Surgxfwlrq/ Jurzwk dqg Exvlqhvv F|fohv=

Whfkqlfdo Dsshqgl{
Urehuw J1 Nlqj/|Fkduohv L1 Sorvvhu}dqg Vhujlr W1 Uhehor{
Mxqh 9/ 5334

Devwudfw
Wkh phwkrgv xvhg lq rxu wzr vxuyh| sdshuv rq uhdo exvlqhvv f|fohv
+Nlqj/ Sorvvhu dqg Uhehor ^4<;;d/e`, duh ghwdlohg lq wklv grfxphqw1 Rxu
suhvhqwdwlrq ri wkh edvlf qhrfodvvlfdo prgho ri jurzwk dqg exvlqhvv f|fohv lv
eurnhq lqwr wkuhh sduwv1 Iluvw/ zh ghvfuleh wkh prgho dqg lwv vwhdg| vwdwh/
glvfxvvlqj= wkh vwuxfwxuh ri wkh hqylurqphqw lqfoxglqj jryhuqphqw srolf|
uxohv> wkh qdwxuh ri rswlpdo lqglylgxdo ghflvlrqv dqg wkh g|qdplf frp0
shwlwlyh htxloleulxp> whfkqlfdo uhvwulfwlrqv wr lqvxuh vwhdg| vwdwh jurzwk>
frpsdudeoh uhvwulfwlrqv rq suhihuhqfhv dqg srolf| uxohv> vwdwlrqdu| ohyhov
dqg udwlrv lq wkh vwhdg| vwdwh> dqg wkh qdwxuh ri d wudqviruphg hfrqrp|1
Vhfrqg/ zh ghwdlo phwkrgv iru vwxg|lqj qhdu vwhdg|0vwdwh g|qdplfv/ frq0
vlghulqj= wkh olqhdu dssur{lpdwlrq dssurdfk> wkh udwlrqdo h{shfwdwlrqv vr0
oxwlrq dojrulwkp> wkh qdwxuh ri dowhuqdwlyh vroxwlrqv> dqg wkh vshfldo fdvh ri
wkh {hg oderu prgho1 Wklug/ zh glvfxvv wkh frpsxwdwlrq ri vlpxodwlrqv/
prphqwv dqg lpsxovh uhvsrqvhv1

Zh

dfnqrzohgjh vxssruw iurp wkh Qdwlrqdo Vflhqfh Irxqgdwlrq rq wklv uhvhdufk surmhfw/
zklfk wrrn sodfh zkhq zh zhuh doo dw wkh Xqlyhuvlw| ri Urfkhvwhu1 Zh wkdqn Kdudog Xkolj iru
hqfrxudjlqj xv wr sxeolvk wklv dqflhqw pdqxvfulsw/ zklfk kdv orqj ehhq xvhg e| pdq| shrsoh
lq plphr irup1 Wkh PDWODE surjudpv wkdw zhuh ghvljqhg wr dffrpsdq| wklv dsshqgl{ duh
dydlodeoh dw kwws=22hfrq1ex1hgx2nlqj ru kwws=22zzz1nhoorjj1qzx1hgx2idfxow|2uhehor1
|Ghsduwphqw ri Hfrqrplfv/ Ervwrq Xqlyhuvlw|1
}Z1H1 Vlprq Judgxdwh Vfkrro ri Exvlqhvv/ Xqlyhuvlw| ri Urfkhvwhu1
{Nhoorjj Judgxdwh Vfkrro ri Pdqdjhphqw/ Qruwkzhvwhuq Xqlyhuvlw|1

Wkh remhfwlyh ri wklv dsshqgl{ lv wr surylgh d ghwdlohg dqdo|vlv ri d qhrfodvvlfdo

hfrqrp| wkdw lv vx!flhqwo| h{leoh wr shuplw= +d, h{rjhqrxv vwhdg| vwdwh jurzwk>
EK glvwruwlqj wd{ uxohv ri ydulrxv vruwv> dqg ES wlph ydu|lqj jryhuqphqw vshqglqj1
Dowkrxjk zh gr qrw irfxv rq doo ri wkhvh lvvxhv lq wkh suhvhqw glvfxvvlrq/ rwkhu
lqyhvwljdwlrqv lq surjuhvv zloo xwlol}h wklv iudphzrun1 Wkh dsshqgl{ lv glylghg
lqwr wkuhh pdlq sduwv1 Sduw D ghvfulehv wkh duwlfldo hfrqrp| xqghu vwxg| dqg
dqdo|vhv lwv vwhdg| vwdwh/ Sduw  ghyhorsv phwkrgv wr vwxg| dssur{lpdwh g|qdplfv
durxqg wkh vwhdg| vwdwh/ dqg Sduw F ghulyhv d vhw ri irupxodv iru jhqhudwlqj
srsxodwlrq prphqwv1 Wklv whfkqlfdo dsshqgl{ lv ghvljqhg wr vhuyh wzr ixqfwlrqv1
Iluvw / lw ghyhorsv wkh wkhruhwlfdo pdwhuldo lq vhfwlrqv 5 dqg 6 ri wkh pdlq wh{w lq
pruh ghswk1 Vhfrqg/ lw vhuyhv dv d ghwdlohg jxlgh wr SF0PDWODE surjudpv iru
frpsxwlqj g|qdplf htxloleuld/ zulwwhq e| Nlqj dqg Uhehor lq wkh Vsulqj ri 4<;:1
Qrwdwlrq lq surjudpv dqg wkh whfkqlfdo dsshqgl{ kdv ehhq ghwdlohg dv forvho| dv
ihdvleoh1

41 Vwhdg| Vwdwh Jurzwk lq wkh Edvlf Qhrfodvvlfdo Prgho

4141 Hqylurqphqwdo dqg Srolf| Vshflfdwlrqv
Wkh hfrqrp| lv srsxodwhg e| pdq| lghqwlfdo djhqwv/ ri vx!flhqw qxpehu wkdw
hdfk shufhlyhv klv lq xhqfh rq djjuhjdwh txdqwlwlhv wr eh lqvljqlfdqw1
414141 Suhihuhqfhv1
Hdfk djhqw kdv suhihuhqfhv
L'

"
[
|'f

q | dE| c u| o/

f q /

+D4,

zkhuh wkh dprxqw ri frqvxpswlrq lv | dqg wkh dprxqw ri ohlvxuh lv u| 1 Wkh

ixqfwlrq E| c u|  lv dvvxphg wr eh vwulfwo| lqfuhdvlqj/ frqfdyh/ wzlfh frqwlqxrxvo|
4

glhuhqwldeoh dqg wr vdwlvi| Lqdgd0w|sh frqglwlrqv wkdw hqvxuh wkdw wkh rswlpdo
vroxwlrq iru | dqg u| lv dozd|v +li ihdvleoh, lqwhulru1 Odwhu lq wkh wh{w zh lpsrvh
ixuwkhu uhvwulfwlrqv rq q wr jxdudqwhh wkdw olih0wlph xwlolw| L lv qlwh1
414151 Surgxfwlrq Whfkqrorj|1
Iru hdfk djhqw/ rxwsxw dw d srlqw lq wlph lv wkh uhvxow ri d frqvwdqw uhwxuqv wr
vfdoh surgxfwlrq ixqfwlrq/
8| Eg| c | /

+D5,

zkhuh g| lv wkh suhghwhuplqhg fdslwdo vwrfn dqg | lv wkh txdqwlw| ri oderu lq0
sxw1 Zh wdnh wkh surgxfwlrq ixqfwlrq wr eh frqvwdqw uhwxuqv0wr0vfdoh ehfdxvh lw
dgplwv qdwxudo djjuhjdwlrq1 E| zulwlqj wkh surgxfwlrq ixqfwlrq dv 8| Eg| c |  zh
shuplw jhqhudo wlph yduldwlrq/ lqfoxglqj wkh whpsrudu| vkrfnv wr surgxfwlrq
rssruwxqlwlhv dqg shupdqhqw whfkqrorjlfdo fkdqjh wkdw duh glvfxvvhg ehorz1 Zh
dvvxph wkdw 8| E kdv vwdqgdug qhrfodvvlfdo surshuwlhv/ l1h1/ lw lv frqfdyh/ wzlfh
frqwlqxrxvo| glhuhqwldeoh/ vdwlvhv wkh Lqdgd frqglwlrqv dqg lpsolhv wkdw erwk
idfwruv ri surgxfwlrq duh hvvhqwldo1
414161 Dffxpxodwlrq Whfkqrorj|1
Lq wklv vlpsoh qhrfodvvlfdo hfrqrp| wkhuh lv rqo| rqh frpprglw| wkdw fdq hlwkhu
eh frqvxphg ru lqyhvwhg/ l1h1/ vwruhg iru xvh lq surgxfwlrq lq wkh qh{w shulrg1 Wkh
hyroxwlrq ri fdslwdo lv wkxv
g|n ' E  B g g| n U| c

+D6,

zkhuh U| lv jurvv lqyhvwphqw +l1h1 wkh dprxqw ri fxuuhqw rxwsxw vwruhg wr eh xvhg
lq qh{w shulrg*v surgxfwlrq, dqg Bg lv wkh udwh ri ghsuhfldwlrq1
5

414171 Lqglylgxdo Uhvrxufh Frqvwudlqwv1

Lq hdfk shulrg/ dq lqglylgxdo djhqw idfhv wzr uhvrxufh frqvwudlqwv= +l, klv wrwdo
dprxqw ri wlph fdqqrw h{fhhg wkh hqgrzphqw ri xqlw| dqg +ll, klv wrwdo xvhv ri
jrrgv +iru frqvxpswlrq dqg lqyhvwphqw, fdqqrw h{fhhg klv glvsrvdeoh lqfrph/
zklfk ghulyhv iurp rxwsxw ohvv klv qhw wudqvdfwlrqv zlwk wkh jryhuqphqw1 Wkhvh
frqglwlrqv duh

u| n |  c

+D7,

| n U|  t|_ ' E   | t| n A| c

+D8,

zkhuh  | lv wkh wd{ udwh rq rxwsxw dqg A| lv wkh ohyho ri wudqvihu sd|phqwv dw
gdwh |1 Lw lv vwudljkwiruzdug wr h{whqg wkh prgho wr frqvlghu glhuhqw wd{ udwhv
rq fdslwdo dqg oderu lqfrph1
414181 Srolf| Uxohv1
Wkh jryhuqphqw vshflhv d sdwk iru wkh shu fdslwd ohyho ri jryhuqphqw sxufkdvhv
EC|  dqg wd{hv rxwsxw dw d udwh wkdw ydulhv dffruglqj wr d srolf| uxoh zklfk olqnv
wklv udwh E |  wr wkh ohyhov ri h{rjhqrxv yduldeohviru h{dpsoh/ wkh ohyho ri shu
fdslwd jryhuqphqw sxufkdvhv EC| dqg wr wkh ohyho ri hqgrjhqrxv yduldeohv lq wkh
hfrqrp|1 Wkh jhqhudo irup ri wklv uxoh lv
 | '  | E| c C| c g | c  | c

+D9,

zkhuh  | lv wzlfh frqwlqxrxvo| glhuhqwldeoh dqg zh lqglfdwh shu fdslwd txdqwlwlhv

e| dq xqghuedu1 Wkh jryhuqphqw iroorzv d edodqfhg exgjhw srolf| zlwk wkh gli0
ihuhqfh ehwzhhq wkh jryhuqphqw h{shqglwxuhv dqg wkh rxwsxw wd{ uhyhqxh ehlqj
qdqfhg e| oxps vxp wd{hv ru wudqvihuv EA 
6

 | t | ' C| n A | c

+D:,

414191 Shu Fdslwd Uhvrxufh Frqvwudlqwv1

Wkh shu fdslwd uhvrxufh frqvwudlqwv iroorz iurp wkh frpelqdwlrq ri sulydwh dqg
jryhuqphqw frqvwudlqwv1

u| n  |  c
 | n U | n C|  t | c

+D;,
+D<,

4151 Rswlpdo Lqglylgxdo Ghflvlrqv dqg Wkh Frpshwlwlyh Htxloleulxp

Vlqfh doo djhqwv duh lghqwlfdo/ lq frpshwlwlyh htxloleulxp wkhuh zloo eh qr lqwhuwhp0
srudo wudgh/ vr zh fdq irfxv rq wkh ghflvlrq sureohp iru dq lqglylgxdo djhqw idflqj
d vhtxhqfh ri uhvrxufh frqvwudlqwv1 Wkh djhqw vhhnv wr pd{lpl}h +D4, vxemhfw wr
wkh vhtxhqfh ri frqvwudlqwv lpsolhg e| +D5, wkurxjk +D8,/ jlyhq vhtxhqfhv ri wd{
udwhv dqg wudqvihuv1 Wkh Odjudqjldq dvvrfldwhg zlwk wkh rswlpl}dwlrq sureohp lv

O '

"
[
|'f

q | dE| c  | o

"
[
|'f

\| dE   | 8| Eg| c |  n A | n E  B g g|  |  g|n oc +D43,

zkhuh gf lv wuhdwhg dv jlyhq dqg \| lv wkh pxowlsolhu dwwdfkhg wr wkh | shulrg

uhvrxufh frqvwudlqw1 +Wkh vlqjoh frqvwudlqw lv rewdlqhg e| frpelqdwlrqv ri +D5,0
+D8,,1
Xvlqj wkh qrwdwlrq (? s wr ghqrwh wkh sduwldo ghulydwlyh ri wkh ixqfwlrq s zlwk

uhvshfw wr lwv qwk dujxphqw/4 wkh h!flhqf| frqglwlrqv +iru dq lqwhulru rswlpxp,
duh wkh iroorzlqj irxu htxdwlrqv/

q | ( E| c  |   \| ' fc

+D44,

q | (2 E| c  |  n \| E   | (2 8| Eg| c |  ' fc

+D45,

\|n dE   |n ( 8|n Eg|n c |n  n E  B g o  \| ' fc

+D46,

E   | 8| Eg| c |  n A | n E  B g g|  g|n  | ' fc

+D47,

iru | ' fc c 2c 4 dqg wkh wudqvyhuvdolw| frqglwlrq/ *4|<" \| g|n ' f15
Wkh v|vwhp ri htxdwlrqv +D44,0+D47, fdq eh h{suhvvhg hlwkhu dv d vhfrqg0rughu
glhuhqfh htxdwlrq lq wkh fdslwdo vwrfn ru dv d v|vwhp ri wzr uvw0rughu glhuhqfh
htxdwlrqv lq wkh Odjudqjh pxowlsolhu dqg wkh fdslwdo vwrfn1 Wkhuh lv dq lqqlwh
qxpehu ri sdwkv frqvlvwhqw zlwk htxdwlrqv +D44,0+D47,1 Krzhyhu/ rqo| rqh ri
wkhvh sdwkv lv frqvlvwhqw zlwk wkh lqlwldo ydoxh iru wkh fdslwdo vwrfn Egf  dqg wkh
wudqvyhuvdolw| frqglwlrq1 Ilqglqj wklv xqltxh sdwk dprxqwv wr ghwhuplqlqj wkh
ydoxh ri wkh wzr frqvwdqwv lq wkh vroxwlrq wr wkh v|vwhp ri glhuhqfh htxdwlrqv e|
xvlqj wkh wzr erxqgdu| frqglwlrqv ri wkh sureohp +wkh nqrzohgjh wkdw dw | ' f
wkh fdslwdo vwrfn lv gf dqg wkh wudqvyhuvdolw| frqglwlrq,16
Iru ixqfwlrqv ri d vlqjoh yduldeoh zh xvh Gi dqg Gl i +l A 4, wr ghqrwh uhvshfwlyho| wkh uvw
dqg wkh lwk wrwdo ghulydwlyh ri i zlwk uhvshfw wr lwv dujxphqw1
5
Li rxu hfrqrp| kdg d qlwh krul}rq/ W / zh zrxog kdyh wr lpsrvh wkh uhvwulfwlrq wkdw
NW .4  31 Rwkhuzlvh lw zrxog eh srvvleoh wr frqvxph dq lqqlwh dprxqw e| gulylqj NW .4
wr 41 Wkh h!flhqf| frqglwlrq dvvrfldwhg zlwk wkh qrq0qhjdwlylw| frqvwudlqw lpsrvhg rq
NW .4 lv W NW .4 @ 31 Wkh wudqvyhuvdolw| frqglwlrq lv wkh frxqwhusduw ri wklv htxdwlrq zkhq
wkh hfrqrp| kdv dq lqqlwh krul}rq1 Iru d ghwdlohg glvfxvvlrq ri wkh frqglwlrqv xqghu zklfk wkh
Hxohu htxdwlrqv +D44,0+D47, dqg wkh wudqvyhuvdolw| frqglwlrq duh vx!flhqw ru qhfhvvdu| iru wkh
dvvrfldwhg fdslwdo sdwk wr eh rswlpdo/ vhh Zhlw}pdq +4<:6, dqg Urphu dqg Vklqrwvxnd +4<;:,1
6
Hqjlqhhuv xvxdoo| uhihu wr wklv dv d wzr0srlqw erxqgdu| ydoxh sureohp/ gxh wr wkh idfw
wkdw wkh erxqgdu| frqglwlrqv duh qrw frqwhpsrudqhrxv +lq wklv fdvh zh kdyh rqh frqglwlrq dw
w @ 3 dqg wkh rwkhu dw w @ 4,1
4

