FRANCESCO CARAVENNA AND JEAN–DOMINIQUE DEUSCHEL

Abstract. We consider a random field ϕ : {1, . . . , N } → R as a model for a linear chain
attracted to the defect line ϕ = 0, i.e. the x–axis. The free law of the field is specified
by the density exp` − P_{i}V(∆ϕi)´ with respect to the Lebesgue measure on R^{N}, where

∆ is the discrete Laplacian and we allow for a very large class of potentials V (·). The interaction with the defect line is introduced by giving the field a reward ε ≥ 0 each time it touches the x–axis. We call this model the pinning model. We consider a second model, the wetting model, in which, in addition to the pinning reward, the field is also constrained to stay non-negative.

We show that both models undergo a phase transition as the intensity ε of the pinning
reward varies: both in the pinning (a = p) and in the wetting (a = w) case, there exists
a critical value ε^{a}c such that when ε > ε^{a}c the field touches the defect line a positive
fraction of times (localization), while this does not happen for ε < ε^{a}_{c} (delocalization).

The two critical values are non-trivial and distinct: 0 < ε^{p}_{c} < ε^{w}_{c} < ∞, and they are
the only non-analyticity points of the respective free energies. For the pinning model the
transition is of second order, hence the field at ε = ε^{p}_{c} is delocalized. On the other hand,
the transition in the wetting model is of first order and for ε = ε^{w}_{c} the field is localized.

The core of our approach is a Markov renewal theory description of the field.

1. Introduction and main results

1.1. Definition of the models. We are going to define two distinct but related models for a (1+1)–dimensional random field. These models depend on a measurable function V (·) : R → R ∪ {+∞}, the potential. We require that x 7→ exp(−V (x)) is bounded and continuous and that R

Rexp(−V (x)) dx < ∞. Since a global shift on V (·) is irrelevant for our purposes, we will actually impose the stronger condition

Z

R

e^{−V (x)}dx = 1 . (1.1)

The last assumptions we make on V (·) are that V (0) < ∞, i.e. exp(−V (0)) > 0, and that Z

R

x^{2}e^{−V (x)}dx =: σ^{2} < ∞ and
Z

R

x e^{−V (x)}dx = 0 . (1.2)
The most typical example is of course V (x) ∝ x^{2}, but we stress that we do not make any
convexity assumption on V (·). Next we introduce the Hamiltonian H[a,b](ϕ), defined for
a, b ∈ Z, with b − a ≥ 2, and for ϕ : {a, . . . , b} → R by

H[a,b](ϕ) :=

Xb−1 n=a+1

V ∆ϕ_{n}

, (1.3)

Date: March 14, 2007.

2000 Mathematics Subject Classification. 60K35, 60F05, 82B41.

Key words and phrases. Pinning Model, Wetting Model, Phase Transition, Entropic Repulsion, Markov Renewal Theory, Local Limit Theorem, Perron–Frobenius Theorem, FKG Inequality.

1

where ∆ denotes the discrete Laplacian:

∆ϕ_{n} := (ϕ_{n+1}− ϕn) − (ϕn− ϕn−1) = ϕ_{n+1}+ ϕ_{n−1}− 2ϕn. (1.4)
We are ready to introduce our first model, the pinning model (p-model for short) P^{p}_{ε,N},
that is the probability measure on R^{N −1} defined by

P^{p}

ε,N dϕ_{1}· · · dϕN −1

:= exp − H[−1,N+1](ϕ)
Zε,N^{p}

N −1Y

i=1

ε δ_{0}(dϕ_{i}) + dϕ_{i}

(1.5)

where N ∈ N, ε ≥ 0, dϕ^{i} is the Lebesgue measure on R, δ0(·) is the Dirac mass at zero
and Zε,N^{p} is the normalization constant, usually called partition function. To complete the
definition, in order to make sense of H_{[−1,N+1]}(ϕ), we have to specify:

the boundary conditions ϕ_{−1} = ϕ0 = ϕN = ϕN +1:= 0 . (1.6)
We fix zero boundary conditions for simplicity, but our approach works for arbitrary
choices (as long as they are bounded in N ).

