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TASEP

hydrodynamics using
microscopic
characteristics
Marc Vaisband
Geboren am 31. März 1997 in Herdecke

29.06.2017

Bachelorarbeit Mathematik
Betreuer: Prof. Dr. Patrik Ferrari
Zweitgutachter: Dr. Martin Huesmann
Institute for Applied Mathematics

Mathematisch-Naturwissenschaftliche Fakultät der


Rheinischen Friedrich-Wilhelms-Universität Bonn
Abstract
The Totally Asymmetric Simple Exclusion Process, or TASEP, is a very well-known
interacting particle system. We consider sites in Z. There is at most one particle
allowed per site. Starting from an initial configuration on Z, each particle attempts
independently to jump one to the right with rate 1, provided the site to its right is empty.
The Burgers equation on the other hand is a deterministic partial differential equation
providing a model of transport and representing the nonlinear part of the Navier-Stokes
equations. We prove that the hydrodynamic limit of the TASEP with appropriate
initial configuration weakly solves the Riemann problem for the Burgers Equation. To
do that, we introduce couplings and second class particles, before proving Laws of Large
Numbers for the asymptotic behaviour of certain first and second class particles. In
the course of those considerations, we also study the method of characteristics to solve
the Burgers equation and the phenomena that arise for the Riemann problem, i.e. a
shock in the equation or a rarefaction fan, with appropriate corresponding statements
for particles in the TASEP for each case. In particular, we will notice that certain kinds
of particles are, in a sense, transported by the characteristics, leading to convergence.

Zusammenfassung
Der Totally Asymmetric Simple Exclusion Process, kurz TASEP, ist ein sehr bekan-
ntes Beispiel für ein stochastisches Teilchensystem 1 . Wir betrachten Stellen in Z. Es
kann immer höchstens ein Teilchen pro Stelle geben. Ausgehend von einer Anfangskon-
figuration auf Z, jedes Teilchen unabhängig, mit Rate 1 um eins nach rechts zu sprin-
gen, sofern die Stelle zu seiner rechten noch nicht besetzt ist. Im Kontrast dazu ist die
Burgers-gleichung eine deterministische partielle Differentialgleichung, die den nicht-
linearen Teil der Navier-Stokes-Gleichungen darstellt und ein Modell für Dichtentrans-
port bietet. Wir beweisen, dass der TASEP mit geeigneter Anfangskonfiguration im
hydrodynamischen Grenzwert eine schwache Lösung des Riemannproblems für die Burg-
ersgleichung annimmt. Zu diesem Zweck führen wir Couplings und Teilchen zweiter
Klasse ein und zeigen gewisse Gesetze der Großen Zahlen für diverse Teilchen erster
und zweiter Klasse im TASEP. Im Zuge dessen untersuchen wir auch die Methode der
Charakteristiken zur Lösung der Burgersgleichung und betrachten die dabei auftre-
tenden Phänomene, nämlich entweder die Präsenz von Schocks in der Gleichung oder
das Auftreten eines Verdünnungsfächers2 , wobei wir jeweils entsprechende Aussagen
für den TASEP beweisen. Insbesondere zeigen wir, dass bestimmte Teilchen in einem
gewissen Sinne von den Charakteristiken transportiert werden, was zur Konvergenz
führt.

1
Technische Begriffe sind frei vom Autor übersetzt
2
Auch als Verdünnungswelle oder Verdünnungstrichter bekannt

1
CONTENTS CONTENTS

Contents

Contents 2

1 Introduction 4
1.1 Overview . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
1.2 General setting and notation . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5

2 The Burgers Equation 6


2.1 Equation and parameters . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
2.2 Method of characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
2.3 Smoothness considerations and conservation . . . . . . . . . . . . . . . . . . . 8
2.3.1 Weak solution formulation . . . . . . . . . . . . . . . . . . . . . . . . . 8
2.3.2 Conservation Law . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
2.4 Solution of the Burgers equation . . . . . . . . . . . . . . . . . . . . . . . . . . 9
2.4.1 The shock front . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
2.4.2 The rarefaction fan . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
2.4.3 The smooth case . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15

3 The TASEP 16
3.1 Constructing the TASEP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
3.2 Properties of the TASEP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
3.2.1 Markov Property . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
3.2.2 Product Measures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
3.2.3 Invariant Distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
3.3 Tagging a particle . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
3.4 Couplings and second class particles . . . . . . . . . . . . . . . . . . . . . . . . 21
3.4.1 Couplings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
3.4.2 Second Class Particles . . . . . . . . . . . . . . . . . . . . . . . . . . . 23

4 Laws of Large Numbers 27


4.1 Definitions and Notation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
4.1.1 Configurations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
4.1.2 The Translation and Cut operators . . . . . . . . . . . . . . . . . . . . 28
4.1.3 Flux along a trajectory . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
4.2 The density of particles in an area . . . . . . . . . . . . . . . . . . . . . . . . . 28
4.3 The tagged particle . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
4.4 The Flux . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
4.5 The tagged second class particle . . . . . . . . . . . . . . . . . . . . . . . . . . 34
4.6 Isolated second class particle . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35

5 The Hydrodynamic Limit 38


5.1 Proof in the shock case . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
5.1.1 Preparation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
5.1.2 Local Equilibrium . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
5.1.3 Convergence of the Density Fields . . . . . . . . . . . . . . . . . . . . . 44
5.2 Proof in the rarefaction case . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47
5.2.1 Preparation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47
5.2.2 Local Equilibrium . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54
5.2.3 Convergence of the Density Fields . . . . . . . . . . . . . . . . . . . . . 58

2
CONTENTS CONTENTS

5.3 Proof in the smooth case . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64


5.3.1 Local Equilibrium . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65
5.3.2 Convergence of the Density Fields . . . . . . . . . . . . . . . . . . . . . 65

6 Further reading 66

References 66

3
1 INTRODUCTION

1 Introduction
In this thesis, we will consider the Totally Asymmetric Simple Exclusion Process. It is a
process on {0, 1}Z with a very simple stochastic updating rule. We start with an initial
configuration of particles on sites in Z. Each particle, independently of the others, attempts
to jump one to the right, with the waiting times between jump attempts distributed expo-
nentially with mean 1. If, at the time of a jump attempt of a particle, the site to its right
is empty, then it successfully travels 1 to the right. Otherwise, the jump fails and nothing
happens. Over time, this provides a model of transport for the individual, “microscopic”,
particles, depending on the initial configuration.

One intuition for the TASEP is to think of cars driving along a highway. All cars move
in the same direction, but can only drive as quickly as the space in front of them permits.
This means that the more cars there are, the more congested the road and the slower the
movement on average. In fact, the TASEP is actually very often used as the basis for mod-
elling traffic flow and jams (see for instance [25], [8], [18]). Another subject where the study
of TASEPs has found widespread application is biology, where it is used to model protein
biosynthesis and intercellular transport (for example, see [26], [24], [20]). In mathematics, the
TASEP is arguably one of the simplest non-reversible stochastic particle interaction systems,
a field that has been studied extensively in the recent past. It also has relationships with
other areas of research like random matrix theory [5].

In this thesis, we will study properties of the TASEP and see a correspondence with a
“macroscopic” model of the same motion, namely the Burgers Equation, which does not take
into account individual particles, but instead looks at the shifts in density.

The one-dimensional Burgers equation is a partial differential equation that frequently


comes up when dealing with particle densities and specifically models of transport. It was
introduced by the Dutch mathematician Johannes Martinus Burgers in 1939 as a simplified
form of the Navier-Stokes equations, dropping the pressure term and yielding a nonlinear
first order PDE3 . Like the TASEP, it is used for modelling in many settings, among them
fluid dynamics (see for example [19], [6]), and it also has a relationship with the heat equa-
tion [15]. The aforementioned intuition of traffic transport holds in this case as well, as we
will see later; here, too, does greater density imply lower speed of transport, which in turn
leads to interesting phenomena in the equation. We now outline the basic structure of this
thesis.

1.1 Overview
In this thesis, we will show that the hydrodynamic limit of the TASEP is a solution of the
Burgers equation. This will be the overarching goal of our considerations, during which we
will follow a paper by P. A. Ferrari [10]. Our main tool will be proving Laws of Large Num-
bers for certain types of particles, which later allows us to obtain useful bounds and show
convergence in the sense outlined by section 5.

We start by introducing the Burgers equation in section 2, specifically the inviscid Burgers
equation without external force. We consider weak solutions to the Riemann problem, where
the initial condition has a discontinuity at zero, with density λ to the left of the origin and
3
For more details, refer to [7]

4
1 INTRODUCTION 1.2 General setting and notation

ρ to the right. Because the solutions obtained that way have a special relationship with the
TASEP, we will employ the method of characteristics, which leads to a natural case analysis
based on whether λ < ρ, λ > ρ, or λ = ρ. We examine each case separately (sections 2.4.1,
2.4.2, 2.4.3 respectively) and treat the phenomena that arise in each, specifically a shock
front or a rarefaction fan.

Section 3 is dedicated to formally constructing the TASEP and establishing the first
properties that will be of interest to our considerations. Specifically, we consider invariant
measures for the process, section 3.2.3, and later introduce second class particles, which be-
have like regular particles but can be overtaken, in section 3.4.2.

That allows us to prove Laws of Large Numbers governing the asymptotic behaviour of
certain particles, which we do in section 4. We utilise the well known (see [11], [16], [22])
fact that the position of a tagged particle initially at the origin is again a Poisson process.
From there, we prove similar statements for the flux of particles along a trajectory, a tagged
second class particle in a shock configuration and lastly an isolated second class particle.

Finally, this allows us to state and prove our main result in section 5. We will treat
two separate notions of the hydrodynamic limit, concerning both a pointwise representation
of the respective weak solution to the Burgers equation and almost sure convergence to an
intergral over it. The proofs given are somewhat technical, but mostly rest on very simple
ideas and the results proved in the previous section. As mentioned before, we will do a case
analysis based on whether λ < ρ, λ > ρ, or λ = ρ, just like in section 2, and in each case
utilise the results we proved beforehand.

Section 6 serves as an addendum to mention further interesting results that are beyond
the scope of this thesis, mentioning related fields of study and known generalizations.

1.2 General setting and notation


Let (Ω, F, P) be a probability space. Since we will consider no change of measure, we will
in some instances write a.s for P-a.s., and all random variables and processes will be with
regard to this probability space. We will require it to be sufficiently rich to construct a
Poisson process ω on Z × R≥0 , which will represent the jump times. It is also possible to
view this as a family of independent Poisson processes (ωx )x∈Z of rate 1, where we don’t
consider the counting process but instead the random discrete subset. By the properties of
the Poisson process, for every bounded A × B ⊂ Z × R>0 we have that the number of points
of ω inside A × B is distributed according to Poi(|A| · µ(B)) where µ is the Lebesgue measure.

Additionally, we will need to construct a family of independent Unif([0, 1]) distributed


random variables (U (x))x∈Z , also independent of the Poisson process.

Lastly, we will in a few places utilise the floor and ceiling function, defined for any ζ ∈ R by

bζc = sup{a ∈ Z : a ≤ ζ} and dζe = inf{a ∈ Z : a ≥ ζ}

5
2 THE BURGERS EQUATION

2 The Burgers Equation


We begin by introducing the Burgers equation.

2.1 Equation and parameters


If we take v, a function on the domain D = R × R≥0 , to represent a particle density at the
spatial position r and at time t, and consider a viscosity coefficient β as well as an external
force F (r, t), we say that it satisfies the Burgers equation with initial condition v0 if we have
that

∂ ∂ ∂2
v(r, t) + v(r, t) v(r, t) = β 2 v(r, t) + F (r, t) (2.1)
∂t ∂r ∂r
v(r, 0) = v0 (r) (2.2)

In this thesis, we consider the case where both the external force F and the viscosity β
are zero, which yields the more commonly encountered inviscid Burgers equation.
Moreover, for convenience, we substitute v := 1 − 2u. Then we get
∂ ∂ ∂
0= v(r, t) + v(r, t) = −2 u(r, t) + (1 − 2u(r, t)) · (−2 u(r, t)) (2.3)
∂t ∂t ∂r
1
After multiplication with − 2 , the transformed equation then reads:
∂ ∂
u(r, t) + (1 − 2u(r, t)) · u(r, t)
0= (2.4)
∂t ∂r
Note that, for further simplicity, if we set g(s) = s(1 − s), it follows that g 0 (s) = 1 − 2s,
so we can use the chain rule and write

∂ ∂ ∂ ∂(u(1 − u))
(1 − 2u(r, t)) · u(r, t) = g 0 (u(r, t)) · u(r, t) = (g(u(r, t))) = (r, t) (2.5)
∂r ∂r ∂r ∂r
So finally, this leads us to the equation which is equivalent to 2.1, and to which we will
refer as the Burgers equation:

∂ ∂(u(r, t)(1 − u(r, t)))


u(r, t) + =0 (2.6)
∂t ∂r
u(r, 0) = u0 (r) (2.7)

where u0 (r) is an additionally given initial condition.


Here, we will restrict ourselves to the case where the initial condition u0 is given by
(
λ if r ≤ 0
u0 (r) ≡ uλ,ρ (r) := (2.8)
ρ if r > 0
for λ, ρ ∈ [0, 1]. This is also known as the Riemann problem for the Burgers equation.

6
2 THE BURGERS EQUATION 2.2 Method of characteristics

2.2 Method of characteristics


The method of characteristics is a technique for solving partial differential equations by start-
ing at the initial condition (which is given) and extrapolating the solution from there using
the equation. That way, it is possible to reduce a partial differential equation to a collection
of ordinary differential equations which may be easier to solve.

To apply the method, we assume that a solution u(r, t) exists and is constant along certain
trajectories wr (t) starting in r, that is for all t > 0:


u(wr (t), t) = 0 (2.9)
∂t
while also satisfying
wr (0) = r (2.10)
These trajectories are called characteristics and emanate from time t = 0, carrying solu-
tions from the initial condition.
We will now attempt to recover information about the properties of the wr from the under-
lying equation in order to construct a solution.

Lemma 2.1. The characteristics starting from −s < 0 have speed 1−2λ, while those starting
from s > 0 have speed 1 − 2ρ. As a consequence,

w−s (t) = (1 − 2λ)t (2.11)


and ws (t) = (1 − 2ρ)t (2.12)

Proof. By the chain rule, and using 2.4, equation 2.9 is equivalent to

∂ ∂ ∂ ∂
0= (u(wr (t), t)) = wr (t) · u(wr (t), t) + u(wr (t), t)
∂t ∂t ∂r ∂t
2.4 ∂ ∂ ∂
= wr (t) · u(wr (t), t) − (1 − 2u(wr (t), t)) · u(wr (t), t) (2.13)
∂t ∂r ∂r
It follows that

wr (t) = 1 − 2u(wr (t), t) = 1 − 2u0 (wr (0)) (2.14)
∂t
To complete the proof, it suffices to notice that for r < 0,

u0 (wr (0)) = u0 (r) = λ (2.15)

and for r > 0


u0 (wr (0)) = u0 (r) = ρ (2.16)
Plugging these values into equation 2.14 yields the desired result. The explicit representation
of w−s and ws follows immediately by integration.
Note that in particular, this means that the characteristics are all lines, moving through
space with constant speed.

7
2.3 Smoothness considerations and conservation 2 THE BURGERS EQUATION

2.3 Smoothness considerations and conservation


Unlike other PDEs like the Heat equation, the Burgers equation does not necessarily have a
smoothing effect on its initial data, so the discontinuity present at zero in our initial data u0
may persist using this method.
The normal equation would impose certain regularity conditions on u, specifically that u ∈
C 1 (R × R>0 ) ∩ C 0 (R × R≥0 ), since the PDE wouldn’t make sense otherwise. However, we can
extract a way for a less regular function u to, in a sense, satisfy the equation. We do this by
assuming v was a regular solution, multiplying with a smooth test function, and rewriting
the resulting expression so that it no longer involves the derivatives of v. This leads us to
the notion of a weak solution:

2.3.1 Weak solution formulation


Lemma 2.2. A weak solution v of the Burgers equation 2.6 with initial condition must
satisfy:
∀ϕ ∈ Cc∞ (R × R≥0 ) :

∞ ∞ ∞
∂ϕ ∂ϕ
Z Z Z
(r, t)v(r, t) + (r, t)(v(1 − v))(r, t)drdt + ϕ(r, 0)v0 (r)dr = 0 (2.17)
0 −∞ ∂t ∂r −∞

where Cc∞ is the test space of smooth functions with compact support.

Proof. Assume v were a genuine (“strong”) solution to equation 2.6. Then, multiplication
with a test function ϕ and integration allows us to integrate by parts, which yields
Z ∞Z ∞
∂ ∂(v(1 − v))
0= ϕ v(r, t) + ϕ (r, t)drdt
0 −∞ ∂t ∂r
Z ∞Z ∞ Z ∞
∂ϕ
=− (r, t)v(r, t)drdt − ϕ(r, 0)v(r, 0)dr
0 −∞ ∂t −∞
Z ∞Z ∞
∂ϕ
− (r, t)(v(1 − v))(r, t)drdt (2.18)
0 −∞ ∂r
Z ∞Z ∞ Z ∞
∂ϕ
=− (r, t)v(r, t)drdt − ϕ(r, 0)v0 (r)dr
0 −∞ ∂t −∞
Z ∞Z ∞
∂ϕ
− (r, t)(v(1 − v))(r, t)drdt
0 −∞ ∂r

Note that since ϕ has compact support, the integration is actually over a bounded domain,
so we discard the boundary terms at infinity when applying partial integration. This yields
the desired result.
Obviously, weak solutions can only be unique up to modifications on sets of measure zero.
Even then, it turns out, there can be a multitude of different weak solutions. To achieve
uniqueness, then, we need to impose additional restrictions on the solutions. This can serve
as motivation for the following.