Wkh suhfhglqj rswlpdo ghflvlrqv duh ydolg iru duelwudu| vshflfdwlrqv ri wd{ dqg
vshqglqj vhtxhqfhv1 Lq shuihfw iruhvljkw frpshwlwlyh htxloleulxp/ jlyhq wkh srolf|
vshflfdwlrq +D9,0+D;,/ wd{ dqg wudqvihu vhtxhqfhv ghshqg rq lqglylgxdo ghflvlrqv/
zklfk lq wxuq ghshqg rq wd{ udwhv1 Dv lq Urphu +4<;9,/ htxloleulxp vhtxhqfhv
fdq eh rewdlqhg e| frpelqlqj wkh lqglylgxdo*v h!flhqf| frqglwlrqv zlwk djjuhjdwh
frqvlvwhqf| frqglwlrqv/ zklfk lq wklv fdvh duh wkh frqvwudlqwv ri wkh jryhuqphqw1

"
"
"
Wkhq/ htxloleulxp vhtxhqfhv di | j"
|'f / i | j|'f / ig | j|'f dqg i\| j|'f o vdwlvi| wkh
iroorzlqj irxu htxdwlrqv/
q | ( E | c   |   \| ' fc
+D48,

q | (2 E | c   |   \| d   | E| c C| c g | c  | o(2 8| Eg | c  |  ' fc

+D49,
\|n id   |n E|n c C|n c g |n c  |n o( 8|n Eg |n c  |n  n E  B g j  \| ' fc
+D4:,
8| Eg | c  |  n E  B g g |  g |n   |  C| ' fc
+D4;,
iru doo | ' fc c 2c 4 dqg wkh wudqvyhuvdolw| frqglwlrq/ *4|<" \| g |n ' f7
Wkhuh lv vxevwdqwldo jhqhudolw| lq wkh vshflfdwlrq ri suhihuhqfhv dqg whfkqro0
rj| ghvfulehg lq wklv vhfwlrq1 Lq wkh qh{w wzr vhfwlrqv/ zh h{soruh wkh uhvwulfwlrqv
jhqhudwhg e| wkh uhtxluhphqw wkdw/ lq wkh devhqfh ri glvwruwlqj wd{hv/ wkh v|vwhp
glvsod|v vwhdg| vwdwh jurzwk1 Vwhdg| vwdwh jurzwk lv ghqhg wr eh d vlwxdwlrq
lq zklfk | c t| c U| c g| dqg wkh zdjh udwh jurz dw frqvwdqw/ exw srvvleo| glhulqj
udwhv1 Zh ehjlq zlwk uhvwulfwlrqv rq wkh irup ri whfkqlfdo surjuhvv dqg rq wkh
irup ri wkh surgxfwlrq ixqfwlrq 8
7

Wkh h{lvwhqfh dqg xqltxhqhvv ri d vroxwlrq wr wklv sureohp duh qrw jxdudqwhhg lq jhqhudo1
Vhh Urphu dqg Vdvdnl +4<;7, iru dq h{lvwhqfh surri iru dq hfrqrp| lq zklfk wkh frpshwlwlyh
htxloleulxp lv vxerswlpdo1

4161 Whfkqrorjlfdo Uhvwulfwlrqv wr Hqvxuh Vwhdg| Vwdwh Jurzwk

Dv lv idploldu iurp Vzdq +4<96, dqg Skhosv +4<99,/ wkhuh pxvw eh uhvwulfwlrqv
rq wkh irup ri whfkqlfdo surjuhvv li d vwhdg| vwdwh lv wr eh ihdvleoh1 +Wr glvfxvv
wkh ihdvlelolw| ri vwhdg| vwdwh jurzwk/ zh frqvlghu wkh hfrqrp| zlwkrxw wd{hv ru
jryhuqphqw sxufkdvhv,1 Lq sduwlfxodu/ wkh irup ri whfkqlfdo surjuhvvlpsolflw lq
wkh qrwdwlrq 8| Eg| c | pxvw eh h{suhvvleoh lq d oderu dxjphqwlqj irup1
Wklv pd| eh +whglrxvo|, ghprqvwudwhg dv iroorzv1 Vxssrvh wkdw zh zulwh wkh
surgxfwlrq ixqfwlrq dv t| ' 8 Efg| g| c f| | / zkhuh fg| uhsuhvhqwv fdslwdo
dxjphqwlqj whfkqlfdo surjuhvv dqg f| uhsuhvhqwv oderu dxjphqwlqj whfkqlfdo
surjuhvv1 Ohw fg| dqg f| jurz uhvshfwlyho| dw wkh udwhv  fg dqg  f 8 Wkh
jurzwk udwh ri t /  t / vdwlvhv  t ' dt|n *t| o ' dfgc|n g|n *fgc| g| od8 Ec ~|n *8 Ec ~| o/
zkhuh ~| ' f| | *fg| g| 
Wkhuh duh wzr fdvhv wr eh h{soruhg1 Lq wkh uvw fdvh/ wkh udwlr ~ lv frqvwdqw
ryhu wlph vr wkdw  t '  fg  g / iurp wkh suhfhglqj h{suhvvlrq iru  t vlqfh wklv
h{suhvvlrqzlwk ~ frqvwdqw ryhu wlpholqnv wkh jurzwk udwh ri t wr wkdw ri fdslwdo
dxjphqwlqj whfkqlfdo surjuhvv dqg wkdw ri fdslwdo1 Wkh uhvrxufh frqvwudlqw +D<,
lpsolhv wkdw  g ' dt  o*g n E  B g 1 Li t : / vr wkdw lqyhvwphqw lv vwulfwo|
srvlwlyh/ lq rughu iru  g wr eh frqvwdqw/ wkhq/ lw pxvw eh wkh fdvh wkdw t *g dqg
*g duh frqvwdqw dv zhoo1 Wkh frqvwdqf| ri t *g lpsolhv wkdw  g '  t / zklfk
lq wxuq lpsolhv wkdw  t '  fg  g '  g 1 Htxlydohqwo|/  fg ' 1 Wkxv/ wkh
ihdvlelolw| ri vwhdg| vwdwh jurzwk uhtxluhv wkdw wkhuh eh qr fdslwdo dxjphqwlqj
whfkqlfdo surjuhvv1
Wkh vhfrqg fdvh lv wkdw wkh udwlr d8 E~|n c *8 E~| c o lv frqvwdqw luuhvshfwlyh
ri wkh frqvwdqf| ri wkh udwlr ~ ' f *fg g1 Lq wkdw fdvh/ wkh surgxfwlrq
ixqfwlrq lv Free0Grxjodv/ vr wkdw lw lv dozd|v srvvleoh wr zulwh wkh whfkqlfdo
8
Wkurxjkrxw rxu glvfxvvlrq/ zh xvh qrwdwlrq  t @ tw @tw4 / l=h=/  t lv rqh soxv wkh jurzwk
udwh ri t> iru h{srvlwlrqdo frqyhqlhqfh/ zh vrphwlphv uhihu wr  t dv wkh +jurvv, jurzwk udwh ri t1

surjuhvv dv oderu dxjphqwlqj1 Wkdw lv/ t| ' Efg| g| 3k Ef| | k fdq dozd|v
h k / zkhuh f
h| ' f E3k*k f| 
eh zulwwhq dv t| ' g|3k f
|
g|
Wkxv/ whfkqlfdo fkdqjh pxvw eh h{suhvvleoh lq oderu dxjphqwlqj irup1 Wklv
lpsolhv wkdw Klfnv qhxwudo whfkqrorjlfdo surjuhvv/ zklfk fruuhvsrqgv wr wkh fdvh
lq zklfk f| ' fg| / lv rqo| frqvlvwhqw zlwk wkh ihdvlelolw| ri vwhdg| vwdwh jurzwk
zkhq wkh surgxfwlrq whfkqrorj| lv Free0Grxjodv1
Wkh revhuyhg orqj0uxq frqvwdqf| ri idfwru vkduhv lv d iuhtxhqwo| hpsor|hg ud0
wlrqdoh iru wkh uhvwulfwlrq wr wkh Free0Grxjodv irup +vhh/ e}/ Suhvfrww +4<;9,,1
Wkh suhfhglqj dqdo|vlv lpsolhv/ krzhyhu/ wkdw zlwk oderu dxjphqwlqj whfkqrorjl0
fdo fkdqjh/ dq| frqvwdqw uhwxuqv0wr0vfdoh surgxfwlrq ixqfwlrq lv frpsdwleoh zlwk
frqvwdqw orqj0uxq idfwru vkduhv/ e/ vkduhv wkdw duh lqyduldqw wr wkh vfdoh ri f9
Krzhyhu/ lq rughu wr idflolwdwh frpsdulvrq ri rxu dqdo|vlv zlwk rwkhu vwxglhv/ zh
xwlol}h wkh Free0Grxjodv irup lq rxu dqdo|vlv lq wkh pdlq wh{w1 Lq ylhz ri wkh
iruhjrlqj/ wkrxjk/ zh zulwh wkdw surgxfwlrq ixqfwlrq dv
t| ' | Eg| 3k E| f| k c

+D4<,

zkhuh f| lv d vprrwko| ydu|lqj wuhqg jurzwk lq oderu dxjphqwlqj whfkqlfdo

fkdqjh dqg | lv d whpsrudu| glvsodfhphqw wr wrwdo idfwru surgxfwlylw|1
416141 Lpsolfdwlrqv iru Ihdvleoh Vwhdg| Vwdwhv
Lq rughu wr ghwhuplqh zkdw duh wkh ihdvleoh vwhdg| vwdwh jurzwk udwhv zh vwduw
e| h{dplqlqj wkh prgho*v surgxfwlrq dqg dffxpxodwlrq vwuxfwxuhv/ xqghu wkh
9
Wklv pd| eh ghprqvwudwhg dv iroorzv1 Wkh pdujlqdo surgxfw ri d xqlw ri wlph lv
D[w G5 I +Nw > Q [w , rq d vwhdg| vwdwh sdwk1 Oderu*v vkduh lv vQ @ DQ [w G5 I +Nw > Q [w ,`1 Rq
d vwhdg| vwdwh sdwk/ I +Nw @Q[w > 4, lv frqvwdqw dqg wkh I +Nw Q [w , @ Q [w I +Nw @Q[w ,1 Khqfh/
oderu*v vkduh lv lqyduldqw wr wkh vfdoh ri [w lq vwhdg| vwdwh1

dvvxpswlrq wkdw | lv frqvwdqw iru doo wlph/ e/ | ' 1 Wkhvh lpsolfdwlrqv duh
dv iroorzv=
+l, Vlqfh wkh dprxqw ri wlph ghyrwhg wr zrun E kdv wr eh ehwzhhq }hur dqg
4/ wkh rqo| ihdvleoh frqvwdqw jurzwk udwh iru  lv }hur/ wkdw lv/   ' 
+ll, Iurp wkh frpprglw| uhvrxufh frqvwudlqw/  n U ' t / lw iroorzv wkdw li
U :  wkh vwhdg| vwdwh jurzwk udwhv ri frqvxpswlrq dqg lqyhvwphqw pxvw eh
htxdo wr wkh jurzwk udwh ri rxwsxw dqg wr hdfk rwkhu/ e/   '  U '  t 1:;
+lll, Iurp wkh dffxpxodwlrq htxdwlrq Eg|n ' E  Bg g| n U| / lw iroorzv wkdw
wkh jurzwk udwh ri jurvv lqyhvwphqw dqg fdslwdo pxvw eh htxdo lq wkh vwhdg| vwdwh/
g ' U
+ly, Dq| frqvwdqw uhwxuqv wr vfdoh surgxfwlrq ixqfwlrqdorqj zlwk {lw| ri
  lpsolhv wkdw  t '  g '  f lq d vwhdg| vwdwh/ vlqfh t| ' | 8 Eg| c f|  '
f| | 8 Eg| *f| c 1 Wkxv frqvwdqf| ri g*f lv qhfhvvdu| iru d vwhdg| vwdwh/ xqohvv
wkh surgxfwlrq ixqfwlrq lv Free0Grxjodv1< Wkxv/ g dqg f jurz dw wkh vdph udwh1
Ixuwkhu/ zlwk g*f frqvwdqw/ t dqg f jurz dw d frpprq udwh1
Froohfwlqj wkhvh uhvxowv/ zh fdq frqfoxgh wkdw wkh jurzwk udwhv ri doo frp0
prglw| txdqwlw| yduldeohv duh htxdo wr wkh udwh ri jurzwk ri oderu dxjphqwlqj
whfkqlfdo fkdqjh1
:

