫)=a^3\varphi (a^1(𝐫𝐛))`$. If $`\varphi `$ is just a Gaussian $`\varphi (𝐫)=\mathrm{exp}(𝐫^2/2)`$ (or one of its derivatives), then Eq. (1) defines the 3D WT as the gradient field vector of $`f(𝐫)`$ smoothed by dilated versions $`\varphi (𝐫/a)`$ of this filter. At a given scale $`a`$, the WTMM are defined by the positions $`𝐛`$ where the WT modulus $`_𝝍[f](𝐛,a)=|𝐓_𝝍[f](𝐛,a)|`$ is locally maximum along the direction of the WT vector (Eq. (1)). These WTMM lie on connected surfaces called maxima surfaces (see Fig. 2). In theory, at each scale $`a`$, one only needs to record the position of the local maxima of $`_𝝍`$ (WTMMM) along the maxima surfaces together with the value of $`_𝝍[f]`$ and the WT vector direction. They indicate locally the direction where the signal has the sharpest variation. These WTMMM are disposed along connected curves across scales called maxima lines ref10 ; ref14  living in a 4D space $`(x,y,z,a)`$. We will define the WT skeleton as the set of maxima lines that converge to the $`(x,y,z)`$-hyperplane in the limit $`a0^+`$ (Fig 2(d)). One can prove ref10 ; ref14  that, provided the first $`n_𝝍`$ moments of $`𝝍`$ be zero, then $`_𝝍[f]\left(_{𝐫_0}(a)\right)a^{h(𝐫_0)}`$ along the maxima line $`_{𝐫_0}(a)`$ pointing to the point $`𝐫_0`$ in the limit $`a0^+`$, where $`h(𝐫_0)`$ ($`<n_𝝍`$) is the local Hölder exponent of $`f`$. As in 1D and 2D ref9 ; ref14 , the 3D WTMM method consists in defining the partition functions :

$$𝒵(q,a)=\underset{(a)}{}\left(_𝝍[f](𝐫,a)\right)^qa^{\tau (q)},$$
(2)
where $`q`$ $``$ and $`(a)`$ is the set of maxima lines of the WT skeleton. Then from Legendre transforming $`\tau (q)`$: $`D(h)=\mathrm{min}_q\left(qh\tau (q)\right)`$, one gets the $`D(h)`$ singularity spectrum defined as the Hausdorff dimension of the set of points $`𝐫`$ where $`h(𝐫)`$ is $`h`$. As an alternative strategy one can compute the mean quantities $`h(q,a)`$ and $`D(q,a)`$ :

$`h(q,a)=`$ $`{\displaystyle \underset{(a)}{}}\mathrm{ln}\left|_𝝍[f](𝐫,a)\right|W_𝝍[f](q,,a),`$ (3)
$`D(q,a)=`$ $`{\displaystyle \underset{(a)}{}}W_𝝍[f](q,,a)\mathrm{ln}\left(W_𝝍[f](q,,a)\right),`$ (4)
where $`W_𝝍[f](q,,a)=\left(_𝝍[f](𝐫,a)\right)^q/𝒵(q,a)`$ is a Boltzmann weight computed from the WT skeleton. From the scaling behavior of these quantities, one can extract $`h(q)=lim_{a0^+}h(q,a)/\mathrm{ln}a`$ and $`D(q)=lim_{a0^+}D(q,a)/\mathrm{ln}a`$ and therefore the $`D(h)`$ spectrum.