The second model we consider, the wetting model (w-model for short) P^{w}_{ε,N}, is a variant
of the pinning model defined by

P^{w}_{ε,N} dϕ_{1}· · · dϕN −1

:= P^{p}_{ε,N} dϕ_{1}· · · dϕN −1

ϕ_{1}≥ 0, . . . , ϕN −1≥ 0

= exp − H_{[−1,N+1]}(ϕ)
Z_{ε,N}^{w}

N −1Y

i=1

ε δ_{0}(dϕ_{i}) + dϕ_{i}1_{(ϕ}_{i}_{≥0)}

, (1.7)

i.e. we replace the measure dϕ_{i} by dϕ_{i}1_{(ϕ}_{i}_{≥0)} and Zε,N^{p} by a new normalization Zε,N^{w} .
Both P^{p}_{ε,N} and P^{w}_{ε,N} are (1+1)–dimensional models for a linear chain of length N which
is attracted to a defect line, the x–axis, and the parameter ε ≥ 0 tunes the strength
of the attraction. By ‘(1+1)–dimensional’ we mean that the configurations of the linear
chain are described by the trajectories {(i, ϕi)}0≤i≤N of the field, so that we are dealing
with directed models (see Figure 1 for a graphical representation). We point out that
linear chain models with Laplacian interaction appear naturally in the physical literature
in the context of semiflexible polymers, cf. [6, 21] (however the scaling they consider is
different from the one we look at in this paper). An interesting interpretation of P^{w}_{ε,N} as a
model for the DNA denaturation transition will be discussed below. One note about the
terminology: while ‘pinning’ refers of course to the attraction terms ε δ0(dϕi), the use of
the term ‘wetting’ is somewhat customary in the presence of a positivity constraint and
refers to the interpretation of the field as an effective model for the interface of separation
between a liquid above a wall and a gas, cf. [13].

The purpose of this paper is to investigate the behavior of P^{p}_{ε,N} and P^{w}_{ε,N} in the large N
limit: in particular we wish to understand whether and when the reward ε ≥ 0 is strong
enough to pin the chain at the defect line, a phenomenon that we will call localization. We
point out that this kind of questions have been answered in depth in the case of gradient
interaction, i.e. when the Laplacian ∆ appearing in (1.3) is replaced by the discrete gradient

∇ϕ^{n}:= ϕn− ϕn−1, cf. [17, 15, 18, 13, 11, 1]: we will refer to this as the gradient case. As
we are going to see, the behavior in the Laplacian case turns out to be sensibly different.

0000000000000000000000000000000000 0000000000000000000000000000000000 0000000000000000000000000000000000 1111111111111111111111111111111111 1111111111111111111111111111111111 1111111111111111111111111111111111

N

N N + 1

N + 1

−1

−1 0

0 {ϕn}n

{ϕn}n

pinning model P^{p}_{ε,N}

wetting model P^{w}_{ε,N}

Figure 1. A graphical representation of the pinning model P^{p}_{ε,N} (top)
and of the wetting model P^{w}_{ε,N} (bottom), for N = 25 and ε > 0. The
trajectories {(n, ϕn)}0≤n≤N of the field describe the configurations of a
linear chainattracted to a defect line, the x–axis. The grey circles represent
the pinned sites, i.e. the points in which the chain touches the defect line,
which are energetically favored. Note that in the pinning case the chain can
cross the defect line without touching it, while this does not happen in the
wetting case due to the presence of a wall, i.e. of a constraint for the chain
to stay non-negative: the repulsion effect of entropic nature that arises is
responsible for the different critical behavior of the models.

