Cdias Adams 30 PDF
Cdias Adams 30 PDF
Cdias Adams 30 PDF
LECTURES ON
MATHEMATICAL
STATISTICAL MECHANICS
By
S. Adams
DUBLIN
2006
Contents
1 Introduction 1
2 Ergodic theory 2
2.1 Microscopic dynamics and time averages . . . . . . . . . . . . 2
2.2 Boltzmann’s heuristics and ergodic hypothesis . . . . . . . . . 8
2.3 Formal Response: Birkhoff and von Neumann ergodic theories 9
2.4 Microcanonical measure . . . . . . . . . . . . . . . . . . . . . 13
3 Entropy 16
3.1 Probabilistic view on Boltzmann’s entropy . . . . . . . . . . . 16
3.2 Shannon’s entropy . . . . . . . . . . . . . . . . . . . . . . . . 17
6 Gibbs measures 44
6.1 Definition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44
6.2 The one-dimensional Ising model . . . . . . . . . . . . . . . . 47
6.3 Symmetry and symmetry breaking . . . . . . . . . . . . . . . 51
6.4 The Ising ferromagnet in two dimensions . . . . . . . . . . . . 52
6.5 Extreme Gibbs measures . . . . . . . . . . . . . . . . . . . . . 57
6.6 Uniqueness . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58
6.7 Ergodicity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60
i
9 Models 73
9.1 Lattice Gases . . . . . . . . . . . . . . . . . . . . . . . . . . . 74
9.2 Magnetic Models . . . . . . . . . . . . . . . . . . . . . . . . . 75
9.3 Curie-Weiss model . . . . . . . . . . . . . . . . . . . . . . . . 77
9.4 Continuous Ising model . . . . . . . . . . . . . . . . . . . . . . 84
ii
Preface
In these notes we give an introduction to mathematical statistical mechanics,
based on the six lectures given at the Max Planck institute for Mathematics in
the Sciences February/March 2006. The material covers more than what has
been said in the lectures, in particular examples and some proofs are worked
out as well the Curie-Weiss model is discussed in section 9.3. The course
partially grew out of lectures given for final year students at the University
College Dublin in spring 2004. Parts of the notes are inspired from notes of
Joe Pulé at University College Dublin.
The aim is to motivate the theory of Gibbs measures starting from basic
principles in classical mechanics. The first part covers Sections 1 to 5 and
gives a route from physics to the mathematical concepts of Gibbs ensembles
and the thermodynamic limit. The Sections 6 to 8 develop a mathematical
theory for Gibbs measures. In Subsection 6.4 we give a proof of the ex-
istence of phase transitions for the two-dimensional Ising model via Peierls
arguments. Translation invariant Gibbs measures are characterised by a vari-
ational principle, which we outline in Section 7. Section 8 gives a quick intro-
duction to the theory of large deviations, and Section 9 covers some models
of statistical mechanics. The part about Gibbs measures is an excerpt of
parts of the book by Georgii ([Geo88]). In these notes we do not discuss
Boltzmann’s equation, nor fluctuations theory nor quantum mechanics.
Some comments on the literature. More detailed hints are found through-
out the notes. The books [Tho88] and [Tho79] are suitable for people, who
want to learn more about the physics behind the theory. A standard ref-
erence in physics is still the book [Hua87]. The route from microphysics to
macrophysics is well written in [Bal91] and [Bal92]. The old book [Kur60] is
nice for starting with classical mechanics developing axiomatics for statistical
mechanics. The following books have a higher level with special emphasis
on the mathematics. The first one is [Khi49], where the setup for the micro-
canonical measures is given in detail (although not in used modern manner).
The standard reference for mathematical statistical mechanics is the book
[Rue69] by Ruelle. Further developments are in [Rue78] and [Isr79]. The
book [Min00] contains notes for a lecture and presents in detail the two-
dimensional Ising model and the Pirogov-Sinai theory, the latter we do not
study here. A nice overview of deep questions in statistical mechanics gives
[Gal99], whereas [Ell85] and [Geo79],[Geo88] have their emphasis on proba-
bility theory and large deviation theory. The book [EL02] gives a very nice
introduction to the philosophical background as well as the basic skeleton of
statistical mechanics.
iii
I hope these lectures will motivate further reading and perhaps even fur-
ther research in this interesting field of mathematical physics and stochastics.
Many thanks to Thomas Blesgen for reading the manuscript. In particular I
thank Tony Dorlas, who gave valuable comments and improvements.
iv
1 Introduction
The aim of equilibrium Statistical Mechanics is to derive all the equilibrium
properties of a macroscopic system from the dynamics of its constituent par-
ticles. Thus its aim is not only to derive the general laws of thermodynamics
but also the thermodynamic functions of a given system. Mathematical Sta-
tistical Mechanics has originated from the desire to obtain a mathematical
understanding of a class of physical systems of the following nature:
• The system is an assembly of identical subsystems.
• The number of subsystems is large (N ∼ 1023 , Avogardo’s number 6.023 ×
1023 , e.g. 1cm3 of hydrogen contains about 2.7 × 1019 molecules/atoms).
• The interactions between the subsystems are such as to produce a thermo-
dynamic behaviour of the system.
Thermodynamic behaviour:
(1) Equilibrium states are defined operationally. A state of an isolated system
tends to an equilibrium state as time tends to +∞ (approach to equilibrium).
(2) An equilibrium state of a system consists of one or more macroscopically
homogeneous regions called phases.
(3) Equilibrium states can be parametrised by a finite number of thermody-
namic parameters (e.g. temperature, volume, density, etc) which determine
the thermodynamic functions (e.g. free energy, pressure, entropy, magneti-
sation, etc).
It is believed that the thermodynamic functions depend piecewise ana-
lytical (or smoothly) on the parameters and that singularities correspond to
changes in the phase structure of the system (phase transitions). Classical
thermodynamics consists of laws governing the dependence of the thermo-
dynamic functions on the experimental accessible parameters. These laws
are derived from experiments with macroscopic systems and thus are not
derived from a microscopic description. Basic principles are the zeroth, first
and second law as well as the equation of state for the ideal gas.
The art of the mathematical physicist consists in finding a mathematical
justification for the statements (1)-(3) from a microscopic description. A mi-
croscopic complete information is not accessible and is not of interest. Hence,
despite the determinism of the dynamical laws for the subsystems, random-
1
ness comes into play due to lack of knowledge (macroscopic description). The
large number of subsystems is replaced in a mathematical idealisation by in-
finitely many subsystems such that the extensive quantities are scaled to stay
finite in that limit. Stochastic limit procedures as the law of large numbers,
central limit theorems and large deviations principles will provide appropri-
ate tools. In these notes we will give a glimpse of the basic concepts. In
the second chapter we are concerned mainly with the Mechanics in the name
Statistical Mechanics. Here we motivate the basic concepts of ensembles via
Hamilton equations of motions as done by Boltzmann and Gibbs.
2 Ergodic theory
2.1 Microscopic dynamics and time averages
We consider in the following N identical classical particles moving in Rd , d ≥
1, or in a finite box Λ ⊂ Rd . We idealise these particles as point masses
having the mass m. All spatial positions and momenta of the single particles
are elements in the phase space
Γ = Rd × Rd )N or ΓΛ = Λ × Rd )N . (2.1)
Specify, at a given instant of time, the values of positions and momenta of the
N particles. Hence, one has to specify 2dN coordinate values that determine
a single point in the phase space Γ respectively ΓΛ . Each single point in
the phase space corresponds to a microscopic state of the given system of N
particles. Now the question arises whether the 2dN − dimensional continuum
of microscopic states is reasonable. Going back to Boltzmann [Bol84] it seems
that at that time the 2dN − dimensional continuum was not really deeply
accepted ([Bol74], p. 169):
and likewise the phase space itself is really thought of as divided into a fi-
nite number of very small cells of essentially equal dimensions, each of which
2
determines the position and momentum of each particle with a maximum
precision. Here the maximum precision that the most perfect measurement
apparatus can possibly provide is meant. Thus, for any position and momen-
tum coordinates
δp(j) (j)
i δqi ≥ h, for i = 1, . . . , N, j = 1, . . . , d,
with h = 6, 62 × 10−34 Js being Planck’s constant. Microscopic states of
the system of N particles should thus be represented by phase space cells
consisting of points in R2dN (positions and momenta together) with given
centres and cell volumes hdN . In principle all what follows should be for-
mulated within this cell picture, in particular when one is interested in an
approach to the quantum case. However, in this lectures we will stick to the
mathematical idealisation of the 2dN continuum of the microscopic states,
because all important properties remain nearly unchanged upon going over
to the phase cell picture.
3
1ln the identity in Rn , the Hamilton vector field is given as
v : Γ → Γ, x 7→ J∇H(x)
with x = (q, p) ∈ R2n and
∂H ∂H ∂H ∂H
∇H(x) = ,..., , ..., .
∂q1 ∂qN ∂p1 ∂pN
With the vector field v we associate the differential equations
d
x(t) = v(x(t)), (2.4)
dt
where x(t) denotes a single microstate of the system for any time t ∈ R. For
each point x ∈ Γ there is one and only one function x : R → Γ such that
x(0) = x and dx(t)
dt
= v(x(t)) for any t ∈ R. For any t ∈ R we define a phase
space map
φt : Γ → Γ, x 7→ φt (x) = x(t).
From the uniqueness property we get that Φ = {φt : t ∈ R} is a one-parameter
group which is called a Hamiltonian flow. Hamiltonian flows have the
following property.
Lemma 2.1 Let Φ be a Hamiltonian flow with Hamiltonian H, then any
function F = f ◦ H of H is invariant under φ:
F ◦ φt = F
for all t ∈ R.
Proof. The proof follows from the chain rule and hx, Jxi = 0. Recall that
if G : Rn → Rm then G0 (x) is the m × n matrix
∂Gi
(x) for x ∈ Rn .
∂xj i=1,...,m
j=1,...,n
d dφt
F (φt (x)) = F 0 (φt (x)) (x)
dt dt
dφt
= f 0 (H(φt (x))) H 0 (φt (x)) (x)
dt
dφt
= f 0 (H(φt (x))) (∇H(φt (x)))T (x)
dt
dφt
= f 0 (H(φt (x))) h∇H(φt (x)), (x)i
dt
= f 0 (H(φt (x))) h∇H(φt (x)) , J ∇H(φt (x))i.
The following theorem is the well known Liouville’s Theorem.
4
Theorem 2.2 (Liouville’s Theorem) The Jacobian | det φ0t (x)| of a Hamil-
tonian flow is constant and equal to 1.
dM (t)
= A(t)M (t)
dt
for all t ≥ 0, then
Z t
det M (t) = det M (0) exp trace A(s)ds .