Wklv vkrxog qrw eh uhjdughg dv d jhqhudo ihdwxuh/ vlqfh lw lv shfxoldu wr prghov lq zklfk
fdslwdo lv vlpso| vwruhg frqvxpswlrq jrrg1
;
Lw lv vwudljkwiruzdug wr ghprqvwudwh wklv uhvxow/ wkrxjk pruh whglrxv lq glvfuhwh wlph wkdq
lq wkh idploldu frqwlqxrxv wlph fdvh1 Ghqh vfw @ Fw @\w dqg vlw @ Lw @\w 1 Wkhq/ wdnlqj udwlrv ri
rxwsxw lq wzr dgmdfhqw shulrgv/ lw iroorzv wkdw +\w.4 @\w , @ Fw.4 @\w , . +Lw.4 @\w , @  f>w.4 vfw .
 L>w.4 vlw @  W>w.4 1 Vlqfh vlw . vfw @ 4 iru doo w/ lw iroorzv wkdw + f>w.4   L>w.4 ,vfw @ + \>w.4 
 L>w.4 ,1 Wkxv/ li wkhuh lv vwhdg| vwdwh jurzwk +doo *v duh lqghshqghqw ri w,/ wkhq wkh deryh
frqglwlrq fdq eh ixooohg rqo| e| rqh ri wkh wzr iroorzlqj vlwxdwlrqv= +d, vf lv frqvwdqw li lw lv
qrw wuxh wkdw  F   L @  \   L @ 3> ru +e, F @  L @  \ 1 Exw/ li vf lv frqvwdqw/ wkhq lw iroorzv
wkdw F dqg \ duh jurzlqj dw wkh vdph udwh/ zklfk frqwudglfwv wkh uhtxluhphqw ri frqglwlrq +d,1
Wkxv/ frqglwlrq +e, pxvw krog lq dq| vwhdg| vwdwh1
<
Li wkh surgxfwlrq ixqfwlrq lv Free0Grxjodv/ wkhq orj+ \ , @ orj+ [ , . +4  , orj+ N ,1 Lq
frqmxqfwlrq zlwk wkh uhtxluhphqw wkdw  L @  N @  \ / wklv wkhq ohdgv wr wkh frqfoxvlrq wkdw
 \ @ N @  [ =

<

t '  ' g ' U ' f 

+D53,

Wkxv/ wklv prgho kdv d xqltxh vwhdg| vwdwh jurzwk udwh/ dowkrxjk qr uhvwulfwlrqv
kdyh vr idu ehhq sodfhg rq wkh ohyhov ri dq| txdqwlw| yduldeoh1 Ixuwkhupruh/ wkh
whfkqrorj| sodfhv vwurqj uhvwulfwlrqv rq wkh uhodwlrqvkls ehwzhhq wkh vwhdg| vwdwh
jurzwk udwhv ri wkh glhuhqw yduldeohv1
416151 Lpsolfdwlrqv iru Vwhdg| Vwdwh Pdujlqdo Surgxfwv
Iluvw/ wkh pdujlqdo surgxfw ri fdslwdo/ ( 8 Eg| c  f| / lv frqvwdqw ryhu wlph/
vlqfh  g '  f / dqg frqvwdqw uhwxuqv0wr0vfdoh lpsolhv wkdw wklv lv krprjhqhrxv
ri ghjuhh }hur lq f/ vr wkdw lw pd| eh zulwwhq ( 8 Eg| *f| c 43 Vhfrqg/ wkh
pdujlqdo surgxfw ri d xqlw ri wlph/ f| (2 8 Eg| c  f| / jurzv dw udwh  f / vlqfh
(2 8 Eg| c  f|  lv dovr krprjhqhrxv ri ghjuhh }hur lq f44
416161 Lpsolfdwlrqv iru Orfdo Hodvwlflwlhv
Wkh frqvwdqw uhwxuqv wr vfdoh vwuxfwxuh dovr kdv lpsolfdwlrqv iru hodvwlflwlhv ri
pdujlqdo surgxfwv qhdu wkh vwhdg| vwdwh1 Wr dyrlg frqvlghulqj vfdoh gluhfwo|/ ghqh
&| ' g| *f| dqg +| ' t| *f| 1 Wkhq/ wkh surgxfwlrq ixqfwlrq pd| eh zulwwhq dv +| '
| 8 E&| c | 1 Ohw wkh vkduhv ri fdslwdo dqg oderu eh rg dqg r / zklfk duh lqyduldqw
wr vfdoh dv glvfxvvhg deryh1 Xqghu frqvwdqw uhwxuqv wr vfdoh/ ri frxuvh/ rg n
r ' 1 Ohw wkh hodvwlflw| ri wkh pdujlqdo surgxfw ri fdslwdo/ | ( 8 E&| c |  zlwk
uhvshfw wr fdslwdo eh ghqrwhg 1 && dqg wkdw zlwk uhvshfw wr oderu 1 & 1 Vlploduo|/
ohw 1  dqg 1 & ghqrwh hodvwlflwlhv ri wkh pdujlqdo surgxfw ri oderu1 Lw lv d
vwdqgdug uhvxow ri surgxfwlrq wkhru|45 wkdw wkhvh hodvwlflwlhv dujxphqwv fdq eh
Wklv lv hdv| wr vhh lq wkh Free0Grxjodv fdvh/ vlqfh DG4 I +Nw > Q [w , @ +4,DNw +Q[w , 1
Lq wkh Free0Grxjodv fdvh/ [w DG5 I +Nw > Q [w , @ DNw4 +Q ,4 [w =
45
Vhh/ iru h{dpsoh/ Ihujxvrq +4<97,/ sdjhv 74:074</ ru Vxssohphqwdu| Qrwh &4 dw wkh edfn
ri wklv grfxphqw1
43
44

43

vlpso| ghvfulehg/ xvlqj wkh orfdo hodvwlflw| ri vxevwlwxwlrq ri oderu iru fdslwdo/
l & ' _d*L}E&* o*_d*L}E( 8 E&| c | *(2 8 E&| c | o

1 && ' 1 & ' r *l & c

1  ' 1 & ' E  r *l & 

+D54d,
+D54e,

Iru wkh Free0Grxjodv fdvh/ l & ' dqg r ' k/ vr wkdw 1 && ' 1 & ' k dqg
1  ' 1 & ' E  k
4171 Uhvwulfwlrqv rq Suhihuhqfhv dqg Srolf| Uxohv
Wkh qh{w vwhs lqyroyhv fkhfnlqj zkhwkhu wklv vwhdg| vwdwh sdwk yhulhv wkh krxvh0
krog*v htxloleulxp frqglwlrqv +D44,0+D47,1 Vlqfh zh duh lqwhuhvwhg lq jurzlqj
hfrqrplhv/ zh zloo irfxv rq wkh fdvh lq zklfk  f : 1 Iurp deryh/ zh nqrz
wkdw d whfkqrorjlfdoo| ihdvleoh vwhdg| vwdwh vdwlvhv +D53,/ zklfk vshflhv wkdw
frqvxpswlrq/ lqyhvwphqw/ rxwsxw/ dqg fdslwdo doo jurz dw wkh udwh ri oderu dxj0
phqwlqj whfkqlfdo surjuhvv1 Li wkh krxvhkrog htxloleulxp frqglwlrqv wxuq rxw wr eh
lqfrpsdwleoh zlwk wkh whfkqrorjlfdoo| ihdvleoh vwhdg| vwdwh jurzwk udwh/ wkh vwhdg|
vwdwh lv ri qr lqwhuhvw wr xv/ vlqfh lw zloo qhyhu eh wkh rxwfrph ri wklv hfrqrp|*v
frpshwlwlyh htxloleulxp1 Frqvhtxhqwo|/ zh uhvwulfw suhihuhqfhv vr wkdw wkh ihdvleoh
vwhdg| vwdwh lv/ lq idfw/ dq rswlpdo +dqg frpshwlwlyh htxloleulxp, rxwfrph1
Wkh h!flhqf| frqglwlrq +D46, ru +D4:,/ zklfk duh htxlydohqw zlwkrxw wd{hv/
vshflhv wkdw wkh vkdgrz sulfh ri fdslwdo zloo jurz dw d frqvwdqw udwh lq wkh
vwhdg| vwdwh/ zklfk zh ghqh wr eh  \ 1 Wklv jurzwk udwh lv d ixqfwlrq ri wkh udwlr
&| ' g| *f| 1 Wkdw lv/  \ d( 8 E&/   n E  B g o ' / zkhuh wkh devhqfh ri wlph
gdwlqj ri & dqg  lqglfdwhv wkhvh duh frqvwdqw ryhu wlph/ zklfk zloo krog lq d
vwhdg| vwdwh ehfdxvh f dqg g jurz dw wkh vdph udwhv dqg  lv frqvwdqw1

44

+l, Lqyduldqw Lqwhuwhpsrudo Vxevwlwxwlrq lq Frqvxpswlrq1

Wkh rswlpdolw| ri d vwhdg| vwdwh uhvwulfwv wkh xwlolw| ixqfwlrq vr wkdw wkhuh lv
dq lqwhuwhpsrudo hodvwlflw| ri vxevwlwxwlrq lq frqvxpswlrq wkdw lv lqyduldqw wr wkh
vfdoh ri frqvxpswlrq1
Wkh uhtxluhphqw iru dq h!flhqw lqwhuwhpsrudo sodq +D44, lpsolhv wkdw wkh jurzwk
udwh ri pdujlqdo xwlolw| lv frqvwdqw ryhu wlph/46
( E| c u
' q* \ ' qd( 8 E&c   n E  B & o
( E|n c u

+D55,

Exw/ iurp wkh frpprglw| uhvrxufh frqvwudlqw/ d ihdvleoh vwhdg| vwdwh frqvxpswlrq
surjudp kdv wkh irup | ' ff E f | d8 E&c  nEB g  f &o1 Wkxv/ li pdujlqdo
xwlolw| lv wr jurz dw d frqvwdqw udwh iru doo srwhqwldo ydoxhv ri ff / lw pxvw eh wkh
fdvh wkdw


( E|n c u|n _ff ( E| c u| _ff

' f1
+D56,
( E|n c u
ff
( E| c u ff
E| cu|
kdv wr eh frqvwdqw ryhu wlph1 Ghqh j S dv wkh
zklfk lpsolhv wkdw ((
E| cu
+devroxwh ydoxh, hodvwlflw| ri pdujlqdo xwlolw| zlwk uhvshfw wr frqvxpswlrq1 Wkh
suhfhglqj frqglwlrq lpsolhv wkdw jS lv lqyduldqw wr wkh vfdoh ri frqvxpswlrq1 Lq0

whjudwlqj erwk vlghv ri  ( Ec u*( Ec u ' jS jlyhv xv wkh fdqglgdwh
prphqwdu| xwlolw| ixqfwlrq irupv 
hEc u '  3jS  Eu n 2 Eu iru jS qrw htxdo
wr xqlw| dqg 
hEc u ' *L}E Eu n 2 Eu/ zkhuh  Eu duh duelwudu| ixqfwlrqv
ri u47 Vwulfw frqfdylw| ri wkh prphqwdu| xwlolw| ixqfwlrq uhtxluhv wkdw jS : f/
zklfk zh lpsrvh1

46

Lq wkhvh h{suhvvlrqv/ O lv qrw gdwhg vlqfh lwv jurzwk udwh lv }hur lq d vwhdg| vwdwh1
Lq wkh frqyhqwlrqdo qhrfodvvlfdo prgho O lv {hg h{rjhqrxvo|/ vr wkdw wkh lqwhuwhpsrudo
uhtxluhphqw h{kdxvwv wkh lpsolfdwlrqv ri d vwhdg| vwdwh1
47

45

+ll, Lqyduldqfh ri H!flhqw Vwhdg| Vwdwh Oderu1

Zlwklq dq h!flhqw sodq/ wkh frqglwlrqv +D48, dqg +D49, vshfli| wkdw wkh
pdujlqdo udwh ri vxevwlwxwlrq ehwzhhq frqvxpswlrq dqg ohlvxuh htxdov wkh pdujlqdo
udwh ri wudqvirupdwlrq1 Wdnlqj orjdulwkpv/ lw iroorzv wkdw

*L}E( E| c u|  n *L}Ef| (2 8 Eg| c  f|  ' *L}E(2 E| c u| 

+D57,

Iurp wkh dqdo|vlv deryh/ zh nqrz wkdw d vwhdg| vwdwh lpsolhv wkuhh frqglwlrqv/
zklfk duh lpsruwdqw lq wkh hyroxwlrq ri wkh h{suhvvlrqv lq wkh htxdwlrq deryh1
Iluvw/ wkh pdujlqdo surgxfw ri hhfwlyh oderu/ (2 8 Eg| c  f|  ' (2 8 E&| c  /
lv frqvwdqw lq wkh vwhdg| vwdwh1 Vhfrqg/ whfkqrorj| Ef|  jurzv dw udwh  f 1 Wklug/
wkh pdujlqdo xwlolw| ri frqvxpswlrq ( E| c u|  jurzv dw udwh E 3jS / zkhuh jS lv


wkh hodvwlflw| ghqhg deryh dqg zkhuh   '  f lv wkh jurzwk udwh ri frqvxpswlrq1
Ghqrwh wkh hodvwlflw| ri wkh pdujlqdo xwlolw| ri ohlvxuh zlwk uhvshfw wr frqvxpswlrq
dv 1 S 1 Lq d vwhdg| vwdwh/ lw iroorzv +iurp wkh glhuhqwldwlrq, wkdw wklv lv frqvwdqw
ryhu wlph dqg vdwlvhv  j S ' 1 S 1 Wklv dgglwlrqdo uhtxluhphqw wkdw  1 S ' jS
|lhogv ixuwkhu uhvwulfwlrqv rq dgplvvleoh irupv/ zklfk lpso| wkdw 2 Eu lv frqvwdqw
lq wkh qrq0orj fdvh dqg  Eu lv frqvwdqw lq wkh orj fdvh148 Vlqfh wkhvh frqvwdqwv
gr qrw dhfw suhihuhqfh rughulqjv/ zh vhw wkhp htxdo wr xqlw| lq zulwlqj wkh xwlolw|
ixqfwlrq dv wkh iroorzlqj1

 3jS Eu li f j S ru jS : c
E  jS 
Ec u ' *L}E n Eu
li jS ' 

Ec u '

+D58d,
+D58e,

Wr lqvxuh wkdw frqvxpswlrq dqg ohlvxuh duh jrrgv dqg wkdw xwlolw| lv frqfdyh/ zh
qhhg wr lpsrvh vrph dgglwlrqdo vwuxfwxuh1 Zkhq prphqwdu| xwlolw| lv dgglwlyho|
48