Definition 2.3 (Entropy condition). A weak solution u of the Burgers equation is said to
satisfy the entropy condition if there exists a constant C ≥ 0 for all t > 0, z ∈ R and almost
every r ∈ R such that  1
u(x + z, t) − u(x, t) ≤ C 1 + z (2.19)
t
8
2 THE BURGERS EQUATION 2.4 Solution of the Burgers equation

This condition is loosely connected with the notion that the physical entropy of a system
cannot decrease as time increases, which warrants the name. As we will see, such entropy
solutions form a strong relationship with the TASEP. To show their importance to the Burgers
equation, we state the following theorem, a proof for which can be found in [9].

Theorem 2.4 (Uniqueness of entropy solutions). Consider the partial differential equation

∂ ∂
u(r, t) + F (u)(r, t) = 0 for (r, t) ∈ R × (0, ∞)
∂t ∂r (2.20)
u(r, 0) = u0 (r) for r ∈ R

Assume F is strictly concave or convex and smooth. Then, there exists - up to measure zero
- at most one entropy solution for the equation.

Of course, the assumptions of the theorem are satisfied in our case, as F (u) = u(1 − u).
Additionally, the method of characteristics described above does actually yield an entropy
solution4 .

2.3.2 Conservation Law


If we consider the physics interpretation of u as a density of particles, an application of
equation 2.6 yields a “conservation of mass law”. It corresponds to the physical intuition
that the rate of change of the mass contained inside an interval is equal to the flux along
the boundary of the interval. Similar relations exist in many applications, and the concept
is similar to the divergence theorem.

Lemma 2.5 (Conservation of mass). Let a ≤ b and let u be a solution of the Burgers equation.
Then,
d b
Z
u(r, t)dr = u(a, t)(1 − u(a, t)) − u(b, t)(1 − u(b, t)) (2.21)
dt a
Proof. Since u is continuous, it is bounded on the compact set [a, b] and we can justify
interchanging the order of differentiation and integration. Then, we can use equation 2.6 and
the fundamental theorem of calculus:
d b
Z b Z b
∂ ∂(u(1 − u))
Z
2.6
u(r, t)dr = u(r, t)dr = − (r, t)dr (2.22)
dt a a ∂t a ∂r
FTC  b
= − (u(1 − u))(r, t) a = u(a, t)(1 − u(a, t)) − u(b, t)(1 − u(b, t)) (2.23)

as desired.

2.4 Solution of the Burgers equation


As we will see, to employ the method of characteristics, we will need to consider three different
cases. The most important ones are the first, where λ < ρ, so that the characteristics meet,
and the second, where λ > ρ, so the characteristics don’t fill the entire space and instead
leave a cone filled by characteristics emanating from zero, which we will call rarefaction
fan. Finally, we will briefly examine the, in a sense degenerate, case where λ = ρ, so the
characteristics are parallel.

9
2.4 Solution of the Burgers equation 2 THE BURGERS EQUATION

density λ 0 density ρ
time 0

time t
(1 − λ − ρ)t

Figure 2.1: Here, λ < ρ. The lines represent the characteristics, which have speed 1 − 2ρ if
they originate from r > 0, or speed 1 − 2λ if they emanate from −r < 0

2.4.1 The shock front


Let λ < ρ. It follows that 1 − 2λ > 1 − 2ρ. As a consequence, the characteristics must meet,
creating a shock front.

Let r > 0, then we can consider the characteristics

wr (t) = (1 − 2ρ)t + r
w−r (t) = (1 − 2λ)t − r

Lemma 2.6. The characteristics wr and w−r meet at time


r
t(r) = (2.24)
ρ−λ
and at the position
(1 − λ − ρ)r
x(r) = (2.25)
ρ−λ
Proof. We first prove equation 2.24. To do that, we compute

wr (t(r)) = w−r (t(r)) ⇒ (1 − 2ρ)t(r) + r = (1 − 2λ)t(r) − r (2.26)

Rearranging yields
r
2r = (1 − 2ρ − 1 + 2λ)t(r) = (2λ − 2ρ)t(r) ⇒ t(r) = (2.27)
ρ−λ

4
For more details, see [9]

10
2 THE BURGERS EQUATION 2.4 Solution of the Burgers equation

This finishes the first part of the proof. For the remaining claim about equation 2.25, consider
r (1 − 2ρ)r + (ρ − λ)r (1 − λ − ρ)r
x(r) = wr (t(r)) = (1 − 2ρ) +r = = (2.28)
ρ−λ ρ−λ ρ−λ

We now define u to be the solution obtained via the method of characteristics, that is,
defining it at each point (r, t) by finding the adequate trajectory wq that satisfies wq (t) = r
and from there setting u(r, t) = u0 (q).

If we denote by y(t) the position of the shock at time t, it follows that


(
λ if r ≤ y(t)
u(r, t) =
ρ if r > y(t)
So, to acquire a more explicit representation of u, we just need to determine the properties
of y(t).
Lemma 2.7. If we set y(t) to be the position of the shock at time t, it holds that

y(t) = (1 − λ − ρ)t (2.29)


Proof. As the shock only moves through space with finite speed, we can first choose a and b
from R such that the shock is contained inside [a, b]. Then we notice that, in this case,

Z b Z y(t) Z b
u(r, t)dr = u(r, t)dr + u(r, t)dr = λ(y(t) − a) + ρ(b − y(t)) (2.30)
a a y(t)

Now, we differentiate both sides of the equation.


For the left-hand side, we use Lemma 2.5 and the definition of u:

b

Z
2.5
u(r, t)dr = u(a, t)(1 − u(a, t)) − u(b, t)(1 − u(b, t)) = λ(1 − λ) − ρ(1 − ρ) (2.31)
∂t a

Differentiating the right-hand side yields



(λ(y(t) − a) + ρ(b − y(t))) = y 0 (t)(λ − ρ) (2.32)
∂t
As a consequence,

y 0 (t)(λ − ρ) = λ(1 − λ) − ρ(1 − ρ) (2.33)


Recall that y(0) = 0, so that

λ(1 − λ) − ρ(1 − ρ) λ − ρ + ρ2 − λ2 ρ2 − λ2
y(t) = t= t = (1 − )t = (1 − λ − ρ)t (2.34)
λ−ρ λ−ρ ρ−λ

Remark 2.8. The result of the previous Lemma fits nicely with the geometric intuition of
getting the speed of the shock front by averaging the speeds of the characteristics to the left
and to the right of it. In fact,
(1 − 2ρ) + (1 − 2λ)
(1 − λ − ρ) = (2.35)
2
11
2.4 Solution of the Burgers equation 2 THE BURGERS EQUATION

As a consequence of these considerations we have just proved the following statement:


Proposition 2.9. For λ < ρ, the weak solution for the Burgers equation 2.6 with initial
condition uλ,ρ obtained via the method of characteristics is given by
(
λ if r ≤ (1 − λ − ρ)t
u(r, t) = uλ,ρ (r − (1 − λ − ρ)t) = (2.36)
ρ if r > (1 − λ − ρ)t

u(r, t)

(1 − λ − ρ)t r

Figure 2.2: This is the profile of the solution in the shock case for a fixed t

Of course, since the discontinuity present in the initial data is carried by the shock front,
u is not differentiable in ((1 − λ − ρ)t, t), so it cannot be a genuine solution. It is, however,
differentiable almost everywhere (that is, on the half space with the exemption of the shock
front), and, by construction via the method of characteristics, must satisfy the Burgers
equation weakly in the sense of Lemma 2.2.

2.4.2 The rarefaction fan


Here, we consider λ > ρ. Because that implies 1 − 2λ < 1 − 2ρ, the phenomenon that arises is
somewhat converse to section 2.4.1. Instead of meeting, the characteristics spread in different
directions and the trajectories starting strictly to the left or right of the origin do not cover
the entire space. As a consequence, there are many weak solutions.

The one we are interested in is the rarefaction fan, sometimes also called rarefaction
wave, where additional characteristics whose speeds are in (1 − 2λ, 1 − 2ρ) emanate from the
origin.

Specifically, for α ∈ [ρ, λ], we consider the characteristics


xα (t) = (1 − 2α)t (2.37)
carrying the solution α, i.e.
u(xα (t), t) = α (2.38)
Proposition 2.10. For all t > 0, the above method yields the weak solution
if r < (1 − 2λ)t


 λ
t−r

u(r, t) = if (1 − 2λ)t ≤ r ≤ (1 − 2ρ)t (2.39)

 2t
ρ if r > (1 − 2ρ)t

12
2 THE BURGERS EQUATION 2.4 Solution of the Burgers equation

density λ 0 density ρ
time 0

time t
(1 − 2λ)t (1 − 2ρ)t

Figure 2.3: Here, λ > ρ. Notice the additional characteristics that exist between the ones
carrying λ and ρ

u(r, t)

(1 − 2ρ)t r
(1 − 2λ)t

Figure 2.4: This is the profile of the solution in the rarefaction case for a fixed t

Proof. Let us fix t > 0. Using the characteristics, we can immediately determine that

∀r < (1 − 2λ)t : u(r, t) = λ

and
∀r > (1 − 2ρ)t : u(r, t) = ρ

13
2.4 Solution of the Burgers equation 2 THE BURGERS EQUATION

Thus, it remains to consider r ∈ [(1 − 2λ)t, (1 − 2ρ)t]. By continuity, we set

u((1 − 2λ)t, t) = λ
and
u((1 − 2ρ)t, t) = ρ
and then linearly interpolate between those two endpoints.
As a result, we get

u((1 − 2ρ)t, t) − u((1 − 2λ)t, t)


u(r, t) = u((1 − 2λ)t, t) + (r − (1 − 2λ)t)
(1 − 2ρ)t − (1 − 2λ)t
ρ−λ
=λ+ (r − (1 − 2λ)t)
(1 − 2ρ)t − (1 − 2λ)t
r − (1 − 2λ)t (2.40)
=λ−
2t
2tλ − r + t − 2tλ
=
2t
t−r
=
2t
It is easy to see that this does indeed yield a weak solution. The derivatives outside the
rarefaction fan are zero, while for the inside we can check that

∂ 2t − 2(t − r) r
u(r, t) = =
∂t 4t2 2t2
∂ ∂ t−rt+r
  ∂  t2 − r2  r
(u(1 − u))(r, t) = = 2
=− 2
∂r ∂r 2t 2t ∂r 4t 2t

As stressed before, the rarefaction fan constructed via the method of characteristics is
not necessarily a unique weak solution. Other possible weak solutions when λ > ρ include
the rarefaction shock (see figure 2.5).
The rarefaction fan, however, is the solution we will study. It has a special role, as it is
the “physical” solution, in the sense that it satisfies the entropy condition as discussed in
section 2.3.1.
In fact, if we take uβ to be the unique strong solution to the viscid Burgers equation with
external force F ≡ 0 and viscosity β,
∂ ∂  ∂2
u+ (u(1 − u)) (r, t) = β 2 u(r, t) (2.41)
∂t ∂r ∂r
it holds that
lim uβ (r, t) = u(r, t) (2.42)
β→0

as defined in Proposition 2.10. A proof of that statement and a more thorough discussion of
this phenomenon, also called artificial viscidity, can be found in [9].

14
2 THE BURGERS EQUATION 2.4 Solution of the Burgers equation

density λ 0 density ρ
time 0

time t
(1 − 2λ)t (1 − 2ρ)t

Figure 2.5: This is one of the other weak solutions to the Burgers equation, the rarefaction
shock, which is not a physical solution and lacks the relationship to the TASEP

2.4.3 The smooth case


In this section we briefly consider the case where λ = ρ. Here, all characteristics have the
same speed 1 − 2ρ and all carry the solution ρ. As a consequence, the solution obtained via
the method of characteristics is
u(r, t) = ρ for all (r, t) ∈ R × R≥0 (2.43)
As it satisfies the initial condition by definition, and the derivatives in space and time are
zero, it is easy to see that u defined this way is indeed a solution, even a strong one.

density ρ 0 density ρ
time 0

time t
(1 − 2ρ)t

Figure 2.6: Here, λ = ρ, so the solution u is constant throughout space and time

15
3 THE TASEP

3 The Totally Asymmetric Simple Exclusion Process


In the last section we have concerned ourselves with the Burgers equation and its solutions,
which means that we have looked at the “macroscopic” model. Now we focus our attention
on the microscopic side of things, considering individual particles and their transport in a
stochastic way.

Specifically, the underlying space now will be Z instead of R. We will call elements of Z
sites and functions ζ : Z → {0, 1} configurations5 . For any given configuration ζ, we say
that there is a particle at site x iff ζ(x) = 1, otherwise we will say there is a hole.

While a more rigorous construction will be treated in section 3.1, the Totally Asym-
metric Simple Exclusion Process, which is the subject of this thesis, can be heuristically
described as follows:

Starting from an initial configuration ζ, each particle independently attempts to jump


one unit to the right with rate one, but can only make the transition if the site to its right is
empty, otherwise the jump fails. We will model the jumps with a Poisson process of rate 1, so
in particular the waiting times between jumps are exponentially distributed with parameter 1.

In essence, the name carries all the essential properties of the TASEP: Because all jumps
are to the right, the process is called totally asymmetric, and because at most one particle
per site is allowed, it is a simple exclusion process. So let us turn our attention towards the
formal construction.

3.1 Constructing the TASEP


Let η be an (initial) configuration, i.e. η : Z → {0, 1}.
Let ω be a Poisson process of rate 1 on Z × R≥0 , which forms a random discrete subset.
Essentially, we want to independently associate a one-dimensional Poisson process with each
x ∈ Z. If (x, t) ∈ ω, we say that there is an arrow at time t from x to x + 1. These arrows
will later represent “jump attempts”, with waiting time between such jump attempts obeying
the exponential distribution with mean 1. The state space for the TASEP will be {0, 1}Z ,
while the stochastic updating rule is described below.
Let T > 0. We first aim to construct the process for the time interval [0, T ].

We notice the following:

Lemma 3.1. There is a doubly infinite6 collection of sites (xi )i∈Z , such that for each i there
is no arrow xi → xi + 1 inside [0, T ].

Proof. Without loss of generality, we will prove the existence of infinitely many sites to the
right of the origin (as the exact same proof works to the left). We will aim to use the second
Borel-Cantelli lemma.

Let Yk be the number of arrows k → k + 1 inside [0, T ]. Now let us denote the event
Ak = {ω : Yk (ω) = 0}, that is that there is no arrow k → k + 1 in [0, T ]. Because ω is a

5
It is also possible to think of them as elements of {0, 1}Z , which will be the state space for the process
we’re about to define
6
infinite both to the left and to the right of the origin

16
3 THE TASEP 3.1 Constructing the TASEP

Initial configuration η
time 0

time T

Figure 3.1: Here we see a realisation of ω, represented as arrows, with an initial configuration
η, where the particles are shown as dots.

Poisson process of rate one, the events Ak are independent and the distribution of the Yk is

Yk ∼ Poi(T ) (3.1)

As a consequence we get that

q := P(Ak ) = P(Yk = 0) = e−T > 0 (3.2)

and subsequently

X ∞
X
P(Ak ) = q=∞ (3.3)
k=0 k=0

Since the events Ak are independent, by Borel-Cantelli,

P(Ak occurs infinitely often) = 1 (3.4)

which finishes the proof.

Now that we have ensured the existence of such sites xi , we partition Z × [0, T ] into finite
boxes ([xi + 1, xi+1 ] ∩ Z) × [0, T ]. By discarding P-null sets, we may assume that no two ar-
rows occur simultaneously, and we can arrange the arrows inside a box by order of appearance.

We start with an initial configuration η and from there, we check every arrow in the box
from the first to the last one. If there is an arrow at (x, t), and, for all ε sufficiently small, at

17
3.1 Constructing the TASEP 3 THE TASEP

time t − ε there is a particle at site x and a hole at site x + 1, then the particle at x follows the
arrow to x+1, and at time t there is no particle at site x anymore, and instead one at site x+1.

In all other cases, nothing happens. For instance, if there is an arrow x → x + 1, but
both sides are occupied by particles, the jump fails, as there can be only one particle per
site. Similarly, if there is an arrow from a hole to a particle, or from a hole to a hole, it has
no effect and the configuration stays exactly the same as before.

We repeat this procedure for every arrow inside the box until time T , and then for every
box. This way, we obtain a particle configuration ηt (η, ω) for every time t ∈ [0, T ]. To get a
particle configuration for t > T , we start from the beginning, using ηT (η, ω) as the new initial
configuration and taking a new realisation of a Poisson process, to continue the process for
times t ∈ [T, 2T ], from there for t ∈ [2T, 3T ], and so on. This yields the entire process
(ηt (η, ω) : t ≥ 0) (3.5)

Initial configuration η
time 0

time T
ηt (η, ω)
Figure 3.2: This is a realisation of the TASEP up to time T. The particles follow arrows, if
the site to the right is empty. Also shown is a finite box like the ones we require

In the cases where it is not necessary to emphasize the dependence on ω, we will drop it
as an argument and write

ηt ≡ ηt (η, ω) (3.6)
where it is understood that the initial configuration for ηt is η, which is given beforehand

η0 (η, ω) ≡ η (3.7)

18
3 THE TASEP 3.2 Properties of the TASEP

3.2 Properties of the TASEP


In order to work with the TASEP, we will first study some of the properties it exhibits.

3.2.1 Markov Property


Proposition 3.2. The TASEP is a Markov Process on the state space S = {0, 1}Z .

Proof. Consider a configuration η and the TASEP ηt (η, ω). Let Ft := σ(ηs , 0 ≤ s ≤ t) be
the canonical filtration generated by the TASEP up to time t. We need to show that for all
t, s > 0, and all S ⊂ {0, 1}Z

P[ηt+s (η, ω) ∈ S | Ft ] = P[ηt+s (η, ω) ∈ S | ηt ] (3.8)

However, this becomes evident as we can write

ηt+s (η, ω) = ηs (ηt (η, ω), ω̂t ) (3.9)

where ω̂t := {(x, s) | (x, t + s) ∈ ω}. Note that ω̂t has the same distribution as ω, and,
because of the memoryless property of the exponential distribution, is independent of Ft−ε
for all ε > 0. This finishes the proof.
To give a more graphic description of that property, we can say that the TASEP only
depends on its current configuration, and there is no difference whether you realise the process
up until time t+s or first stop it at time t and then start it anew, using ηt as the new starting
configuration.
In a sense, the TASEP inherits its Markovianity from the Poisson process it is based on.