0
Now
dφt (x)
= (v ◦ φt )(x).
dt
Thus
dφ0t (x)
= v 0 (φt (x))φ0t (x)
dt
Rt
so that det φ0t (x) = exp 0 trace v 0 (φs (x))ds because φ00 (x) is the identity map
on Γ. Now
v(x) = J ∇H(x) and v 0 (x) = JH 00 (x),
2
where H 00 (x) = ∂x∂i ∂x
H
j
is the Hessian of H at x. Since H is twice continu-
00
ously differentiable, H (x) is symmetric. Thus
From Lemma 2.1 and Theorem 2.2 it follows that a probability measure
on the phase space Γ, i.e., an element of the set P(Γ, BΓ ) of probability
measure on Γ with Borel σ−algebra BΓ , whose Radon-Nikodym density with
respect to the Lebesgue measure is a function of the Hamiltonian H alone is
stationary with respect to the Hamiltonian flow Φ = {φt : t ∈ R}.
µ ◦ φ−1
t = µ for any t ∈ R.
5
Proof. We have
Z Z
µ(A) = 1lA (x)ρ(x)dx = 1lA (φt (x))ρ(φt (x))| det φ0t (x)|dx
ZΓ Γ
= 1lφ−1
t A
(x)ρ(x)dx = µ(φ−1
t A).
Γ
For such a stationary probability measure one gets a unitary group of time
evolution operators in an appropriate Hilbert space as follows.
6
a period of time which is long compared to say times between collisions.
Therefore we can represent the observed value by
Z T
¯ 1
f (x) = lim dt(f ◦ φt )(x).
T →∞ 2T −T
Assume now that the observed value is independent of where the system is
at t = 0 in Γ1 , i.e. if f¯(x) = f¯ for a constant f¯, then
Z Z
f¯(x)µ(dx) = f¯µ(dx) = f¯.
Γ1 Γ1
Therefore Z
f¯ = f (x)µ(dx).
Γ1
Statement (1) has been proved by Birkhoff (Birkhoff’s pointwise ergodic the-
orem (see section 2.3 below)): f¯(x) exists almost everywhere. We shall prove
a weaker version of this, Von Neumann’s ergodic theorem.
Statement (2) is more difficult and we shall discuss it later.
The continuity of the Hamiltonian flow entails that for each f ∈ Cb (Rd ) and
each x ∈ Γ the function
7
is a continuous function of the time t. For any time dependent function ϕ
we define the following limit
Z T
1
hϕi := lim dtϕ(t) (2.6)
T →∞ 2T −T
8
Lemma 2.7 For every f ∈ Cb (Γ) and every x ∈ Γ, there exists a time-
invariant mean λx given by
λx : Cb (Γ) → R, f 7→ λx (f ) = λ(fx ),
ΣE = {(q, p) ∈ Γ : : H(q, p) = E}
denote the energy surface for the energy value E for a given Hamiltonian
H for the system of N particles.
The energy surface contains exactly one orbit, i.e. for every x ∈ Γ
and E ≥ 0
{x(t) : t ∈ R, x(0) = x} = ΣE .
Each orbit in the phase space is dense on its energy surface, i.e.
{x(t) : t ∈ R, x(0) = x} is a dense subset of ΣE .
9
(c) µ(φt (A)) = µ(A) for all t ∈ T and A ∈ F.
(iii) Z Z
µ(dx)λx (f ) = µ(dx)f (x).
Γ Γ
Note that in Birkhoff’s Theorem one has convergence almost surely. There
exists a weaker version, the following ergodic theorem of von Neumann. We
restrict in the following to classical dynamical system with T = R, the real
time. Let H = L2 (Γ1 , F, µ) and define Ut f = f ◦ φt for any f ∈ H. Then by
Koopman’s lemma Ut is unitary for any t ∈ R.
M = {f ∈ H : Ut f = f ∀ t ∈ R},
For the proof of this theorem we need the following discrete version.
10
R1
Proof of Theorem 2.10. Let U = U1 and g = 0
dtUt f , then
Z 1 Z n+1
n
U g= dtUn+t f = dtUt f
0 n
and thus
N
X −1 Z N
n
U g= dtUt f.
n=0 0
RN
Therefore N1 0 dtUt f converges as N → ∞. For T ∈ R+ , by writing T =
RT
N + r where 0 ≤ r < 1 and N ∈ N, we deduce that T1 0 dtUt f converges as
T → ∞. Define the operator P̃ by
1 T
Z
P̃ f = lim dtUt f.
T →∞ T 0
11
Then
[ker (I − U )]⊥ ⊂ [Range (I − U )]⊥⊥ = Range (I − U ).
If g ∈ Range(I − U ), then g = (I − U )h for some h. Therefore
N −1
1 X n 1
U g = {h − U h + U h − U 2 h + U 2 h − U 3 h + . . . + U N −1 h − U N h}
N n=0 N
1
= {h − U N h}.
N
Thus
1 N −1
X n
2khk
U g
≤ → 0 as N → ∞.
N n=0 N
Approximating
PNelements of Range(I − U ) by elements of Range(I − U ), we
1 −1 n
have that N n=0 U g → 0 = P g for all
If g ∈ ker (I − U ), then
N −1
1 X n
U g = g = P g.
N n=0
Theorem 2.13 (Ergodic flows) Φ = (φt )t∈R is ergodic if and only if the
only functions in L2 (Γ1 , µ) which satisfy f ◦φt = f are the constant functions.
Proof. Below a.s.(almost surely) means that the statement is true except
on a set of zero measure. Suppose that the only invariant functions are the
constant functions. If φt (F ) = F for all t then 1lF is an invariant function
and so 1lF is constant a.s. which means that 1lF (x) = 0 a.s. or 1lF (x) = 1 a.s.
Therefore µ(F ) = 0 or µ(F ) = 1l.
Conversely suppose φt is ergodic and f ◦ φt = f . Let F = {x| f (x) < a}.
Then φt F = F since
12
Therefore µ(F ) = 0 or µ(F ) = 1. Thus f (x) < a a.s. or f (x) ≥ a a.s. for
every a ∈ R. Let
a0 = sup{a| f (x) ≥ a a.s.}.
Then, if a > a0 , µ({x| f (x) ≥ a}) = 0, and if a < a0 , µ({x| f (x) < a}) = 0.
Let (an ) and (bn ) be sequences converging to a0 such that an > a0 > bn .
Then
{x| f (x) 6= a0 } = ∪n {x| f (x) ≥ an } ∪ {x| f (x) < bn }.
Thus
X
µ({x| f (x) 6= a0 }) ≤ (µ({x| f (x) ≥ an }) + µ({x| f (x) < bn })) = 0,
n
Therefore Z T Z
1
lim dtUt g = g(x)µ(dx).
T →∞ 2T −T Γ1
Remark 2.14 However proving ergodicity has turned out to be the most dif-
ficult part of the programme. There is only one example for which ergodicity
has been claimed to be proved and that is for a system of hard rods (Sinai).
This concerns finite systems. In the thermodynamic limit (see Chapter 5)
ergodicity should hold, but we do not discuss this problem.
13
Theorem 2.15 (Riesz-Markov) If l : A(Γ) → R is linear and for any pos-
itive f ∈ A(Γ) it holds l(f ) ≥ 0, then there is a unique Borel measure µ on
Γ such that Z
l(f ) = f (x)µ(dx).
Γ
14
We now give an explicit expression for the microcanonical measure. First we
briefly recall briefly facts on curvilinear coordinates.
Let ζ : Rν → A ⊂ Rν be a bijection. Then we can use coordinates t1 , t2 , . . . tν
where the point x corresponds to the point t = ζ(x) in the new coordinates.
The coordinates are orthogonal if the level surfaces ti = constant, i = 1, . . . , ν
are orthogonal to each other, that is, for all x ∈ Rν if i 6= j,
h∇ζi (x), ∇ζj (x)i = 0.
Changing the variables of integration we then get
Z Z Z
−1 −1 0 dt
f (x)dx = f (ζ (t))| det(ζ ) (t)|dt = f (ζ −1 (t))
Rν | det(ζ (ζ −1 (t))|
0
ZA A
dt
= f (ζ −1 (t)) Qν −1 (t))k
.
A i=1 k(∇ζi )(ζ
Then
dt1
dx = dσt .
k∇ζ1 k 1
We apply this to the Microcanonical Measure.
Choose ζ : R2n → A ⊂ R2n such that ζ1 = H and so Σt1 is an energy surface.
Then Z E+δ
f (ζ −1 (t))
Z Z
f (x)dx = dt1 −1 (t))k
dσt1 .
Σ[E,E+δ] E Σt1 k∇H(ζ
Therefore
f (ζ −1 (E, t2 , . . . , t2n ))dσE
Z Z
1
lim f (x)dx = .
δ→0 δ Σ[E,E+δ] ΣE k∇H(ζ −1 (E, t2 . . . , tn ))k
Thus
dσE
µ0E (dx) = .
k∇Hk
In particular Z
dσE
ω(E) = .
ΣE k∇Hk
15
Note also that
f (ζ −1 (t))
Z Z Z
g(H(x))f (x)dx = dt1 g(t1 ) dσt .
Γ Σt1 k∇H(ζ −1 (t))k 1
dσE
ωΛ (E, N ) = .
||HΛ(N ) ||
Remark 2.18 Measure which are constructed like the microcanonical mea-
sure on hyperplanes are called Gelfand-Leray measures. In general one might
imagine that there are several integrals of motions. For example the angular
momentum is conserved. Then one has to consider intersections of several
level surfaces. We will not discuss this in these lectures.
3 Entropy
3.1 Probabilistic view on Boltzmann’s entropy
We discuss briefly the famous Boltzmann formula S = k log W for the entropy
and give here an elementary probabilistic interpretation. For that let Ω be
a finite set (the state space) and let there be given a probability measure
µ ∈ P(Ω) on Ω, where P(Ω) denotes the set of probability measures on Ω
with the σ-algebra being the set of all subsets of Ω. In the picture of Maxwell
and Boltzmann, the set Ω is the set of all possible energy levels for a system of
particles, and the probability measure µ corresponds to a specific histogram
of energies describing some macrostate of the system. Assume that µ(x) is
a multiple of n1 for any x ∈ Ω, n ∈ N, i.e. µ is a histogram for n trials or a
macrostate for a system of n particles. A microscopic state for the system of
n particles is any configuration ω ∈ Ωn .
16
The associate macrostate for a microstate ω ∈ Ωn is
n
1X
Ln (ω) = δω ,
n i=1 i
and Ln (ω) is called the empirical distribution or histogram of ω ∈ Ωn . The
number of microstates leading to a given µ ∈ P(Ω) ∩ n1 [0, 1]Ω is the number
n!
Nn (µ) = {ω ∈ Ωn : Ln (ω) = µ} = Q .
x∈Ω (nµ(x))!
17
(a) For every permutation π ∈ Sn , where Sn is the group of permuta-
tions of n elements, and any P ∈ P(Ω) let πP ∈ P(Ω) be defined as
πP ({ωi }) = pπ(i) for any i = 1, . . . , n. Then
S(P ) = S(πP ).
18
Theorem 3.2 (Shannon entropy) Let Ω = {ωi , . . . , ωn } be a finite set.