Fractional Brownian motions (fBm) are homogenous random self-affine functions that have been used to calibrate both the 1D and 2D WTMM methods ref9 ; ref14 . 3D fBm $`B_H(𝐫)`$ are Gaussian stochastic processes with stationary increments and well-known statistical properties : $`\tau (q)=qH3,\mathrm{\hspace{0.33em}0}<H<1`$. In Fig. 1 are reported the results of the 3D WTMM method when applied to 16 $`\times `$ $`(256)^3`$ realizations of $`B_{H=1/2}(𝐫)`$. As shown in Fig. 1(a), $`𝒵(q,a)`$ (Eq. (2)) display nice scaling behavior over 3 octaves when plotted vs $`a`$ in a logarithmic representation. A linear regression fit of the data yields the linear $`\tau (q)`$ spectrum shown in Fig. 2(c), in good agreement with the theoretical spectrum. This signature of monofractality is confirmed in Fig. 1(b) where, when plotting $`h(q,a)`$ vs $`\mathrm{log}_2(a)`$, $`H=1/2`$ is shown to provide an excellent fit of the slope of the data ($`\sigma _Wa4\sigma _W`$) for $`q]2,4[`$. When using $`h(q,a)`$ (Eq. (3)) and $`D(q,a)`$ (Eq. (4)) to estimate $`h(q)`$ and $`D(q)`$ in Fig. 1(d), one gets, up to the numerical uncertainty, a $`D(h)`$ spectrum that reduces to a single point $`D(h=H=1/2)=3`$. Similar quantitative estimates have been obtained for $`H=1/3`$ and $`2/3`$, thus confirming that 3D fBm’s are nowhere differentiable with a unique Hölder exponent $`h=H`$.

Generating multifractal measures using multiplicative cascades is well documented ref2 ; aMen91 ; bFri95 . The “binomial (or p-) model”, originally designed to account for the statistical scaling properties of the dissipation field in fully developed turbulence, has very simple multifractal properties ref2 ; aMen91 ; bFri95 .

The 3D version of the p-model consists in starting with a cube of size $`L`$, in which a measure $`\mu =\mu _L`$ is uniformly distributed. At the first step, the initial cube is broken into eight smaller cubes of size $`L/2`$ and one selects at random the four sub-cubes which will receive a fraction $`M^{(1)}=p_1/4`$, the four others receiving the fraction $`M^{(2)}=p_2/4`$ of the measure ($`p_1+p_2=1`$). Iterating this rule, one generates a random singular measure $`\mu _n(𝐫;l)=\mu _L_{i=1}^nM_i,l/L=2^n0`$. A straightforward computation yields : $`\tau _\mu (q)=(q+2)\mathrm{log}_2\left(p_1^q+p_2^q\right)`$. As a mean of introducing continuity, Fractionaly Integrated Singular Cascade (FISC) algorithm aSch87  amounts to a low-pass power-law filtering in Fourier space: $`f_n(𝐫)=\mu _n(𝐫)|𝐫|^{(1H^{})},\mathrm{\hspace{0.33em}0}<H^{}<1`$. This leads to FISC random functions with the following multifractal spectrum : $`\tau _f(q)=\tau _\mu (q)+qH^{}=2q(1H^{})\mathrm{log}_2\left(p_1^q+p_2^q\right)`$. In Fig. 1 are reported the results of the 3D WTMM analysis of the FISC model with $`p_1=0.32`$ and $`H^{}=0.638`$. As shown in Fig. 1(a), $`𝒵(q,a)`$ display good scaling for $`q]2,4[`$ for which statistical convergence turns out to be achieved. The corresponding $`\tau _f(q)`$ spectrum is displayed in Fig. 1(c) along with the theoretical spectrum. The agreement is quite satisfactory; $`\tau _f(q)`$ is nonlinear, the hallmark of multifractal scaling. This is confirmed in Fig. 1(b) where the slope of $`h(q,a)`$ vs $`\mathrm{log}_2(a)`$ clearly depends on $`q`$. From the estimate of $`h(q)`$ and $`D(q)`$, one gets the single-humped $`D_f(h)`$ spectrum shown in Fig. 1(d). Note that some departure from the theoretical spectrum can be observed on the right-hand side of the $`D(h)`$-curve ($`q2`$) indicating that the estimate of the weakest singularities would require a larger statistical sample. In Figs. 1(c) and 1(d) are also reported the results of a comparative analysis of the p-model using the 3D WTMM method and classical BC techniques. Note that the WTMM definition of the $`\tau _\mu ^{WT}(q)`$ spectrum (Eq. (2)) slightly differs from the BC definition $`\tau _\mu ^{BC}(q)`$ found in the literature aMen91  :