3.2.2 Product Measures


An important class of measures we will study as initial configurations for the TASEP are the
Bernoulli product measures. As a motivation, we can imagine them to be the microscopic
counterpart to a macroscopic particle density.

First, let (U (x))x∈Z be a collection of independent and identically distributed random


variables, where
∀x ∈ Z : U (x) ∼ Unif([0, 1]) (3.10)
These uniform random variables are, in particular, constructed to be independent of the
Poisson process ω underlying the TASEP. We now define the Bernoulli measures as follows:

Definition 3.3. Let U (x) be as above. We define the configuration η ρ by setting, for each
x ∈ Z, (
1 if U (x) < ρ
η ρ (x) := (3.11)
0 if U (x) ≥ ρ
Note that, as the U (x) are independent and identically distributed, the random variables
η ρ (x) are iid. as well, in particular η ρ (x) ∼ Ber(ρ) for each x, where Ber is the Bernoulli
distribution, hence the name.

Remark 3.4. Let A ⊂ Z be finite. Then


hX i X X
E η ρ (x) = E[η ρ (x)] = ρ = |A|ρ (3.12)
x∈A x∈A x∈A

19
3.3 Tagging a particle 3 THE TASEP

This remark basically formalises the intuition that in the configuration η ρ , out of n sites,
we expect nρ to be occupied by particles, so we could call ρ the “particle density” of η ρ . As
we will see later on, this microscopic density has a very close relationship to the macroscopic
particle density described by the Burgers equation.

3.2.3 Invariant Distributions


The product measures η ρ are also important for our considerations because their distribution
does not change under the TASEP. To characterise that distribution better, we define:
Definition 3.5. Let η be a configuration on Z and A ⊂ Z finite. Then we define
Y
fA (η) := η(x) (3.13)
x∈A

Notice that fA (η) is 1 if and only if there is a particle at each site in A; it is 0 otherwise.

In the case where η ≡ η ρ , we can compute


Y  Y Y
ρ
E[fA (η )] = P ρ
η (x) = 1 = P(η ρ (x) = 1) = ρ = ρ|A| (3.14)
x∈A x∈A x∈A
A very interesting trait of these Bernoulli product measures is that the property estab-
lished in equation 3.14 is conserved by the TASEP. As knowing E[fA (η)] for all finite sets
A ⊂ Z 5actually characterises the distribution of random configurations η, we have the
following:
Lemma 3.6. Let ρ ∈ [0, 1]. Then, the distribution of η ρ is invariant under the TASEP, i.e.
ηtρ ∼ η ρ . This is characterized by the fact that for all t ≥ 0 and all A ⊂ Z finite, we have
E[fA (ηtρ )] = E[fA (η ρ )] = ρ|A| (3.15)
The proof of this statement can be found in [17].

Other invariant distributions include the so-called blocking measures, defined by


ηk (x) = 1(x ≥ k) (3.16)
As no particle has a hole to its right, no particle can ever jump, so the distribution of
course cannot change, given the configuration is pointwise constant. In fact, it has been
shown in [17] that these blocking measures and the Bernoulli product measures make up all
the invariant distributions for the TASEP, up to cominations of the two.

3.3 Tagging a particle


Let η be an initial configuration and ηt ≡ ηt (η, ω) the associated TASEP. In this section we
introduce a notation we use for tracking a specific particle. For that, we use
Definition 3.7 (Tagged particle). We define

max{x ≤ 0 : η(x) = 1}
 if i = 0
X(i)[η] := min{x > X(i − 1)[η] : η(x) = 1} if i > 0 (3.17)

max{x < X(i + 1)[η] : η(x) = 1} if i < 0

We will denote by Xt (i)[η] the position at time t of the particle initially at X(i)[η]. Also, we
will write
Xt ≡ Xt (0)[η] (3.18)

20
3 THE TASEP 3.4 Couplings and second class particles

Essentially, we give the particle closest to the origin from the left the number zero, and
continue the numbering from there to the left and to the right.

X(−4) X(−3) X(−2) X(−1) X(0) X(1) X(2) X(3)


time 0

time t
Xt (−4) Xt (−3) Xt (−2) Xt (−1) Xt (0) Xt (1) Xt (2) Xt (3)

Figure 3.3: Here, we see how the tagged particles are numbered. In this example, X(0) = 0.

3.4 Couplings and second class particles


3.4.1 Couplings
As we have seen, the TASEP is determined by its initial configuration and the underlying
Poisson process. Now, we introduce the notion of “coupling” two processes by having them
start from different initial configurations, but proceed with the same realisation of a Poisson
process.

Definition 3.8 (Coupling). Let η, η 0 be initial configurations on Z, and let ω be a realisation


of a Poisson process of rate one. Then we define the Coupling

((ηt , ηt0 ) : t ≥ 0) := ((ηt (η, ω), ηt (η 0 , ω)), t ≥ 0) (3.19)

Note, that in this construction, the projections (ηt (η, ω), ηt (η 0 , ω)) 7→ ηt (η, ω) and
(ηt (η, ω), ηt (η 0 , ω)) 7→ ηt (η 0 , ω) onto the marginals each again yield a regular TASEP, with
the relationship between the two being only that they use the same arrows.

Definition 3.9 (Domination). We say that η 0 dominates η, or simply η ≤ η 0 , iff

∀x ∈ Z : η(x) ≤ η 0 (x) (3.20)

21
3.4 Couplings and second class particles 3 THE TASEP

η
η

η
η

Figure 3.4: This is an example of a coupling where η ≤ η 0 . The configurations are shown
before and after three possible arrows.

There are two natural examples for configurations dominating each other that will come
up quite a few times over the course of our considerations.

Example 3.10. Consider some α, β ∈ [0, 1] with β ≤ α, and the configurations η α , η β as in


definition 3.3. Then we have that, for any family of uniformly [0, 1]-valued random variables
U and any x ∈ Z
U (x) < β =⇒ U (x) < α (3.21)
and subsequently η β ≤ η α .

Example 3.11. Take any configuration η, and define


(
η(x) if x 6= 0
η 0 (x) = (3.22)
1 if x = 0

Then, of course, η ≤ η 0 .
In the following part of this thesis, we will pay special attention to Couplings where one
marginal dominates the other, and will attempt to keep track of the discrepancies between
the two.

We will see that such discrepancies can jump to the left or to the right, and we will
understand them as second class particles. For that notion to make any sense, however,
we need to establish two properties: That the domination holds throughout time and that
discrepancies don’t disappear. As it turns out, both are easily shown by considering the
different possible cases.

Proposition 3.12 (Attractivity). Let η, η 0 be two configurations and η ≤ η 0 . Then it holds


that
∀t ≥ 0 : ηt ≤ ηt0 (3.23)

22
3 THE TASEP 3.4 Couplings and second class particles

Proposition 3.13 (Conservation of Discrepancies). In the same setting as above, we have


X X
(ηt0 (x) − ηt (x)) = (η 0 (x) − η(x)) (3.24)
x∈Z x∈Z

Proof. We will prove Propositions 3.12 and 3.13 together by simply considering all possible
cases of arrows in such a coupling.

Let η ≤ η 0 . We begin by noting that both properties trivially hold for t = 0.


For times t > 0, we need to consider all arrows in order to ensure they preserve those
properties. To be more rigorous, we can once again partition space and time into finite boxes
as in the Harris construction (section 3.1) and from there, check all arrows in order of ap-
pearance.

So, assume that the properties hold for all times t − ε where ε > 0 is sufficiently small
(we will also write that they hold for time t− to signify this), and that there is an arrow at
time t and some site x. We consider all possible configurations at the time the arrow occurs.

(a) (b) (c) (d) (e)

(f) (g) (h) (i)


0
Figure 3.5: The nine different cases. Because we assumed that ηt− ≤ ηt− must hold initially,
this list is exhaustive.

So, in figure 3.5, note that in the cases (a), (c), (d), (g), (h) and (i), nothing happens.
Thus, the domination is conserved, as is the number of discrepancies. For the other cases,
we can explicitly give the configuration after the jump completes:
(b) 7→ (c), (e) 7→ (g), (f) 7→ (h).
Obviously, both the number of discrepancies and the domination are conserved. As we
considered any arrow and any time, this concludes the proof.

Another observation that will be important in future considerations is that fA , as in def-


inition 3.5 is “monotone” in η with respect to domination in the following sense: If for some
other configuration η 0 we have that η ≤ η 0 , then we also have fA (η) ≤ fA (η 0 ).

3.4.2 Second Class Particles


Now that we have shown that discrepancies in a coupling are conserved in the TASEP, we
can try to reinterpret them as particles of their own in a different process. In fact, we notice

23
3.4 Couplings and second class particles 3 THE TASEP

that if the site to the right is empty, a discrepancy can travel to the right along with a particle
(case (f) in figure 3.5). However, if there is a particle without a discrepancy to the left, it
can be overtaken (case (b) in the aforementioned figure), and a discrepancy cannot overtake
a particle (case (c)).

We will attempt to make that notion more precise.


Definition 3.14 (Second class particle). Let η, η 0 be two configurations satisfying η ≤ η 0 .
Also, take the associated processes ηt ≡ ηt [η, ω] and ηt0 ≡ ηt [η 0 , ω]. Then we define, for all
x∈Z
σt (x) := ηt (x), ξt (x) := ηt0 (x) − ηt (x) (3.25)
We call the σ particles first class particles and the ξ particles second class particles.

ξ 0 0 σ ξ 0 ξ σ
η
η

0 ξ 0 ξ σ 0 ξ σ
η
η

Figure 3.6: This example is slightly different from the one above, and with σ and ξ particles
being marked. Notice that σ particles can overtake ξ particles but not the other way around.

This allows us to consider the process ((σt , ξt ) : t ≥ 0). Similarly to the TASEP, it inher-
its the Markov property from the underlying Poisson process ω, since it can be completely
determined via ω and the initial particle configurations σ0 and ξ0 .

Note that σt (x) = 1 =⇒ ξt (x) = 0 and vice versa, ξt (x) = 1 =⇒ σt (x) = 0. Because
this exclusivity still holds in the two-class process, we can consider σ- and ξ-particles to exist
on the same space Z, with slightly altered rules for interactions between particles.

More specifically, we can examine what happens when an arrow occurs at (x, t). If we
denote holes by 0, we see that arrows of the type 0 → 0, 0 → σ and 0 → ξ are resolved as
usual, because nothing happens.
Similarly, for arrows σ → σ or ξ → ξ, nothing happens because of exclusivity, and for arrows
σ → 0, ξ → 0, the particle jumps one to the right, as in the TASEP.

The only real addition concerns interactions of σ and ξ particles. If there is an arrow
ξ → σ, nothing happens, but in the converse case, for an arrow σ → ξ, the two particles

24
3 THE TASEP 3.4 Couplings and second class particles

exchange places, the σ particle jumps one to the right, while the displaced ξ particle travels
one to the left. That way, ξ particles act as particles when interacting with holes, but act as
holes when interacting with the σ particles.

Of course, this corresponds totally to the way discrepancies in the dominated coupling
described in section 3.4.1 may travel to the left. Note that in this case, we can also consider
holes “third-class particles”, as they too travel to the left when displaced by a particle.

As with the TASEP, we will usually omit the implicit dependence of (σt , ξt ) on the Poisson
process ω and the initial configuration (σ0 , ξ0 ) ≡ (η, η 0 − η). However, if it is required, we
will write it as

(σt , ξt ) = (σt , ξt )[(σ0 , ξ0 ), ω] ≡ (σt [(σ0 , ξ0 ), ω], ξt [(σ0 , ξ0 ), ω]) (3.26)

Initial configuration (σ0 , ξ0 )


time 0

time T
(σT, ξT)
Figure 3.7: This is a realisation of the two-class TASEP. The first class particles are colored
red, while the second class particles are shown as blue. Notice that the σ particles can
overtake the ξ particles (at the spots shown in purple)

There is another notion concerning second class particles that will come up a few times
during our observations, which concerns the position of a second class particle initially at the
origin: Given a fixed realisation of ω, we can totally determine its evolution by knowing
a) the first class particles to its left, σ(x)1(x < 0), which might overtake it and thus shift it
to the left, and

25
3.4 Couplings and second class particles 3 THE TASEP

b) the first or second class particles to its right, which will block its journey as it cannot
overtake them, i.e. (σ(x) + ξ(x))1(x > 0).

26
4 LAWS OF LARGE NUMBERS

4 Laws of Large Numbers


Now that we have properly introduced the TASEP, we can study the asymptotic behaviour of
some of its particles. This will provide us with very powerful tools to later prove statements
on the behaviour exhibited by the TASEP when rescaling space and time. Indeed, as we shall
notice, these Laws of Large Numbers will allow us to bridge the gap between the TASEP
as a stochastic process and the deterministic solutions to the Burgers Equation 2.6 by first
resizing and then passing to the limit.

We will notice a few interesting properties, specifically of second class particles, which
are, in a sense, transported by the characteristics we examined in section 2.4.

4.1 Definitions and Notation


First, we introduce several notations that will simplify computations in the future.

4.1.1 Configurations
As before, let U (x) be a collection of independent and identically distributed random variables
such that for each x, U (x) ∼ Unif([0, 1]).
Recall that in section 3.2.2 we defined
η ρ (x) = 1(U (x) < ρ) (4.1)
and interpreted it as the microscopic counterpart to the macroscopic density ρ uniformly
in space. In other words, it corresponded to the initial condition
u0 (r) = ρ for all r ∈ R (4.2)
for the Burgers equation, where λ = ρ.

As we want to consider the general Riemann problem, where λ is not necessarily equal to
ρ, it makes sense to consider a general microscopic equivalent to the initial condition defined
in equation 2.8. This may serve as something of a motivation for the following definition.
Definition 4.1. Given U (x) as above, for λ, ρ ∈ [0, 1], we define the configuration
(
1(U (x) < λ) if x ≤ 0
η λ,ρ (x) = (4.3)
1(U (x) < ρ) if x > 0
This configuration corresponds to the macroscopic notion of density λ to the left of the
origin and ρ to the right.

In some cases, we will want to ensure that there is a particle present initially at site 0.
To that end, we use the following
Definition 4.2. Let η be a configuration. We define
(
1 if x = 0
η̃(x) = (4.4)
η(x) if x =6 0
In a sense, we artificially and forcibly insert a particle at site 0 into η.

In other contexts, specifically to artificially create a second class particle at 0, we want


to make sure that there is no particle at site 0 in a configuration.

27
4.2 The density of particles in an area 4 LAWS OF LARGE NUMBERS

Definition 4.3. Let η be a configuration. We set


(
0 if x=0
η(x) = (4.5)
˜ η(x) if x 6= 0

Here, we forcibly remove any particle that might be present at site 0.

4.1.2 The Translation and Cut operators


In some instances, we need to shift the entire process in space, leading us to define the
translation operator.

Definition 4.4 (Translation operator). Let η be a configuration, and y ∈ Z. We define the


translation operator
τy η(x) := η(x + y) (4.6)
Moreover, for y ∈ R, we can extend that definition to consider only the integer part of x + y,
writing
τy η(x) = η(bx + yc) (4.7)

Another operator we will need is the Cut operator, which removes all particles to the
left of a given bound.

Definition 4.5. Let η be a configuration, and k ∈ Z. The cut operator Γ is given by


(
η(x) if x ≥ k
Γk η(x) = η(x)1(x ≥ k) = (4.8)
0 if x < k

4.1.3 Flux along a trajectory


The next object we will introduce will allow us to, in a sense, count the number of particles
that cross a certain trajectory.

Definition 4.6 (Flux). Let

γ : [0, ∞) → R , γ(t) = γt

be a continuous trajectory in R satisfying γ(0) = 0. We define the flux of particles along


γt by X X
Fγt (t)[η, ω] := (1(Xt (i)[η, ω] > γt )) − (1(Xt (i)[η, ω] ≤ γt )) (4.9)
i≤0 i>0

Note that since γ is assumed to be continuous everywhere, Fγt (t)[η, ω] is a.s. finite.

Now, we are ready to prove Laws of Large Numbers for several important quantities.

4.2 The density of particles in an area


In this section we formalise the intuition of η ρ being a microscopic particle distribution related
to a macroscopic particle density of ρ. In fact, passing to the limit yields exactly that.

28
4 LAWS OF LARGE NUMBERS 4.3 The tagged particle

0
time 0

time t
µt Xt (0) νt

Figure 4.1: Here, we see examples for the flux along linear trajectories. The flux along µt is
+3, while the flux along νt is −2. Observe that the flux along Xt (0) is 0.

Proposition 4.7 (Law of Large Numbers for η ρ ). Let η ρ be the particle configuration intro-
duced in definition 3.3. Then,
1 X ρ
lim η (x) = ρ(b − a) P-a.s. (4.10)
t→∞ t
ta≤x≤tb

Proof. First, we note that the random variables η ρ (x) are independent because the U (x) used
in their construction are independent. They are also identically distributed, with η ρ (x) ∼
Ber(ρ) for all x.
So, we have a sum over (b − a)t iid random variables, up to a small error that occurs because
ta and tb might not be integers. This error, however, is asymptotically negligible, and by the
Strong Law of Large Numbers, we get
1 X
lim η ρ (x) = E[η ρ (0)] = ρ P-a.s. (4.11)
t→∞ (b − a)t
ta≤x≤tb

Rearranging yields the desired result.