Any functional S : P(Ω) → R satisfying Axioms (1) to (4) must be necessarily
of the form
n
X
S(P ) = −k pi log pi for P ∈ P(Ω) with P ({ωi }) = pi , i = 1, . . . , n,
i=1
Proof. The proof can be found in the original work by Shannon and
Weaver [SW49] or in the book by Khinchin [Khi57].
The connection with the previous Boltzmann entropy for the microcanonical
ensemble is apparent from Axiom 2 above. Moreover, there are also con-
nections to the Boltzmann-H-function not mentioned at all. The interested
reader is referred to any of the following monographs [Bal91],[Bal92],[Gal99]
and [EL02].
19
4 The Gibbs ensembles
In 1902 Gibbs proposed three Gibbs ensembles, the microcanonical, the
canonical and the grandcanonical ensemble. The microcanonical ensemble
was introduced in Section 2.4 as a probability measure on the energy sur-
face, a hyperplane in the phase space. The microcanonical ensemble is most
natural from the physical point of view. However, in practise mainly the
canonical and the grandcanonical Gibbs ensembles are studied. The main
reason is that these ensembles are defined as probability measures in the
phase space with a density, the so-called Boltzmann factor e−βH , where
β > 0 is the inverse temperature and H the Hamiltonian of the system.
The mathematical justification to replace the microcanonical ensemble by
the canonical or grandcanonical Gibbs ensemble goes under the name equiv-
alence of ensembles, which we will discuss in Subsection 5.3. In this section
we introduce first the canonical Gibbs ensemble. Then we study the so-called
Gibbs paradox concerning the correct counting for a system of indistinguish-
able identical particles. It follows the definition of the grandcanonical Gibbs
ensemble. In the last subsection we relate all the introduced Gibbs ensem-
bles to classical thermodynamics. This leads to the orthodicity problem,
namely the question whether the laws of thermodynamics are derived from
the ensembles averages in the thermodynamic limit.
20
is the normalisation and is called partition function (”Zustandsssume”).
Proof. The proof is given with straightforward calculation and the use of
Jensen’s inequality for the convex function f (x) = x log x + 1 − x.
Gibbs himself recognised the condition for equality as a condition for inde-
pendence. He claimed that with the notations of Theorem 4.2 in the special
case ρ is the canonical ensemble density and the Hamiltonian is of the form
H0 = H1 + H2 with H1 (respectively H2 ) is independent of Γ2 (respectively
Γ1 ), the reduced densities (marginal densities) ρ1 and ρ2 are independent,
i.e., ρ0 = ρ1 ρ2 , and are themselves canonical ensemble densities.
In [Gib02] he writes:
21
-a property which enormously simplifies the discussion, and is the
foundation of extremely important relations to thermodynamics.
Indeed, it follows from this that the temperatures are all equal, i.e., T1 =
T2 = T0 .
Moreover, the values of the temperature T and the partition function ZΛ (β, N )
are uniquely determined from the condition
∂ 1
U =− log ZΛ (β, N ) with β = .
∂β kT
Let γ ∈ P(ΓΛ , BΛ ) with Lebesgue density ρ. Put a = ρβΛ,N (x) and b = ρ(x)
for any x ∈ ΓΛ and recall that ρβΛ,N is the density of the canonical Gibbs
ensemble. Then
ρβΛ,N (x) log ρβΛ,N (x) − ρ(x) log ρ(x) ≤ (ρβΛ,N (x) − ρ(x))(1 − log ZΛ (β, N )
− βHΛ(N ) (x)).
22
Integrating with respect to Lebesgue we get
Z
β
S(γΛ,N ) − S(µ) ≥ −k ((1 − log ZΛ (β, N ) − βHΛ(N ) (x))ρβΛ,N (x)dx
ΓΛ
Z
(N )
− (1 − log ZΛ (β, N ) − βHΛ (x))ρ(x))dx
ΓΛ
= −k {(1 − log ZΛ (β, N ) − βU ) − (1 − log ZΛ (β, N ) − βU )}
= 0.
Therefore
β
S(γΛ,N ) ≥ S(γ).
Note that the entropy for the canonical ensemble is given by
Z
β
S(γΛ,N ) = k (log ZΛ (β, N ) + βHΛ(N ) (x))ρβΛ,N (x)dx
ΓΛ
Z
= k log ZΛ (β, N ) + kβ HΛ(N ) (x)ρβΛ,N (x)dx.
ΓΛ
Thermodynamic functions
For the canonical ensemble the relevant thermodynamical variables are the
temperature T (or β = (kT )−1 ) and the volume V of the region Λ ⊂ R. We
have already defined the entropy S of the canonical ensemble by
1
SΛ (β, N ) = k log ZΛ (β, N ) + E β (H (N ) ),
T γΛ,N Λ
HΛ(N ) (x)ρβΛ,N (x)dx, the expectation of HΛ ,
R
where U = Eγ β (HΛ(N ) ) = ΓΛ
Λ,N
23
By analogy with Thermodynamics we define the absolute pressure P of the
system by
∂A
P =− .
∂V T
The other thermodynamic functions can be defined as usual:
The Gibbs Potential, G = U + P V − T S = A + P V,
The Heat Capacity at Constant Volume, CV = ∂U ∂T
.
V
Note that
∂A
S=−
∂T V
is also satisfied. The thermodynamic functions can all be calculated from A.
Therefore all calculations in the canonical ensemble begin with the calcula-
tion of the partition function ZΛ (β, N ).
To make the free energy density finite in the thermodynamic limit we redefine
the canonical partition function by introducing correct Boltzmann
counting
Z Z
1 (N )
−βHΛ (x) 1
ZΛ (β, N ) = e dx = e−βHΛ (x) dx, (4.13)
(n/d)! ΓΛ N ! ΓΛ
see the following Subsection 4.2 for a justification of this correct Boltzmann
counting.
Example 4.5 (The ideal gas in the canonical ensemble) Consider a non-
interacting gas of N identical particles of mass m in d dimensions, contained
in a box Λ ⊂ Rd of volume V . The Hamiltonian for this system is
N
1 X 2
HΛ (x) = p , x = (q, p) ∈ ΓΛ .
2m i=1 i
24
is called the thermal wavelength because it is of the order of the de Broglie
wavelength of a particle of mass m with energy β1 . The free energy AΛ (β, N )
is given by
1 1
AΛ (β, N ) = − log ZΛ (β, N ) = (log N ! + N d log λ − N log V ) .
β β
Thus the pressure is given by
∂A (β, N ) N kT N
Λ
PΛ (β, N ) = − = = .
∂V T βV V
Let aN (β, v) be the free energy per particle considered as a function of the
specific density v, that is,
1
aN (β, v) = AΛ (β, N ),
N N
where ΛN is a sequence of boxes with volume vN and let pN (β, v) = PΛN (β, N )
be the corresponding pressure. Then
∂a (β, v)
N
pN (β, v) = − .
∂v T
1
and thus p(β, v) = βv . We can also define the free energy density as a
function of the particle density ρ, i.e.,
1
fl (β, ρ) = AΛ (β, ρVl ),
Vl l
25
where Λl is a sequence of boxes with volume Vl with liml→∞ Vl = ∞ and
26
vessels are in equilibrium having the same temperature and pressure. Now
imagine that the wall between the two vessels is gently removed. The ag-
gregate vessel is now filled with a gas that is still in equilibrium at the same
temperature and pressure. Denote by S1 and S2 the entropy on each side of
the wall. Since the corresponding canonical Gibbs ensembles are indepen-
dent of one another, the entropy S12 of the aggregate vessel - before the wall
is removed - is exactly S1 + S2 . However an easy calculation gives us
27
but we deal with systems with a given temperature. Similarly we like not to
specify the number of particles but the average number of particles. In the
grandcanonical ensemble the system can have any number of particles with
the average number determined by external sources. The grandcanonical
Gibbs ensemble is obtained if the canonical ensemble is put in a ”particle-
bath”, meaning that the particle number is no longer fixed, only the mean of
the particle number is determined by a parameter. This was similarly done
in the canonical ensemble for the energy, where one considers a ”heat-bath”.
The phase space for exactly N particles in box Λ ⊂ Rd can be written as
ΓΛ,N = {ω ⊂ (Λ × Rd ) : ω = {(q, pq ) : q ∈ ω
b }, Card (b
ω ) = N }, (4.17)
where ωb , the set of positions occupied by the particles, is a locally finite
subset of Λ, and pq is the momentum of the particle at positions q. If the
number of the particles is not fixed, then the phase space is
ΓΛ = {ω ⊂ (Λ × Rd ) : ω = {(q, pq ) : q ∈ ω
b }, Card (b
ω ) finite}. (4.18)
A counting variable on ΓΛ is a random variable N∆ on ΓΛ for any Borel set
∆ ⊂ Λ defined by N∆ (ω) = Card (b ω ∩ ∆) for any ω ∈ ΓΛ .
Definition 4.6 (Grandcanonical ensemble) Let Λ ⊂ Rd , β > 0 and µ ∈
R. Define the phase space ΓΛ = ∪∞ N =0 ΓΛ,N , where ΓΛ,N = (Λ × R )
d 2N
is the
∞
phase space in Λ for N particles, and equip it with the σ-algebra BΛ generated
β,µ ∞
by the counting variables. The probability measure γΛ ∈ P(ΓΛ , BΛ ) such
β,µ
that the restrictions γΛ Γ onto ΓΛ,N have the densities
Λ,N
(N )
(N )
ρβ,µ (x) = ZΛ (β, µ)−1 e−β(HΛ (x)−µN )
, N ∈ N,
28
If N denotes the particle number observable we get that
1 ∂
Eγ β,µ (N ) = log ZΛ (β, µ).
Λ β ∂µ
For the grandcanonical measure we have a Principle of Maximum En-
tropy very similar to those for the other two ensembles. We maximise the
entropy subject to the constraint that the mean energy Eγ β,µ (HΛ ) and the
Λ
mean particle number Eγ β,µ (N ) are fixed, where HΛ = (HΛ(0) , HΛ(1) , . . .) is the
Λ
sequence of Hamiltonians for each possible number of particles.
29
Integrating with respect to the Lebesgue measure on ΓΛ,N and summing over
N we get
∞ Z
nX
β,µ
S(µ ) − S(µ) ≥ −k (1 − log Z − βHΛ(N ) (x) + βµN )ρ(N )
β,µ (x)dx
N =1 ΓΛ,N
∞
XZ
+ (1 − log Z)ρ(0)
β,µ − (1 − log Z − βHΛ(N ) (x) + βµN )ρN (x))dx
ΓΛ,N
o N =1
− (1 − log Z)ρ0
= −k {(1 − log Z − βE + βµN0 ) − (1 − log Z − βE + βµN0 )} = 0.
Therefore
S(µβ,µ ) ≥ S(µ).
Note that the entropy for the grandcanonical ensemble is given by
Thermodynamic Functions:
We shall write Z for ZΛ (β, µ) and we suppress for a while some obvious
sub-indices and arguments. We have already defined the entropy S by
1
S = k log Z + (E β,µ (HΛ ) − µEγ β,µ (N )),
T γΛ Λ
and as before we define the internal energy of the system U by U = Eγ β,µ (HΛ ).