Wr fkhfn wklv/ vlpso| glhuhqwldwh x

h=

46

vhsdudeoh +D58e,/ doo wkdw zh uhtxluh lv wkdw Eu lv lqfuhdvlqj dqg frqfdyh1 Zkhq
prphqwdu| xwlolw| lv pxowlsolfdwlyho| vhsdudeoh/ wkhq zh uhtxluh wkdw +l, ES lv
lqfuhdvlqj dqg frqfdyh li jS dqg ghfuhdvlqj dqg frqyh{ li jS : 1 Ixuwkhu/
zh uhtxluh wkdw j S du(2 Eu*(Euo :
E  jS du(Eu*Euo wr dvvxuh ryhudoo frqfdylw| ri E
Wkhuh lv hfrqrplf frqwhqw wr wkhvh suhihuhqfh uhvwulfwlrqv1 Wlph lv erxqghg/ vr
wkdw lq d vwhdg| vwdwh lw fdqqrw jurz1 Dv glvfxvvhg lq wkh pdlq wh{w/ iru edodqfhg
jurzwk wr eh rswlpdo zlwk oderu vxsso| fkrvhq e| djhqwv/ xwlolw| pxvw eh vxfk
wkdw wkhuh duh h{dfwo| rvhwwlqj lqfrph dqg vxevwlwxwlrq hhfwv ri wkh fkdqjhv lq
uhdo zdjhv dvvrfldwhg zlwk vxvwdlqhg jurzwk lq surgxfwlylw|1 Lq d vwdwlf iudphzrun
zlwk qr qrq0zdjh lqfrph/ wklv lqyduldqfh dulvhv zkhqhyhu xwlolw| lv dq| frqfdyh
wudqvirupdwlrq ri Ec u '  3jS Eu*E  jS / lqfoxglqjli xwlolw| lv dgglwlyho|
vhsdudeoh*L}E n Eu49 Wkh suhihuhqfh uhvwulfwlrqv duh wkh vdph rq d vwhdg|
vwdwh sdwk lq rxu prgho ghvslwh wkh suhvhqfh ri fdslwdo lqfrph ehfdxvh/ lq wkh
vwhdg| vwdwh/ yduldwlrqv lq fdslwdo lqfrph duh sursruwlrqdo wr pryhphqwv lq oderu
surgxfwlylw| ru wr zdjh lqfrph14:
+lll, Frqglwlrqv rq jryhuqphqw wr jxdudqwhh vwhdg| vwdwh
Rxu remhfwlyh lv wr dqdo|}h frpshwlwlyh htxloleuld wkdw duh vxerswlpdo gxh wr
wd{hv dqg jryhuqphqw vshqglqj/ exw zh zlvk wr pdlqwdlq vwhdg| vwdwh jurzwk lq
wkh idfh ri wkhvh lqwhuyhqwlrqv1 Iru wklv uhdvrq/ zh vshfli| wkdw wkhuh lv d frqvwdqw
vkduh ri jryhuqphqw sxufkdvhv lq qdwlrqdo surgxfw/ r} ' EC*t / dqg wkdw wkhuh lv
d qrupdo ohyho ri wkh wd{ udwh/  / wkdw lv lqyduldqw wr wkh vfdoh ri wkh hfrqrp|1
49

Lq d vwdwlf iudphzrun/ +D58d, dqg +D58e, duh erwk uhsuhvhqwdwlyh ri wkh vdph suhihuhqfhv
vlqfh wkh| duh prqrwrqlf wudqvirupdwlrqv ri hdfk rwkhu1 Krzhyhu/ lq d g|qdplf iudphzrun wkdw
lv qrwSwkh fdvh vlqfh +D58d, ru +D58e, rqo| uhsuhvhqw prphqwdu| xwlolw|1 Wkh xwlolw| ixqfwlrq lv
4
X @ w@3  w x+fw > O,=
4:
Lq d vwdwlf iudphzrun wkh rswlpxp qxpehu ri ohlvxuh krxuv lv ghwhuplqhg e|
Gy+O,
4
+4O,.uN@z y+O, @ 4f 1 Lw lv fohdu wkdw li N @ 3 ru uN@z lv frqvwdqw/ O zloo dovr eh frqvwdqw1
Lq rxu hfrqrp|/ wkh fdslwdo dqg oderu vkduh duh frqvwdqw lpso|lqj frqvwdqf| ri uN@z=

47

Lq wkh dqdo|vlv ehorz/ lw lv iuhtxhqwo| frqyhqlhqw wr frqvlghu wkh zhgjh ixqfwlrq/

ghqhg dv l| ' E   | / dqg zh ohw l ghqrwh wkh vwhdg| vwdwh zhgjh1
4181 Ohyhov dqg Udwlrv lq Vwhdg| Vwdwh
Zh fdq xvh wkh h!flhqf| frqglwlrqv wrjhwkhu zlwk wkh uhtxluhphqw wkdw doo ydul0
deohv jurz dw d frqvwdqw udwh wr slq grzq wkh vwhdg| vwdwh ydoxh ri vhyhudo yduldeohv
dqg udwlrv1
Udwlrv= Iurp wkh uhtxluhphqw wkdw *L}E \ *q ' jS *L}E   ' j S *L}E f 
wkh ohyho ri wkh jurvv pdujlqdo surgxfw ri fdslwdo lv ghwhuplqhg dffruglqj wr
dl ( 8 E&c   n E  B g oq W '  / zkhuh q W ' qE 3jS dqg & ' g*f 1
f

Vlqfh rg ' &( 8 E&c  *8 E&c  / wkh rxwsxw fdslwdo udwlr lv4;
t
' id f  q W E  B & o*dq W rg loj1
g

+D59,

Wkh idfw wkdw  f  dqg q W jxdudqwhh wkdw t *g lv dozd|v srvlwlyh1

Vkduhv ri rxwsxw= Iurp wkh shu0fdslwd uhvrxufh frqvwudlqw dqg wkh suhfhglqj
frqglwlrqv/ lw iroorzv wkdw wkh vkduh ri rxwsxw ghyrwhg wr jurvv lqyhvwphqw Er  lv

r ' d f  E  B g o

g
' id f  E  B g odq W Erg lo*d f  q W E  B g oj1 +D5:,
t

Ixuwkhu/ jlyhq wkdw wkh vkduh ri jryhuqphqw Er}  lv wuhdwhg dv h{rjhqrxv/ lw iroorzv
wkdw wkh vkduh ri frqvxpswlrq ErS  lv ghwhuplqhg e| wkh suhfhglqj dv rS ' 
r  r} 
4;
Xqghu wkh Free0Grxjodv dvvxpswlrq wklv uhtxluhphqw |lhogv wkh iroorzlqj h{suhvvlrqv=
+l, Wkh hhfwlyh oderu0fdslwdo udwlr/ Q [@N/ lv jlyhq e| +[Q@N, @ i [    +4 
 N ,`@^  +vN , D,j+4@vQ , > +ll, wkh rxwsxw0fdslwdo udwlr lv +\ @N, @ ^ [   +4 N ,`@^  +vN , `j/
dqg +lll, wkh rxwsxw0oderu udwlr lv +\@Q [, @ D+4@, i^  +vN , `@^ [   +4 N ,`j+vN ,@vQ 1 Qrwh
wkdw wkhvh h{suhvvlrqv frqwdlq wkh lq xhqfh ri wkh vwhdg| vwdwh zhgjh + , rq fdslwdo dffxpxod0
wlrq1

48

Vwhdg| Vwdwh Ohyho ri Oderu= Jlyhq d sduwlfxodu vshflfdwlrq ri suhihuhqfhv/

lw lv srvvleoh wr vroyh iru wkh vwhdg| vwdwh ohyho ri oderu xvlqj wkh htxloleulxp
frqglwlrqv +D48, dqg +D49,/ lq frpelqdwlrq zlwk wkh suhfhglqj h{suhvvlrqv1 Lq d
vwhdg| vwdwh/ wkhvh h{suhvvlrqv lpso| wkdw ( E| c   lf| (2 8 Eg| c  f|  '
(2 E| c  1 Iru wkh suhihuhqfhv vshflfdwlrqv zlwk jS 9' / zh frxog glylgh
E3jS 
erwk vlghv ri wkh h{suhvvlrq e| t
/ vr wkdw lw fdq eh zulwwhq ( Er c 
 l r

' (2 ErS c   ru E 

l r

'

rS
3jS (E

 1 Zlwk jS ' / lw

iroorzv wkdw rS l k ' (T E  1 Vlqfh l dqg r duh sdudphwhuv dqg rS kdv ehhq
ghwhuplqhg hduolhu/ wkh dssursuldwh rqh ri wkhvh frqglwlrqv ghwhuplqhv wkh ohyho ri
 1 Iru prvw vshflfdwlrqv ri xwlolw|/ zh pxvw vroyh wklv h{suhvvlrq qxphulfdoo|/
exw wkhuh duh d ihz h{fhswlrqv1 Iru h{dpsoh/ li Ec u ' *L}E n w *L}Eu
dqg wkh surgxfwlrq ixqfwlrq lv Free0Grxjodv/ wkhq lw lv hdv| wr vkrz wkdw wklv
frqglwlrq lpsolhv  ' Ek l*Ek l n rS w 
Exw/ sudfwlfdoo|/ zh gr qrw kdyh lqirupdwlrq rq suhihuhqfh sdudphwhuv +vxfk
dv w  wkdw ghwhuplqh wkh vwhdg| vwdwh ohyho ri krxuv1 Iruwxqdwho|/ zh gr qrw qhhg
wr ghwhuplqh wkhuh sdudphwhuv h{solflwo|lq rughu wr dqdo|}h qhdu vwhdg| vwdwh
g|qdplfv doo zh qhhg lv wr vshfli| wkh qxpehu ri krxuv zrunhg shu shulrg lq wkh
vwhdg| vwdwh +vhh ehorz,1 Lq dq| fdvh/ d ydoxh ri vwhdg| vwdwh  frpelqhg zlwk wkh
suhfhglqj frqglwlrqv rq udwlrv |lhogv wkh vwhdg| vwdwh sdwkv ri doo ri wkh v|vwhp*v
yduldeohv1
4191 Wkh Wudqviruphg Hfrqrp|
Kdylqj uhvwulfwhg whfkqrorj|/ suhihuhqfhv dqg jryhuqphqw ehkdylru vr wkdw d
vwhdg| vwdwh sdwk h{lvwv dqg lv frqvlvwhqw zlwk wkh sulydwh djhqw*v h!flhqf| frq0
glwlrqv/ rxu remhfwlyh lv qrz wr fkdudfwhul}h wkh orfdo g|qdplfv durxqg wkh vwhdg|
vwdwh sdwk1 Exw ehiruh wxuqlqj wr wkh vwxg| ri wkh g|qdplfv ri rxu hfrqrp| lw
lv frqyhqlhqw wr wudqvirup lwv yduldeohv/ h{suhvvlqj suhihuhqfhv dqg whfkqrorj| lq
49

whupv ri yduldeohv wkdw zloo eh frqvwdqw lq wkh vwhdg| vwdwh1 Vlqfh doo wkh ruljlqdo
yduldeohv +h{fhsw |  jurz dw wkh vdph udwh dv f| lq wkh vwhdg| vwdwh/ wklv fdq eh
dffrpsolvkhg e| gh dwlqj wkhvh yduldeohv e| f| G S ' *f/ & ' g*f/ } ' C*f/
hwf1 Rxu hfrqrp| h{suhvvhg lq whupv ri wkh wudqviruphg yduldeohv lv lghqwlfdo wr
dq hfrqrp| lq zklfk whfkqrorjlfdo surjuhvv lv devhqw dqg jurzwk udwhv duh }hur
lq wkh vwhdg| vwdwh zlwk wzr h{fhswlrqv1
Iluvw/ wkh fdslwdo dffxpxodwlrq htxdwlrq lv dowhuhg dv iroorzv1 Lq wkh ohyho
hfrqrp|/ g|n ' E  B g g| n U| ' E  B g g| n | 8 Eg| c | f|   | vr wkdw lq
wkh wudqviruphg hfrqrp|

 g &|n ' Eg|n *f|n Ef|n *f| 

' E  B g &| n | ' E  B g &| n | 8 E&| c |   S| 1

+D5;,

Vhfrqg/ wkh surfhvv ri wudqviruplqj frqvxpswlrq +e| glylglqj e| f|  lq wkh suhi0

huhqfh vshflfdwlrq srwhqwldoo| dowhuv wkh hhfwlyh udwh ri wlph suhihuhqfh1 Wkdw
lv/
L '

"
[
|'f

q dE| c u| o '

"
[

q | dES| f| c u| o

|'f
3j S"
W
 |'f Eq | d E3j  S| 3j Euo
Eff

S"

iru jS 9'

1
W|
|'f Eq  d*L}ES|  n Eu|  n *L}Ef| o iru j S '
zkhuh zh kdyh ghqhg q W ' qE f 3jS 1 Lq rughu wr hqvxuh wkdw olihwlph xwlolw|
'

EL  lv qlwh/ zh dvvxph wkdw q W 1 Wkxv/ zh fdq h{suhvv suhihuhqfhv lq whupv ri

ES| c u|  dqg wkh glvfrxqw idfwru q W iru doo ydoxhv ri jS / vlqfh wkh whupv ff3jS dqg
S" |
|'f q d*L}Ef| o fdq eh ljqruhg vlqfh wkh| gr qrw dhfw wkh suhihuhqfh rughulqjv
S
|
rq wkh wudqviruphg yduldeohv1 Wkdw lv/ zh pd| vhw ff ' ru "
|'f q d*L}Ef| o ' f
lq wkh suhfhglqj h{suhvvlrqv1 Frqvlghu pd{lpl}lqj wudqviruphg xwlolw| vxemhfw wr
wkh sulydwh uhvrxufh frqvwudlqw dqdorjrxv wr +D47, dqg wkhq uhtxlulqj wkdw +D5;,
4:

krog iru wkh hfrqrp| dv d zkroh1 Wkh uhvxowlqj htxloleulxp frqglwlrqv dqdorjrxv
wr +D48,0+D4;, duh prvw xvhixo li wkh wudqvirupdwlrq wr fxuuhqw ydoxhg pxowlsolhuv
lv hpsor|hg/ ec
( ES| c  |   b| ' f/

+D5<,

(2 ES| c  |   b| l| (2 8 E&| c |  ' f/

+D63,

q W b|n dl|n ( 8 E&|n c |n  n E  B g o  b|  f ' f/

+D64,

8 E&| c |  n E  B g &|   f &|n  S|  }| ' f1

+D65,

 | *Eq W | 14< Wkh wudqvyhuvdolw| frqglwlrq fdq

iru doo | ' fc / 111 dqg zkhuh b| ' \

qrz eh h{suhvvhg dv *4|<" Eq W | b| &|n ' f

51 Qhdu Vwhdg| Vwdwh G|qdplfv

Wkh remhfwlyh ri wklv vhfwlrq lv wr dqdo|}h wkh orfdo g|qdplfv durxqg wkh vwhdg|
vwdwh/ zkhq wkh hfrqrp| idfhv dowhuqdwlyh ghwhuplqlvwlf vhtxhqfhv ri vkrfnv%1 Lq
wkh suhvhqw vhwwlqj/ wkh vkrfnv duh wdnhq wr eh sursruwlrqdwh yduldwlrqv lq jry0
huqphqw vshqglqj EC|  dqg wrwdo idfwru surgxfwlylw| E|  exw lw lv hdv| hqrxjk wr
lqfrusrudwh dowhuqdwlyh glvsodfhphqwv xvlqj wkh phwkrgv rxwolqhg lq wklv vhfwlrq1
Rxu phwkrg lv wr dqdo|}h qhdu vwhdg| vwdwh g|qdplfv e| frqvlghulqj wkh hfrq0
rp| h{suhvvhg lq whupv ri wudqviruphg yduldeohv1
5141 Olqhdu Dssur{lpdwlrq
Zh qrz wxuq wr dqdo|vlv ri dssur{lpdwh hfrqrplhv1 Dv glvfxvvhg lq wkh erg| ri
wkh sdshu/ rxu vwudwhj| lv wr dssur{lpdwh frqglwlrqv +D5<,0+D65, olqhduo| durxqg
4<

w duh wkh suhvhqw ydoxhg Odjudqjh pxowlsolhuv wkdw fruuhvsrqg wr wkh pd{lpl}dwlrq sureohp
iru wkh wudqviruphg hfrqrp| +qrw lq wkh wh{w,1 Uhfdoo wkdw zh xvhg w wr ghqrwh wkh Odjudqjh
pxowlsolhuv dvvrfldwhg zlwk wkh ruljlqdo +xqwudqviruphg, hfrqrp|1