$$\tau _\mu ^{BC}(q)=\tau _\mu ^{WT}(q)+dq=(q1)D_q,$$
(5)
which implies the following relationship $`f_\mu ^{BC}(\alpha )=D_\mu ^{WT}(h=\alpha d)`$ between the corresponding singularity spectra ($`d=3`$). For both methods, the numerical results for $`\tau _\mu (q)`$ and $`D_\mu (h)`$ are found in good agreement with the theoretical spectra, for $`q]2,4[`$. In particular, the cancellation exponent ref26  is found $`\tau _\mu ^{BC}(q=1)=\tau _\mu ^{WT}(q=1)+3=0`$, as the signature of the conservativity of the p-model cascading rule. One of the main problem with the BC method is the fact that, by construction, the measure in a given box is the sum of the measures in smaller non-overlapping boxes, which implies that the cancellation exponent $`\tau _\mu ^{BC}(q=1)=0`$. This means that BC algorithms are not adapted to study non-conservative singular cascades, signed measures as well as multifractal functions for which the cancellation exponent has no reason to vanish. Altogether the results reported in Fig. 1 bring the demonstration that our 3D WTMM methodology paves the way from multifractal analysis of singular measures to continuous multi-affine functions. In particular the $`D_f(h)`$ curve for the FISC random function is found identical to the $`D_\mu (h)`$ curve up to a translation to the right by $`H^{}`$; this is the consequence of the fractional integration which implies $`D_f(h)=D_\mu (hH^{})`$.

Since Kolmogorov’s founding work (K41), fully developed turbulence has been intensively studied theoretically, numerically and experimentally aMen91 ; bFri95 . A central quantity in the K41 theory is the mean energy dissipation $`ϵ=\frac{\nu }{2}_{i,j}(_jv_i+_iv_j)^2`$ which is supposed to be constant. Indeed, $`ϵ`$ is not spatially homogenous but undergoes local intermittent fluctuations aMen91 ; bFri95 . There have been early experimental attemps to measure the multifractal spectra of $`ϵ`$ aMen91 . Surprisingly, the binomial model turns out to account reasonably well for the observed $`\tau _ϵ(q)`$ and $`f_ϵ(\alpha )`$ spectra aMen91 . Experimentally, single probe measurement of the longitudinal velocity requires the use of the 1D surrogate dissipation approximation $`ϵ^{}=15\nu (u/x)^2`$ that may introduce severe bias in the multifractal analysis. 3D multifractal processing of dissipation data is at the moment feasible only for numerically simulated flows at moderate Reynolds number for which scaling just begins to manifest itself ref20 . Several numerical studies \[16a,c\] agree that $`ϵ^{}`$ is in general more intermittent than $`ϵ`$ which is found nearly log-normal in the inertial range \[16b,c\].

So far mainly BC techniques have been used to perform multifractal analysis of numerical and experimental dissipation data aMen91 ; ref20 . Here we apply the 3D WTMM method to isotropic turbulence DNS data obtained by Meneguzzi with the same numerical code as in Ref. aMene  but at a $`(512)^3`$ resolution and a viscosity of $`5.10^4`$ corresponding to a Taylor Reynolds number $`R_\lambda =216`$ (one snapshot of the dissipation 3D spatial field). For the sake of comparison, we will also report the results of some averaging over 18 snapshots of ($`256`$)3 DNS run by Lévêque at $`R_\lambda =140`$. The main steps of our 3D WT computation are illustrated in Fig. 2. Focusing on a ($`64^3`$) sub-cube, we show the original $`ϵ`$ data (Fig. 2(a)), the WTMM surfaces along with the WTMMM points computed at two different scales (Figs. 2(b) and 2(c)) and some projection of the WT skeleton (Fig. 2(d)). According to Eq. (5), by plotting $`𝒵(q,a)/(𝒵(q=0,a))^q`$ vs $`a`$ in a logarithmic representation in Fig. 3(a), one can then directly compare ($`𝒵(q=0,a)a^d`$) our WTMM computations with BC ones. Actually, good scaling properties are observed for $`q]2,4[`$. Linear regression fits of the data yield the non-linear $`\tau _ϵ(q)`$ spectra shown in Fig. 3(c) that significantly deviate from a straight line, the hallmark of multifractality. But surprisingly, $`\tau _ϵ^{WT}(q)`$ significantly differs from $`\tau _ϵ^{BC}(q)3q`$. Actually, our 3D WTMM algorithms reveal that the cancellation exponent ref26  is significantly different from zero : $`\tau _ϵ^{WT}(q=1)+3=0.19\pm 0.03<0`$, the signature of a signed measure.