Λ
We then define the Helmholtz Free Energy as before by A = U − T S, and
we shall call the Helmholtz Free Energy simply the free energy from now on.
We have
1
A =U − T S = Eγ β,µ (HΛ ) − T (k log Z + (Eγ β,µ (HΛ ) − µEγ β,µ (N )))
Λ T Λ Λ
1
=− log Z − µβEγ β,µ (N ) .
β Λ
30
This constraint means that µ is a function of V and β. Therefore
1 ∂µ ∂ 1 ∂ 1 ∂
P = log Z − µβEγ β,µ (N ) + log Z = log Z.
β ∂V ∂µ Λ β ∂V β ∂V
1
It is argued that log Z should be independent of V for large V and therefore
V
we can write
1 ∂ 1 ∂ 1 1 V ∂ 1
P = log Z = V log Z = log Z + log Z
β ∂V β ∂V V βV β ∂V V
1
≈ log Z.
βV
Therefore we define the pressure by the equation
1
P = log Z.
βV
This definition can be justified a posteriori when we consider the equivalence
of ensembles, see Subsection 5.3. The other thermodynamic functions can
be defined as usual:
The Gibbs Potential G = U + P V − T S = A+ PV ,
The heat capacity at constant volume, CV = ∂U ∂T
. Note
V
∂A
S=−
∂T V
is also satisfied.
All the thermodynamic functions can be calculated from Z = ZΛ (β, µ).
Therefore all calculations in the grandcanonical ensemble begin with the
calculation of the partition function Z = ZΛ (β, µ).
31
such that the differential
dU + P dV
Tkin
is an exact differential at least in the thermodynamic limit. This will then
provide the second law of thermodynamics. Let us provide a heuristic check
for the canonical ensemble. Here,
Z
1 (N )
β
EγΛ,N (Tkin ) = Tkin (x)e−βHΛ (x) dx,
ZΛ (β, N ) ΓΛ,N
where the sum goes over all small cubes Q adjacent to thePboundary of the
box Λ with volume V by a side with area a while A = Q a is the total
area of the container surface and q1 is the centre of Q. Let n(Q, v)dv, where
1
v = 2m p is the velocity, be the density of particles with normal velocity −v
that are about to collide with the external walls of Q. Particles will cede a
momentum 2mv = p in normal direction to the wall at the moment of their
collision (−mv → mv due to elastic boundary conditions). Then
XZ va
dvn(Q, v)(2mv)
Q v>0 A
is the momentum transferred per unit time and surface area to the wall.
Gaussian calculation gives then after a couple of steps that due to FΛ (β, N ) =
−β −1 log ZΛ (β, N ) and SΛ (E; N ) = (U − FΛ (β, N ))β we have that T =
2 Tkin
(kβ)−1 = dk N
, and that
with p = β −1 ∂V∂
log ZΛ (β, N ). Details can be found in [Gal99], where also
references are provided for rigorous proofs for the orthodicity in the canonical
ensemble. The orthodicity problem is more difficult in the microcanonical
ensemble. The heuristic approach goes similar. However, for a rigorous proof
of the orthodicity one needs here a proof that the expectation of the kinetic
energy in the microcanonical ensemble satisfies
α
E(Tkin ) = E(Tkin )α (1 + θN ) , α > 0,
32
with θN → 0 as N → ∞ (thermodynamic limit). The last requirement
would be easy for independent velocity, but this is not the case here due
to the microcanonical energy constraint, and therefore this refers not to an
application of the usual law of large numbers. A rigorous proof concerning
any fluctuations and moments of the kinetic energy in the microcanonical
ensemble is in preparation [AL06].
5.1 Definition
Let us call state of a physical system an expectation value functional on the
observable quantities for this system. The averages, i.e., the expectation val-
ues with respect to the Gibbs ensembles, are such states. We shall say that
the systems for which the expectation with respect to the Gibbs ensembles
is taken are finite systems (e.g. finitely many particles in a region with
finite volume), but we may also consider the corresponding infinite sys-
tems which contain an infinity of subsystems and extend throughout Rd or
Zd for lattice systems. Thus the discussion in the introduction leads us to as-
sume that the ensemble expectation for finite systems approach in some sense
states/measures of the corresponding infinite system. Besides the existence
of such limit states/measures one is also interested in proving that these are
independent on the choice of the ensemble leading to the question of equiv-
alence of ensembles. One of the main problems of equilibrium statistical
mechanics is to study the infinite systems equilibrium states/measures and
their relation to the interactions which give rise to them. In Section 6 we in-
troduce the mathematical concept of Gibbs measures which appear as natural
candidates for equilibrium states/measures. We turn down one level in our
study and consider the problem of determination of the thermodynamic func-
tions from statistical mechanics in the thermodynamic limit. We introduced
earlier for each Gibbs ensemble a partition function, which is the total mass
of the measure defining the Gibbs ensemble. The logarithm of the partition
function divided by the volume of the region Λ containing the system has a
33
limit when this systems becomes large ( Λ ↑ Rd ), and this limit is identified
with a thermodynamic function. Any singularities for these thermodynamic
functions in the thermodynamic limit may correspond to phase transitions
(see [Min00],[Gal99] and [EL02] for details on theses singularities).
Taking the thermodynamic limit thus involves letting Λ tend to infin-
ity, i.e., approaching Rd or Zd respectively. We have to specify how Λ tends
to infinity. Roughly speaking we consider the following notion.
(i) Λn ↑ Rd as n → ∞,
|Λhn |
lim =0
n→∞ |Λ|
exists.
34
Hamiltonian for this system is
n
1 X 2 1
∇HΛ (x) = ∇ pi = (0, . . . , 0, p1 , . . . , pn ) , x ∈ ΓΛ ,
2m i=1 m
and therefore
1 exp(S/k)V −N
(2mE) 2 N d−1 = .
mcdN
Thus, the internal energy follows as
2N
1 exp V − (N d−2)
2S
k(N d−2)
U (S, V ) = E = 2 ,
2m (mcN d ) (N d−2)
and the temperature as the partial derivative of the internal energy with
respect to the entropy is
∂U 2 2U 2U
T = = U= 2 ≈
∂S V k(N d − 2) kN d(1 − N d ) kN d
for large N . This gives for large N the following relations
d
U ≈ N kT,
2
35
∂U
d
CV =≈ N k.
∂T V 2
∂U 2 U 2U N kT
P =− = 2 ≈ ≈ .
∂V S d(1 − N d ) V dV V
The previous relation is the empirical ideal gas law in which k is Boltzmann’s
constant. We can therefore identify k in the definition of the entropy with
Boltzmann’s constant.
We need to calculate cν . We have via a standard trick
ν
Z ∞ ν Z Z ∞
−x2 −|x|2 2
π =
2 e dx = e dx = Sν (r)e−r dr
Rν
Z−∞∞ Z ∞ 0
ν−1 −r2 cν ν
−1 −t cν ν
= cν r e dr = t e dt = Γ
2 .
0 2 0 2 2
ν
2π 2
This gives cν = Γ( ν2 )
, where Γ is the Gamma-Function, defined as
Z ∞
Γ(x) = tx−1 e−t dt.
0
Note that if n ∈ N then Γ(n) = (n − 1)!. The behaviour of Γ(x) for large
positive x is given by Stirling’s formula
√ 1
Γ(x) ≈ 2πxx− 2 e−x .
This gives limx→∞ ( x1 log Γ(x) − log x) = −1. We now have for the entropy of
the non-interacting gas in a box Λ of volume V
Nd
2π 2 1
SΛ (E, N ) = k log mV N N d (2mE) 2 N d−1 .
Γ( 2 )
Let v be the specific volume and ε the energy per particle, that is
V E
v= and ε= .
N N
Let sN (ε, v) be the entropy per particle considered as a function of ε and v,
1
sN (ε, v) = SΛ (εN, N ),
N N
36
where ΛN is a sequence of boxes with volume vN . Then
Nd
1
N N 2π
2 1
N d−1
sN (ε, v) = k log mv N (2mεN ) 2
N Γ( N2d )
N d
d+2 d 1
≈ k log v + log N + log(4πmε) − log Γ
2 2 N 2
d d d d
≈ k log v + log N + log(4πmε) + − log( )
2 2 2 2
≈ k log N.
We expect sN (ε, v) to be finite for large N . Gibbs (see Section 4.2) postu-
lated that we have made an error in calculating ω(E), the number of states
of the gas with energy E. We must divide ω(E) by N !. It is not possi-
ble to understand this classically since in classical mechanics particles are
distinguishable. The reason is inherently quantum mechanical. In quan-
tum mechanics particles are indistinguishable. We also divide ω(E) by hdN
where h is Planck’s constant. This makes classical and quantum statistical
mechanics compatible for high temperatures.
We therefore redefine the microcanonical entropy of the system to be
ω (E, N ) ω (E, N )
Λ Λ
SΛ (E, N ) = k log = k log , (5.21)
(n/d)! N!
where we put Planck’s constant h = 1. Then
d d d d
sN (ε, v) ≈ k log v + log N + log(4πmε) + − log( ) − d log h
2 2 2 2
1
− log(N !)
N
d+2 d d h d d
→k + log v + log ε − log √ − log( )
2 2 2 4πm 2 2
as N → ∞.
37
We have for the partition function ZΛ (β, N )
Z Z N Z
1 (N )
−βHΛ (x) 1 − βp
2
ZΛ (β, N ) = e dx = e 2m dp e−βU (q) dq
N ! hN d Γ N! R d Λ N
12 N d Z Z
1 2πm −βU (q) 1 1
= e dq = e−βU (q) dq.
N ! h2 β Λ N N ! λdN
ΛN
(ii) The pair potential φ is stable if there exists B ≥ 0 such that for all
q1 , r2 , . . . , qN in Rd
X
φ(|qi − qj |) ≥ −N B.
1≤i<j≤N
38
Figure 1: typical form of φ
39
R
(1) (2)
n-1 n-1
n R
(3) (4)
n-1 n-1
Proof. Note that limn→∞ Nn /Vn = ρ. Note also that Nn = 2d Nn−1 and
Ln = 2Ln−1 + R. Because of the last equation Λn contains 2d cubes of side
(i)
Ln−1 with a corridor of width R between them. Denote these by Λn−1 , i =
1, . . . , 2d and let
X
UN (q1 , . . . , qN ) = φ(|qi − qj |).
1≤i<j≤N
Let
(i) 0
Ωn = {(r1 , . . . rNn ) ∈ ΛN
n | each Λn−1 contains Nn−1 rk s}.
n
Note that for (q1 , . . . qNn ) ∈ Ωn there are no rk ’s in the corridor between the
(i)
Λn−1 .