4;

d vwhdg| vwdwh dqg wkhq wr vroyh wkh uhvxowlqj olqhdu g|qdplf v|vwhp1 Rxu suh0
vhqwdwlrq ri wklv dssurdfk lv ghvljqhg wr idflolwdwh xqghuvwdqglqj ri wkh jhqhudo
phwkrg/ zklfk lv suhvhqwhg lq pruh ghwdlo lq Nlqj +4<;:,1 Vlqfh wkh qhrfodvvl0
fdo prgho kdv rqo| d vlqjoh vwdwh +fdslwdo, yduldeoh/ wkhuh duh suhvhqwdwlrqv wkdw
duh pruh gluhfw wkdq wkh rqh wkdw zh xqghuwdnh khuh1 Krzhyhu/ rxu suhvhqwdwlrq
lv ghvljqhg wr pdnh fohdu wkdw wkh phwkrgv zh hpsor| fdq eh uhdglo| h{whqghg
wr dqdo|vlv ri hfrqrplhv zlwk pxowlsoh vwdwh yduldeohv +vhh wkh h{dpsohv lq Nlqj
+4<;:,,1
Dssur{lpdwlrq ri +D5<,0+D65, qhdu wkh vwdwlrqdu| ohyhov E&/  / S/ }/ dqg l,
lpsolhg e| | '  |lhogv h{suhvvlrqv iru shufhqwdjh ghyldwlrqv iurp vwhdg| vwdwh
ohyhov/ zklfk zh ghqrwh e| d flufxp h{ + ,1 Wkh uvw wzr h{suhvvlrqv lpso| wkdw

|/
1 SS S |  1 S i*E   j | ' b

+D66,

| n  | n 1 & & | n 1   | j
1 S S |  1  i*E   j | ' ib

+D67,

ni/   | n / & & | n /   | n / } } | j1

Lq wkhvh h{suhvvlrqv/ wkhuh duh d qxpehu ri hodvwlflwlhv/ doo ri zklfk duh hydoxdwhg
dw wkh vwdwlrqdu| srlqw E&c c Sc +c e|S
Iluvw/ wkh 1*v rq wkh ohiw0kdqg vlgh ri +D66, dqg +D67, duh hodvwlflwlhv ri pdu0
jlqdo xwlolw|1 Jhqhudoo|/ wkhvh pd| eh vkrzq wr eh 1 SS ' S( ESc u*( ESc u>
1 S ' u(2 ESc u*( ESc u> 1 S ' S(2 ESc u*(2 ESc u> dqg 1  ' u (22 ESc u*(2 ESc u1
Zkhq wkh xwlolw| ixqfwlrq lv dgglwlyho| vhsdudeoh/ +D58e,/ lw lv wkh fdvh wkdw
1 SS ' > 1 S ' f> 1 S ' f> dqg 1  ' u(2 Eu*(Eu1 Zkhq wkh xwlo0
lw| ixqfwlrq lv pxowlsolfdwlyho| vhsdudeoh/ +D58d,/ lw iroorzv wkdw 1 SS ' j S >
1 S ' u(Eu*Eu> 1 S '  jS > dqg 1  ' u(2 Eu*(Eu Wkhuh lv dq dggl0
wlrqdo uhvwulfwlrq zklfk pxvw eh vdwlvhg dqg lv glvfxvvhg lq Vxssohphqwdu| Qrwh
&51
4<

Vhfrqg/ wkh 1*v rq wkh uljkw0kdqg vlgh ri +D67, duh hodvwlflwlhv ri wkh pdujlqdo
surgxfw ri oderu/ dv jlyhq e| +D54e,> lq wkh Free0Grxjodv fdvh/ wkhvh duh 1 & '
E  k dqg 1  ' k  1 Wklug/ wkh /*v duh hodvwlflwlhv ri wkh zhgjh ixqfwlrq/
l| ' E   | / zlwk uhvshfw wr lwv dujxphqwv1
Glhuhqwldwlrq ri wkh lqwhuwhpsrudo h!flhqf| +D64, frqglwlrq lpsolhv wkdw
|n n #  |n n # & |n n #  |n n # } |n j ' b
|1
ib

&

C

+D68,

zkhuh #  lv wkh hodvwlflw| ri wkh qhw diwhu0wd{ pdujlqdo surgxfw ri fdslwdo/ dlE&c c c }( 8 E&c  n
EB g o/ zlwk uhvshfw wr D hydoxdwhg dw wkh vwhdg| vwdwh/ hwf1 Wkh hodvwlflwlhv pd|
eh vkrzq wr eh #  ' d f  q W E  B g od/ n o* f > # & ' d f  q W E  B g od/& n

1 gg o* f > #  ' d f q W EB g od/ n1 g o* f dqg # } ' d f q W EB g od/ } o* f /
zkhuh djdlq wkh /*v duh wkh hodvwlflwlhv ri wkh wd{ zhgjh1 +Uhfdoo wkdw xqghu wkh
Free0Grxjodv vwuxfwxuh 1 gg ' k dqg 1 g ' k Ilqdoo|/ glhuhqwldwlrq ri wkh
uhvrxufh frqvwudlqw lpsolhv

+ | ' i | n r  | n rg & | j
' rS S | n r} } | n r & |n  r E  & | 1

+D69,

zkhuh rg / r / rS / r} dqg r duh vkduhv glvfxvvhg hduolhu dqg  '  f *d f  E 

B g o : jlyhq wkdw  f  1 Wkh hodvwlflwlhv ri surgxfwlrq zlwk uhvshfw wr lqsxwv
Er dqg rg  wdnh rq vlpsoh irupv xqghu wkh Free0Grxjodv surgxfwlrq vwuxfwxuh/
r ' k dqg rg ' E  k
Wkh vroxwlrq dojrulwkp zloo eh glvfxvvhg lq pruh ghwdlo lq pdwhuldo wkdw iroorzv
+Vhfwlrq E15 ehorz,/ exw lw lv ghvludeoh wr surylgh dq ryhuylhz ehiruh suhfhglqj
wr vrph ixuwkhu ghwdlov1 +D66,0+D69, fdq eh frpelqhg wr holplqdwh frqvxpswlrq/
hruw/ dqg rxwsxw rzv/ |lhoglqj d glhuhqfh htxdwlrq v|vwhp lq fdslwdo vwrfn
53

 dqg vkdgrz sulfh Eb1

Wklv glhuhqfh v|vwhp fdq wkhq eh vroyhg/ vxemhfw wr
E&
wkh wudqvyhuvdolw| frqglwlrq/ wr surgxfh d xqltxh vroxwlrq vhtxhqfh iru wkh fdslwdo
dqg vkdgrz sulfh Eb/
jlyhq vshflfdwlrq ri h{rjhqrxv vhtxhqfhv iru E

vwrfn E&

dqg EC
dqg &
Vroxwlrqv iru rzv dqg uhodwlyh sulfhv1Zlwk wkh vroxwlrq vhtxhqfh iru b
lq kdqg/ +D66, dqg +D67, pdnh lw srvvleoh wr frpsxwh vroxwlrq vhtxhqfhv iru
| dqg S | 1 Ixuwkhu/ jlyhq wkhvh vroxwlrqv dqg wkh iroorzlqj
wkh rz yduldeohv 
h{suhvvlrqv/ h{suhvvlrqv iru rwkhu yduldeohv ri lqwhuhvw fdq eh frqvwuxfwhg1 Lq
sduwlfxodu/ zh fdq ghyhors dssur{lpdwh vroxwlrqv iru rxwsxw/ oderu surgxfwlylw|
+uhdo zdjhv, dqg lqyhvwphqw1

+ | '  | n r  | n rg & | c

+D6:,

+ |   | '  | n E  r  | n rg & | c

rS
r}
=| '
+ |  S |  } | 1
r
r
r

+D6;,
+D6<,

5151 Vroxwlrq Dojrulwkp

Lq glvfxvvlrq ri wkh vroxwlrq dojrulwkp/ zh xwlol}h wkh odqjxdjh ri glvfuhwh wlph
rswlpdo frqwuro/ vlqfh phwkrgv duh edvhg rq wkh h{whqvlyh dssolhg pdwkhpdwlfv
olwhudwxuh zklfk ghdov zlwk olqhdu rswlpdo frqwuro sureohpv1 H{suhvvlrqv +D66,
dqg +D67, uhodwh wkh rz yduldeohv +frqwurov, S | dqg  | wr wkh fdslwdo vwrfn dqg
vkdgrz sulfh +frqwuroohg vwdwh dqg fr0vwdwh yduldeohv,/ dv zhoo dv wr wkh h{rjhqrxv
yduldeohv/ whfkqrorj| vkrfnv dqg jryhuqphqw sxufkdvhv +xqfrqwuroohg vwdwhv, 1
Wkhvh h{suhvvlrqv pd| eh zulwwhq

54


SS

S |
 |


' Sr

& |
|
b


n Se

 |
} |


/

+D73,

zkhuh wkh SS / Sr / dqg Se duh 5{5 pdwulfhv1 Wkh pqhprqlf lq wkh pdwul{
qrwdwlrq lv wkdw SS uhodwhv frqwurov wr frqwurov/ Sr uhodwhv frqwurov wr vwdwhv/
dqg Se uhodwhv frqwurov wr h{rjhqrxv yduldeohv1
dqg
Wkh h{suhvvlrqv +D68, dqg +D69, uhodwh yduldwlrqv lq frqwuroohg vwdwh E&
wr fkdqjhv lq frqwurov dqg h{rjhqrxv vwdwh yduldeohv1 Wkhvh h{suhv0
fr0vwdwh Eb
vlrqv pd| eh zulwwhq dv






S |n
& |n
 |n
' rS E
n re E
/
rr E
|n
} |n
b|n

+D74,

zkhuh rr E/ rS E/ dqg re E duh pdwul{ sro|qrpldov lq wkh edfnvkliw rs0
hudwru  dw prvw ri srzhu 41 Wkh qrwdwlrq lv frqwlqxhg iurp deryh vr wkdw rS
uhodwhv vwdwhv wr frqwurov/ hwf1 Wkh frpsrqhqwv ri dq| uvw rughu pdwul{ sro|0
qrpldo  E duh h{suhvvhg dv f +wkh frqvwdqw whup, dqg  +wkh whup wkdw
pxowlsolhv 
Vlqfh SS lv lqyhuwleoh +dv d frqvhtxhqfh ri vwulfw frqfdylw| ri prphqwdu|
xwlolw|,/ wkh frpelqdwlrq ri wkhvh h{suhvvlrqv lpsolhv=53




  |n
& |n
3

' re E n rS ESS Se

|n
} |n
b




W E & |n
W E  |n /
'

+D75,
rr
re
|n
} |n
b


3  
rr E  rS ESS
Sr
ru

W E dqg  W E duh uvw0rughu pdwul{ sro|qrpldov lq 1 Wr frqyhuw

zkhuh rr
re
wklv v|vwhp wr d qrupdo glhuhqfh htxdwlrq irup/ suhpxowlso| e| wkh lqyhuvh ri

W f/ |lhoglqj wkh ixqgdphqwdo g|qdplf v|vwhp ri wkh qhrfodvvlfdo prgho1

rr
53

Lq wkh suhvhqfh ri wd{ uxohv vxfk dv +D19,/ ixuwkhu uhvwulfwlrqv kdyh wr eh lpsrvhg rq  w wr
hqvxuh lqyhuwlelolw| ri Pff1

55

& |n
|n
b

W 3  W
'  rr
rr
f






 W 3 W
 W 3 W
& |
 |n
 |
n rrf
1
ref
re
| n rrf
} |n
} |
b
+D76,

W o3 W / - ' d W o3  W dqg ' ' d W o3 W 1

Ghqh wkh pdwulfhv ` ' drr
rr
rrf
ref
rrf
re
f
Lq wkh suhvhqw dssolfdwlrq/ wkhvh duh doo 5{5 pdwulfhv/ vlqfh wkhuh duh wzr hohphqwv
ri wkh vwdwh0frvwdwh yhfwru dqg wzr h{rjhqrxv yduldeohv/ exw wkh irupdo dqdo|vlv
ehorz zloo eh frqgxfwhg dv wkrxjk wkhuh zhuh dq duelwudu| qxpehu ri hohphqwv ri
wkh vwdwh0frvwdwh yhfwru E2?r  dqg ?e h{rjhqrxv yduldeohv/ lq zklfk fdvh wkh `
pdwul{ zrxog eh E2?r   E2?r  dqg wkh - dqg ' pdwulfhv duh E2?r   E?e 1 Wkh
v|vwhp g|qdplfv duh jryhuqhg e| wkh fkdudfwhulvwlf urrwv dqg fkdudfwhulvwlf yhf0
wruv ri wkh ` pdwul{1 Ohw  eh wkh pdwul{ ri hljhqyhfwruv dqg ohw > eh d gldjrqdo
pdwul{ zlwk wkh urrwv rq wkh gldjrqdo/ rughuhg lq dvfhqglqj devroxwh ydoxh1 Wkhq/

 > 3 ' ` dqg wkh vroxwlrq wr wkh ixqgdphqwdo glhuhqfh htxdwlrq dw gdwh | lv
jlyhq e|


& |
|
b

'  >  3
|

|
[

& f
f
b


n

 >  3 '


'f

|
[

 >  3 -

'f

 |3
} |3

 |3n
} |3n


+D77,

Iru xqglvwruwhg hfrqrplhv/ wkh fkdudfwhulvwlf urrwv ri wkh pdwul{ ` vdwlvi| wkh
uhvwulfwlrqv wkdw > Eq W *2 Eq W 3*2 >2 +vhh ehorz,1 Ixuwkhu/ iru
hfrqrplhv wkdw duh qrw wrr glhuhqw iurp wkh xqglvwruwhg rqh/ lw zloo eh wkh
fdvh wkdw wkh urrwv > dqg >2 duh vxfk wkdw rqh lv xqvwdeoh dqg rqh lv vwdeoh/ d
uhtxluhphqw zklfk zh lpsrvh lq rxu vlpxodwlrqv e| phdqv ri frqvwudlqwv rq wkh
wd{ ixqfwlrq154 Lq wklv fdvh/ wkhuh zloo eh d vlqjoh fkrlfh ri wkh lqlwldo vkdgrz
54

Rqh ri wkhvh frqvwudlqwv iru wkh {hg oderu prgho/ lv $ N ?  nn 1 Zkhq $ N @  nn / x4 @ 4/

56

 f  zklfk pdnhv wkh vroxwlrq iru ib

| j"
"
sulfh Eb
|'f dqg i&| j|'f frqvlvwhqw zlwk wkh
wudqvyhuvdolw| frqglwlrq1 Wklv vdggoh srlqw lqvwdelolw| fkdudfwhulvwlf lv idploldu
iurp wkh frqwlqxrxv wlph jurzwk prgho ri Fdvv +4<98, dqg Nrrspdqv +4<98,/ lq
zklfk wkh g|qdplfv duh lq glhuhqwldo htxdwlrq irup1
f ,/ zh iroorz Ydxjkdq*v
Wr ghwhuplqh wklv lqlwldo frqglwlrq rq wkh vkdgrz sulfh/ +b
+4<:3, olqh ri dujxphqw/ zklfk kdv ehhq dssolhg wr olqhdu udwlrqdo h{shfwdwlrqv
prghov e| Eodqfkdug dqg Ndkq +4<;3,1 Zh ehjlq e| sduwlwlrqlqj wkh pdwulfhv
c >c  3 c - dqg ' dv iroorzv=