1.2. The free energy and the main results. A convenient way to define localization
for our models is by looking at the Laplace asymptotic behavior of the partition function
Zε,N^{a} as N → ∞. More precisely, for a ∈ {p, w} we define the free energy f^{a}(ε) by

f^{a}(ε) := lim

N →∞ f^{a}_{N}(ε) , f^{a}_{N}(ε) := 1

N log Zε,N^{a} , (1.8)
where the existence of this limit (that will follow as a by-product of our approach) can be
proven with a standard super-additivity argument. The basic observation is that the free
energy is non-negative. In fact, setting Ω^{p}:= [0, ∞) and Ω^{w}:= R, we have ∀N ∈ N

Zε,N^{a} =
Z

exp − H_{[−1,N+1]}(ϕ) ^{N −1}Y

i=1

ε δ_{0}(dϕ_{i}) + dϕ_{i}1_{(ϕ}_{i}_{∈Ω}^{a}_{)}

≥ Z

exp − H_{[−1,N+1]}(ϕ) ^{N −1}Y

i=1

dϕ_{i}1_{(ϕ}_{i}_{∈Ω}^{a}_{)} = Z0,N^{a} ≥ c_{1}
N^{c}^{2} ,

(1.9)

where c1, c2 are positive constants and the polynomial bound for Z0,N^{a} (analogous to what
happens in the gradient case, cf. [13]) is proven in (2.14). Therefore f^{a}(ε) ≥ f^{a}(0) = 0 for
every ε ≥ 0. Since this lower bound has been obtained by ignoring the contribution of the
paths that touch the defect line, one is led to the following

Definition 1.1. For a ∈ {p, w}, the a-model {P^{a}ε,N}N is said to be localized if f^{a}(ε) > 0.

The first problem is to understand for which values of ε (if any) there is localization.

Some considerations can be drawn easily. We introduce for convenience for t ∈ R

ef^{a}_{N}(t) := f^{a}_{N}(e^{t}) ef^{a}(t) := f^{a}(e^{t}) . (1.10)
It is easy to show (see Appendix A) that ef^{a}_{N}(·) is convex, therefore also ef^{a}(·) is convex. In
particular, the free energy f^{a}(ε) =ef^{a}(log ε) is a continuous function, as long as it is finite.

f^{a}(·) is also non-decreasing, because Zε,N^{a} is increasing in ε (cf. the first line of (1.9)). This
observation implies that, for both a ∈ {p, w}, there is a critical value ε^{a}c ∈ [0, ∞] such that
the a-model is localized if and only if ε > ε^{a}_{c}. Moreover ε^{p}_{c} ≤ ε^{w}c , since Z_{ε,N}^{p} ≥ Zε,N^{w} .

However it is still not clear that a phase transition really exists, i.e. that ε^{a}_{c} ∈ (0, ∞).

Indeed, in the gradient case the transition is non-trivial only for the wetting model, i.e.

0 < ε^{w,∇}c < ∞ while ε^{p,∇}^{c} = 0, cf. [13, 17]. Our first theorem shows that in the Laplacian
case both the pinning and the wetting model undergo a non-trivial transition, and gives
further properties of the free energy f^{a}(·).

Theorem 1.2 (Localization transition). The following relations hold:

ε^{p}_{c} ∈ (0, ∞) ε^{w}_{c} ∈ (0, ∞) ε^{p}_{c} < ε^{w}_{c} .

We have f^{a}(ε) = 0 for ε ∈ [0, ε^{a}c], while 0 < f^{a}(ε) < ∞ for ε ∈ (ε^{a}c, ∞), and as ε → ∞
f^{a}(ε) = log ε (1 + o(1)) a ∈ {p, w} . (1.11)
Moreover the function f^{a}(ε) is real analytic on (ε^{a}_{c}, ∞).

One may ask why in the Laplacian case we have ε^{p}_{c} > 0, unlike in the gradient case.

Heuristically, we could say that the Laplacian interaction (1.3) describes a stiffer chain,
more rigid to bending with respect to the gradient interaction, and therefore Laplacian
models require a stronger reward in order to localize. Note in fact that in the Gaussian case
V (x) ∝ x^{2} the ground state of the gradient interaction is just the horizontally flat line,
whereas the Laplacian interaction favors rather affine configurations, penalizing curvature
and bendings.