Let
(1) (2)
Ω̃n = {(q1 , . . . qNn ) ∈ ΛN
n : q1 , . . . , qNn−1 ∈ Λn−1 , qNn−1 +1 , . . . , q2Nn−1 ∈ Λn−1 ,
n
(2d )
. . . , q(2d −1)Nn−1 +1 , . . . q2d Nn−1 ∈ Λn−1 }.
40
Since Ωn ⊂ ΛN
n
n
Z
1
Zn ≥ dq1 . . . dqNn e−βUNn (q1 ,...,qNn )
Nn !λdNn Ωn
Z
Nn ! 1 1
= dq1 . . . dqNn e−βUNn (q1 ,...qNn ) .
(Nn−1 !)2d Nn ! λdNn Ω̃n
Since φ is tempered, we get for q1 , . . . , qNn ∈ Ω̃n
UNn (q1 , . . . , qNn ) ≤UNn−1 (q1 , . . . , qNn−1 ) . . .
+ UNn−1 (q(2d −1)Nn−1 +1 , . . . , q2d Nn−1 ).
Thus
Z !2d
1 1
Zn ≥ dq1 . . . dqNn−1 e−βUNn−1 (q1 ,...,qNn−1 )
(Nn−1 !))2d λdNn Nn−1
Λn−1
d
= (Zn−1 )2 .
Therefore
1 1 1 d
gn = log Zn = d log Zn ≥ d log(Zn−1 )2 = gn−1 .
Nn 2 Nn−1 2 Nn−1
The sequence (gn )n∈N is increasing. To prove that gn converges it is sufficient
to show that gn is bounded from above. Since the pair potential φ is stable
we have
UNn (q1 , . . . , qNn ) ≥ −BNn
and therefore
Z
1
Zn = dq1 . . . dqNn e−βUNn (q1 ,...,qNn )
Nn !λdNn ΛN
n
n
Vn Nn βBNn
Z
1
≤ dq1 . . . dqNn eβBNn ≤ e .
Nn !λdNn ΛN
n
n Nn !λdNn
Thus
1 Nn
gn ≤ log Vn − log Nn ! − d log λ + βB = − log + log Nn
Nn Vn
1
− log Nn ! − d log λ + βB
Nn
≤ − log ρ + 2 − d log λ + βB
for large n since
Nn 1
lim = ρ and lim log Nn − log Nn ! = 1.
n→∞ Vn n→∞ Nn
41
5.3 Equivalence of ensembles
The equivalence of the Gibbs ensemble is the key problem of equilibrium
statistical mechanics. It goes back to Gibbs 1902, who conjectured that both
the canonical and the grandcanonical Gibbs ensemble are equivalent with
the microcanonical ensemble. The main difficulty to answer the question of
equivalence lies in the precise definition of the notion equivalence. Nowadays
the term can have three different meanings, each on a different level of infor-
mation. We briefly introduce these concepts, but refer for details to one of
the following research articles ([Ada01], [Geo95], [Geo93]).
1
s(ε, ρ) = lim log ωΛn (εn |Λn |), ρn |Λn |) is called entropy.
n→∞ |Λn |
42
Now equivalence at the level of thermodynamic functions is given if all three
thermodynamic functions in the thermodynamic limit are related to each
other by a Legendre-Fenchel transform for specific regions of parameter re-
gions of ε, ρ, β and µ. Roughly speaking this kind of equivalence is mainly
given in absence of phase transitions, i.e., only for those parameters where
there are no singularities. For details see the monograph [Rue69], where the
following transforms are established.
where ω̂, the set of occupied positions, is a locally finite subset of Rd , and pq
is the momentum of the particle at position q. Let B denote the σ-algebra of
43
this set generated by counting variables (see [Geo95] for details). Then each
Gibbs ensemble can be extended trivially to a probability on (Γ, B) just by
putting the whole mass on a subset. Therefore it makes sense to consider
all weak limit points in the thermodynamic limit. If the limit points are not
unique, i.e., there are several accumulation points, one considers the whole
set of accumulation points closed appropriately as the set of equilibrium
states/measure or Gibbs measures.
Equivalence at the level of states/measures is given if all accumulation points
of the different Gibbs ensembles belong to the same set of equilibrium points
or the same set of Gibbs measure ([Geo93],[Geo95],[Ada01]).
In the next section we develop the mathematical theory for Gibbs mea-
sures without any limiting procedure.
6 Gibbs measures
In this section we introduce the mathematical concept of Gibbs measures,
which are natural candidates to be the equilibrium measures for infinite sys-
tems, i.e., for systems after taking the thermodynamic limit. We will restrict
our study from now on to lattice systems, i.e., the phase space is given as the
set of functions (configurations) on some countable discrete set with values
in a finite set, called the state space.
6.1 Definition
Let Zd the square lattice for dimensions d ≥ 1 and let E be any finite set.
d
Define Ω := E Z = {ω = (ωi )i∈Zd : ωi ∈ E} the set of configurations with
values in the state space E. Let E be the power set of E, and define the
d
σ−algebra F = E Z such that (Ω, F) is a measurable space. Denote the set
of all probability measures on (Ω, F) by P(Ω, F).
Definition 6.1 (Random field) Let µ ∈ P(Ω, F). Any family (σi )i∈Zd of
random variables which is defined on the probability space (Ω, F, µ) and which
takes values in (E, E) is called a random field.
44
If we return to our physical intuition we are interested in random fields for
which the so-called spin variables σi exhibit a particular type of dependence.
We employ a similar dependence structure as for Markov chains, where the
dependence is expressed as a condition on past events. This approach was
introduced by Dobrushin ([Dob68a],[Dob68b],[Dob68c]) and Lanford and Ru-
elle ([LR69]). Here, we condition on the complement of any finite set Λ ⊂ Zd .
To prescribe these conditional distributions of all finite collections of variables
we define the σ-algebras
exists. The term exp(−βHΛ (ω)) is called the Boltzmann factor for
some parameter β > 0, where β is the inverse temperature.
Example 6.3 (Pair potential) Let φA = 0 whenever |A| > 2 and let
J : Zd × Zd → R, ϕ : E × E → R and ψ : E → R symmetric and measurable.
Then a general pair interaction potential is given by
J(i, j)ϕ(ωi , ωj ) if A = {i, j}, i 6= j,
φA (ω) = J(i, i)ψ(ωi ) if A = {i}, for ω ∈ Ω.
0 if |A| > 2
45
Example 6.4 (Hamiltonian with boundary) Let Λ ∈ S and η ∈ Ω and
the functions J, ϕ and ψ as in Example 6.3 be given. Then
1 X X X
HΛη (ω) = J(i, j)ϕ(ωi , ωj ) + ϕ(ωi , ηj ) + J(i, i)ψ(ωi )
2 i∈Λ,j∈Λc , i∈Λ
i,j∈Λ,hi−ji=1
hi−ji=1
where γΛΦ is the Gibbs distribution for the parameter β (6.24). The set
of Gibbs measures for inverse temperature β with interaction potential
Φ is denoted by G(Φ, β).
46
(iii) An interaction potential Φ is said to exhibit a first-order phase transi-
tion if |G(Φ, β)| > 1 for some β > 0.
Remark 6.6
Let E = {−1, +1} be the state space and consider the lattice Z. At
each site the spin can be downwards, i.e., −1, or be upwards, i.e., +1. The
nearest-neighbour interaction is modelled by a constant J, called the coupling
constant, through the expression Jωi ωj for any i, j ∈ Z with |i − j| = 1:
J > 0: Any two adjacent spins have minimal energy if and only if they
are aligned in that they have the same sign. This interaction is therefore
ferromagnetic.
J < 0: Any two adjacent spins prefer to point in opposite directions. Thus
this is a model of an antiferromagnet.
47
h ∈ R: A constant h describes the action of an external field (directed
upwards when h > 0).
Hence the nearest-neighbour interaction potential ΦJ,h = (φJ,h
A )A∈S reads
−Jωi ωi+1 , if A = {i, i + 1},
J,h
φA (ω) = −hω , if A = {i}, for ω ∈ Ω. (6.26)
0 , else
The partition function depends on the inverse temperature β > 0, the cou-
pling constant J and the external field h ∈ R, and is given by
X X
(per)
ZΛ (β, J, h) = ··· exp − βHΛ (ω) . (6.28)
ω1 =±1 ω|Λ| =±1
with 1 1
Vωi ωi+1 = exp βhωi + βJωi ωi+1 + βhωi+1
2 2
for any ω ∈ Ω and i = 1, . . . , |Λ|. Hence, ZΛ (β, J, h) = Trace V|Λ| with the
symmetric matrix
e−βJ
β(J+h)
e
V=
e−βJ eβ(J−h)
that has the eigenvalues
12
βJ 2βJ 2 −2βJ
λ± = e cosh(βh) ± e sinh (βh) + e . (6.29)
48
This is a smooth expression in the external field parameter h and the inverse
temperature β; it rules out the appearance of a discontinuous isothermal
magnetisation: so far, no phase transition. The thermodynamic limit of the
free energy per volume is
1 1
f (β, J, h) = lim log ZΛ (β, J, h) = − log λ+ , (6.31)
Λ↑Z β|Λ| β
because |Λ|−1 log ZΛ (β, J, h) = − log λ+ − |Λ|
1
1+( λλ−+ )|Λ| . The magnetisation
in the canonical ensemble is given as the partial derivative of the specific free
energy per volume,
sinh(βh)
m(β, J, h) = −∂h f (β, J, h) = q .
sinh2 (βh) + e−4βJ
We compute
49
is uniquely determined by the matrix Q and therefore by g in (6.33). Clearly,
PJ,h is stochastic. We then let µβJ,h ∈ P(Ω) denote (the distribution of) the
unique stationary Markov chain with transition matrix PJ,h . It is uniquely
defined by
n
Y
µβJ,h (σi = x0 , σi+1 = x1 , . . . , σi+n = xn ) = αPJ,h (x0 ) PJ,h (xi−1 , xi ), (6.36)
i=1
In the low temperature limit one is interested in the behaviour of the set
G(Φ, β) of Gibbs measures as β → ∞. A configuration ω ∈ Ω is called a
ground state of the interaction potential Φ if for each site i ∈ Z the pair
(ωi , ωi+1 ) is a minimal point of the function
1
ψ : {−1, +1}2 → R; (x, y) 7→ ψ(x, y) = −Jxy + h(x + y).
2
Note that the interaction potential Ψ = (ψA )A∈S with
ψ(σi , σi+1 ) , if A = {i, i + 1}
ψA =
0 , otherwise
is equivalent to the given nearest neighbour interaction potential Φ. We
denote the constant configuration with only upward-spins by ω+ (respectively
the constant configuration with only downward-spins by ω− ). The Dirac
measure on these constant configurations is denoted by δ+ respectively δ− .
Then, for h > 0, we get that
µβJ,h → δ+ weakly in sense of probability measures as β → ∞,
and hence ω+ is the unique ground state of the nearest-neighbour interaction
potential Φ. Similarly, for h < 0, we get that
µβJ,h → δ− weakly in sense of probability measures as β → ∞,
and hence ω− is the unique ground state of the nearest-neighbour interaction
potential Φ. In the case h = 0 the nearest neighbour interaction potential Φ
has precisely two ground states, namely ω+ and ω− , and hence we get
1 1
µβJ,0 → δ+ + δ− weakly in sense of probability measures as β → ∞.