R R2
 '
c
R2 R22


> f
> '
c
f >2


-&e
- '
/
-be

 3 '


''

'&e
'be

 W

R RW2
c
RW2 RW22


c

zkhuhlq wklv dssolfdwlrqdoo ri wkh hohphqwv ri c  3 dqg > duh vfdoduv dqg wkh
hohphqwv ri - dqg ' duh +4{5, urz yhfwruv1 Pruh jhqhudoo|/ wkh vxepdwulfhv ri

 /  3 dqg > duh ?r  ?r pdwulfhv dqg wkh vxepdwulfhv ri - dqg ' duh ?r  ?r 1
Vlqfh wkh fkdudfwhulvwlf yhfwruv lq  duh rqo| ghqhg xs wr d olqhdu wudqvirupdwlrq
zh zloo odwwhu qrupdol}h  ' dqg 2 ' +wklv lv glhuhqw iurp wkh vwdqgdug
qrupdol}dwlrq 2 n 22 ' 
Wklv sduwlwlrqlqj pdnhv sduwlfxoduo| dssduhqw wkh vdggohsrlqw lqvwdelolw| ri
wkh qhrfodvvlfdo prgho/ iru zh pd| zulwh
 >  3 '


R > RW n R2 >2 RW2 R > RW2 n R2 >2 RW22

R2 > RW n R22 >2 RW2 R2 > RW2 n R22 >2 RW22


1

l=h=/ diwhu d glvsodfhphqw wkhuh lv qr whqghqf| iru wkh hfrqrp| wr uhwxuq wr wkh vwhdg| vwdwh1 Lq
wkdw fdvh/ wkh ghfuhdvh lq wkh wd{ udwh dvvrfldwhg zlwk dq lqfuhdvh lq fdslwdo h{dfwo| rvhwv wkh
ghfuhdvlqj uhwxuqv wr fdslwdo1 Zkhq $N A  nn wkh vwhdg| vwdwh lv qr orqjhu vwdeoh1

57

Dv  ehfrphv odujh/ wkh whupv lq wklv h{suhvvlrq duh grplqdwhg e| >2 zklfk lv
jurzlqj dw d udwh juhdwhu wkdq q

Ydxjkdq*v dssurdfk lqyroyhv pxowlso|lqj wkh vwdwh0frvwdwh yhfwru e|  3 / wkxv

|1
ghqlqj d qhz yhfwru ri vwdwh dqg fr0vwdwh yduldeohv/ zklfk duh ghqrwhg &| dqg b


&|
|
b

'  3

& |
|
b


1

Pxowlso|lqj erwk vlghv ri wkh ixqgdphqwdo g|qdplf htxdwlrq e|  3 ohdgv wr



&|n
 |n
b


& |n
|n c
b


& |
3

n  3 -
e|n n  3 '
e| c
'  `
b|


&|
' > 
e|n n  3 '
e| /
n  3 -
b|
'  3

+D78,

zkhuh wkh vhfrqg htxdolw| iroorzv iurp  3 ` '  3  > 3 ' > 3 1 Wkh v|vwhp
+D78, lv frpsulvhg ri wzr ghfrxsohg glhuhqfh htxdwlrqv +ru/ zlwk pxowlsoh vwdwh
yduldeohv/ yhfwruv ri glhuhqfh htxdwlrqv,1 Wkh wudqviruphg fdslwdo frpsrqhqw ri
wklv v|vwhp lv jlyhq e|
&|n ' > &| n dRW -&e n RW2 -be o e |n n dRW '&e n RW2 'be o e | 

+D79,

Wkxv/ jlyhq dq lqlwldo ydoxh ri &f +vhh ehorz,/ wklv lv d vwdeoh glhuhqfh htxd0
wlrq/ vlqfh wkh hohphqwv ri > duh ohvv wkdq 4 lq devroxwh ydoxh dqg/ khqfh/ wkh
vshflfdwlrq ri wkh lqlwldo ydoxh &f ixoo| ghwhuplqhv wkh vxev|vwhp vroxwlrq1
E| frqwudvw/ wkh dqdorjrxv ghfrxsohg glhuhqfh htxdwlrq iru wkh wudqviruphg
vkdgrz sulfh lv xqvwdeoh lq wkh edfnzdug gluhfwlrq vlqfh wkh hohphqwv ri >2 h{fhhg
4 lq devroxwh ydoxh1 Iru wklv uhdvrq/ dv Ydxjkdq srlqwv rxw/ rqh qhhgv wr lpsrvh
58

d whuplqdo udwkhu wkdq dq lqlwldo ydoxh erxqgdu| frqglwlrq ri wkh wudqviruphg

vkdgrz sulfh1 Wr gr wklv/ lw lv hdvlhvw wr suh0pxowlso| wkh vxev|vwhp e| >3

2 vr lw

pd| eh zulwwhq dv
 | ' >3 b
 |n  >3 dRW -&e n RW -be o e |n  >3 dRW '&e n RW 'be o e | 1
b
2
2
2
22
2
2
22

+D7:,

 | jurzv dw udwh
Vroylqj wklv htxdwlrq iruzdug/ xvlqj wkh whuplqdo frqglwlrq wkdw b

ohvv wkdq >3

2 +lpsolhg e| wkh wudqvyhuvdolw| frqglwlrq, |lhogv wkh vroxwlrq=

#"
$
"
[ 3 3
[
3

3

| ' 
b
>2
dRW2 -&e n RW22 -be o e |n n n
>2
dRW2 '&e n RW22 'be o e |n 1
 'f

 'f

+D7;,

Wr uhwxuq wr rxu ruljlqdo vshflfdwlrq iru wkh vwdwh dqg fr0vwdwh yduldeohv/ zh
xwlol}h wkh lqyhuvh wudqvirupdwlrq


& |
|
b


'

&|
|
b


1

Wklv wudqvirupdwlrq lv dssolhg wr wkh suhylrxvo| ghwhuplqhg vroxwlrqv iru wkh wudqv0
iruphg vwdwh dqg fr0vwdwh yduldeohv/ zklfk pd| eh zulwwhq lq pdwul{ irup dv=


&|n
 |n
b

zkhuh s| ' 

 

> f
&|
'
|
f f
b
 W

 W

R '&e n RW2 'be
R -&e n RW2 -be
n
e |n n
e | +D7<,
f
f
 
f
n
s|n c
U

S
"

3 3 dRW - n RW - o e
2 &e
22 be |n n n
 'f >2


3 3 dRW ' n RW ' o e
>
2 &e
22 be |n 
 'f 2

S"

Wkxv/ lw iroorzv wkdw wkh vroxwlrqv iru wkh ruljlqdo yduldeohv wdnh wkh irupv
59



k l
k l
> f
&|n
3 & |
'


b |n
b |
f f
k
k
l
l

ER - n R - 
ER ' n R ' 
n f &e 2 be e |n n  f &e 2 be e | n  fU s|n 1


k l
R > RW R > RW2 k& | l kRER-&e nR2-be  l
&|n
'
n R2ER -&e nR -be  e |n
+D83,
b |n
b |

2
R2 > RW R2 > RW2
l
k
 
R ER '&e nR2 'be 
n R2ER '&e nR 'be  e | n RR2
s|n 1
22
W

Lq frqwudvw wr wkh hduolhu jhqhudo vroxwlrq/ wklv v|vwhp lv qrz vwdeoh lq wkh edfnzdug
gluhfwlrq1
Lqlwldo Frqglwlrqv1 Wkh uhodwlrqvkls ehwzhhq wkh vroxwlrqv lv jlyhq/ frpsdfwo|/
e|
|/
&| ' RW & | n RW2 b

 | ' RW & | n RW b
b
2
22 | 1

+D84d,
+D84e,

Wkh vhfrqg ri wkhvh frqglwlrqv lpsolhv wkdw

 |  dRW o3 RW & |
| ' dRW o3 b
b
22
22
2

+D85,

zklfk lpsolhv dq lqlwldo frqglwlrq iru wkh vkdgrz sulfh/ jlyhq wkh lqlwldo fdslwdo
vwrfn & f dqg wkh lqlwldo frqglwlrq rq wkh wudqviruphg vkdgrz sulfh/ zklfk lv jlyhq
e| wkh suhfhglqj dqdo|vlv +D7;,1 Wkh frpelqdwlrq ri +D84d, dqg +D85, lpsolhv
wkdw
k
l
W
W
W
W
W
3

W
3
W




&| ' R &| n R2 b| ' R &| n R2 dR22 o b|  dR22 o R2 &|


 |/
' RW  RW2 dRW22 o3 RW2 & | n RW2 dRW22 o3 b

+D86,

zklfk lqglfdwhv wkdw vshflfdwlrq ri wkh lqlwldo fdslwdo vwrfn dqg wkh wudqviruphg
vkdgrz sulfh |lhog dq lqlwldo frqglwlrq rq wkh wudqviruphg fdslwdo vwrfn1
5:

5161 Dowhuqdwlyh Vroxwlrqv

Wkhuh duh wzr dowhuqdwlyh vroxwlrqv wkdw zloo suryh xvhixo lq frqvlghulqj vrph
dowhuqdwlyh h{shulphqwv zlwk wklv fodvv ri prghov1
Iluvw/ li rqh lv lqwhuhvwhg lq hydoxdwlqj wkh hhfwv ri d sduwlfxodu vhtxhqfh ri

h{rjhqrxv yduldeohv/ i
e| j"
|'f / wkhq wkh frpsxwdwlrqdoo| dgydqwdjhrxv vroxwlrq lv
J dqg wkhq wr xvh wkh jhqhudo vroxwlrq +D78, deryh/ zklfk fdq eh
wr frpsxwh b
Wklv lv wkh qdwxudo
frpsxwhg uhfxuvlyho|/ wr vxsso| vxevhtxhqw ydoxhv ri & dqg b1
surfhgxuh iru fhuwdlq k|srwkhwlfdo srolf| h{shulphqwv/ vxfk dv lqyhvwljdwlqj wkh
lpsolfdwlrqv ri d whpsrudu| ulvh lq plolwdu| vshqglqj iru d zdu ri vshflhg gxudwlrq
+Z|qqh +4<;:,,1
Vhfrqg/ zrunlqj xqghu d fhuwdlqw| htxlydohqfh dvvxpswlrq/ rqh fdq vwxg| wkh
vwrfkdvwlf surfhvvhv jhqhudwhg e| wkh prgho hfrqrp| xvlqj d olqhdu/ Pdunry vwuxf0
wxuh iru wkh h{rjhqrxv iruflqj yduldeohv1 Wkhq/ dq dowhuqdwlyh dssurdfk lv wkh
qdwxudo rqh1

Lq wklv dssurdfk/ wkh vhtxhqfhv i

e|n j"
 'f lq wkh suhfhglqj vroxwlrqv duh uh0

1 Wkhq/ wkh glvfrxqwhg

sodfhg e| .i
e|n j"
 'f mU| / zkhuh U| frqwdlqv wkh klvwru| ri e
 | fdq eh froodsvhg wr vshflhg olqhdu ixqfwlrqv ri U| xvlqj wkh
vxpv suhvhqw lq b
Kdqvhq0Vdujhqw +4<;3/ 4<;4, irupxodv iru iruhfdvwlqj ri glvfrxqwhg vxpv1 Ghqrwh
 | 1 Wkhq/ wkh frpelqdwlrq ri wkh fdslwdo frpsrqhqw ri wkh
wklv vroxwlrq dv bEU
ixqgdphqwdo glhuhqfh htxdwlrq
| EU| 
& |n ' dR > RW n R2 >2 RW2 o & | n dR > RW2 n R2 >2 RW22 o b
n-&e . d
e|n o mU| n '&e e | /

+D78d,

dqg wkh suhfhglqj uhodwlrq ehwzhhq wudqviruphg dqg xqwudqviruphg vkdgrz sulfhv/
| ' dRW o3 b
 |  dRW o3 RW & | c
b
22
22
2
5;

+D78e,

|lhogv wkh iroorzlqj htxloleulxp odz ri prwlrq iru wkh fdslwdo vwrfn1

W
W W 3 b dU o
& |n ' dR > R3
|
o&| n dR > R2 n R2 >2 R22 o dR22 o

+D88,

n-&e . d
e|n o mU| n '&e e | /
zkhuh zh xvh wkh irupxod dR o3 ' RW  RW2 dRW22 o3 RW2 / zklfk lv rewdlqhg iurp
wkh vwdqgdug irupxod iru lqyhuvlrq ri d sduwlwlrqhg pdwul{1
 | G
Frpsxwdwlrq ri bEU
Wkh wudqviruphg vkdgrz sulfh htxdwlrq +D7<, fdq eh h{suhvvhg lq wkh irup=
 | ' >3 b
 |n n 5 e |n n 5f e | c
b
2
 | lv d ?r  yhfwru/ >2 lv dq ?r  ?r pdwul{/ e | lv d ?e  yhfwru/ dqg
zkhuh b
5f c 5 duh ?r  ?e pdwulfhv1 Xqghu wkh fhuwdlqw| htxlydohqfh dvvxpswlrq/ wklv
glhuhqfh htxdwlrq lv dvvxphg wr krog lq h{shfwdwlrq irup/
 | ' >3 .| b
 |n n 5 .| e |n n 5f .| e | /
b
2

+D89,

Iru vfdodu yhuvlrqv ri wklv w|sh ri h{suhvvlrq/ Kdqvhq dqg Vdujhqw +4<;3/ 4<;4,
kdyh surylghg irupxodv/ xqghu wkh dvvxpswlrq wkdw wkh h{rjhqrxv yduldeohv duh
jryhuqhg e| DUPD surfhvvhv1 Wkh iruhfdvwlqj irupxodv wr eh hpsor|hg zloo
xwlol}h wkh idfw wkdw >2 lv d gldjrqdo pdwul{/ vr wkdw wkh Kdqvhq0Vdujhqw irupxodv
fdq eh hpsor|hg rq dq dssursuldwh olqh0e|0olqh edvlv1
Iluvw/ sduwlwlrq 5f dqg 5 lqwr ?r urz yhfwruv/ ghqrwhg 5f dqg 5 /  ' c c ?r1
Wkhq/ d uhsuhvhqwdwlyh htxdwlrq fdq eh zulwwhq dv
 | ' >3 .| b
 c|n n 5 .| e |n n 5f e | /
b
2

5<

+D8:,

Wklv fdq eh vroyhg iruzdug lq wkh vwdqgdug pdqqhu dqg Kdqvhq0Vdujhqw irupxodv
dssolhg1 Wr wdnh wkh frqfuhwh +dqg hdv|, h{dpsoh wkdw zh xwlol}h wkurxjkrxw rxu
dqdo|vlv/ vxssrvh wkdw wkh yhfwru ri h{rjhqrxv yduldeohv lv dq DU+4,/
e|3 n "| /
e | ' 4