It is worth stressing that the free energy has a direct translation in terms of some path
properties of the field. Defining the contact number ℓ_{N} by

ℓ_{N} := #

i ∈ {1, . . . , N} : ϕi = 0

, (1.12)

a simple computation (see Appendix A) shows that for every ε > 0 and N ∈ N
d^{a}_{N}(ε) := E^{a}_{ε,N}

ℓ_{N}
N

= (ef^{a}_{N})^{′}(log ε) = ε · (f^{a}N)^{′}(ε) . (1.13)
Then, introducing the non-random quantity d^{a}(ε) := ε · (f^{a})^{′}(ε) (which is well-defined
for ε 6= ε^{a}c by Theorem 1.2), a simple convexity argument shows that d^{a}_{N}(ε) → d^{a}(ε) as
N → ∞, for every ε 6= ε^{a}c. Indeed much more can be said (see Appendix A):

• When ε > ε^{a}c we have that d^{a}(ε) > 0, and for every δ > 0 and N ∈ N
P^{a}_{ε,N}

ℓ_{N}

N − d^{a}(ε)
> δ

≤ exp(−c3N ) , (1.14)

where c_{3} is a positive constants. This shows that, when the a-model is localized
according to Definition 1.1, its typical paths touch the defect line a positive fraction
of times, equal to d^{a}(ε). Notice that, by (1.11) and convexity arguments, d^{a}(ε)
converges to 1 as ε → ∞, i.e. a strong reward pins the field at the defect line in a
very effective way (observe that ℓN/N ≤ 1).

• On the other hand, when ε < ε^{a}c we have d^{a}(ε) = 0 and for every δ > 0 and N ∈ N
P^{a}_{ε,N}

ℓ_{N}
N > δ

≤ exp(−c4N ) , (1.15)

where c_{4} is a positive constants. Thus for ε < ε^{a}_{c} the typical paths of the a-model
touch the defect line only o(N ) times: when this happens it is customary to say
that the model is delocalized.

What is left out from this analysis is the critical regime ε = ε^{a}_{c}. The behavior of the
model in this case is sharply linked to the way in which the free energy f^{a}(ε) vanishes as
ε ↓ ε^{a}c. If f^{a}(·) is differentiable also at ε = ε^{a}c (second order transition), then (f^{a})^{′}(ε^{a}_{c}) = 0
and relation (1.15) holds, i.e. the a-model for ε = ε^{a}_{c} is delocalized. The other possibility is
that f^{a}(·) is not differentiable at ε = ε^{a}c (first order transition), which happens when the
right-derivative is positive: (f^{a})^{′}_{+}(ε^{a}_{c}) > 0. In this case the behavior of P^{a}_{ε,N} for large N
depends strongly on the choice of the boundary conditions.

We first consider the critical regime for the wetting model, where the transition turns
out to be of first order. Recall the definition (1.13) of d^{a}_{N}(ε).

Theorem 1.3 (Critical wetting model). For the wetting model we have:

lim inf

N →∞ d^{w}_{N} ε^{w}_{c}

> 0 . (1.16)

Therefore (f^{w})^{′}_{+}(ε^{w}_{c} ) > 0 and the phase transition is of first order.

Notice that equations (1.13) and (1.16) yield lim inf

N →∞

E^{w}_{ε}_{w}

c,N

ℓ_{N}
N

> 0 ,

and in this sense the wetting model at the critical point exhibits a localized behavior. This is in sharp contrast with the gradient case, where it is well known that the wetting model at criticality is delocalized and in fact the transition is of second order, cf. [15, 18, 13, 11].

The emergence of a first order transition in the case of Laplacian interaction is particularly
interesting in view of the possible applications of P^{w}_{ε,N}as a model for the DNA denaturation
transition, where the non-negative field {ϕ^{i}}^{i}describes the distance between the two DNA
strands. In fact for the DNA denaturation something close to a first order phase transition
is experimentally observed: we refer to [17, §1.4] for a detailed discussion (cf. also [27, 19]).

Finally we consider the critical pinning model, where the transition is of second order.

Theorem 1.4 (Critical pinning model). For the pinning model we have:

lim sup

ε↓ε^{p}c

lim sup

N →∞

d^{p}_{N}(ε) = 0 . (1.17)

Then f^{p}(ε) is differentiable at ε = ε^{p}_{c}, (f^{p})^{′}(ε^{p}_{c}) = 0 and the transition is of second order.