2 2
50
6.3 Symmetry and symmetry breaking
Before we study the two-dimensional Ising model, we briefly discuss the role
of symmetries for Gibbs measures and their connections with phase transi-
tions. As is seen by the spontaneous magnetisation below the Curie tem-
perature, the spin system takes one of several possible equilibrium states
each of which is characterised by a well-defined direction of magnetisation.
In particular, these equilibrium states fail to be preserved by the spin re-
versal (spin-flip) transformation. Thus breaking of symmetries has some
connection with the occurrence of phase transitions.
Let T denote the set of transformations
Example 6.7 (Spatial shifts) Denote by Θ = (θi )i∈Zd the group of all
spatial transformations or spatial shifts or shift transformations
θj : Ω → Ω, (ωi )i∈Zd 7→ (ωi−j )i∈Zd .
51
simplest model showing symmetry breaking. The one-dimensional inhomoge-
neous Ising model on the lattice N has the inhomogeneous nearest-neighbour
interaction potential Φ = (φA )A∈S defined
P for−2J
a sequence (Jn )n∈N of real
numbers Jn > 0 for all n ∈ N such that n∈N e n < ∞, as follows
−Jn σn σn+1 , if A = {n, n + 1},
φA = .
0 otherwise ,
This model is spatial inhomogeneous, the potential Φ is invariant under the
spin-flip transformation τ , but some Gibbs measures are not invariant un-
der this spin-flip transformation (for details see [Geo88]) for β > 0. The
simplest spatial shift invariant model which exhibits a phase transition is
the two-dimensional Ising model, which we will study in the next subsec-
tion 6.4. This model breaks the spin-flip symmetry while the shift-invariance
is preserved. Another example of symmetry breaking is the discrete two-
dimensional Gaussian model by Shlosman ([Shl83]). Here the spatial shift
invariance is broken. More information can be found in [Geo88] or [GHM00].
For sufficiently large β there exist two shift-invariant Gibbs measure µβ+ , µβ− ∈
GΘ (Φ, β) with τ (µβ+ ) = µβ− and
µβ− (ω0 ) = Eµβ (ω0 ) < 0 < µβ+ (ω0 ) = Eµβ (ω0 ).
− +
52
Remark 6.12
(i) µβ+ (ω0 ) is the mean magnetisation. Thus: The two-dimensional Ising
ferromagnet admits an equilibrium state/measure of positive magnetisa-
tion although there is no action of an external field. This phenomenon
is called spontaneous magnetisation.
(ii) GΘ (Φ, β) > 1 ⇔ µβ+ (ω0 ) > 0 goes back to [LL72]. Moreover, the Grif-
(iii) For the same model in three dimensions one has again µβ+ , µβ− ∈ GΘ (Φ, β),
but there also exist non-shift-invariant Gibbs measures ([Dob73]).
53
Lemma 6.13 For all a ∈ Λ and l ≥ 1 we have
{c ∈ Ca : |c| = l} ≤ l3l−1 .
which cross the horizontal half-axis from a to the right for example. The
remaining l − 1 dual bonds are successively added, at each step there are at
most 3 possible choices.
The ingenious idea of Peierls ([Pei36]) was to look at circuits which occur in
a configuration. For each ω ∈ Ω we let
denote the set of all dual bonds in B∗ which cross a bond between spins of
opposite sign. A circuit c with c ⊂ B∗Λ (ω) is called a contour for ω. We let
ω outside of Λ be constant. As in Figure 3 we put outside + -spins. If a site
a ∈ Λ is occupied by a minus spin then a is surrounded by a contour for ω.
The idea for the proof of Theorem 6.11 is as follows. Fix ω+ boundary
condition outside of Λ. Then the minus spins in Λ form (with high proba-
bility) small islands in an ocean of plus spins. Then in the limit Λ ↑ Z2 one
obtains a µβ+ ∈ G(βΦ) which is close to the delta measure δ+ for β sufficiently
β β
large. As
δ+ and δ− are distinct, so are µ+ and µ− when β is large. Hence
G(βΦ) > 1 when β is large. We turn to the details. The next lemma just
ensures the existence of a contour for positive boundary conditions and one
minus spin in Λ. We just cite it without any proof.
Now we are at the heart of the Peierls argument, which is formulated in the
next lemma.
54
+
+ + + + +
+ +
+ + + + + +
+ +
+ + - - - + +
-
+
+ +
+
+
+
- - +
+ + -
+ + - + +
- - -
- - - - - -
+ + +
+ + +
- - -
- - + - - - +
+ + +
+ + + +
-
+ - + - +
+ +
+ + + + + + +
-
+ - - + - - - + + + - + - +
-
+ - - + -
- - + + - + + + +
+
+ + - - - + + - - + + -
-
+ +
+ +
- - + + - + - + - -
- - -
+ - - - + + - - - - - - - +
+
+ - + + + - - - + - - - +
+ + +
+ + +
+ - - - - - - +
- -
+
+ +
+
+ - - + - - + + +
- -
+
+ + +
+ + + + + + + + + + + +
Figure 3: a contour for + boundary condition
55
Proof. Note that for all ξ ∈ Ω we have
X X
−HΛ (ξ) = ξi ξj = |BΛ | − (1 − ξi ξj )
{i,j}∈BΛ {i,j}∈BΛ
Now we define two disjoint sets of configurations which we need later for an
estimation.
A1 = {ξ ∈ Ω : ξZd \Λ = ωZd \Λ , c ⊂ B∗Λ (ξ)}
A2 = {ξ ∈ Ω : ξZd \Λ = ωZd \Λ , c ∩ B∗Λ (ξ) = ∅}.
There is a mapping τc : Ω → Ω with
−ξ , if i is surrounded by c,
(τc ξ)i = ,
ξ , otherwise
which flips all spins in the interior of the circuit c. Moreover, for all {i, j} ∈
BΛ we have
ξi ξj , if {i, j}∗ ∈
/c
(τc ξ)i (τc ξ)j = ∗ ,
−ξi ξj , if {i, j} ∈ c
resulting in B∗Λ (τc ξ)4B∗Λ (ξ) = c (this was the motivation behind the defi-
nition of mappings), where 4 denotes the symmetric difference of sets. In
particular we get that τc is a bijection from A2 to A1 , and we have
56
and thus γΛ (ωa |ω + ) ≤ r(β) for all a ∈ Z2 , β > 0 and Λ ⊂ Z2 . Choose
ΛN = [−N, N ]2 ∩ Z2 and define the approximating measures
1 X
νN+ = γΛN +i (·|ω + ).
|ΛN | i∈Λ
N
As P(Ω, F) is compact, the sequence (νN+ )N ∈N has a cluster point µβ+ and one
can even show that µβ+ ∈ GΘ (Φ, β) ([Geo88]). Our estimation above gives
then µβ+ (ωa = −1) ≤ r(β), and in particular one can show that
57
is a tail event in T for any cofinal sequence (Λn )n∈N with Λn ↑ Zd as n → ∞.
A function f describes a microscopic observable if it depends only on finitely
many spins. A function f : Ω → R is called cylinder function or local
function if it is FΛ -measurable for some Λ ∈ S. The function f is called
quasi-local if it can be approximated in supremum norm by local functions.
The following theorem gives a characterisation of extreme Gibbs measures.
It was invented by Lanford and Ruelle [LR69] and but was introduced earlier
in a weaker form by Dobrushin [Dob68a],[Dob68b].
6.6 Uniqueness
In this subsection we give a short intermezzo about the question of unique-
ness of Gibbs measures, i.e., the situation when there is a most one Gibbs
measure possible for the given interaction potential. One might guess that
this question has something to due with the dependence structure introduced
from the interaction potential. One is therefore led to check the dependence
structure of the conditional Gibbs distributions at one given lattice site. For
58
Figure 4: An extreme µ(coexistence) and mixture 21 (µ(water) + µ(ice) )
that, fix any i ∈ Zd and consider the ωj -dependence of the Gibbs distribu-
Φ
tion γ{i} (·|ω) for each j ∈ Zd and ω ∈ Ω for a given interaction potential Φ.
Introduce the matrix elements
Φ Φ
Ci,j (Φ) = sup ||γ{i} (·|ξ) − γ{i} (·|η)||,
ξ,η∈Ω,
ξ d =η d
Z \{j} Z \{j}
59
(ii) If X
sup (|A| − 1)δ(φA ) < 2,
i∈Zd A3i
Example 6.19 (Lattice gas) Let E = {0, 1} and let the reference measure
be the counting measure. Let K : S → R be any function on the set of all
finite subsets of Zd and define for ω ∈ Ω the interaction potential Φ by
Q
K(A) , if ωA = i∈A ωi = 1
φA (ω) =
0 , otherwise
for any A ∈ S. Note that δ(φA ) = |K(A)|. Thus uniqueness is given when-
ever X
sup (|A| − 1)|K(A)| < 4.
i∈Zd A3i
6.7 Ergodicity
We look at the convex set PΘ (Ω, F) of all shift-invariant random fields on
Zd . PΘ (Ω, F) is always non-empty. We also consider the σ-algebra
60
(iii) Distinct probability measures µ, ν ∈ ex PΘ (Ω, F) are mutually singular
on I in that there exists an A ∈ I such that µ(A) = 1 and ν(A) = 0.
(i) µ is ergodic.
One can show that each extreme measure is a limit of finite volume Gibbs
distributions with suitable boundary conditions. Now, what about ergodic
Gibbs measures? The ergodic Theorem 6.24 below gives an answer: If µ ∈
ex PΘ (Ω, F) and (ΛN )N ∈N a sequence of cubes with ΛN ↑ Zd as N → ∞ one
gets
1 X
µ(f ) = lim f (θi ω)
N →∞ |ΛN |
i∈Λ N
61
For any given measurable function f : Ω → R define
1 X
RN f = f ◦ θi N ∈ N. (6.39)
|ΛN | i∈Λ
N
The multidimensional ergodic theorem says something about the limiting be-
haviour of RN f as N → ∞. Let (ΛN )N ∈N be a cofinal sequence of boxes with
ΛN ↑ Zd as N → ∞.
Theorem 6.24 (Multidimensional Ergodic Theorem) Let a probabil-
ity measure µ ∈ PΘ (Ω, F) be given. For any measurable f : Ω → R with
µ(|f |) < ∞,
lim RN f = µ(f |I) µ − a.s.
N →∞
Now µ(H)−H(µ) = F (µ) is called the free energy of µ, and for any µ ∈ P(Ω)
we have
F (µ) ≥ − log Z and F (µ) = − log Z if and only if µ = ν.