4.3 The tagged particle


Consider the TASEP starting from the same initial configuration η ρ as before. Heuristically
speaking, each particle moves to the right with rate 1, however, with probability ρ, the site
to the right is blocked (remember that, according to lemma 3.6, the distribution of η ρ does
not change under the TASEP). As a consequence, we might expect a given particle starting

29
4.3 The tagged particle 4 LAWS OF LARGE NUMBERS

out from the origin to travel to the right with roughly the rate (1 − ρ). As it turns out, that
is indeed the case. The following theorem was proven by C. Kipnis in [16]7 :

Theorem 4.8. Let η̃ ρ be defined as before. Let Xt ≡ Xt (0)[η̃ ρ ] be the position of the tagged
particle which is initially at the origin for the TASEP with initial configuration η̃ ρ . Then,
(Xt , t ≥ 0) is a Poisson process of rate (1 − ρ)

This theorem immediately yields a useful application in our case:

Proposition 4.9 (Law of Large Numbers for the tagged particle). In the notation above, we
have
Xt
lim = 1 − ρ P-a.s. (4.12)
t→∞ t

Proof. In this proof, we essentially just apply the regular Strong Law of Large Numbers, with
a few considerations regarding the fact we’re working in continuous time, which in the end
does not really impact our computation.
First, let n ∈ N. We can write
n
X n
X
X n = X0 + Xk − Xk−1 = Xk − Xk−1 (4.13)
k=1 k=1

Now call
Yk := Xk − Xk−1 (4.14)
By theorem 4.8 and the properties of a Poisson process, the collection of random variables
(Yk )k∈N is independent and identically distributed, with the increments Yk satisfying Yk ∼
Poi(1 − ρ). In this case, the Strong Law of Large Numbers yields
n
Xn 1X
lim = lim Yk = E[Y1 ] = 1 − ρ P-a.s. (4.15)
n→∞ n n→∞ n
k=1

All that is left now is to control the behaviour of Xt between integers. That, however we get
by considering that
btc dte
X X
Yk ≤ X t ≤ Yk (4.16)
k=1 k=1

So, dividing by t and passing to the limit we get


btc dte
1X Xt 1X
1 − ρ = lim Yk ≤ lim ≤ lim Yk = 1 − ρ P-a.s. (4.17)
t→∞ t t→∞ t t→∞ t
k=1 k=1

Remark 4.10. Theorem 4.8 yields several additional interesting properties for the behaviour
of Xt . For instance, it satisfies a kind of “central limit theorem” in the sense that

Xt − (1 − ρ)t D
p → N (0, 1) as t → ∞ (4.18)
(1 − ρ)t

These additional properties are not relevant for the considerations in this thesis, but are of
interest in their own right.
7
For more details, also see [11]

30
4 LAWS OF LARGE NUMBERS 4.4 The Flux

4.4 The Flux


Here, we will examine the asymptotic behaviour of the flux along a trajectory.
Remark 4.11. Let Xt (i) be defined as in 3.7. In the TASEP, particles cannot “overtake”
each other. Subsequently,

∀i, j ∈ Z ∀t ≥ 0 : i < j =⇒ Xt (i) < Xt (j) (4.19)

Lemma 4.12. Let η be a configuration, and η̃ be as defined in 4.2. Let Xt be the position of
the tagged particle initially at the origin under the TASEP with initial configuration η. Then
it holds that
FXt (t)[η̃, ω] = 0 for all t ≥ 0 (4.20)
Proof. Remark 4.11 is central to seeing that this property holds. Indeed, we notice in the
expression
X X
FXt (t)[η̃, ω] = 1(Xt (i)[η̃] > Xt (0)[η̃]) − 1(Xt (i)[η̃] ≤ Xt (0)[η̃]) (4.21)
i≤0 i>0

all indicator functions vanish because of it. This concludes the proof.
Using the previous Lemma, we can now establish an alternative representation of the flux,
relying on counting the particles relative to the tagged particle.
Lemma 4.13. In the same setting as Lemma 4.12, and with a trajectory γt , we have
X
Fγt (t)[η̃, ω] = η̃t (x)(1(γt < x ≤ Xt (0)) − 1(Xt (0) < x ≤ γt )) (4.22)
x∈Z

Proof. Consider the definition of the Flux.


X X
Fγt (t)[η̃, ω] = (1(Xt (i)[η̃, ω] > γt )) − (1(Xt (i)[η̃, ω] ≤ γt )) (4.23)
i≤0 i>0

We notice that any particle in Z adds +1 to the flux iff it is to the left of Xt (0), but to the
right of γt , and −1 to the flux iff it is to the right of Xt (0) but to the left of γt , with the
exception that the tagged particle Xt (0) is not counted towards the flux as per Lemma 4.12.
Because of remark 4.11, it remains only to count all such particles, which is precisely the
expression on the right hand side.
For an intuition, also recall figure 4.1.
Remark 4.14. Since η and η̃ differ at most by one particle, and Proposition 3.13 ensures
that that discrepancy is conserved, while no others form, we get that
X
Fγt (t)[η, ω] = ηt (x)(1(γt < x ≤ Xt (0)) − 1(Xt (0) < x ≤ γt )) + δ (4.24)
x∈Z

where δ ∈ {−1, 0, 1}, and, more importantly, δ does not depend on t.


Now we are ready to prove a result about the asymptotic behaviour of the flux. We will
take special interest in straight trajectories γt = at for some a.
Proposition 4.15 (Law of Large Numbers for the Flux). Let a ∈ R be arbitrary. Then,
Fat (t)[η ρ , ω]
lim = ρ[(1 − ρ) − a] P-a.s. (4.25)
t→∞ t

31
4.4 The Flux 4 LAWS OF LARGE NUMBERS

Proof. We will aim to apply the alternative representation for Fat (t) provided by the previous
remark. Let Xt ≡ Xt (0)[η, ω] be the position of the tagged particle initially at the origin at
time t. We compute
1
lim Fat (t)[η ρ , ω]
t→∞ t
remark 4.14 1 X ρ
 
= lim ηt (x)[1(at < x ≤ Xt ) − 1(Xt < x ≤ at)] + δ
t→∞ t
x∈Z

1 X ρ
= lim ηt (x)[1(at < x ≤ (1 − ρ)t) − 1((1 − ρ)t < x ≤ at)]
t→∞ t
x∈Z

X 
+ ηtρ (x)[1((1 − ρ)t < x ≤ Xt ) − 1(Xt < x ≤ (1 − ρ)t)] + δ (4.26)
x∈Z

1X ρ
= lim ηt (x)[1(at < x ≤ (1 − ρ)t) − 1((1 − ρ)t < x ≤ at)]
t→∞ t
x∈Z

1X ρ
+ lim ηt (x)[1((1 − ρ)t < x ≤ Xt ) − 1(Xt < x ≤ (1 − ρ)t)]
t→∞ t
x∈Z

δ
+ lim
t→∞ t
where the second step was achieved by simply splitting the indicator functions. We will
examine the three terms separately.

For the first term, we note that either (at, (1 − ρ)t] or ((1 − ρ)t, at] is empty. Because ηtρ
has the same distribution as η ρ by lemma 3.6, Proposition 4.7 implies
1X ρ
lim ηt (x)[1(at < x ≤ (1 − ρ)t) − 1((1 − ρ)t < x ≤ at)]
t→∞ t
x∈Z

 
1 X ρ
= lim 1(a < 1 − ρ) ηt (x)1(at < x ≤ (1 − ρ)t)
t→∞ t
x∈Z

 
1 X ρ
− lim 1(1 − ρ ≤ a) ηt (x)1((1 − ρ)t < x ≤ at) (4.27)
t→∞ t
x∈Z

prop 4.7
= 1(a < 1 − ρ)ρ[(1 − ρ) − a] − 1(1 − ρ ≤ a)ρ[a − (1 − ρ)]

= [1(a < 1 − ρ) + 1(1 − ρ ≤ a)]ρ[(1 − ρ) − a]

= ρ[(1 − ρ) − a] P-a.s.

32
4 LAWS OF LARGE NUMBERS 4.4 The Flux

For the second term, we can bound the absolute value as follows

1 X ρ
lim
t→∞ t η t (x)[1((1 − ρ)t < x ≤ X t ) − 1(X t < x ≤ (1 − ρ)t)]

x∈Z

1 X ρ
≤ lim ηt (x)[1((1 − ρ)t < x ≤ Xt ) − 1(Xt < x ≤ (1 − ρ)t)]
t→∞ t
x∈Z

1X (4.28)
≤ lim 1((1 − ρ)t < x ≤ Xt ) + 1(Xt < x ≤ (1 − ρ)t)
t→∞ t
x∈Z

1
≤ lim 2|Xt − (1 − ρ)t|
t→∞ t

prop 4.9
= 0 P-a.s.

So the second term vanishes almost surely.

Finally, of course,
δ
lim
=0 (4.29)
t→∞ t

so the last term vanishes as well, since the microscopic error made by adding a particle does
not matter to the macroscopic whole - a concept that will come up several times in showing
such statements. This concludes the proof.
The Law of Large Numbers for the Flux is a statement we mostly require to prove a
similar proposition for a tagged second class particle. However, it has some nice applications
by itself. First, we see that it is consistent with proposition 4.9 in the following sense:
As

FXt (t)[η̃, ω] = 0 (4.30)


by lemma 4.12 and
Xt
lim = 1 − ρ a.s. (4.31)
t→∞ t

we would expect that


F(1−ρ)t
lim (t)[η̃, ω] = 0 (4.32)
t→∞ t
Our Law of Large numbers for a = 1 − ρ shows that that is indeed the case.

Another interesting observation arises for a = 0. In that case, Fat (t)[η, ω] is the number
of particles that crossed the origin up to time t. Here, the Law of Large Numbers yields, in
a sense, the “rate of crossing”, with

F0 (t)[η, ω]
lim = ρ(1 − ρ) (4.33)
t→∞ t
Notice that this quantity becomes maximal for ρ = 21 , while it is zero for ρ = 0 and ρ = 1,
as in those cases, no particles can move and hence no particles can cross the origin.

33
4.5 The tagged second class particle 4 LAWS OF LARGE NUMBERS

4.5 The tagged second class particle


In this section, we will for the first time see a more explicit relationship between the TASEP
and the Burgers equation.

Similarly to section 4.3, we will consider the position of a second class particle starting
out from the origin in the TASEP with initial configuration η λ,ρ . More specifically, we will
look at the shock case (recall figure 2.1) and see that, in a sense, the ξ particle is transported
along the shock front characteristic.

Let λ < ρ. The two-class process we will examine will be defined as follows:

(σt , ξt ) := (ηtλ , ηtρ − ηtλ ) (4.34)


where ηtλ and ηtρ are defined as in section 4.1.1.

Notice that because λ < ρ, it follows that U (x) < λ =⇒ U (x) < ρ and subsequently
ηtλ ≤ ηtρ , so the two class process is well-defined.

Since we want to ensure that there is a second class particle at site 0, we set

(σt , ξ˜t ) := (ηtλ , η̃tρ − ηtλ ) (4.35)


˜ ˜ ˜
Also, for all x 6= 0, (σt , ξ˜t )(x) = (σt , ξt )(x), the only potential difference being that σ0 (0) = 0
and ξ˜ (0) = 1. ˜ ˜
0

Proposition 4.16 (Law of Large Numbers for the tagged second class particle). Let λ < ρ.
Let Ytλ,ρ be the position of the ξ particle initially at the origin for the two-class process (σt , ξ˜t ).
Then, ˜
Y λ,ρ
lim t = 1 − λ − ρ P-a.s. (4.36)
t→∞ t

Proof. In this proof, we will attempt to use Proposition 4.15. To do that, we introduce a
˜ ω], which denotes the flux of ξ particles along the trajectory γt .
new quantity Gγt (t)[(σ, ξ),
˜
We first notice, analogously to Lemma 4.12, that, by exclusivity, ξ particles cannot “over-
take” each other, so for all t ≥ 0
˜ ω] = 0
GY λ,ρ (t)[(σ, ξ), (4.37)
t ˜
We will aim to show that the only linear trajectory satisfying that property will be (1−λ−ρ)t.
To do that, we observe that a ξ particle can pass through γt from left to right, adding +1
to the flux, or from right to left, adding −1.
Assume a ξ particle passes through the flux between sites x and x + 1. The jump happens
from x to x+1 if and only if simultaneously a particle of η̃tρ jumped from x to x+1. Similarly,
the ξ particle will have passed from right to left if and only if a particle of ηtλ jumped from
x to x + 1. Subsequently, we can express the flux of ξ particles as the difference˜ of fluxes of
ρ λ
η̃t and ηt :
˜
˜ ω] = Fγt (t)[η̃tρ , ω] − Fγt (t)[η λ , ω]
Gγt (t)[(σ, ξ), t
˜ ˜ (4.38)
= Fγt (t)[ηtρ , ω] − Fγt (t)[ηtλ , ω] + δ

34
4 LAWS OF LARGE NUMBERS 4.6 Isolated second class particle

for some δ ∈ {−2, −1, 0, 1, 2}, as adding or removing a particle adds, at most, an error of ±1
in the flux. Now we use the Law of Large Numbers for the flux:
˜ ω]
Gat (t)[(σ, ξ),
lim ˜
t→∞ t
 F (t)[η ρ , ω] F (t)[η λ , ω] δ 
at t at t
= lim − +
t→∞ t t t
Fat (t)[ηtρ , ω] Fat (t)[ηtλ , ω] (4.39)
= lim − lim
t→∞ t t→∞ t
prop 4.15
= ρ[(1 − ρ) − a] − λ[(1 − λ) − a]
=ρ(1 − ρ) − λ(1 − λ) − (ρ − λ)a P-a.s.

It is evident that this limit is linear and decreasing in a, as ρ − λ > 0. Also, for a = 1 − λ − ρ
we have
ρ(1 − ρ) − λ(1 − λ) − (ρ − λ)a
= ρ(1 − ρ) − λ(1 − λ) − (ρ − λ)(1 − λ − ρ)
= ρ − ρ2 − λ + λ2 − (ρ − λ) + (ρ − λ)(ρ + λ)
(4.40)
= λ2 − ρ2 + (ρ − λ)(ρ + λ)
= λ2 − ρ2 + ρ2 − λ2
= 0

In particular, this implies that for all a > 1 − λ − ρ


˜ ω]
Gat (t)[(σ, ξ),
lim ˜ <0 P-a.s. (4.41)
t→∞ t
and for all a < 1 − λ − ρ
˜ ω]
Gat (t)[(σ, ξ),
lim ˜ >0 P-a.s. (4.42)
t→∞ t
So, to summarise:
˜ ω]
Gat (t)[(σ, ξ),
lim ˜ =0 P-a.s. ⇐⇒ a = 1 − λ − ρ (4.43)
t→∞ t
This concludes the proof.
Remark 4.17. There is a similar result for λ > ρ, i.e. in the case of the rarefaction fan
(section 2.4.2). P. A. Ferrari and C. Kipnis have proved in [12] that a second class particle in
the rarefaction fan is transported by the characteristics as well. As there are infinitely many
characteristics emanating from the origin in the rarefaction fan, the second class particle
chooses one of them at random (uniformly) and then follows it. Although that result is not
used in this thesis, it fits neatly with the intuition of second class particles being asymptotically
carried by the characteristics.

4.6 Isolated second class particle


In this section, we consider a two-class process where there is only a single second class par-
ticle. To generate a process with an isolated second class particle and an initial configuration
η, we consider the coupling

35
4.6 Isolated second class particle 4 LAWS OF LARGE NUMBERS

(ηt , η̃t − ηt ) (4.44)


˜ ˜
We will concern ourselves with the case where η ≡ η α for some α ∈ (0, 1), as in definition
3.3, so the coupling we will work with will be

(ηtα , η̃tα − ηtα ) (4.45)


˜ ˜
Note that this looks very similar to the previous section, except for the fact that λ = ρ =
α. And we will see that that similarity is not accidental - this second class particle too is
transported by the characteristics, which in the case λ = ρ form neither a rarefaction wave
nor a shock front. So, one might assume that the behaviour of this second class particle
corresponds to section 2.4.3. The following statement shows that this is indeed true.

Proposition 4.18 (Law of Large Numbers for the isolated second class particle). Let α ∈
(0, 1). Consider the coupling defined in equation 4.45 and let Rtα be the position at time t of
the second class particle initially at the origin for that process. Then we have
Rtα
lim = 1 − 2α P-a.s. (4.46)
t→∞ t

Proof. Because the two statements are fundamentally related, we will aim to apply Propo-
sition 4.16. To do that, we will try to bound Rtα both from above and from below using
elementary considerations about the particles involved, before applying the Law of Large
Numbers for the tagged second class particle.

Lower bound

Let ρ > α be arbitrary. We consider

Coupling 1 : (ηtα , η̃tα − ηtα ) (4.47)


˜ ˜
and
Coupling 2 : (ηtα , η̃tρ − ηtα ) (4.48)
˜ ˜
Rtα is the position of the isolated second class particle in coupling 1, and we define Ytα,ρ to
be the position of the second class particle initially at the origin in coupling 2.
Now we compare Rtα and Ytα,ρ . First, we note that both couplings share the same U (x), ω
and, crucially, the same σ particles ηtα .
The difference between the two couplings ˜ is that (ηtα , η̃tρ − ηtα ) potentially has more second
class particles than (ηtα , η̃tα − ηtα ), which has exactly ˜ one. As ˜ a consequence, a second class
˜
particle in the first coupling ˜can be blocked by other second class particles to the right,
whereas in the second, it cannot. It follows that

∀t ≥ 0 : Ytα,ρ ≤ Rtα (4.49)

Upper bound

Let λ < α be arbitrary. For an upper bound, we have to look at two different couplings
as well.
Coupling 1 : (ηtα , η̃tα − ηtα ) (4.50)
˜ ˜
and
Coupling 2 : (ηtλ , η̃tα − ηtλ ) (4.51)
˜ ˜
36
4 LAWS OF LARGE NUMBERS 4.6 Isolated second class particle

As established above, Rtα is the tagged second class particle in coupling 1. In a similar no-
tation to the upper bound, we define Ytλ,α to be the position of the second class particle
initially at the origin for the coupling 2.