+D8;,

e|
zkhuh 4 lv dq ?e  ?e pdwul{1 Wkhq/ lw iroorzv wkdw 5 .| e |n n5f e | ' d5 4n5f o
dqg wkdw
 | ' d5 4 n 5f odU  >3 4o3 e | 1
b
2

+D8<,

Dssolfdwlrq ri wklv uhvxow wr hdfk ri wkh ?r htxdwlrqv |lhogv wkh ghvluhg iruhfdvwlqj
irupxod1
Lq frpelqdwlrq zlwk wkh odz ri prwlrq iru wkh h{rjhqrxv yduldeohv/ wkhvh h{suhv0
fr0vwdwh Eb
dqg wkh h{rjhqrxv
vlrqv irup d olqhdu v|vwhp frpsulvlqj wkh vwdwh E&/
yduldeohv1 Wkxv/ pxowlyduldwh olqhdu v|vwhp phwkrgv fdq eh xvhg iru frpsxwdwlrq
ri +l, lpsxovh uhvsrqvhv> +ll, srsxodwlrq prphqwv> dqg +lll, vwrfkdvwlf vlpxodwlrqv
ri wkh irup uhsruwhg lq wkh wh{w1 Wkh rz fkduw suhvhqwhg lq Iljxuh 4 vxppdul}hv
wkh rshudwlrqv uhtxluhg wr rewdlq wkhvh wkuhh w|shv ri rxwsxw1
^Lqvhuw Iljxuh 4 Khuh`
Wkdw lv/ lq wkh vshflf fdvh xqghu vwxg| zlwk d vlqjoh fdslwdo vwrfn dqg d
uvw rughu dxwruhjuhvvlyh surfhvvhv iru wkh iruflqj yduldeohv/ wkhuh zloo eh d olqhdu
v|vwhp wkdw h{suhvvhv wkh rswlpdo hyroxwlrq ri wkh vwdwh yduldeoh/ &/ zklfk lv xqghu
wkh frqwuro ri djhqwv/ dqg wkh h{rjhqrxv vwdwh yduldeohv D dqg }
5

r|n

6 5
65
6 5
6
> Z & Z&}
f
& |n
& |
' 7  |n 8 ' 7 f 4 4} 8 7  | 8 n 7 "c|n 8 /
f 4} 4}}
"}c|n
} |n
} |
63

+D93,

zkhuh " dqg "} duh vkrfnv wr wkh v|vwhp wkdw duh vhuldoo| xqfruuhodwhg exw duh
srwhqwldoo| frqwhpsrudqhrxvo| fruuhodwhg1 Wkh frh!flhqwv 4 c 4} c 4} / dqg 4}}
jryhuq wkh prgho*v h{rjhqrxv g|qdplfv> xqghu wkh pdlqwdlqhg dvvxpswlrq wkdw
wkh vkrfnv wr wkh v|vwhp duh whpsrudu| lq irup/ zh uhtxluh wkdw wkh h{rjhqrxv
surfhvv iru E dqg }  lv vwdwlrqdu|1 Wkh frh!flhqwv Z& dqg Z&} duh jlyhq e|
frpelqlqj +D89, dqg +D93, deryh/ lqyroylqj erwk iruhfdvwlqj dqg whfkqrorjlfdo
sdudphwhuv1 Iru frqyhqlhqfh/ zh zulwh wklv vroxwlrq lq wkh yhfwru dxwruhjuhvvlyh
irup dv r|n '  r| n "| 1
Wkh rwkhu yduldeohv ri wkh v|vwhp/ +wkh vkdgrz sulfh/ frqvxpswlrq/ hruw/
lqyhvwphqw/ rxwsxw/ surgxfwlylw|/ hwf1, fdq doo eh zulwwhq dv olqhdu ixqfwlrqv ri
| ' RW3 bEU
 |   RW3 RW & | > +ll, wkh suhfhglqj
r| / xvlqj +l, wkh suhfhglqj uhodwlrq/ b
22

22

h{suhvvlrqv iru rswlpdo frqwurov/ +D73,/ dqg wkh uhodwlrqv jryhuqlqj rzv dqg
uhodwlyh sulfhv/ +D6:,0+D6<,1 Ohwwlqj wkh yhfwru ri yduldeohv ri lqwhuhvw eh ghvfulehg
dv 5| / wkhvh olqhdu uhvwulfwlrqv fdq eh h{suhvvhg dv 5| '  r| 1
5171 Ghwdlohg H{dpsoh= Wkh Vwdqgdug Qhrfodvvlfdo Prgho
Dv d frqfuhwh dssolfdwlrq ri wkh irujrlqj/ frqvlghu wkh edvlf qhrfodvvlfdo prgho
zlwk {hg oderu dqg sxeolf h{shqglwxuhv qdqfhg e| oxps vxp wd{hv1 Wkhq/ lw
iroorzv wkdw zh holplqdwh +D67, dqg wuhdw  | ' f lq doo rwkhu htxdwlrqv deryh1
Wkh uhgxfwlrq wr d vlqjoh frqwuro pdnhv lw uhodwlyho| hdv| wr fduu| rxw wkh dojheud
wkdw fruuhvsrqgv wr rxu jhqhudo vroxwlrq vwudwhj|1 Wkh htxdwlrq +D73, uhodwlqj
wkh vlqjoh frqwuro wr wkh vwdwh/ fr0vwdwh dqg h{rjhqrxv yduldeohv/ zulwwhq lq wkh
jhqhudo irup lv
k l
k l
|
& |
SS S | ' Sr b n Se }
| /
|
zkhuh SS ' jS / Sr ' df o dqg Se ' df fo1 Wkh htxdwlrq uhodwlqj vwdwhv wr
frqwurov dqg h{rjhqrxv yduldeohv lv
64

k l
k l
 n
&
rr E b |n ' rS E
S|n n re E } ||n
/
|n

 

#&
f 
zkhuh rr E '
n
 zlwk ^ ' dr E   n E  ko
r f
^ f
k
l k
l
 
3#
f
f
f
rS E ' dff o n f3rS  dqg re E ' f 
n
f
3r}  Wkh ixqgdphqwdo
g|qdplf htxdwlrq lv

k
k
l
l
W E & |n '  W E  |n /
rr
re
} |n
b |n

W E ' drrE  rS EdSS o3Sr o kdv d sduwlfxoduo| vlpsoh irup
zkhuh rr
ehfdxvh rSf ' df fo1
k
W E ' #&
rr
r

k
n f^

3
3rS *jS 1

Ixuwkhu/ Se ' df fo lpsolhv wkdw

W E '  E n  E 3  '  E1

re
re
rS
Se
re
SS
Wkh vwdwh0frvwdwh wudqvlwlrq pdwul{ lv
k
W o3  W ' Er 3 ^
` ' drr

rr
3#& ^
f

3ErS *jS 
ErS *jS #& 3r  1

Wkh rwkhu h{suhvvlrqv lq wkh ixqgdphqwdo glhuhqfh v|vwhp duh dv iroorzv1



f
f
W
3

W
- ' drrf o ref '
1
#  f
Wkxv/ wkh sduwlwlrqlqj ri wklv pdwul{ dv rxwolqhg deryh lqyroyhv -&e ' df
-be ' d#  fo1 Vlploduo|/
65

fo dqg



r}
# & r} # &



r} Er 3 dqg 'be ' # & Er 3 r} # & Er 3 1

W o3 W ' Er 3

' ' drr

re
f
fdq eh sduwlwlrqhg lqwr '&e '

Er 3

Wkh Ghfrpsrvlwlrq ` '  > 3 1

Wkh uvw vwhs lqyroyhv frpsxwlqj wkh fkdudfwhulvwlf urrwv dvvrfldwhg zlwk wkh
v|vwhp ri glhuhqfh htxdwlrqv1 Wkhvh duh wkh vroxwlrqv wr m`  ~Um ' f1 Vlqfh
lq wklv fdvh ` lv d 2  2 pdwul{/ lw lv hdv| wr suryh wkdw wkh wzr fkdudfwhulvwlf
urrwv/ ghqrwhg e| > / duh jlyhq e|=
> n >2 '  n 22 /
> >2 '  22  2 2 1
zkhuh  ghqrwhv wkh Ec  hohphqw ri ` 1 Wkdw lpsolhv wkdw=

rS # &
> n >2 ' E^ n rS # & *j S  r *r ' W 
n /
q
j S r 
E  r n E  k

> >2 ' ^*r '

' dE  B g  n E  kt *go ' *q W 1
r

Wkh fkdudfwhulvwlf yhfwruv/ % / duh wkh vroxwlrqv wr E`  > U% ' f1 Wr
vlpsoli| wkh frpsxwdwlrqv zh qrupdol}h % wr eh htxdo wr rqh/ lqvwhdg ri xvlqj
wkh wudglwlrqdo qrupdol}dwlrq %2 n %22 ' 1 Wkh fkdudfwhulvwlf yhfwruv duh wkhq ri


wkh irup E>   *2 1 Xvlqj wkh idfw wkdw  ' > >2 / lw iroorzv wkdw
wkh pdwul{ ri fkdudfwhulvwlf yhfwruv lv jlyhq e|=

 '

> E3>2 
2

 3 ' Em m3

>2 E3> 
2
>2 E3> 

3>E23>2 
2

66


dqg


&
1

 3# 
zlwk m m ' >232>  Xvlqj htxdwlrq +D7<, dqg wkh idfw wkdw 2  & 22 ' 32>2 zh fdq
22
W

 | dv=
zulwh wkh vroxwlrq iru b

 | ' 22
b
3
>2  >3
2 


 >2
r} E  >2 

| 
} | 1
#  |n n
r 2
r 2

Xvlqj +D88d, zh fdq zulwh

W n >  W o d W o3 b  #  | n # r} } 1
& |n ' > & | n d> 2
|
|
2 22
&
&
22
r
r
 | dqg uhduudqjlqj whupv=
Vxevwlwxwlqj b
& |n

' > & | n

3
>2 r  >3
2 





rS
#  n   |n n r} E  
}|n 1
jS 

Iljxuh 5 pd| khos lq wkh lqwhusuhwdwlrq ri wkh iroorzlqj txdolwdwlyh vwdwhphqwv

derxw wkh urrwv1 Iru wkh xqglvwruwhg hfrqrp| zh kdyh ehhq frqvlghulqj/ lw lv

xqdpeljxrxv wkdw wkh urrwv vdwlvi| > Eq W 3 >2 1 Wkh odujhu lv wkh
+srvlwlyh, udwlr ErS # & *j S r / wkhq wkh vpdoohu lv > dqg wkh odujhu lv >2 / vlqfh
dq lqfuhdvh lq wklv udwlr vkliwv wkh grwwhg olqh rxwzdug155 +Wklv udwlr lv srvlwlyh/
vlqfh wkh hodvwlflw| ri wkh +diwhu0wd{, pdujlqdo surgxfw ri fdslwdo zlwk uhvshfw wr
wkh fdslwdo vwrfn E# &  lv qhjdwlyh1,
^Lqvhuw Iljxuh 5 Khuh`

55

Wkh wzr htxdwlrqv wkdw ghwhuplqh wkh urrwv lq wkh hfrqrp| zlwk d frqvwdqw rxwsxw wd{ duh=
 4,.
[ dqg 4 . 5 @ 4 5  vf n . 4=
4 5 @ +4n , +
 
!vl f

67

61 Vlpxodwlrqv/ Prphqwv dqg Lpsxovh Uhvsrqvh Ixqfwlrqv

Wkh olqhdu fkdudfwhu ri wkh +dssur{lpdwh, g|qdplf v|vwhp surgxfhg lq wkh suhfhg0
lqj vhfwlrq lpsolhv wkdw zh fdq gudz xsrq wkh h{whqvlyh erg| ri pdwhuldo ghdolqj
zlwk dqdo|vlv ri wkhvh v|vwhpv156 Iru wkh sxusrvh ri wkh suhvhqw vwxg|/ wkh nh|
hohphqwv duh dv iroorzv1
Iluvw/ wkh olqhdu v|vwhp*v vwdwh yduldeohv hyroyh dffruglqj wr
r|n '  r| n "| /

+D94,

dqg wkh uhpdlqghu ri yduldeohv ri lqwhuhvw duh jryhuqhg e|

5 | '  r| 1

+D95,

Vlpxodwlrqv=
Jlyhq vshflfdwlrq ri wkh lqqrydwlrqv lq wkh vwrfkdvwlf surfhvvhv iru wkh
h{rjhqrxv yduldeohv/ "| dqg "C| / lw lv vwudljkwiruzdug wr jhqhudwh vlpxodwhg wlph
sdwkv jlyhq= +l, lqlwldo vwdwh ydoxhv/ rJ > dqg +ll, vhtxhqfhv ri wkh "| iru d jlyhq vdp0
soh lqwhuydo/ | ' c A 1 Lq rxu ylhz/ wr dyrlg ghshqghqfh rq lqlwldo frqglwlrqv/ rJ
vkrxog eh jhqhudwhg dv d gudz iurp d wul0yduldwh udqgrp yduldeoh/ zlwk suredelolw|
glvwulexwlrq jlyhq e| wkh vwdwlrqdu| glvwulexwlrq ri r1 Uhfxuvlyh frpsxwdwlrq ri
wkh A shulrg vlpxodwlrq lv gluhfw1
Lpsxovh Uhvsrqvh Ixqfwlrqv
Lw lv dovr vwudljkwiruzdug wr xvh wkh v|vwhp +D940D95, wr jhqhudwh lpsxovh
uhvsrqvh ixqfwlrqv1 Wkh surjudpv wkdw zh hpsor| xqghuwdnh wklv lq d gluhfw
pdqqhu/ vshfli|lqj " / dqg wkhq xwlol}lqj wkh irupxod +D94, uhfxuvlyho|1 +D95, wkhq
jlyhv wkh rwkhu yduldeohv ri lqwhuhvw/ gluhfwo| iurp wkh frpsxwhg vwdwh uhvsrqvhv1
56

Vhh/ iru lqvwdqfh Kduyh| +4<;4, dqg Fkrz +4<:8,1

68

Srsxodwlrq Prphqwv
Frpsxwdwlrq ri srsxodwlrq prphqwv lv dovr vwudljkwiruzdug1 Zh hpsor| wkh
iroorzlqj surfhgxuh1 Iluvw/ zh ghfrpsrvh wkh v|vwhp pdwul{  dv iroorzv1
 '   (   3 /
zkhuh SP lv wkh pdwul{ ri hljhqyhfwruv ri  dqg ( frqwdlqv wkh hljhqydoxhv
rq lwv gldjrqdo +dqg }hurv hovhzkhuh,1 Wkhq/ zh ghqh wudqviruphg vwdwhv dv
rW| '   3 r| /
dqg wudqviruphg lqqrydwlrqv dv
"W| '   3 "| 1
Wkhq/ wkh fryduldqfh ehwzhhq dq| wzr hohphqwv/ rW| dqg rW| / lv jlyhq e|
.drW| rW| o ' d  _6 _6 o3 .d"W| "W| o/
zkhuh _6 lv wkh lwk gldjrqdo hohphqwv ri wkh pdwul{ GP1 Fdofxodwlrq ri wkh
yduldqfh0fryduldqfh pdwul{ ri wkh ruljlqdo +xqwudqviruphg, vwdwh yduldeohv wkhq lv
jlyhq e| uhyhuvlqj wkh wudqvirupdwlrq=