To see this, apply Jensen’s inequality for the convex function ϕ(x) = x log x
and conclude by simple calculation
X µ(ω) X µ(ω)
µ(H) − H(µ) + log Z = µ(ω) log = ν(ω)ϕ
ω∈Ω
ν(ω) ω∈Ω
ν(ω)
X µ(ω)
≥ϕ ν(ω) = ϕ(1) = 0,
ω∈Ω
ν(ω)
62
and as ϕ is strictly convex there is equality if and only if µ(ω)
ν(ω)
is a constant.
As Ω is finite one gets that µ = ν. If Ω is not finite one has to employ quite
some mathematical theory which we present briefly in the rest of this section.
where fA is the Radon-Nikodym density of µ|A relative to ν|A (µ|A and ν|A
are the restrictions of the measures to the sub-σ-algebra A), is called the
relative entropy or Kullback-Leibler information or information di-
vergence of µ relative to ν on A.
If A = FΛ for some Λ ∈ S one writes
R
ν(fΛ log fΛ ) = ΩΛ fΛ (ω) log fΛ (ω)ν(dω) , if µ ν on Λ
HΛ (µ|ν) = ,
∞ , otherwise
where fΛ = dµ Λ
dνΛ
is the Radon-Nikodym density and µΛ and νΛ are the
marginals of µ and ν on Λ for the projection map σΛ : Ω → ΩΛ .
We collect the most important properties of the relative entropy in the fol-
lowing proposition.
(a) HA (µ|ν) ≥ 0,
We now connect the relative entropy to our previous definition of the entropy
functional in Section 3. For this let any finite signed a priori measure λ on
(E, E) be given. Note that the a priori or reference measure need not be
normalised to one (probability measure), and the following notion depends
on the choice of this reference measure. Recall that λΛ denotes the product
measure on ΩΛ = (E Λ , E Λ ).
63
Notation 7.3 Let µ ∈ P(Ω, F). The function
for the entropy. We wish to show that the thermodynamic limit of the entropy
exists, i.e.wish to show that
1
h(µ) = lim HΛ (µ)
n→∞ |Λn | n
exists for any cofinal sequence (Λn )n∈N of finite volume boxes in S. Essential
device for the proof of the existence of this limit is the following sub-additivity
property.
64
Proof. Choose
1
c > α := inf a(∆)
∆∈Sr.B. |∆|
1
and let ∆ ∈ Sr.B. be such that |∆| a(∆) < c. Denote by Nn the number of
disjoint translates of ∆ contained in Λn . Then Λn is split into Nn translates
of ∆ and a remainder in the boundary layer. Choose Nn as large as possible.
Then limn→∞ N|Λn |∆|
n|
= 1. The sub-additivity gives
Hence,
1
α ≤ lim sup a(Λn ) = lim sup Nn−1 |∆|−1 a(Λn )
n→∞ |Λn | n→∞
−1
< |∆| a(∆) < c.
Letting c tend to α gives the proof of the lemma.
Now, both Proposition 7.4 and Lemma 7.5 provide the main steps of the
proof of the following theorem.
Notation 7.7 h(µ) is called the specific entropy per site of µ ∈ PΘ (Ω, F)
relative to the reference measure λ.
Proof of Theorem 7.6. The existence of the specific entropy was proved
first by Shannon ([Sha48]) for the case d = 1, |E| < ∞ and λ the counting
measure. Extensions are due to McMillan ([McM53]) and Breiman ([Bre57]).
The multidimensional version of Shannon’s result is due to Robinson and
Ruelle ([RR67]). The first two assertions of (b) can already be found in
[RR67], an explicit proof of this can be found in [Isr79].
65
Now the following question arises. What happens if we take instead of the
reference measure any Gibbs measure and evaluate the relative entropy? We
analyse this question in the following. To define the specific energy of a
translation invariant probability measure it proves useful to introduce the
following function. Let Φ = (φA )A∈S be a translation invariant interaction
potential. Define the function fΦ : Ω → R as
X
fΦ = |A|−1 φA . (7.42)
A30
exists.
Notation 7.9 (Specific free energy) Eµ (fΦ ) or µ(fΦ ) is called the spe-
cific (internal) energy per site of µ relative to Φ. The quantity f (µ) =
µ(fΦ ) − h(µ) is called the specific free energy of µ for Φ.
Proof of Theorem 7.8. For the proof see any of the books [Geo88],[Rue69]
or [Isr79]. The proof goes back to Dobrushin [Dob68b] and Ruelle [Rue69].
66
1
(b) The limit limn→∞ H (µ|γ)
|Λn | Λn
exists and equals
Notation 7.11 P = P (Φ) is called the pressure and specific Gibbs free
energy.
Proof of Theorem 7.10. We just give the main idea of the proof. Details
can be found in [Isr79],[Geo88] and go back to [GM67]. Let Λ ∈ S and
ω ∈ Ω fixed. Recall that the marginal of µ on Λ is a probability measure on
(ΩΛ , FΛ ) as well as the conditional Gibbs distribution γΛ (·|ω) for any given
configuration ω ∈ Ω. Then compute
Z Z
dµΛ dµΛ
HΛ (µ|γΛ (·|ω)) = µΛ (dξ) log (ξ) = µΛ (dξ) log Λ (ξ)
ΩΛ dγΛ ΩΛ dλ
Z Λ
dλ
− µΛ (dξ) log (ξ)
ΩΛ dγΛ
Z
= −HΛ (µ) + µΛ (dξ)HΛ (ξωZd \Λ ) + log ZΛ (ω).
ΩΛ
We can draw an easy corollary, which is the first part of the variational
principle for Gibbs measures.
Proof. The assertions are due to Dobrushin ([Dob68a]) and Lanford and
Ruelle ([LR69]).
The next theorem gives the reversed direction and a summary of the whole
variational principle.
67
(c) h(·|Φ) : PΘ (Ω, F) → [0, ∞] is an affine lower semi continuous func-
tional which attains its minimum 0 on the set GΘ (Φ, β). Equivalently,
GΘ (Φ) is the set on which the specific free energy functional
f : PΘ (Ω, F) → [0, ∞]
8.1 Motivation
Consider the coin tossing experiment. The microstates are elements of the
configuration space Ω = {0, 1}N equipped with the product measure Pν ,
where ν ∈ P({0, 1}) is given as ν = ρ0 δ0 +ρ1 δ1 with ρ0 +ρ1 = 1. If ρ0 = ρ1 = 21
we have a ”fair” coin. Recall the projections σj : Ω → {0, 1}, j ∈ N, and
consider the mean
N
1 X
SN (ω) = σj (ω) for ω ∈ Ω.
N j=1
If mν denotes the mean (mν = 12 for a fair coin), the weak law of large
numbers (WLLN) tells us that for ε > 0
Pν (SN ∈ (z − ε, z + ε)) → 0 as N → ∞.
In particular one can even prove exponential decay of the latter probability,
which we sketch briefly. The problem of decay of probabilities of rare events
68
is the main task of large deviations theory. For simplicity we assume now
that mν = 21 . Then
1
F (z, ε) = − lim log Pν (SN ∈ (z − ε, z + ε))
N →∞ N
= inf I(x),
x∈(z−ε,z+ε)
where T 0 = id and (T ω)j = ωj+1 is the shift and ω (N ) is the periodic contin-
uation of the restriction of ω to ΛN .
The latter example can be connected to our experience with Gibbs measures
and distributions as follows. Let ΛN = [−N, N ]d ∩ Zd , N ∈ N, and define the
periodic empirical field as
(per) 1 X
RN (ω) = δ (N ) ∈ PΘ (Ω, F) for all ω ∈ Ω,
|ΛN | k∈Λ θk ω
N
69
periodic empirical field is translation invariant. The LLN is not available
in general, it is then replaced by some ergodic theorem. For example if
(per)
µ ∈ PΘ (Ω, F) is an ergodic measure, then RN ⇒ µ µ-a.s. as N → ∞.
Going back to the coin tossing example the distributions of SN , LN and RN
under the product measure Pν are the following probability measures
−1
Pν ◦ SN ∈ P([0, 1])
−1
Pν ◦ LN ∈ P(P([0, 1]))
−1
Pν ◦ RN ∈ P(P(Ω)).
The WLLN implies for all of these probabilities exponential decay of the rare
events given by a function I as the rate in N . This will be generalised in the
next subsection, where such functions I are called rate functions.
8.2 Definition
In the following we consider the general setup, i.e. we let X denote a Polish
space and equip it with the corresponding Borel-σ-algebra BX .
(1) I 6= ∞,
Let us consider the following situation. Let (Xi )i∈N be i.i.d. real-valued
random variables, i.e., there is a probability space (Ω, F, P) such that each
random variable has the distribution µ = P ◦ X1−1 ∈ P(R, BR ). Denote
−1
the distribution of the mean SN by µN = PN ◦ SN ∈ P(R, BR ). For this
situation there is the following theorem about a large deviations principle
70
for the sequence (µN )N ∈N . Before we formulate that theorem we need some
further definitions. For µ ∈ P(R, BR ) let
Z
Λµ (λ) = log exp(λx)µ(dx) λ ∈ R,
R
Theorem 8.3 (Cramér’s Theorem) Let (Xi )i∈N be i.i.d. real-valued ran-
dom variables with distribution µ ∈ P(R, BR ) and let µN denote the distribu-
tion of the mean SN . Assume further that Λµ (λ) < ∞ for all λ ∈ R. Then
the sequence (µN )N ∈N satisfies a large deviations principle with rate function
given by the limit of the Legendre-Fenchel transform Λ∗µ of the logarithmic
moment generating function ΛµN , i.e., for any measurable Γ ∈ BR
1
lim sup log µN (Γ) ≤ − inf Λ∗µ (x)
N →∞ N x∈Γ
(8.46)
1
lim inf log µN (Γ) ≥ − inf◦ Λ∗µ (x).
N →∞ N x∈Γ
71
Proof. See [dH00] or [DZ98] for the original version of Varadhan’s Lemma
and [Ell85] or [Dor99] for a version as in the theorem.
72
(c) Let K ⊂ in V ∗ be a measurable subset. Then
1
lim sup log sup γΛΦ,ω (τΛN ∈ K) ≤ − inf {JVΦ (τ )}
N →∞ |ΛN |
N
ω∈Ω τ ∈K
(8.49)
1
lim inf log sup γΛΦ,ω (τΛN ∈ K) ≥ − inf ◦ {JVΦ (τ )},
N →∞ |ΛN | ω∈Ω
N τ ∈K
Proof. The part (a) can be found in [Geo88] and in [FO88] or alternatively
in [Oll88], all for the case that the state space E is finite. If E is an arbitrary
measurable space, see [Geo93]. Part (b) is in [Geo93] and [Oll88], and part
(c) in [Geo93]. Note that the restrictions on the interaction potential can
even be relaxed, see [Geo93]. The corresponding theorems for continuous
systems can be found in [Geo95].
Proof. See [Geo93] and [Geo95] and [LPS95]. Observe that the periodic
boundary conditions are crucial for this result (they ensure the translation
invariance). Translation invariance provides, as we know from Section 7, a
variational characterisation for Gibbs measures. There exists no proof for
configurational boundary conditions for dimension d ≥ 2. For the case d = 1
see [Ada01].