Now, a second class particle at the origin sees blocking particles to the right of it at the
same sites in both couplings, even though they are all σ particles for coupling 1, while they can
be either σ or ξ particles for coupling 2. To elaborate on this, we can, for a coupling (σt , ξt ),
look the configuration of all “blocking” particles to the right of the origin β := Γ1 (σ0 + ξ0 )
at time 0, where Γ1 is as in definition 4.5. We call β 1 the blocking particles for coupling 1,
β 2 the ones for coupling 2 and notice that

β 1 = Γ1 (η α + η̃ α − η α ) = Γ1 η̃ α = Γ1 (η λ + η̃ α − η λ ) = β 2 (4.52)
˜ ˜ ˜ ˜
So, a second class particle with respect to either of the two couplings is blocked by the
same particles to its right. However, it can be overtaken by more σ particles in coupling 1
than in coupling 2. As a consequence,

∀t ≥ 0 : Rtα ≤ Ytλ,α (4.53)

Conclusion

In total, we have that for any λ < α < ρ

∀t ≥ 0 : Ytα,ρ ≤ Rtα ≤ Ytλ,α (4.54)

After dividing by t and passing to the limit, the Law of Large Numbers for the tagged second
class particle, proposition 4.16, yields

4.16 Ytα,ρ Rα Y λ,α 4.16


1 − α − ρ = lim ≤ lim t ≤ lim t = 1−λ−α P-a.s. (4.55)
t→∞ t t→∞ t t→∞ t
for all λ < α < ρ. Setting λ = α − ε, ρ = α + ε and letting ε → 0, we finally get
Rtα
lim = 1 − α − α = 1 − 2α P-a.s. (4.56)
t→∞ t

as desired.

37
5 THE HYDRODYNAMIC LIMIT

5 The Hydrodynamic Limit


In this section we will finally state and prove our main result, i.e. the connection between
the TASEP, a stochastic process, and the Burgers equation, a deterministic PDE.

In fact, there are two aspects of that correspondence we will consider.

Theorem 5.1. Let (U (x))x∈Z be a collection of Unif([0, 1]) random variables and ω a Poisson
process of rate 1 on Z × R≥0 , as in section 3.1. Let u(r, t) be the weak solution to the Burgers
equation 2.6 obtained by the method of characteristics as in section 2.4. Let ηtλ,ρ be the
TASEP with initial configuration η λ,ρ , i.e. ηtλ,ρ ≡ ηt (η λ,ρ , ω) as in definition 4.1, where
(
η λ (x) if x ≤ 0
η λ,ρ (x) =
η ρ (x) if x > 0

Let A ⊂ Z be finite and fA be as in definition 3.5. Then the following two statements hold:

Local Equilibrium

At all (r, s) where u is continuous


λ,ρ
lim E[fA (τrt ηst )] = u(r, s)|A| (5.1)
t→∞

Convergence of the Density Fields

For all a, b ∈ R satisfying a < b and all s ≥ 0,


Z b
1 X λ,ρ
lim ηst (x) = u(r, s)dr P-a.s. (5.2)
t→∞ t a
x: ta≤x≤tb

Now, we will briefly examine what this theorem actually means. For an intuition for the
Local Equilibrium, we can set A = {0}, so we get
λ,ρ
lim P(ηst (brtc) = 1) = u(r, s) (5.3)
t→∞

This is also called the density profile, and allows us to recover the solution u pointwise.
For general A, we just have an extension of that notion. As A is required to be finite, after
rescaling, the points in A will become, in a sense, “asymptotically arbitrarily close” - the
distance between them is finite and does not scale to infinity, however rt and st do. As a
consequence, they’re all shifted to the same point in rescaled space and time.
For the Convergence of the Density Fields, we have the same rescaling, and this statement
too is closely tied to the notion of density. If we divide by (b − a) on both sides, we can even
heuristically say that, in the limit, the average number of particles per site in the rescaled
process converges to the average density of u on [a, b].

To prove this theorem, we will examine three different cases: λ < ρ, λ > ρ and λ = ρ.
Each case will correspond to one of the cases in section 2.

38
5 THE HYDRODYNAMIC LIMIT 5.1 Proof in the shock case

5.1 Proof in the shock case


With the setting as above, let λ < ρ.

Recall section 2.4.1 and specifically proposition 2.9, which stated that the solution to the
Burgers equation we are considering for the shock is given by
(
λ if r ≤ (1 − λ − ρ)s
u(r, s) = uλ,ρ (r − (1 − λ − ρ)s) = (5.4)
ρ if r > (1 − λ − ρ)s

density λ 0 density ρ
time 0

time t
(1 − λ − ρ)t

Recall figure 2.1, where the shock can be observed

This proof will heavily utilize the tagged second class particle for the coupling (σt , ξ˜t ) ≡
(ηtλ , η̃tρ − ηtλ ), the position of which we denote by Ytλ,ρ . ˜
˜ ˜
Our strategy at approaching the proofs in this case will be trying to use the fact that,
asymptotically, the shock in u and Ytλ,ρ move at the same speed, as established by proposition
4.5. So we can divide the space into a left area with density λ and a right area with density
ρ - the boundary being the shock in the macroscopic and Ytλ,ρ in the microscopic view.

5.1.1 Preparation
We will use the cut operator Γ, as in definition 4.5, about which there are two important
observations to make.

The first one establishes that Γ commutes with the evolution of second class particles
the TASEP. I.e. for a process with a second class particle initially at the origin, it does not
matter whether we cut the ξ particles to the left of the origin at time 0 and then let the
coupling evolve to time t, or instead let the process run to time t and then cut all the ξ
particles to the left of Yt , the position at time t of the ξ particle starting from 0. To put that
in terms of the coupling, we have

39
5.1 Proof in the shock case 5 THE HYDRODYNAMIC LIMIT

Lemma 5.2. Let (σ, ξ) be an initial two-class configuration, and (σt [(σ, ξ), ω], ξt [(σ, ξ), ω]) be
the associated coupling. Assume ξ(0) = 1, and let Yt be the position at time t of the second
class particle initially at the origin. Then

(σt [(σ, Γ0 ξ), ω], ξt [(σ, Γ0 ξ), ω]) = (σt [(σ, ξ), ω], ΓYt ξt [(σ, ξ), ω]) (5.5)

Proof. For a proof it suffices to notice that the ξ particles initially to the left of the origin
have no impact on the evolution of the coupling. The σ particles to the left of the origin can
move through them, and they can’t overtake the particle at Yt . So, the same particles are
removed in both cases and they don’t have an effect on any other particles.
Second, we notice that we can express the configuration η λ,ρ via the cut operator, which
will be useful later on.

Remark 5.3. Consider the configuration η λ,ρ . Let σ = η λ and ξ = η ρ − η λ . Then we can
write
η̃ λ,ρ = σ + Γ0 ξ˜ (5.6)
˜
This leads us to

Lemma 5.4. With the configurations σ and ξ as above, we consider the coupling (σt , ξ˜t ).
Then we can express ˜
η̃tλ,ρ = σt + ΓYt ξ˜t (5.7)
˜
Proof. This follows immediately by remark 5.3 and lemma 5.2.
There is another nuance to consider with regard to the Convergence of the Density Fields
statement. As it concerns itself with the asymptotic density of particles, it does not matter
whether we add or remove a particle. Indeed, we have the following statement:

Lemma 5.5. For any configuration η, and the associated TASEP ηt , for any a < b, as well
1
P
as for any s ≥ 0: If limt→∞ t ta≤x≤tb ηst (x) exists, then we have

1 X 1X
lim ηst (x) ≡ lim ηst (x)1(x ∈ [ta, tb])
t→∞ t t→∞ t
ta≤x≤tb x∈Z

1X
= lim ηst (x)1(x ∈ (ta, tb)) (5.8)
t→∞ t
x∈Z

1X 1X
= lim ηst (x)1(x ∈ [ta, tb)) = lim ηst (x)1(x ∈ (ta, tb]) P-a.s.
t→∞ t t→∞ t
x∈Z x∈Z

Proof. Notice that


X X X
ηst (x)1(x ∈ [ta, tb]) = ηst (x)1(x ∈ (ta, tb)) + δ1 = ηst (x)1(x ∈ [ta, tb)) + δ1 + δ2
x∈Z x∈Z x∈Z
X X
= ηst (x)1(x ∈ [ta, tb)) + δ1 + δ2 + δ3 = ηst (x)1(x ∈ (ta, tb]) + δ1 + δ2 + δ3 + δ4
x∈Z x∈Z
(5.9)

where each δi ∈ {−2, −1, 0, 1, 2}, so that limt→∞ δti = 0. This yields the desired re-
sult. Heuristically speaking, adding or removing one or two particles does not matter in the
macroscopic scale of things.

40
5 THE HYDRODYNAMIC LIMIT 5.1 Proof in the shock case

5.1.2 Local Equilibrium


Let (r, s) ∈ R × R>0 be a continuity point of the solution u, i.e. r 6= (1 − λ − ρ)s. The two
cases we have to examine are whether x is to the left or to the right of the shock front.
In both cases, we will aim to use the fact that a tagged second class particle is transported
by the shock front, and thus will eventually be far enough away from r for sufficiently large
t.

Case 1: r > (1 − λ − ρ)s

Heuristically speaking, this case means that r is to the right of the shock front, so that
we are in an area with density ρ. We will first show the result for the configuration η̃ λ,ρ , and
then demonstrate that we can extend that to η λ,ρ . We begin by computing

λ,ρ
E[fA (τrt η̃st )] = E[fA (τrt (σst + ΓYst ξ˜st )]
˜
˜
= E[fA (τrt (σst + ΓYst ξst ))1(Yst < rt + min A)] (5.10)
˜
+ E[fA (τrt (σst + ΓYst ξ˜st ))1(Yst ≥ rt + min A)]
˜
Now we can examine the two terms separately. We first notice that for Yst < rt + min A,
the cut ΓYst does not matter because all particles cut are to the left of min A and thus do
not influence fA . This will allow us to drop the cut operator in the first term, obtaining η ρ
in the place of η λ,ρ after which fA and the indicator function will become independent.

Next, we have that


Yst Yst
lim = s · lim = (1 − λ − ρ)s < r P-a.s. (5.11)
t→∞ t t→∞ st

by Proposition 4.5, so that

lim P(Yst < rt + min A) = 1 (5.12)


t→∞
lim P(Yst ≥ rt + min A) = 0 (5.13)
t→∞

So now we can pick up where we left off in equation 5.10. We will show the desired convergence
for the first term, E[fA (τrt (σst + ΓYst ξ˜st ))1(Yst < rt + min A)], and then prove that the second
term, E[fA (τrt (σst + ΓYst ξ˜st˜))1(Yst ≥ rt + min A)] vanishes in the limit. We have for the first
term that ˜

lim E[fA (τrt (σst + ΓYst ξ˜st ))1(Yst < rt + min A)]
t→∞ ˜
= lim E[fA (τrt (σst + ξ˜st ))1(Yst < rt + min A)]
t→∞ ˜
(5.14)
ρ
= lim E[fA (τrt η̃st )1(Yst < rt + min A)]
t→∞
ρ
= lim E[fA (τrt η̃st )]E[1(Yst < rt + min A)]
t→∞

ρ ρ
We will now aim to transition from η̃st to ηst . To do that, we have to track the potential
discrepancy which arises by adding a particle at the origin. This is important since we’re not
looking at a density of particles, where a particle more or less does not matter, but instead

41
5.1 Proof in the shock case 5 THE HYDRODYNAMIC LIMIT

fA , which can be very sensitive to adding or removing a particle8 . We can, however, express
that discrepancy as an isolated second class particle initially at the origin in the coupling
ρ ρ ρ
(ηst , η̃st − ηst ) (5.15)
˜ ˜
If we let Rst be the position of that particle at time ts, the Law of Large Numbers for the
isolated second class particle (proposition 4.18) yields that

Rst
lim = (1 − 2ρ)s < (1 − ρ − λ)s < r (5.16)
t→∞ t

This means that


ρ ρ
lim E[fA (τrt η̃st )] = lim E[fA (τrt ηst )] (5.17)
t→∞ t→∞

as the discrepancy inevitably falls behind the shock. Together with equation 5.14, we get

lim E[fA (τrt (σst + ΓYst ξ˜st ))1(Yst < rt + min A)]
t→∞ ˜
ρ
= lim E[fA (τrt η̃st )]E[1(Yst < rt + min A)]
t→∞

eqn 5.17 ρ
= lim E[fA (τrt ηst )]E[1(Yst < rt + min A)]
t→∞
(5.18)
ρ
= lim E[fA (ηst )]P(Yst < rt + min A)
t→∞

= lim E[fA (η ρ )]P(Yst < rt + min A)


t→∞

eqn 3.14
= lim ρ|A| P(Yst < rt + min A) = ρ|A| = u(r, s)|A|
t→∞

The second term in equation 5.10, as mentioned above, vanishes. Specifically, we can
bound its absolute value by using the Jensen inequality and the fact that |fA (η)| ≤ 1 regard-
less of configuration

E[fA (τrt (σst + ΓYst ξ˜st ))1(Yst ≥ rt + min A)]



˜
≤ E[|fA (τrt (σst + ΓYst ξ˜st ))1(Yst ≥ rt + min A)|]
˜ (5.19)
= E[|fA (τrt (σst + ΓYst ξ˜st ))| · |1(Yst ≥ rt + min A)|]
˜
t→∞
≤ E[1(Yst ≥ rt + min A)] = P(Yst ≥ rt + min A) −→ 0

To finish the proof, we must now ensure that we do not incur an error by considering
the configuration η̃ λ,ρ in place of η λ,ρ , with the reasoning being very similar to what we did
above. To track the potential error, we consider the coupling
λ,ρ λ,ρ λ,ρ
(ηst , η̃st − ηst ) (5.20)
˜ ˜
λ,ρ
which corresponds to adding an isolated second class particle to the process ηst . Let Rst be
the position of that second class particle. Since the σ particles to the left, which can overtake
it, have density λ, and the blocking (first or second class) particles to its right have density
λ,ρ λ,ρ λ,ρ
ρ, we have that the isolated second class particle in (ηst , η̃st − ηst ) moves identically to the
˜ ˜
8
Recall that fA (η) = 1 if and only if ∀x ∈ A : η(x) = 1

42
5 THE HYDRODYNAMIC LIMIT 5.1 Proof in the shock case

λ ρ λ
tagged second class particle in (ηst , η̃st − ηst ), i.e. Rst = Yst . Because of the considerations in
equation 5.11 we have ˜ ˜

λ,ρ λ,ρ t→∞


|fA (τrt η̃st ) − fA (τrt ηst )| ≤ 1(Yst − rt ∈ A) −→ 0 P-a.s. (5.21)

for any finite (and thus bounded) set A, which finishes the proof in the first case.

Case 2: r < (1 − λ − ρ)s

Our proof in this case will be completely analogous to that of the first case. As in this
case, Ytst → (1 − λ − ρ)s > r for t → ∞, the shock and with it the second class particle
will asymptotically be to the right of r. A difference to case 1 lies in the fact that now all
ξ particles inside A will be removed by the cut operator, while none were removed before,
leaving us with η λ in place of η λ,ρ .

By the Law of Large Numbers for the tagged second class particle 4.5 we get that
Yst Yst prop 4.5
lim = s · lim = (1 − λ − ρ)s > r P-a.s. (5.22)
t→∞ t t→∞ st

and subsequently

lim P(Yst > rt + max A) = 1 (5.23)


t→∞
lim P(Yst ≤ rt + max A) = 0 (5.24)
t→∞

Then we can write, similarly to case 1,

λ,ρ
E[fA (τrt η̃st )] = E[fA (τrt (σst + ΓYst ξ˜st )]
˜
= E[fA (τrt (σst + ΓYst ξ˜st ))1(Yst > rt + max A)] (5.25)
˜
+ E[fA (τrt (σst + ΓYst ξ˜st ))1(Yst ≤ rt + max A)]
˜
and examine the two terms separately. For the first term we have

lim E[fA (τrt (σst + ΓYst ξ˜st ))1(Yst > rt + max A)]
t→∞ ˜
= lim E[fA (τrt (σst ))1(Yst > rt + max A)]
t→∞ ˜
(5.26)
λ
= lim E[fA (τrt ηst )1(Yst
> rt + max A)]
t→∞
˜
λ
= lim E[fA (τrt ηst )]E[1(Yst > rt + max A)]
t→∞
˜
As before, we need to track the discrepancy to make sure it eventually leaves the area of our
interest. Consider the coupling
λ λ λ
(ηst , η̃st − ηst ) (5.27)
˜ ˜
and let Rst signify the position of the isolated second class particle. Then by proposition 4.18
Rst
lim = (1 − 2λ)s > (1 − λ − ρ)s > r (5.28)
t→∞ t

43
5.1 Proof in the shock case 5 THE HYDRODYNAMIC LIMIT

and subsequently

lim E[fA (τrt (σst + ΓYst ξ˜st ))1(Yst > rt + max A)]
t→∞ ˜
= lim E[fA (τrt η λ )]E[1(Yst > rt + max A)]
t→∞
˜
= lim E[fA (τrt η λ )]P(Yst > rt + max A) (5.29)
t→∞

= lim E[fA (η λ )]P(Yst > rt + max A)


t→∞

eqn3.14
= lim λ|A| P(Yst > rt + max A) = λ|A| = u(r, s)|A|
t→∞

The second term can be bounded analogously to case 1.

E[fA (τrt (σst + ΓYst ξ˜st ))1(Yst ≤ rt + max A)]



˜
≤ E[|fA (τrt (σst + ΓYst ξ˜st ))1(Yst ≤ rt + max A)|]
˜ (5.30)
= E[|fA (τrt (σst + ΓYst ξ˜st ))| · |1(Yst ≤ rt + max A)|]
˜
t→∞
≤ E[1(Yst ≤ rt + min A)] = P(Yst ≤ rt + max A) −→ 0

Also, the exact same consideration concerning our use of η̃ λ,ρ in place of η λ,ρ , namely that
Yst
lim = (1 − λ − ρ)s > r (5.31)
t→∞ t

so we have the bound


t→∞
|fA (τrt η̃ λ,ρ ) − fA (τrt η λ,ρ )| ≤ 1(Yst − rt ∈ A) −→ 0 P-a.s. (5.32)

which allows us to conclude the second case and this part of the proof.