Indeed, as shown in Fig. 3(c), $`\tau _ϵ^{WT}(q)`$ data are rather nicely fitted by the theoretical spectrum $`\tau _\mu (q)`$ of the non-conservative p-model with $`p_1=0.36`$ and $`p_2=0.78`$ ($`p_1+p_2=1.14>1`$). Thus BC algorithms systematically provide a misleading conservative $`\tau _ϵ(q)`$ spectrum diagnostic with $`p=p_1/(p_1+p_2)`$ and $`1p=p_2/(p_1+p_2)`$. As shown in Fig. 3(c), $`\tau _ϵ^{BC}(q)3q`$ data are quite well reproduced by the theoretical conservative p-model spectrum with $`p=0.32=p_1/(p_1+p_2)=0.36/1.14`$, consistently with our 3D WTMM finding for $`\tau _ϵ^{WT}(q)`$. The difference between the two spectra is nothing but a fractional integration of exponent $`H^{}=\mathrm{log}_2(p_1+p_2)0.19`$. This result is confirmed in Fig. 3(d) where the singularity spectrum $`f_ϵ^{BC}(\alpha )`$ is misleading shifted to the right by $`H^{}`$ ($`=`$ the cancellation exponent) $`0.19`$, without any shape change as compared to the $`f_ϵ^{WT}(\alpha )=D_ϵ^{WT}(h=\alpha d)`$. Note that the observation that $`f_ϵ^{WT}(\alpha d+1)`$ is not tangent to the diagonal (on the contrary to $`f_ϵ^{BC}(\alpha d+1)`$) is clearly related to the fact that the cancellation exponent is different from zero aZhou01 . This observation seriously questions the validity of most of the experimental and numerical BC estimates of the $`\tau _ϵ^{BC}(q)`$ and $`f_ϵ^{BC}(\alpha )`$ spectra reported so far in the literature. In Fig. 3(d) is shown for comparison some average $`f_ϵ^{BC}(\alpha )`$ spectrum obtained by Meneveau and Sreenivasan aMen91  for 1D surrogate dissipation experimental data ($`d=1`$). We notice that these experimental data were claimed to be well fitted by the conservative p-model with $`p=0.3`$ ($`1p=0.7`$), i.e. a value not so far from the value $`p=p_1/(p_1+p_2)=0.32`$ derived from our 3D WTMM method.

Previous application of the 1D WTMM method to 1D surrogate dissipation data has already revealed the fact that the cancellation exponent might be different from zero tRou96 . The 3D WTMM results reported here show that this surprising result is not some artefact resulting from the analysis of 1D cuts (the dissipation could well be non conserved along these cuts), but that the multifractal spatial structure of the 3D dissipation field is likely to be well described by a multiplicative cascade process that is definitely non conservative. As shown in Fig. 3(d), this conclusion is confirmed by the results obtained when averaging over 18 snapshots of Lévêque’s DNS; the cancellation exponent is found even more negative $`\tau _ϵ^{WT}(q=1)+3=0.26`$, as an indication (as regards to the smaller $`R_\lambda `$ value) that this exponent might decrease to zero in the limit of infinite Reynolds number. To conclude, let us point out that the $`f_ϵ^{WT}(\alpha )`$ data seem to be even better fitted by a parabola, as predicted for non-conservative log-normal cascade processes.

We are very grateful to M. Meneguzzi and E. Lévêque for allowing us to have access to their DNS data and to the CNRS under GDR turbulence.