3
.dr| r| o '   .drW| rW
| o  1
Wkh uvw rughu dxwruhjuhvvlyh irup ri wkh olqhdu v|vwhp pdnhv lw sduwlfxoduo| hdv|
wr frpsxwh dxwrfryduldqfhv dw dq| ghvluhg ohdg ru odj  : f G

odjv G
ohdgv G

.dr| r|3 o '   .dr| r| o/



.dr| r|n o ' .dr| r| oE   1



69

Prphqwv ri wkh rwkhu yduldeohv ri lqwhuhvw fdq dovr uhdglo| eh fdofxodwhg

.d5| 5| o '  .dr| r| o 1


6:

Uhihuhqfhv
Eodqfkdug/ R1 dqg F1 Ndkq/ Wkh Vroxwlrq ri Olqhdu Glhuhqfh Prghov Xqghu
Udwlrqdo H{shfwdwlrqv/ Hfrqrphwulfd/ 7;= 4638044/ Mxo| 4<;31
Fdvv/ G1/Rswlpxp Jurzwk lq dq Djjuhjdwlyh Prgho ri Fdslwdo Dffxpxodwlrq/
Uhylhz ri Hfrqrplf Vwxglhv 65= 5660573/ Mxo| 4<981
Fkrz/ J1/ Dqdo|vlv dqg Frqwuro ri G|qdplf Hfrqrplf V|vwhpv/ Zloh|/ Qhz
\run/ 4<:81
Ihujxvrq/ F1/ Plfurhfrqrplf Wkhru|/ Luzlq/ Qhz \run/ 4<971
Kdqvhq/ O1 dqg W1 Vdujhqw/ Irupxodwlqj dqg Hvwlpdwlqj G|qdplf Olqhdu Ud0
wlrqdo H{shfwdwlrqv Prghov/ Mrxuqdo ri Hfrqrplf G|qdplfv dqg Frqwuro/
5= :079/ Iheuxdu| 4<;31
Kdqvhq/ O1 dqg W1 Vdujhqw/ Olqhdu Udwlrqdo H{shfwdwlrqv Prghov iru G|qdp0
lfdoo| Lqwhuuhodwhg Yduldeohv/ lq Udwlrqdo H{shfwdwlrqv dqg Hfrqrphwulf
Sudfwlfh/ hg1 U1H1 Oxfdv/ Mu1 dqg W1M1 Vdujhqw/ Plqqhdsrolv Xqly1 Suhvv/
Plqqhdsrolv/ 4<;41
Kduyh|/ D1/ Wlph Vhulhv Prghov/ R{irug= Sklools Doodq/ 4<;41
Nlqj/ U1 J1/ Exvlqhvv F|fohv dqg Hfrqrplf Jurzwk/ Ohfwxuhv rq Pdfurhfr0
qrplfv/ xqsxeolvkhg/ Xqlyhuvlw| ri Urfkhvwhu/ 4<;:1
Nrrspdqv/ W1/ Rq wkh Frqfhsw ri Rswlpdo Hfrqrplf Jurzwk/ lq Wkh Hfrqr0
phwulf Dssurdfk wr Ghyhorsphqw Sodqqlqj/ Fklfdjr= Udqg0PfQdoo|/ 4<981
Skhosv/ H1/ Jroghq Uxohv ri Hfrqrplf Jurzwk/ Qruwrq/ Qhz \run/ 4<991

6;

Suhvfrww/ H1/ Wkhru| Dkhdg ri Exvlqhvv F|foh Phdvxuhphqw/ Fduqhjlh0Urfkhvwhu

Frqihuhqfh Vhulhv rq Sxeolf Srolf| 58/ 44099/ 4<;91
Urphu/ S1/ Lqfuhdvlqj Uhwxuqv dqg Orqj Uxq Jurzwk/ Mrxuqdo ri Srolwlfdo
Hfrqrp| <7= 433506:/ Rfwrehu 4<;91
Urphu/ S1 dqg K1 Vdvdnl/ Prqrwrqlfdoo| Ghfuhdvlqj Qdwxudo Uhvrxufhv Sulfhv
Xqghu Shuihfw Iruhvljkw/ Urfkhvwhu Fhqwhu iru Hfrqrplf Uhvhdufk zrunlqj
sdshu qr1 4</ Iheuxdu| 4<;71
Urphu/ S1 dqg W1 Vklqrwvxnd/ Wkh Nxkq Wxfnhu Wkhruhp Lpsolhv wkh Jurzwk
Wudqvyhuvdolw| Frqglwlrq dw Lqqlw|/ xqsxeolvkhg/ Xqlyhuvlw| ri Urfkhvwhu/
Pd| 4<;:1
Vzdq/ W1/ Jurzwk Prghov ri Jroghq Djhv dqg Surgxfwlrq Ixqfwlrqv/ lq Nhq0
qhwk Ehuulo hg1/ Hfrqrplf Ghyhorsphqw zlwk Vshfldo Uhihuhqfh wr Hdvw Dvld/
Orqgrq/ Pdfploodq/ 4<971
Ydxjkdq/ G1 U1/ D Qrq Uhfxuvlyh Dojrulwkp Vroxwlrq iru wkh Glvfuhwh Ulfdwwl
Htxdwlrq/ LHHH Wudqvdfwlrqv rq Dxwrpdwlf Frqwuro/ DF048/ 8<:08<</ 4<:31
Zhlw}pdq/ P1/ Gxdolw| Wkhru| iru Lqqlwh Wlph Krul}rq Frqyh{ Prghov/ Pdq0
djhphqw Vflhqfh 4</ &:/ :6;0:;</ 4<:61
Z|qqh/ P1/ Wkh Hhfwv ri Jryhuqphqw Vshqglqj lq d Shuihfw Iruhvljkw Prgho/
xqsxeolvkhg/ Xqlyhuvlw| ri Urfkhvwhu/ Pd|/ 4<;:1

6<

Vxssohphqwdu| Qrwh &4=

Pdujlqdo Surgxfw Hodvwlflwlhv
Wklv qrwh uhsruwv wkh ghwdlov ri hodvwlflw| fdofxodwlrqv ehklqg htxdwlrqv +D54d/e,1
Wkh ghwdlov iroorz Ihujxvrq/ F1H1/ Plfurhfrqrplf Wkhru|/ 6ug hglwlrq/ 4<:5/ 7470
7581
Ohw wkh surgxfwlrq ixqfwlrq t ' 8 Egc  = Glylglqj e| wkh txdqwlw| ri oderu
lqsxw dqg ghqlqj d surgxfwlrq +sE&, ixqfwlrq iru rxwsxw shu xqlw ri oderu lqsxw=
t * ' 8 Eg*c  ' s E&/
zkhuh & ' g* 1 Wkhq/ lw lv vwudljkwiruzdug wr yhuli| wkdw wkh pdujlqdo surgxfwv
ri oderu dqg fdslwdo duh
Yt *Y ' s E&  &(s E&/
Yt *Yg ' (s E&1
Qrz/ ghqh wkh pdujlqdo udwh ri whfkqlfdo vxevwlwxwlrq ri oderu iru fdslwdo dv
6orgc '

Yt *Y
s E&  &(s E&
'
1
Yt *Yg
(s E&

Lw iroorzv wkdw wkh ghulydwlyh ri 6orgc zlwk uhvshfw wr & lv mxvw



s E&(2 s E&
E(s E&2

vr wkdw wkh hodvwlflw| ri vxevwlwxwlrq ri fdslwdo lv mxvw

l g ' _ *L}Eg* *_ *L}E6orgc  ' 

(s E&ds E&  &(s E&o

1
&s E&(2 s E&

Qrwh wkdw wkh hodvwlflw| ri vxevwlwxwlrq ri oderu iru fdslwdo lv htxdo wr wkdw ri
fdslwdo iru oderu/ vlqfh *L}E% '  *L}E*%1
73

Wkh uhohydqw hodvwlflwlhv ri wkh pdujlqdo surgxfwv duh frpsxwhg dv iroorzv=

Y Yt
Yt
& 2 (2 s E&
E
o*d
o'
' 1 g /
Y Y
Y
sE&  &(s E&
Y Yt
Yt
&( 2 s E&
1 gg ' d
E
ogdE
o '
' 1 g 1
Yg Yg
Yg
(s E&
1  ' d

zkhuh wkh uljkw 0kdqg htxdolwlhv pd| hlwkhu eh yhulhg gluhfwo| ru ylhzhg dv d
surshuw| ri wkh }hur ghjuhh krprjhqhlw| ri wkh pdujlqdo surgxfwv +dv ghulydwlyhv
ri wkh surgxfwlrq ixqfwlrq/ zklfk lv krprjhqhrxv ri ghjuhh rqh,1
Qrz/ ghqh idfwru vkduhv dv iroorzv=
 EYt *Y
s E&  &(s E&
'
/
t
s E&
gEYt *Yg
&(s E&
rg '
'
1
t
s E&
r '

Wkhq/ lw iroorzv wkdw

l g '
Vlploduo|/
l g '

&(s E& s E&  s(s E&

' rg *1  1
s E&
& 2 (2 s E&

s E&  &(s E& &( 2 s E&

*d
o ' r *1 gg 1
sE&
(s E&

Wkxv/ lw iroorzv wkdw

1 gg ' 1 g ' r *l g /
1  ' 1 g ' rg *l g 1
Wkxv/ ghwhuplqdwlrq ri wkh ydoxhv ri r / rg +vxemhfw wr wkh frqvwudlqw wkdw r n
rg ' , dqg l g ghwhuplqhv wkh hodvwlflwlhv ri wkh pdujlqdo surgxfw vfkhgxohv1
Lq hhfw/ zh duh xvlqj wkh surshuw| wkdw dq| frqvwdqw uhwxuqv wr vfdoh surgxfwlrq
ixqfwlrq lv orfdoo| dssur{lpdwhg e| d FHV ixqfwlrq1

74

Vxssohphqwdu| Qrwh &5

Xwlolw| dqg Ghpdqg Wkhru|
Wkh remhfwv ri wkhvh qrwhv duh wr dgg vrph dgglwlrqdo lqirupdwlrq frqfhuqlqj
xwlolw| dqg ghpdqg wkhru| iru wkh vwhdg| vwdwh ri wkh jurzwk prgho1 Wkh remhfwlyh
lv wr uhodwh wkh hodvwlflwlhv ri pdujlqdo xwlolw| xvhg lq wkh whfkqlfdo dsshqgl{ dqg
surjudpv wr pruh wudglwlrqdo ghpdqg frqfhswv1
Frqvlghu dq djhqw fkrrvlqj frqvxpswlrq dqg oderu vxsso| +ohlvxuh ghpdqg,
vr dv wr pd{lpl}h
ESc uc
vxemhfw wr d exgjhw frqvwudlqw
u n S   n @  + s /
zkhuh wkh wlph hqgrzphqw lv qrupdol}hg wr xqlw|> @ ghqrwhv rwkhu lqfrph> dqg
+ s lv ixoo lqfrph1
41 Uhvxowv iurp Ghpdqg Wkhru|
Iurp vwdqgdug ghpdqg dqdo|vlv/ zh nqrz wkdw wkh Pduvkdooldq ghpdqgv wdnh
wkh irup S ' 6S Ec + s  dqg u ' 6u Ec + s 1 Iru wkhvh ghpdqgv/
+l, vkduh zhljkwhg lqfrph hodvwlflwlhv ri ghpdqg pxvw vxp wr xqlw|>
+ll, vkduh zhljkwhg sulfh hodvwlflwlhv "u dqg "S vdwlvi| dq dgglwlrqdo uhvwulfwlrq=
u u
S

n s "u n s "S ' s 
s
+
+
+
+
Jlyhq wkh vkduhv/ wkhq/ wkhuh duh rqo| wzr lqghshqghqw lqfrph dqg sulfh hodvwlfl0
wlhv1 Lq dgglwlrq/ rxu jurzwk uhvwulfwlrq uhtxluhv wkdw
( 6u + s (2 6u
n
' fc
u
u
75

l1h1/ wkh lqfrph hodvwlflw| dqg sulfh hodvwlflw| ri ohlvxuh ghpdqg vxp wr }hur1
Wdnhq wrjhwkhu/ wkhq / lq d vwhdg| vwdwh wkdw kdv lpsolflwo| ghwhuplqhg h{shq0
glwxuh vkduhv/ wkhuh lv rqo| rqh ghjuhh ri iuhhgrp1
51 Lpsolfdwlrqv iru Hodvwlflwlhv ri Pdujlqdo Xwlolw|
Zlwk wkh w|sh ri suhihuhqfhv ghvfulehg lq wkh pdlq wh{w/ zklfk zh zulwh dv
ESc u '

dSEu  o3j c
j

wkhuh lv d pdujlqdo udwh ri vxevwlwxwlrq frqglwlrq

(2 ESc u*( ESc u ' dS(Eu*Euo ' 
Zlwk d olwwoh dojheud/ wklv lpsolhv wkdw
rS du(Eu*Euod*E   o ' r 
Khqfh/ lw iroorzv wkdw du(Eu*Euo1 lv slqqhg grzq jlyhq wkh vwhdg| vwdwh/ qrw
d iuhh sdudphwhu1
Zlwk wkh vshflhg suhihuhqfh/ hodvwlflwlhv ri pdujlqdo xwlolw| duh jlyhq e|
1 SS ' j
1 Su ' E  jdu(Eu*Euo
1 uS ' E  j 1 Su ' jdu(Eu*Euo n du(2 Eu*(Euo
Wkhvh h{suhvvlrqv frqwdlq wzr iuhh sdudphwhuv= j/ zklfk frqwurov lqwhuwhpsr0
udo vxevwlwxwlrq2ulvn dyhuvlrq dqg du(2 Eu*(Euo1 Orj glhuhqwldwlrq ri wkh
pdujlqdo udwh ri vxevwlwxwlrq frqglwlrq lqglfdwhv wkdw j grhv qrw hqwhu/ vr wkdw
vshflfdwlrq ri du(2 Eu*(Euo lv htxlydohqw wr vshflfdwlrq ri wkh vlqjoh iuhh
sdudphwhu lq wkh Pduvkdooldq ghpdqg v|vwhp1

76

Figure 1
Start
Compute Dynamic
Decision Rules
For kt and t.

Compute
the steady state
Linearize
Efficiency
Conditions
Around Steady State

Compute Matrices that

Express Optimal Controls
As Functions of States
Obtain Matrices that
Express Fundamental
Dynamic System in
Normal Form
Compute Eigenvalues and
Eigenvectors of
State Co-state Transition
Matrix (W)

Mcc, Mcs, Mce

Msc,Mss,Mse

M*ss(B), M*se(B)

Compute Transition
Path Toward the Steady
State for Given k0 and
Sequence of Exogenous
Shocks

Compute Decision
Rules for k, , c, y,
N, etc.

W, R, Q

P, , stability
of steady state

Specify
Forcing
Processes
(Markovian)

Compute
Population
Moments

Calculate
Impulse
Responses

Compute
Stochastic
Simulations

Figure 2

1 + 2 =1/sck/(csi) + 1
1 2 =1/
1