Remark 5.6. It would be natural to ask whether the Local Equilibrium also holds at the (r, s)
where u is discontinuous, i.e. r = (1 − λ − ρ)s. It has been shown that this is indeed not the
case. For more details, see [1].

5.1.3 Convergence of the Density Fields


In this proof we will employ considerations very similar to the ones before. For any a < b,
we will do a case analysis, based on whether the shock is contained inside [a, b] or not.

The main technique will remain the same as for the Local Equilibrium. We first write
λ,ρ
η̃st as in lemma 5.4, and then either discard the cut operator if we are to the right of the
shock (yielding η ρ ), or discard all ξ particles if we’re to the left (leaving η λ ).

Case 1: (1 − λ − ρ)s < a < b

Heuristically speaking, this is the case where the shock is to the left of the interval [a, b].
The solution of the Burgers equation here is u(r, t) = ρ, as per proposition 2.9.

44
5 THE HYDRODYNAMIC LIMIT 5.1 Proof in the shock case

Notice that, since we’re considering particle densities, our concerns about adding or re-
moving a particle at the origin are not as important, because the error vanishes in the limit.
We see this by writing, for any configuration η,
1 X 1 X 
lim η̃st = lim δ1 + ηst (5.33)
t→∞ t t→∞ t
x: ta≤x≤tb x: ta≤x≤tb

and
1 X 1 X 
lim ηst (x) = lim δ2 + ηst (x) (5.34)
t→∞ t t→∞ t
x: ta≤x≤tb ˜ x: ta≤x≤tb
δi
where the discrepancies are δ1 , δ2 ∈ {−1, 0, 1}. Since t
→ 0 as t → ∞, we can disregard
those discrepancies.

Moreover, we can apply the same technique as in the proof for the Local Equilibrium.
Specifically, we set
(σt , ξt ) = (ηtλ , ηtρ − ηtλ ) (5.35)
From there, we will aim to use lemma 5.4. We can compute

1 X 1 X 1 X
lim λ,ρ
ηst (x) = lim λ,ρ
η̃st (x) = lim σst (x) + ΓYst ξ˜st (x) (5.36)
t→∞ t t→∞ t t→∞ t ˜
x: ta≤x≤tb x: ta≤x≤tb x: ta≤x≤tb

Note that
Yst
= (1 − λ − ρ)s < a
lim (5.37)
t→∞ t

so we can discard the cut operator in equation 5.36 as no particles inside [a, b] will be cut.
After that, we recall lemma 3.6 and apply the Law of Large Numbers for the particle density
(proposition 4.7), so we can write

1 X 1 X
lim λ,ρ
ηst (x) = lim σst (x) + ΓYst ξ˜st (x)
t→∞ t t→∞ t ˜
x: ta≤x≤tb x: ta≤x≤tb

1 X 1 X
= lim σst (x) + ξ˜st (x) = lim ρ
η̃st (x)
t→∞ t ˜ t→∞ t
x: ta≤x≤tb x: ta≤x≤tb

1 X ρ lemma 3.6 1 X (5.38)


= lim ηst (x) = lim η ρ (x)
t→∞ t t→∞ t
x: ta≤x≤tb x: ta≤x≤tb

prop 4.7
= ρ(b − a)
Z b Z b
= ρdr = u(r, s)dr P-a.s.
a a

as desired, finishing case 1.

Case 2: a < b < (1 − λ − ρ)s

This case is very similar to case 1, and the few differences mirror those in the proof for
the Local Equilibrium. Since the shock is now to the right of our interval [a, b], we have that
Yst
lim = (1 − λ − ρ)s > b (5.39)
t→∞ t

45
5.1 Proof in the shock case 5 THE HYDRODYNAMIC LIMIT

λ,ρ
so when writing ηst = σst + ΓYst ξ˜st , we notice that all ξ particles inside [a, b] are removed by
˜
the cut operator (asymptotically). Repeating the calculation steps from above in this case
yields

1 X λ,ρ 1 X λ,ρ
lim ηst (x) = lim η̃st (x)
t→∞ t t→∞ t
x: ta≤x≤tb x: ta≤x≤tb

1 X 1 X
= lim σst (x) + ΓYst ξ˜st (x) = lim σst (x)
t→∞ t ˜ t→∞ t ˜
x: ta≤x≤tb x: ta≤x≤tb

1 X λ 1 X λ
= lim ηst (x) = lim ηst (x)
t→∞ t t→∞ t
x: ta≤x≤tb ˜ x: ta≤x≤tb (5.40)
1 X
= lim η λ (x)
t→∞ t
x: ta≤x≤tb

prop 4.7
= λ(b − a)
Z b Z b
= λdr = u(r, s)dr P-a.s.
a a

which is exactly what we required and closes case 2. What remains to be seen is what
happens if the shock is contained inside [a, b].

Case 3: a < (1 − λ − ρ)s < b

Just as the shock front divides space, we will, in this case, divide the interval [a, b] into
[a, (1 − λ − ρ)s] ∪ [(1 − λ − ρ)s, b] and consider the two parts separately, while accounting for
the error that may occur by counting a particle twice9 . After separating the space, we can
apply the computations we did for cases 1 and 2. Since we have that
1 X λ,ρ
ηst (x) ≤ b − a (5.41)
t x: ta≤x≤tb

we don’t have to worry about separating the limits, since everything is nicely bounded.
Notation-wise, the proof is not particularly pretty, but the steps we take simply justify
separating the interval as described in the argument above.
We write

1 X λ,ρ
lim ηst (x)
t→∞ t
x: ta≤x≤tb
1 X λ,ρ
X λ,ρ

= lim ηst (x) + ηst (x) + δ1
t→∞ t
x: ta≤x≤(1−λ−ρ)ts x: (1−λ−ρ)ts≤x≤tb
1 X λ,ρ
X λ,ρ

(5.42)
= lim ηst (x) + ηst (x) + δ2
t→∞ t
x: ta≤x≤(1−λ−ρ)ts−1 x: (1−λ−ρ)ts+1≤x≤tb
by cases 1 and 2
= λ((1 − λ − ρ)s − a) + ρ(b − (1 − λ − ρ)s)
Z (1−λ−ρ)s Z b Z b
= u(r, s)dr + u(r, s)dr = u(r, s)dr P-a.s.
a (1−λ−ρ)s a

9
in the event that (1 − λ − ρ)s is an integer

46
5 THE HYDRODYNAMIC LIMIT 5.2 Proof in the rarefaction case

where δ1 and δ2 are both in {−2, −1, 0, 1, 2} and thus vanish in the limit.

For the sake of completeness, we also include the cases where one of the boundaries of
the interval lies on the shock front, although they do not present any particular difficulties.

Case 4: a = (1 − λ − ρ)s

We have, by the considerations of the previous cases

1 X λ,ρ 1 X λ,ρ

lim ηst (x) = lim ηst (x) +δ
t→∞ t t→∞ t
x: (1−λ−ρ)ts≤x≤tb x: (1−λ−ρ)ts+1≤x≤tb
(5.43)
Z b
= ρ(b − (1 − λ − ρ)s) = u(r, s)dr P-a.s.
(1−λ−ρ)s

Case 5: b = (1 − λ − ρ)s

Analogously, we have

1 X λ,ρ 1 X λ,ρ

lim ηst (x) = lim ηst (x) + δ
t→∞ t t→∞ t
x: ta≤x≤(1−λ−ρ)ts x: ta≤x≤(1−λ−ρ)ts−1
(5.44)
Z (1−λ−ρ)s
= λ((1 − λ − ρ)s − a) = u(r, s)dr P-a.s.
a

Now that we have considered all possible cases, this concludes the proof of the Convergence
of the Density Fields, and, more broadly, the proof of theorem 5.1 for the shock case λ < ρ.
We now move on to the proof in the case of the rarefaction fan.

5.2 Proof in the rarefaction case


Let λ > ρ.

Recall proposition 2.10, which established that the solution to the Burgers equation we
consider in this case is given by

if r < (1 − 2λ)s


 λ
s−r

u(r, s) = if (1 − 2λ)s ≤ r ≤ (1 − 2ρ)s (5.45)

 2s
ρ if r > (1 − 2ρ)s

More broadly speaking, this case corresponds to section 2.4.2, and we will specifically
concern ourselves with the rarefaction fan generated by the characteristics that yield the
solution above.

5.2.1 Preparation
For any α ∈ [0, 1], we consider the coupling

(ηtα , η̃tα − ηtα ) (5.46)


˜ ˜

47
5.2 Proof in the rarefaction case 5 THE HYDRODYNAMIC LIMIT

density λ 0 density ρ
time 0

time t
(1 − 2λ)t (1 − 2ρ)t

Recall the characteristics that form the rarefaction fan

Then, we denote by Rtα be the position of the isolated second class particle initially at the
origin at time t, just like in section 4.6.

To prove our main result, we will first show a statement that describes the significance of
the rarefaction fan for the TASEP with initial configuration η λ,ρ . Asymptotically, it describes
the impact of the TASEP on the configuration: Initially, it has density λ to the left of the
origin and ρ to the right. At time s, the rarefaction fan fulfills the role of that boundary,
i.e. to the left of it, we have density λ and density ρ to the right, just as before. To put it
differently, we have

Lemma 5.7. Let ϑ > β, with ϑ, β ∈ [0, 1]. we consider ηtϑ,β , the TASEP with initial
configuration η ϑ,β . We also look at Rtϑ and Rtβ as defined above. Then we notice, that for all
x < Rtϑ :

ηtϑ,β (x) = ηtϑ (x) (5.47)


On the other hand, for all x > Rtβ

ηtϑ,β (x) = ηtβ (x) (5.48)

The most vivid case of this statement, as described above, is when ϑ = λ and β = ρ.
However, we will require it in this slightly more general form later on.
Proof. Let x < Rtϑ . We will prove equation 5.47. Notice that η ϑ ≥ η ϑ,β , which, together with
attractivity, allows us to define

48
5 THE HYDRODYNAMIC LIMIT 5.2 Proof in the rarefaction case

Coupling 1: (σt1 , ξt1 ) := (ηtϑ,β , η̃tϑ − ηtϑ,β ) (5.49)


˜ ˜
We denote by Zt1 the position of the ξ particle initially at the origin at time t. For t = 0,
there are by construction no second class particles to the left of the origin, so the particle
initially at zero is actually the leftmost second class particle:

Z01 = min{x : ξ01 (x) = 1} (5.50)


As second class particles cannot overtake each other, this property is preserved, i.e. we
have that for all t ≥ 0:

Zt1 = min{x : ξt1 (x) = 1} (5.51)


In other terms, we can say that for x < Zt1 , we have ηtϑ − ηtϑ,β = 0, i.e.

ηtϑ = ηtϑ,β (5.52)


We now show that Zt1 = Rtϑ . Recall that the position of a second class particle can be
determined by knowing the initial σ particles to its left and all the “blocking” particles to
its right, as discussed in section 3.4.2.
For Rtϑ , which is the second class particle in the coupling (ηtϑ , η̃tϑ − ηtϑ ), we see that the
σ particles to its left are η ϑ (x)1(x < 0), while the total blocking ˜
˜ particles to its right are
ϑ
η (x)1(x > 0).
For Zt1 , the σ particles to its left are η ϑ (x)1(x < 0), and the blocking particles to its right
are (η ϑ (x) − η ϑ,β (x) + η ϑ,β (x))1(x > 0) = η ϑ (x)1(x > 0).
So, with the σ particles to the left being identical, and the ones to the right being the
same from the perspective of the tagged ξ particle, it follows that Zt1 = Rtϑ , which, in turn,
implies equation 5.47.

Now, let x > Rtβ . The proof of equation 5.48 will be very similar to that of 5.47. As
before, we notice that η ϑ,β ≥ η β , so we can define

Coupling 2: (σt2 , ξt2 ) := (ηtβ , η̃tϑ,β − ηtβ ) (5.53)


˜ ˜
Let Zt2 denote the position of the tagged ξ particle initially at the origin at time t. For
t = 0, there are, by definition, no second class particles to the right of 0, so we have that

Z02 = max{x : ξ02 (x) = 1} (5.54)


Which, as before, yields for all t ≥ 0 that

Zt2 = max{x : ξt2 (x) = 1} (5.55)


This means that for all x > Zt2

ηtϑ,β − ηtβ = 0 (5.56)


Now compare Zt2 to Rtβ .
The σ particles to the left of Rtβ , which is the isolated second class particle in the coupling
(ηtβ , η̃tβ − ηtβ ), the σ particles initially to the left are η β (x)1(x < 0), while the particles to the
˜
right are ˜η β (x)1(x > 0).
For Zt2 , notice that the σ particles to the left are η β (x)1(x < 0), while the blocking
particles to the right are (η β (x)+η ϑ,β (x)−η β (x))1(x > 0) = η ϑ,β (x)1(x > 0) = η β (x)1(x > 0).
This shows that Zt2 = Rtβ which in turn implies equation 5.48.

49
5.2 Proof in the rarefaction case 5 THE HYDRODYNAMIC LIMIT

This leads us to another useful statement that provides bounds for ηtλ,ρ depending on where
we are in the rarefaction fan, reinforcing our intuitive notion of the role the characteristics
in the rarefaction fan play for the TASEP.

Lemma 5.8. Let λ ≥ α ≥ ρ, with the rest of the setting as before.


For all x < Rtα , we have

ηtα (x) ≤ ηtλ,ρ (x) (5.57)


while on the other hand, for all x > Rtα

ηtλ,ρ (x) ≤ ηtα (x) (5.58)

ηtλ,ρ
λ

ηtα
α

r
Rtλ Rtα Rtρ

Figure 5.1: A macroscopic illustration of our claim in lemma 5.8, where the lines represent
densities. Also recall that ηtλ,ρ = ηtλ to the left of Rtλ and ηtλ,ρ = ηtρ to the right of Rtρ by
lemma 5.7, and notice the similarity to the profile of the rarefaction fan.

Proof. Our claim follows relatively easily from the previous lemma 5.7 and proposition 3.12,
which established attractivity, i.e. that the domination of configurations is preserved by the
TASEP. Note that it yields the following inequalities:
3.12
α ≤ λ =⇒ η α,ρ ≤ η λ,ρ =⇒ ηtα,ρ ≤ ηtλ,ρ (5.59)

and
3.12
ρ ≤ α =⇒ η λ,ρ ≤ η λ,α =⇒ ηtλ,ρ ≤ ηtλ,α (5.60)
Now, let x < Rtα . Then, we can set ϑ = α and β = ρ in lemma 5.7 and get
5.7
ηtα (x) = ηtα,ρ (x) ≤ ηtλ,ρ (x) (5.61)

Similarly, for x > Rtα , we set ϑ = λ and β = α, which yields


5.7
ηtλ,ρ (x) ≤ ηtλ,α (x) = ηtα (x) (5.62)
This completes the proof.

50
5 THE HYDRODYNAMIC LIMIT 5.2 Proof in the rarefaction case

Our next statement concerns itself with the particle density in a narrower cone inside the
rarefaction fan. It will be a crucial tool for proving the Convergence of the Density Fields
later. Specifically, we have
Lemma 5.9. Let λ ≥ α > β ≥ ρ for some α, β. Then, on one hand,
1 X λ,ρ
lim inf η (x)1[x ∈ ((1 − 2α)t, (1 − 2β)t)] ≥ 2β(α − β) P-a.s. (5.63)
t→∞ t x∈Z t

and on the other


1 X λ,ρ
lim sup η (x)1[x ∈ ((1 − 2α)t, (1 − 2β)t)] ≤ 2α(α − β) P-a.s. (5.64)
t→∞ t x∈Z t

Proof. First note that 1−2α and 1−2β are the asymptotic speeds of Rtα and Rtβ , respectively,
by the Law of Large Numbers for the isolated second class particle, proposition 4.18. Our
approach to this proof will be to use that fact together with lemma 5.8.

We first show equation 5.63.

Notice that if x ∈ (Rtα , Rtβ ), we have in particular that x < Rtβ . By lemma 5.8 this means
that X β X λ,ρ
ηt (x)1(x ∈ (Rtα , Rtβ )) ≤ ηt (x)1(x ∈ (Rtα , Rtβ )) (5.65)
x∈Z x∈Z

Now we only have to pass from ((1 − 2α)t, (1 − 2β)t) to (Rtα , Rtβ ), which, however is not
difficult as the error we make vanishes.

We denote A∆B := (A ∩ B c ) ∪ (Ac ∩ B). Also, for brevity, we set


t
Iα,β := ((1 − 2α)t, (1 − 2β)t) (5.66)

Then we can calculate

X
ηtβ (x)1(x ∈ Iα,β
t
)
x∈Z
X X
≤ ηtβ (x)1(x ∈ (Rtα , Rtβ )) + ηtβ (x)1(x ∈ (Iα,β
t
∆(Rtα , Rtβ )))
x∈Z x∈Z

5.8 X X
≤ ηtλ,ρ (x)1(x ∈ (Rtα , Rtβ )) + ηtβ (x)1(x ∈ (Iα,β
t
∆(Rtα , Rtβ )))
x∈Z x∈Z
X X
≤ ηtλ,ρ (x)1(x ∈ Iα,β
t
)+ ηtβ (x)1(x ∈ (Iα,β
t
∆(Rtα , Rtβ ))) (5.67)
x∈Z x∈Z
X
+ ηtλ,ρ (x)1(x ∈ (Iα,β
t
∆(Rtα , Rtβ )))
x∈Z
X X
≤ ηtλ,ρ (x)1(x ∈ Iα,β
t
)+2 t
1(x ∈ (Iα,β ∆(Rtα , Rtβ )))
x∈Z x∈Z
X
≤ ηtλ,ρ (x)1(x ∈ Iα,β
t
) + 2|Rtβ − (1 − 2β)t| + 2|Rtα − (1 − 2α)t|
x∈Z

51
5.2 Proof in the rarefaction case 5 THE HYDRODYNAMIC LIMIT

While this calculation may look somewhat daunting, it is in essence relatively simple, as
t
we only passed from Iα,β to (Rtα , Rtβ ) and back to apply lemma 5.8. Each time, we incur an
error, which we can however bound by how much the isolated second class particles deviate
from their asymptotic paths. We will see that that error vanishes when t → ∞.