9 Models
We present here some important models in statistical mechanics. For more
models for lattice systems see [BL99a] and [BL99b]. The last example in this
section is the continuous Ising model which is an effective model for interfaces
and plays an important role for many investigations.
73
9.1 Lattice Gases
We consider here a system of particles occupying a set Λ ⊂ Zd with |Λ| = V .
Here |Λ| denotes the number of sites in Λ. At each point of Λ there is at
most one particle. For i ∈ Λ we set ωi = 1 if there is a particle at the site i
and set ωi = 0 otherwise. Any ω ∈ Ω := {0, 1}Λ is called a configuration. For
a configuration ω we have the Hamiltonian HΛ (ω). The canonical partition
function is X
ZΛ (β, N ) = e−βHΛ (ω) .
P ω∈Ω,
i∈Λ ωi =N
Note that there is no need here for N ! since the particles are indistinguishable.
The thermal wavelength λ is put equal to 1. The grandcanonical partition
function is then
V
X X V
X X P
ZΛ (β, µ) = eβN µ e−βHΛ (ω) = e−β(HΛ (ω)−µ i∈Λ ωi )
N =0 P ω∈Ω, N =0 P ω∈Ω,
i∈Λ ωi =N i∈Λ ωi =N
X P
= e−β(HΛ (ω)−µ i∈Λ ωi )
.
ω∈Ω
The thermodynamic functions are defined in the usual way. The probability
for a configuration ω ∈ {0, 1}Λ is
P
e−β(HΛ (ω)−µ i∈Λ ωi )
.
ZΛ (β, µ)
The Hamiltonian is of the form
X
HΛ (ω) = ωi ωj φ(qi − qj ),
i,j∈Λ, i6=j
where qi is the position vector of the site i ∈ Λ. However this is too difficult
to solve in general. We consider two simplifications of the potential energy:
74
Note that for Mean-field models the lattice structure is not important since
the interaction does not depend on the location of the lattice sites and there-
fore we can take Λ = {1, 2, . . . , V }.
that is the interaction is only between nearest neighbours and is then equal
to −J, J ∈ R. If we denote a pair of neighbouring sites i and j by hi, ji we
have X
HΛ (ω) = −J ωi ωj .
hi,ji
75
and therefore
P
( i∈Λ σi )e−β(E(σ)−h i∈Λ σi )
P P
σ∈{−1,1}Λ 1 ∂
E(MΛ ) = = log ZΛ (β, h).
ZΛ (β, h) β ∂h
Then if mΛ (β, h) denotes the mean magnetisation per lattice site we have
E(MΛ ) ∂
mΛ (β, h) = = − fΛ (β, h).
V ∂h
Note that
∂2 β
2
fΛ (β, h) = − E(MΛ − E(MΛ ))2 ≤ 0.
∂h V
Therefore h 7→ fΛ (β, h) is concave. If E(σ) = E(−σ), then
We can relate the Lattice Gas to a Magnetic Model and vice versa by the
transformation
ωi = (σi + 1)/2
or
σi = 2ωi − 1.
This gives
X 1 X 1
HΛ (ω) − µ σi = E(σ) − (a + µ) σi − (b + µ)V,
i∈Λ
2 i∈Λ 2
76
9.3 Curie-Weiss model
We study here the Curie-Weiss Model, which is a mean-field model given by
the interaction energy
V
!2
α X α X α
E(σ) = − σi σj = − σi + , σ ∈ {−1, 1}Λ ,
V i≤i<j≤V
2V i=1
2
where α > 0 and Λ is any finite set with |Λ| = V . We sketch here only
some explicit calculations, more on the model can be found in the books
[Ell85],[Dor99], [Rei98], and [TKS92]. The partition function is given by
X PV
ZΛ (β, h) = e−β(E(σ)−h i=1 σi ) .
σ∈{−1,1}V
or Z ∞
1
1 2
a 1 2
e = √
2 e(− 2 x +ax) dx.
2π −∞
p ν PV
Using this identity with a = V i=1 σi we get
" V
#
∞
Z r
− ν2
X 1 1 2 ν X
ZΛ (β, h) = e √ exp − x + x + βh σi dx
2π
−∞ 2 V i=1
σ∈{−1,1}V
Z ∞ " r V
#
ν 1 1 2
X ν X
= e− 2 √ e− 2 x exp x + βh σi dx.
2π −∞ V
V i=1
σ∈{−1,1}
77
Now
X V
X
exp(κ σi ) = (2 cosh κ)V .
σ∈{−1,1}V i=1
Therefore
V
" #
1
Z ∞ r2
− ν2 − 21 x2
ZΛ (β, h) = e √ e 2 cosh x + βh dx.
2π −∞ V
Putting η = √x , we get
νV
12 Z ∞ V
νη 2
− ν2 V νV
ZΛ (β, h) = e 2 exp(− ) cosh(νη + βh) dη
2π −∞ 2
12 Z ∞
ν νV
= e− 2 2V eV G(h,η) dη,
2π −∞
where
1
G(h, η) = − νη 2 + log cosh(νη + βh).
2
The free energy per lattice site is
1 ν 1 1 νV
fΛ (β, h) = − log ZΛ (β, h) = − log 2 − log
βV 2βV β 2βV 2π
Z ∞
1
− log eV G(h,η) dη.
βV −∞
Therefore by Laplace’s Theorem (see for example [Ell85] or [Dor99]), the free
energy per lattice site in the thermodynamic limit is
Z ∞
1 1
f (β, h) = − log 2 − lim log eV G(h,η) dη
β V →∞ βV −∞
1 1
= − log 2 − sup G(h, η).
β β η∈R
78
y y=
y= tanh ( +h )
y= tanh ( )
− h/ m0 (h )
or
η(h) = tanh(νη(h) + βh).
The mean magnetisation per site in thermodynamic limit is
∂ 1 ∂
m(β, h) = − f (β, h) = G(h, η(h))
∂h β ∂h
∂G ∂η
= tanh(νη(h) + βh) + (h, η(h)) (h)
∂η ∂h
= η(h),
∂G
since ∂η
(h, η(h)) = 0.
Since
f (β, −h) = f (β, h) and m(β, −h) = −m(β, h),
it is sufficient to consider the case h ≥ 0 (see Figure 7 and 8). The expression
m0 = limh↓0 m(h) is called the spontaneous magnetisation, this is the
mean magnetisation as the magnetic field is decreased to zero,
79
y y=
y= tanh ( +h )
y= tanh ( )
− h/ (h )
Figure 6: h > 0, ν ≤ 1
-f ( ,
h )
em
0
lo p
s
1_ ln!2
Figure 7: ν > 1
80
-f ( ,
h )
_1 ln!2
Figure 8: ν ≤ 1
We can consider this model from the point of view of a lattice gas. Consider
a lattice gas with potential energy
V
!2 V
γ X γ X γ X
HΛ (ω) = − ωi ωj = − ti + ωi
V i≤i<j≤V
2V i=1
2V i=1
(σi +1)
Let ti = 2
. Then
V V
X 1 X
ωi = ( σi + V ).
i=1
2 i=1
81
Therefore
V
!2 V V
γ X γX γV γ X γ
HΛ (ω) = − σi − σi − + σi + .
8V i=1
4 i=1 8 4V i=1 4
We can neglect the last two terms, because γ is small and the expectation of
a single spin is zero, and we take
V
!2 V
γ X γX γV
HΛ (ω) = − σi − σi − .
8V i=1
4 i=1 8
Then
V V
!2 V
X γ X γ µ X γ µ
HΛ (ω) − µ ωi = − σi −( + ) σi − ( + )V
i=1
8V i=1
4 2 i=1 8 2
V
γ µ X γ µ
= −E(σ) − ( + ) σi − ( + )V.
4 2 i=1 8 2
γ
with α = 4
and
γ 1 γ 1
π(β, µ) = ( + µ) − f (β, + µ)
8 2 4 2
and
1 γ 1
ρ(β, µ) = (1 + m(β, + µ)).
2 4 2
Let µ0 = − γ2 , then
γ 1 1
π(β, µ) = ( + µ) − f (β, (µ − µ0 ))
8 2 2
and
1 1
ρ(β, µ) = (1 + m(β, (µ − µ0 ))).
2 2
4
If β > γ , then π(β, µ) has a discontinuity in its derivative at µ0 and ρ(β, µ)
has a discontinuity at µ0 (see Figure 9).
82
π( , µ )
µ
µ0
( , µ )
µ
µ0
4
Figure 9: β > γ
83
9.4 Continuous Ising model
In the continuous Ising model the state space E = {−1, +1} is replaced by
d
the real numbers R. Let Ω = RZ denote the space of configurations. Due
to the non-compactness of the state space severe mathematical difficulties
arise. We note that the continuous Ising model can be seen as an effective
model describing the height of an interface, here the functions φ ∈ Ω give the
height of an interface for some reference height; and any collection (σx )x∈Zd or
probability measure P ∈ P(Ω, F) is called random field of heights. Details
about this model can be found in [Gia00] and [Fun05]. One first considers
the so-called massive model, where there is a mass m > 0 implying a self-
interaction. Let Λ ∈ S, ψ ∈ Ω and m > 0. We write synonymously φx = φ(x)
for φ ∈ Ω. Nearest neighbour heights do interact with an elastic interaction
potential V : R → R, which we assume to be strictly convex with quadratic
growth, and which depends only on the difference in the heights of the nearest
2
neighbours. In the simplest case V (r) = r2 one gets the Hamiltonian
X m2 1 X
HΛψ (φ) = φ2x + (φx − φy )2 ,
x∈Λ
2 4d x,y∈Λ
|x−y|=1
is the product of the Lebesgue measure at each single site in Λ and the Dirac
measure at ψx for x ∈ Λc . The term λψΛ is called reference measure in Λ with
boundary ψ. The thermodynamic limit exists for the model with m > 0
in any dimension. However, for the most interesting case m = 0 this exists
only for d ≥ 3. These models are called massless models or harmonic
crystals. The interesting feature of these models is that there are infinitely
many Gibbs measures due to the continuous symmetry. Hence we are in
a regime of phase transitions (see [BD93] for some rigorous results for this
regime). The massless models have been studied intensively during the last
fifteen years (see [Gia00] for an overview). The main technique applied is
the random walk representation. This can be achieved when one employs
summation by parts to obtain a discrete elliptic problem.
84
Figure 10: height-functions φ : Zd → R
This gives also the hint that we need d ≥ 3 due to this random walk represen-
tation and the transience of the random walk. Luckily, if one goes over to the
random field of gradient, i.e. the field derived with the discrete gradient
mapping from the random field of heights, one has the existence of infinite
Gibbs measure for any dimension ([Gia00],[Fun05]). However, one looses the
product structure of the reference measure and one has to deal with the
curl free condition. The fundamental result concerning these gradient Gibbs
measures is given in [FS97]. For a recent review see [Fun05].
85
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