Recall that, by proposition 4.7 we have that

1X β t
lim ηt (x)1(x ∈ Iα,β ) = β((1 − 2β) − (1 − 2α)) = 2β(α − β) P-a.s. (5.68)
t→∞ t
x∈Z

and proposition 4.18 yields

1 β
lim |R − (1 − 2β)t| = 0 P-a.s. (5.69)
t→∞ t t
1
lim |Rtα − (1 − 2α)t| = 0 P-a.s. (5.70)
t→∞ t
(5.71)

Piecing together what we have done so far now gives us

2β(α − β)
1X β t
= lim inf ηt (x)1(x ∈ Iα,β )
t→∞ t x∈Z

1  X λ,ρ 
≤ lim inf t
ηt (x)1(x ∈ Iα,β ) + 2|Rtβ − (1 − 2β)t| + 2|Rtα − (1 − 2α)t|
t→∞ t x∈Z

1 X λ,ρ 1 1
= lim inf t
ηt (x)1(x ∈ Iα,β ) + lim inf 2|Rtβ − (1 − 2β)t| + lim inf 2|Rtα − (1 − 2α)t|
t→∞ t x∈Z t→∞ t t→∞ t

1 X λ,ρ t
= lim inf η (x)1(x ∈ Iα,β ) P-a.s.
t→∞ t x∈Z t
(5.72)

which finishes the proof of equation 5.63.

As in the lemmas before, the proof of 5.64 will be very similar, just with a few calculations
mirrored. The general structure however, remains unchanged. With that said, we notice: If
x ∈ (Rtα , Rtβ ), this also means that x > Rtα . Together with lemma 5.8 this yields
X X λ,ρ
ηtα (x)1(x ∈ (Rtα , Rtβ )) ≥ ηt (x)1(x ∈ (Rtα , Rtβ )) (5.73)
x∈Z x∈Z

This allows us to compute

52
5 THE HYDRODYNAMIC LIMIT 5.2 Proof in the rarefaction case

X
ηtα 1(x ∈ Iα,β
t
)
x∈Z
X X
≥ ηtα 1(x ∈ (Rtα , Rtβ )) − ηtα 1(x ∈ (Iα,β
t
∆(Rtα , Rtβ )))
x∈Z x∈Z

5.8 X X
≥ ηtλ,ρ 1(x ∈ (Rtα , Rtβ )) − t
ηtα 1(x ∈ (Iα,β ∆(Rtα , Rtβ )))
x∈Z x∈Z
X X
≥ ηtλ,ρ 1(x ∈ Iα,β
t
)− ηtα 1(x ∈ (Iα,β
t
∆(Rtα , Rtβ ))) (5.74)
x∈Z x∈Z
X
− ηtλ,ρ 1(x ∈ (Iα,β
t
∆(Rtα , Rtβ )))
x∈Z
X X
≥ ηtλ,ρ 1(x ∈ Iα,β
t
)−2 t
1(x ∈ (Iα,β ∆(Rtα , Rtβ )))
x∈Z x∈Z
X
≥ ηtλ,ρ 1(x ∈ Iα,β
t
) − 2|Rtβ − (1 − 2β)t| − 2|Rtα − (1 − 2α)t|
x∈Z

Just as before, we notice that, according to proposition 4.7


1X α t
lim ηt 1(x ∈ Iα,β ) = α((1 − 2β) − (1 − 2α)) = 2α(α − β) P-a.s. (5.75)
t→∞ t
x∈Z

Combining those, we get

2α(α − β)
1X α t
= lim sup ηt 1(x ∈ Iα,β )
t→∞ t x∈Z

1  X λ,ρ 
≥ lim sup t
ηt 1(x ∈ Iα,β ) − 2|Rtβ − (1 − 2β)t| − 2|Rtα − (1 − 2α)t|
t→∞ t x∈Z

1 X λ,ρ 1 1
= lim sup t
ηt 1(x ∈ Iα,β ) − lim sup 2|Rtβ − (1 − 2β)t| lim sup 2|Rtα − (1 − 2α)t|
t→∞ t x∈Z t→∞ t t→∞ t

1 X λ,ρ t
= lim sup ηt 1(x ∈ Iα,β ) P-a.s.
t→∞ t x∈Z
(5.76)
as desired. This shows equation 5.64 and concludes our proof.

There is another elementary observation that should be noticed, as it will become relevant
soon.
Remark 5.10. Let u be the solution obtained in proposition 2.10. Then, for any r ∈ R and
s > 0, we can write
r 
u(r, s) = u , 1 (5.77)
s
53
5.2 Proof in the rarefaction case 5 THE HYDRODYNAMIC LIMIT

Proof. We consider the expression case-by-case. In each one, a simple calculation suffices.

Case 1: For r ∈ [(1 − 2λ)s, (1 − 2ρ)s], we calculate

s−r 1 − rs r 
u(r, s) = = = u ,1 (5.78)
2s 2 s
r
Case 2: For r < (1 − 2λ)s, we have that s < 1 − 2λ, so
r 
u(r, s) = λ = u , 1 (5.79)
s
Case 3: For r > (1 − 2ρ)s we analogously have that rs > 1 − 2ρ, so
r 
u(r, s) = ρ = u , 1 (5.80)
s

Now we are prepared to go into the main proofs in the case of the rarefaction fan.

5.2.2 Local Equilibrium


Let s > 0, and A ⊂ Z finite. In this proof, we will aim to apply lemma 5.8 to get bounds
λ,ρ
on E[fA (τrt ηst )] for large t. Heuristically speaking, the concept of the proof is the same as
in the shock case. Outside of the rarefaction fan we have that η λ,ρ is essentially the same as
η λ (to the left of the rarefaction fan) or η ρ (to the right) respectively. The interesting case is
the one where r is inside the fan, however we will just squeeze r into a smaller fan to obtain
bounds there.

Case 1: r ∈ ((1 − 2λ)s, (1 − 2ρ)s)

This is the case where r is inside the cone of the rarefaction fan. We will attempt to, in
a sense, enclose r in a sub-cone that is too contained inside the rarefaction fan.
We consider some α, β that satisfy

λ≥α>β≥ρ (5.81)
and

r ∈ ((1 − 2α)s, (1 − 2β)s) (5.82)


Note that the latter condition is equivalent to
1 − rs
β< <α (5.83)
2
As we will see, that asymptotically allows us to place rt between isolated second class
particles. From there, we can apply the considerations in our preparation.

As before, let Rtα ≡ Rtα (ω) denote the position at time t of the second class particle
initially at the origin in the coupling (ηtα , η̃tα − ηtα ) and Rtβ ≡ Rtβ (ω) the same in the coupling
(ηtβ , η̃tβ − ηtβ ). We denote the event ˜ ˜
˜ ˜
α β
Bt := {ω| ∀x ∈ A : Rst < rt + x < Rst } (5.84)
First, we recall that by the Law of Large Numbers that we proved for isolated second
class particles, proposition 4.18, we have that

54
5 THE HYDRODYNAMIC LIMIT 5.2 Proof in the rarefaction case

density λ 0 density ρ
time 0

time s
(1 − 2λ)s (1 − 2α)s r (1 − 2β)s (1 − 2ρ)s

Figure 5.2: An illustration of our approach to this proof

α β
Rst Rst
lim = (1 − 2α)s < r < (1 − 2β)s = lim P-a.s. (5.85)
t→∞ t t→∞ t

which, if we set 1(Bt ) ≡ 1(ω ∈ Bt ), yields

lim 1(Bt ) = 1 P-a.s. (5.86)


t→∞

Heuristically speaking, this means that we can asymptotically assume that


α β
Rst < rt + x < Rst for all x. It allows us to utilise the statements we have already established
before.
If we are in the set Bt , i.e.

α β
∀x ∈ A : Rst < rt + x < Rst (5.87)
then, by lemma 5.8, that implies

α λ,ρ β
∀x ∈ A : ηst (rt + x) ≥ ηst (rt + x) ≥ ηst (rt + x) (5.88)
which in turn yields

α λ,ρ β
fA (τrt ηst ) ≥ fA (τrt ηst ) ≥ fA (τrt ηst ) (5.89)
Taking those considerations together, and recalling lemma 3.6, we get

55
5.2 Proof in the rarefaction case 5 THE HYDRODYNAMIC LIMIT

3.6
α|A| = E[fA (η α )] = lim E[fA (ηst
α α
)] = lim E[fA (ηst )1(Bt )]
t→∞ t→∞

5.8
α λ,ρ
= lim E[fA (τrt ηst )1(Bt )] ≥ lim sup E[fA (τrt ηst )1(Bt )]
t→∞ t→∞

λ,ρ λ,ρ
= lim sup E[fA (τrt ηst )] ≥ lim inf E[fA (τrt ηst )] (5.90)
t→∞ t→∞

5.8
λ,ρ β
= lim inf E[fA (τrt ηst )1(Bt )] ≥ lim E[fA (ηst )1(Bt )]
t→∞ t→∞

β 3.6
= lim E[fA (ηst )] = E[fA (η β )] = β |A|
t→∞

Since our observations were validr for any α, β satisfying equation 5.83, we can choose, for
1− rs 1−
a small ε, α := 2 + ε and β := 2 s − ε. By letting ε → 0, we can squeeze the lim inf and
lim sup arbitrarily close together, which yields
 1 − r |A|  s − r |A|
λ,ρ
lim E[fA (τrt ηst )] = s
= = u(r, s)|A| (5.91)
t→∞ 2 2s
Case 2: r < (1 − 2λ)s

In this case, r is to the left of the rarefaction fan, where the particle density is still
essentially λ just as at time 0. By proposition 4.18, we know that
λ
Rst
lim = (1 − 2λ)s > r P-a.s. (5.92)
t→∞ t

So, if we denote the event

Ct1 := {ω|∀x ∈ A : rt + x < Rst


λ
} (5.93)
then we get that limt→∞ 1(Ct1 ) = 1 P-a.s. Recall that the distribution η λ is invariant
λ,ρ λ λ
under the TASEP by lemma 3.6. Also, note that by lemma 5.7, ηst = ηst to the left of Rst .
Together, this yields

3.6
u(r, s)|A| = λ|A| = E[fA (η λ )] = lim E[fA (ηst
λ λ
)] = lim E[fA (τrt ηst )]
t→∞ t→∞

λ
= lim E[fA (τrt ηst )1(Ct1 )] (5.94)
t→∞

5.7 λ,ρ λ,ρ


= lim E[fA (τrt ηst )1(Ct1 )] = lim E[fA (τrt ηst )]
t→∞ t→∞

as desired. This leads us to the largely analogous third case, where r is to the right of
the rarefaction fan.

Case 3: r > (1 − 2ρ)s

Our approach here is very similar to case 2. First of all, we have that by proposition 4.18
ρ
Rst
lim = (1 − 2ρ)s < r P-a.s. (5.95)
t→∞ t

so that we have for the event

56
5 THE HYDRODYNAMIC LIMIT 5.2 Proof in the rarefaction case

ρ
Ct2 := {ω|∀x ∈ A : rt + x > Rst } (5.96)
that limt→∞ 1(Ct2 ) = 1 P-a.s. .
Identically to case 2, we can now use lemma 3.6 and lemma 5.7 and calculate

3.6 ρ ρ
u(r, s)|A| = ρ|A| = E[fA (η ρ )] = lim E[fA (ηst )] = lim E[fA (τrt ηst )]
t→∞ t→∞
ρ
= lim E[fA (τrt ηst )1(Ct2 )] (5.97)
t→∞

5.7 λ,ρ λ,ρ


= lim E[fA (τrt ηst )1(Ct2 )] = lim E[fA (τrt ηst )]
t→∞ t→∞

The two cases that remain to be considered are the ones where r is actually on the bound-
ary of the rarefaction cone. As we will see, however, those are very similar as well.

Case 4: r = (1 − 2λ)s

In this case, r is on the left border of the rarefaction fan. We will employ basically the
same technique as in case 1, except that we use a more elementary consideration for an upper
λ,ρ λ
bound. Recall that by definition ηst ≤ ηst , so we have
λ,ρ
lim sup E[fA (τrt ηst )] ≤ λ|A| (5.98)
t→∞

Now, for a lower bound, we proceed as before. Consider any α satisfying α < λ. Next,
we look at the event

Dt1 = {ω|∀x ∈ A : rt + x < Rst


α
} (5.99)
λ,ρ
Notice that by lemma 5.8 implies that in the set Dt1 , ηst α
≥ ηst . Additionally, by propo-
sition 4.18
α
Rst
lim = (1 − 2α)s > (1 − 2λ)s = r P-a.s. (5.100)
t→∞ t

so we get that limt→∞ 1(Dt1 ) P-a.s. We again use lemma 3.6 and lemma 5.8 just as before
for the lower bound, obtaining

λ,ρ λ,ρ
λ|A| ≥ lim sup E[fA (τrt ηst )] ≥ lim inf E[fA (τrt ηst )]
t→∞ t→∞

5.8
λ,ρ
= lim inf E[fA (τrt ηst )1(Dt1 )] ≥ lim inf E[fA (τrt ηst
α
)1(Dt1 )] (5.101)
t→∞ t→∞

3.6
α
= lim E[fA (τrt ηst α
)] = E[fA (ηst )] = E[fA (η α )] = α|A|
t→∞

As we have chosen α < λ arbitrarily, we can set α := λ − ε for some ε > 0 and then let
ε → 0 to obtain that
λ,ρ
lim E[fA (τrt ηst )] = λ|A| = u(r, s)|A| (5.102)
t→∞

as desired.

57
5.2 Proof in the rarefaction case 5 THE HYDRODYNAMIC LIMIT

Case 5: r = (1 − 2ρ)s

Here, r is on the right boundary of the rarefaction fan. Our approach to the proof will be
almost identical to the previous case, with only the inequalities mirrored and ρ substituted
λ,ρ ρ
for λ. Recall that ηst ≥ ηst , so that

ρ|A| ≤ lim inf E[fA (τrt ηsλ,ρ t)] (5.103)


t→∞
This will be our lower bound. For an upper bound, consider some β with β > ρ. Next,
we denote the event

Dt2 = {ω|∀x ∈ A : rt + x > Rβ st} (5.104)


As proposition 4.18 asserts that
β
Rst
lim = (1 − 2β)s < (1 − 2ρ)s = r P-a.s. (5.105)
t→∞ t

we have limt→∞ 1(Dt2 ) P-a.s. For an upper bound, we use lemma 3.6 and lemma 5.8, which
β
implies that inside Dt2 , we have ηsλ,ρ t ≤ ηst

λ,ρ λ,ρ
ρ|A| ≤ lim inf E[fA (τrt ηst )] ≤ lim sup E[fA (τrt ηst )]
t→∞ t→∞

5.8
λ,ρ β
= lim sup E[fA (τrt ηst )1(Dt2 )] ≤ lim sup E[fA (τrt ηst )1(Dt2 )] (5.106)
t→∞ t→∞

β β 3.6
= lim E[fA (τrt ηst )] = lim E[fA (ηst )] = E[fA (η β )] = β |A|
t→∞ t→∞

Setting β := ρ + ε and letting ε → 0 gives us that


λ,ρ
lim E[fA (τrt ηst )] = ρ|A| = u(r, s)|A| (5.107)
t→∞
which is the desired result and finishes the proof of Local Equilibrium for the rarefaction
fan.

5.2.3 Convergence of the Density Fields


Recall that we want to show that
Z b
1 X λ,ρ
lim ηst (x)1(x ∈ (at, bt)) = u(r, s)ds P-a.s. (5.108)
t→∞ t a
x∈Z

As in the shock case, we will consider the claim case-by-case, depending on where the
interval [a, b] will be. Crucial to our proof will be lemma 5.9, which we will use to extract
helpful bounds for the expressions we encounter.

If s = 0, the result immediately follows from the Law of Large Numbers for the particle
density proposition 4.7, as we have that

1 X λ,ρ λ(b − a) if b ≤ 0

lim η (x)1(x ∈ (ta, tb)) = ρ(b − a) if a ≥ 0 (5.109)
t→∞ t 
x∈Z 
bρ − aλ else
Z b Z b
= u0 (r)dr = u(r, 0)dr P-a.s. (5.110)
a a

58
5 THE HYDRODYNAMIC LIMIT 5.2 Proof in the rarefaction case

So, we fix s > 0. To avoid having to do consider many cases where (a, b) is to the left of
the rarefaction fan, contains (1 − 2λ)s, contains (1 − 2ρ)s, or is to the right of the rarefaction
fan, we will instead show the following three statements:

1. For any a ∈ [(1 − 2λ)s, (1 − 2ρ)s] we have


(1−2ρ)st
1 X λ,ρ
Z
lim ηst (x)1(x ∈ (at, (1 − 2ρ)st)) = u(r, s)ds P-a.s. (5.111)
t→∞ t a
x∈Z

2. For any a < (1 − 2λ)s


(1−2λ)s
1 X λ,ρ
Z
lim ηst (x)1(x ∈ (at, (1 − 2λ)st)) = u(r, s)ds P-a.s. (5.112)
t→∞ t a
x∈Z

3. For any b > (1 − 2ρ)s


b
1 X λ,ρ
Z
lim ηst (x)1(x ∈ ((1 − 2ρ)st, bt) = u(r, s)ds P-a.s. (5.113)
t→∞ t (1−2ρ)s
x∈Z

It is easy to see that these cases suffice, as we can then combine them into any others.
For general (a, b) ⊂ ((1 − 2λ)s, (1 − 2ρ)s), for example, we see that
1 X λ,ρ 1 X λ,ρ
lim ηst (x)1(x ∈ (at, bt)) = lim ηst (x)1(x ∈ (at, (1 − 2ρ)st))
t→∞ t t→∞ t
x∈Z x∈Z
(5.114)
1 X λ,ρ
− lim ηst (x)1(x ∈ [bt, (1 − 2ρ)st))
t→∞ t
x∈Z

Exactly the same considerations allow us to establish the statement for any a < b. In
the cases outside the rarefaction fan, the same considerations as always apply. They allow
us to replace η λ,ρ by η λ or η ρ respectively, depending on where we are, and apply already
established results from there. The error made by the replacement then vanishes in the limit.
With that said, let us begin the proofs in those three cases.

Statement 1: a ∈ [(1 − 2λ)s, (1 − 2ρ)s]

This is the case where (a, b) is contained inside the rarefaction fan.
By using remark 5.10, we will, in a sense, reduce our considerations to time 1 by rescaling
space. Choose c = as , so that c is the “direction” of a. With that, we can go right into the
computation, considering lim sup and lim inf separately, to later apply lemma 5.9.

1 X λ,ρ 1 X λ,ρ
lim sup ηst (x)1(x ∈ (at, (1 − 2ρ)st)) = lim sup ηst (x)1(x ∈ (cst, (1 − 2ρ)st))
t→∞ t x∈Z t→∞ t
x∈Z

1 X λ,ρ
= s lim sup η (x)1(x ∈ (cst, (1 − 2ρ)st))
t→∞ st x∈Z st

choose v=st 1 X λ,ρ


= s lim sup η (x)1(x ∈ (cv, (1 − 2ρ)v))
v→∞ v x∈Z v

lemma 5.5 1 X λ,ρ


= s lim sup η (x)1(x ∈ [cv, (1 − 2ρ)v])
v→∞ v x∈Z v
(5.115)

59
5.2 Proof in the rarefaction case 5 THE HYDRODYNAMIC LIMIT

Notice that we have, in sense, performed a sort of “change of variables”, i.e. a substitu-
tion, that yielded s as a factor. Later on we will reverse that to obtain the desired result.

For now, we see that for any λ, ρ ∈ [0, 1], (1−2λ, 1−2ρ) ⊂ (−1, 1), i.e. the rarefaction fan
must be contained in the cone formed by lines of speed −1 and 1, respectively. Subsequently,
(cv, (1 − 2ρ)v) ⊂ (−v, v), so we fix n ∈ N and divide (−v, v) into n subintervals with
equidistant endpoints:
n  
k − 1

[ k 
[−v, v) = v 1 − 2 ,v 1 − 2 (5.116)
k=1
n n

density λ 0 density ρ
time 0

time v
−v (1 − 2λ)v (1 − 2ρ)v v

Figure 5.3: An illustration of how we divide (−v, v)

Now, we of course have to determine how k must be chosen so that (1 − 2 nk )v is inside


[cv, (1 − 2ρ)v]. To that aim, we consider

k
cv ≤ (1 − 2 ) ≤ (1 − 2ρ)v
n
k
⇐⇒ c ≤ 1 − 2 ≤ 1 − 2ρ (5.117)
n
1−c k
⇐⇒ ≥ ≥ρ
2 n
Taking these considerations together, we can pick up where we left off in equation 5.115. We

60
5 THE HYDRODYNAMIC LIMIT 5.2 Proof in the rarefaction case

reorder the terms and apply lemma 5.9 with α = nk , β = k−1


n
to obtain

1 X λ,ρ
s lim sup η (x)1(x ∈ [cv, (1 − 2ρ)v])
v→∞ v x∈Z v
n
1 X X λ,ρ   
= s lim sup ηv (x)1(x ∈ [cv, (1 − 2ρ)v])1 x ∈ (1 − 2 nk )v, (1 − 2 k−1
n
)v
v→∞ v
x∈Z k=1

n
1 X X λ,ρ  
k k−1

k 1−c
= s lim sup ηv (x)1 x ∈ (1 − 2 n )v, (1 − 2 n )v 1(ρ ≤ n
≤ 2
)
v→∞ v
x∈Z k=1

n
1X X   
= s lim sup 1(ρ ≤ k
n
≤ 1−c
2
) ηvλ,ρ (x)1 x ∈ (1 − 2 nk )v, (1 − 2 k−1
n
)v
v→∞ v
k=1 x∈Z

n
!
X 1 X   
=s 1(ρ ≤ k
n
≤ 1−c
2
) lim sup ηvλ,ρ (x)1 x ∈ (1 − 2 nk )v, (1 − 2 k−1
n
)v
v→∞ v
k=1 x∈Z

n
lemma 5.9 X k k − (k − 1)  k 1 − c
≤ s 2 1 ρ ≤ ≤
k=1
n n n 2
n
X k2  k 1 − c
=s 1 ρ ≤ ≤ P-a.s.
k=1
n n n 2
(5.118)
Z 1−c
2
Now notice that the last expression is simply the upper Riemann sum for 2ydy, and as
ρ
y 7→ 2y is continuous and thus Riemann integrable, the lower sum actually converges to the
integral.

Since we’ve considered an arbitrary n, we can take n → ∞ without breaking the inequality.
Taking our steps together, this yields that

1−c
1 X λ,ρ
Z
2
 1 − c 2 
lim sup ηst (x)1(x ∈ (at, b̂t)) ≤ s 2ydy = s − ρ2
t→∞ t ρ 2
x∈Z

1−4ρ+4ρ2
 1 − 2ρ −
2 2c − c2 
=s −
2 4
 1 − 2ρ (1 − 2ρ)2   c c2 
=s − − −
2 4 2 4
(5.119)
h q q 2 i1−2ρ 1−2ρ Z 1−2ρ
1−q
Z
=s − =s dq = s u(q, 1)dq
2 4 c c 2 c
Z (1−2ρ)s 
r 
= u , 1 dr
cs s
Z b̂
remark 5.10
= u(r, s)dr P-a.s.
a

61
5.2 Proof in the rarefaction case 5 THE HYDRODYNAMIC LIMIT

The next step is to redo exactly the same calculations for the lim inf, using the other
bound lemma 5.9 provides. Specifically, we see that, for n ∈ N

1 X λ,ρ
lim inf η (x)1(x ∈ (at, b̂t))
t→∞ t x∈Z st

1 X λ,ρ
= s lim inf η (x)1(x ∈ [cv, (1 − 2ρ)v])
v→∞ v x∈Z v
n
XX   
= s lim inf ηvλ,ρ (x)1(x ∈ [cv, (1 − 2ρ)v])1 x ∈ (1 − 2 nk )v, (1 − 2 k−1
n
)v
v→∞
x∈Z k=1

n
!
X 1 X   
=s 1(ρ ≤ k
n
≤ 1−c
2
) lim sup ηvλ,ρ (x)1 x ∈ (1 − 2 nk )v, (1 − 2 k−1
n
)v
v→∞ v
k=1 x∈Z

n
lemma 5.9 X k − 1 k − (k − 1)  k 1 − c
≥ s 2 1 ρ ≤ ≤
k=1
n n n 2
n Z 1−c
X k−12  k 1 − c  n→∞ 2
=s 1 ρ ≤ ≤ −→ s 2ydy
k=1
n n n 2 ρ

 1 − c 2 
=s − ρ2
2
Z b̂
= u(r, s)dr P-a.s.
a
(5.120)
In summary, we have that


1 X λ,ρ
Z
ηst (x)1(x ∈ (at, b̂t))
u(r, s)dr ≤ lim inf (5.121)
a t→∞ t
x∈Z
Z b̂
1 X λ,ρ
≤ lim sup ηst (x)1(x ∈ (at, b̂t)) ≤ u(r, s)dr (5.122)
t→∞ t a
x∈Z

which yields the desired result and concludes case 1 of our proof.

Statement 2: a < (1 − 2λ)s

Our approach here will be to use the fact that


λ
Rst
lim = (1 − 2λ)s P-a.s. (5.123)
t→∞ t

and subsequently
1 λ
|Rst − (1 − 2λ)st| = 0 P-a.s.
lim (5.124)
t→∞ t
λ λ,ρ λ
by proposition 4.18. Next, we notice, that for x < Rst , we have ηst (x) = ηst (x) according to
λ λ,ρ
lemma 5.7, from where we can, as discussed before, plug in ηst for ηst and use proposition
4.7. As a consequence, we have that

62
5 THE HYDRODYNAMIC LIMIT 5.2 Proof in the rarefaction case

1 X λ,ρ
lim ηst (x)
t→∞ t
x∈(at,(1−2λ)st)
 
1 X λ,ρ λ λ
≤ lim ηst (x)1(x < Rst ) + |Rst − (1 − 2λ)st|
t→∞ t
x∈(at,(1−2λ)st)
 
lemma 5.7 1 X
λ λ λ
= lim ηst (x)1(x < Rst ) + |Rst − (1 − 2λ)st|
t→∞ t
x∈(at,(1−2λ)st)
  (5.125)
1 X
λ λ
≤ lim ηst (x) + |Rst − (1 − 2λ)st|
t→∞ t
x∈(at,(1−2λ)st)

prop 4.18 1 X
λ
= lim ηst (x)
t→∞ t
x∈(at,(1−2λ)st)

Z (1−2λ)s Z (1−2λ)s
prop 4.7
= λ((1 − 2λ)s − a) = λdr = u(r, s)dr P-a.s.
a a

The other bound is completely analogous. We compute

1 X λ,ρ
lim ηst (x)
t→∞ t
x∈(at,(1−2λ)st)
 
1 X λ,ρ λ λ
≥ lim ηst (x)1(x < Rst ) − |Rst − (1 − 2λ)st|
t→∞ t
x∈(at,(1−2λ)st)
 
lemma 5.7 1 X
λ λ λ
= lim ηst (x)1(x < Rst ) − |Rst − (1 − 2λ)st|
t→∞ t
x∈(at,(1−2λ)st)
  (5.126)
1 X
λ λ
≥ lim ηst (x) − 2|Rst − (1 − 2λ)st|
t→∞ t
x∈(at,(1−2λ)st)

prop 4.18 1 X
λ
= lim ηst (x)
t→∞ t
x∈(at,(1−2λ)st)

Z (1−2λ)s Z (1−2λ)s
prop 4.7
= λ((1 − 2λ)s − a) = λdr = u(r, s)dr P-a.s.
a a

Having proved both inequalities, this allows us to conclude equality, which finishes this
part.

Statement 3: b > (1 − 2ρ)s

This case is completely analogous to statement 2. We notice that by proposition 4.18


ρ
Rst
lim = (1 − 2ρ)s P-a.s. (5.127)
t→∞ t

so that
1 ρ
lim |Rst − (1 − 2ρ)st| = 0 P-a.s. (5.128)
t→∞ t

63
5.3 Proof in the smooth case 5 THE HYDRODYNAMIC LIMIT

ρ λ,ρ ρ
We recall that for x > Rst we have that ηst (x) = ηst (x) by lemma 5.7. As before, we
calculate for an upper bound that

1 X λ,ρ
lim ηst (x)
t→∞ t
x∈((1−2ρ)st,bt)
 
1 X λ,ρ ρ ρ
≤ lim ηst (x)1(x > Rst ) + |Rst − (1 − 2ρ)st|
t→∞ t
x∈((1−2ρ)st,bt)
 
lemma 5.7 1 X ρ ρ ρ
= lim ηst (x)1(x > Rst ) + |Rst − (1 − 2ρ)st|
t→∞ t
x∈((1−2ρ)st,bt)
  (5.129)
1 X ρ ρ
≤ lim ηst (x) + |Rst − (1 − 2ρ)st|
t→∞ t
x∈((1−2ρ)st,bt)

prop 4.18 1 X ρ
= lim ηst (x)
t→∞ t
x∈((1−2ρ)st,bt)
Z b Z b
prop 4.7
= ρ(b − (1 − 2ρ)s) = ρdr = u(r, s)dr P-a.s.
(1−2ρ)s (1−2ρ)s

and for a lower bound we essentially do the same, computing

1 X λ,ρ
lim ηst (x)
t→∞ t
x∈((1−2ρ)st,bt)
 
1 X λ,ρ ρ ρ
≥ lim ηst (x)1(x > Rst ) − |Rst − (1 − 2ρ)st|
t→∞ t
x∈((1−2ρ)st,bt)
 
lemma 5.7 1 X ρ ρ ρ
= lim ηst (x)1(x > Rst ) − |Rst − (1 − 2ρ)st|
t→∞ t
x∈((1−2ρ)st,bt)
  (5.130)
1 X ρ ρ
≥ lim ηst (x) − 2|Rst − (1 − 2ρ)st|
t→∞ t
x∈((1−2ρ)st,bt)

prop 4.18 1 X ρ
= lim ηst (x)
t→∞ t
x∈((1−2ρ)st,bt)
Z b Z b
prop 4.7
= ρ(b − (1 − 2ρ)s) = ρdr = u(r, s)dr P-a.s.
(1−2ρ)s (1−2ρ)s

which concludes the proof in case 3, and, more generally, the proof of our claim.

5.3 Proof in the smooth case


Let λ = ρ.

As in section 2.4.3, which corresponds to this case, the proofs are considerably easier, and
follow immediately from what we have already established.

64
5 THE HYDRODYNAMIC LIMIT 5.3 Proof in the smooth case

In particular, the weak solution we obtain is given by


u(r, s) = ρ (5.131)

5.3.1 Local Equilibrium

density ρ 0 density ρ
time 0

time t
(1 − 2ρ)t

Recall that for λ = ρ all characteristics are parallel

Note that η λ,ρ ≡ η ρ . As the U (x) used in the construction of η ρ are independent and
identically distributed, the distribution of η ρ is invariant under the translation operator as
well as under the TASEP (recall lemma 3.6). As a consequence, for any (r, s),
λ,ρ ρ ρ
lim E[fA (τrt ηst )] = lim E[fA (τrt ηst )] = lim E[fA (ηst )]
t→∞ t→∞ t→∞
(5.132)
lemma 3.6 ρ |A| |A| |A|
= lim E[fA (η )] = lim ρ =ρ = u(r, s)
t→∞ t→∞

which completes this part of the proof.

5.3.2 Convergence of the Density Fields


As before, a simple computation suffices. Let a < b. Recall proposition 4.7 and notice that
1 X λ,ρ 1 X ρ
lim ηst (x) = lim ηst (x)
t→∞ t t→∞ t
x: ta≤x≤tb x: ta≤x≤tb
lemma 3.6 1 X prop 4.7
= lim η ρ (x) = ρ(b − a) (5.133)
t→∞ t
x: ta≤x≤tb
Z b Z b
= ρdr = u(r, s)dr P-a.s.
a a

as desired.

Since we now have proved theorem 5.1 in all cases, this concludes the proof.

65
REFERENCES

6 Further reading
The study of interacting particle systems, and of ASEPS10 more specifically, has been very
active in the recent past. In particular, the hydrodynamic limit of the TASEP and its con-
nection to the Burgers equation has been studied ever since it was first noticed and proved
by H. Rost [21] in 1981 for the case λ = 1, ρ = 0. Thus, there is a multitude of additional,
related results that can be of further interest but are beyond the scope of this thesis. This
section serves to mention some of them.

Over the course of our observations, we have limited ourselves to the Riemann problem,
i.e. to the case where the initial condition is just u0 (r) = λ1(r ≤ 0) + ρ1(r > 0). It is natural
to ask whether the same holds for more general classes of initial configurations. As it turns
out, that is indeed the case. Generalizations were proved by A. Benassi, J.-P. Fouque, E.
Saada and M. E. Vares in [3] and [4]. Also, a further discussion of the shock case can be
found in [13].

In fact, similar statements exist on the hydrodynamics of many interacting particle sys-
tems, with the crucial shared property being attractivity. E. D. Andjel and M- E. Vares [2]
have studied the hydrodynamics of ASEPS and zero range processes (which don’t have the
restriction of only one particle per site being allowed). Moreover, T. Seppäläinen describes
in [23] the hydrodynamics for a totally asymmetric K-exclusion process, where there can be
up to K particles per site11 . T. Gobron and E. Saada have also generalised the notion of
couplings for such processes and studied hydrodynamics in [14].

References
[1] E. D. Andjel, M. E. Vares, and Thomas. M. Liggett. Shocks in the asymmetric exclusion
process. Probability Theory Related Fields, 78(2):231–247, 1988.

[2] Enrique Daniel Andjel and Maria Eulália Vares. Hydrodynamic equations for attractive
particle systems on Z. Journal of Statistical Physics, 47(1,2):265–288, 1987.

[3] Albert Benassi and Jean-Pierre Fouque. Hydrodynamical limit for the asymmetric simple
exclusion process. The Annals of Probability, 15(2):546–560, 1987.

[4] Albert Benassi, Jean-Pierre Fouque, Ellen Saada, and Maria Eulália Vares. Asymmet-
ric attractive particle systems on Z: Hydrodynamic limit for monotone initial profiles.
Journal of Statistical Physics, 63(3,4):719–735, 1991.

[5] Alexei Borodin, Patrik L. Ferrari, and Tomohiro Sasamoto. Transition between airy1
and airy2 processes and tasep fluctuations. Communications on Pure and Applied Math-
ematics, 61(11):1603–1629, 2008.

[6] J. M. Burgers. A mathematical model illustrating the theory of turbulence. Advances


in Applied Mathematics, 1:171 – 199, 1948.

[7] J. M. Burgers. The Nonlinear Diffusion Equation: Asymptotic Solutions and Statistical
Problems. Springer Netherlands, 1 edition, 1974.
10
Here, particles can jump to the right with probability p and to the left with probability (1 − p)
11
This yields on one hand the TASEP for K = 1, on the other hand, the totally asymmetric ZRP can be
viewed as the case K = ∞

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[22] Ellen Saada. A limit theorem for the position of a tagged particle in a simple exclusion
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68