Although the relation (f^{p})^{′}(ε^{p}c) = 0 yields ℓN = o(N ), in a delocalized fashion, the pinning
model at ε = ε^{p}_{c} is actually somewhat borderline between localization and delocalization,
as we point out in the next paragraph.

1.3. Further path results. A direct application of the techniques that we develop in this paper yields further path properties of the field. Let us introduce the maximal gap

∆_{N} := max

n ≤ N : ϕk+1 6= 0, ϕk+26= 0, . . . , ϕk+n6= 0 for some k ≤ N − n
.
One can show that, for both a ∈ {p, w} and for ε > ε^{a}c, the following relations hold:

∀δ > 0 : lim

N →∞

P^{a}_{ε,N}

∆_{N}
N ≥ δ

= 0

L→∞lim lim sup

N →∞

i=1,...,N −1max

P^{a}_{ε,N} |ϕi| ≥ L

= 0 .

(1.18)

In particular for ε > ε^{a}_{c} each component ϕi of the field is at finite distance from the defect
line and this is a clear localization path statement. On the other hand, in the pinning case
a = p we can strengthen (1.15) to the following relation: for every ε < ε^{p}_{c}

L→∞lim lim sup

N →∞

P^{p}

ε,N ∆_{N} ≤ N − L

= 0 , (1.19)

i.e. for ε < ε^{p}_{c} the field touches the defect line at a finite number of sites, all at finite
distance from the boundary points {0, N}. We expect that the same relation holds true
also in the wetting case a = w, but at present we cannot prove it: what is missing are more
precise estimates on the entropic repulsion problem, see §1.5 for a detailed discussion. It
is interesting to note that we can prove that the first relation in (1.18) holds true also in
the pinning case a = p at the critical point ε = ε^{p}_{c}, and this shows that the pinning model
at criticality has also features of localized behavior.

We do not give an explicit proof of the above relations in this paper, both for conciseness
and because in a second paper [9] we focus on the scaling limits of the pinning model,
obtaining (de)localization path statements that are much more precise than (1.18) and
(1.19) (under stronger assumptions on the potential V (·)). We show in particular that for
all ε ∈ (0, ε^{p}^{c}) the natural rescaling of P^{p}_{ε,N} converges in distribution in C([0, 1]) to the
same limit that one obtains in the free case ε = 0, i.e. the integral process of a Brownian
bridge. On the other hand, for every ε ≥ ε^{p}^{c} the natural rescaling of P^{p}_{ε,N} yields the trivial
process which is identically zero. We stress that ε = ε^{p}c is included in the last statement:

this is in sharp contrast with the gradient case, where the pinning model at criticality has
a non-trivial scaling limit, namely the Brownian bridge (as one can prove arguing as in
[13, 11]). This shows again the peculiarity of the critical pinning model in the Laplacian
case. Indeed, by lowering the scaling constants with suitable logarithmic corrections, we
are able to extract a non-trivial scaling limit (in a distributional sense) for the law P^{p}_{ε}p

c,N

in terms of a symmetric stable L´evy process with index 2/5. We stress that the techniques and results of the present paper play a crucial role for [9].

1.4. Outline of the paper: approach and techniques. Although our main results are about the free energy, the core of our approach is a precise pathwise description of the field based on Markov renewal theory. In analogy to [13, 11] and especially to [10], we would like to stress the power of (Markov) renewal theory techniques for the study of (1 + 1)–dimensional linear chain models. The other basic techniques that we use are local limit theorems, an infinite-dimensional version of the Perron-Frobenius Theorem and the FKG inequality. Let us describe more in detail the structure of the paper.

In Section 2 we study the pinning and wetting models in the free case ε = 0, showing
that these models are sharply linked to the integral of a random walk. More precisely,
let {Yn}n≥0 denote a random walk starting at zero and with step law P(Y_{1} ∈ dx) =
exp(−V (x)) dx (the walk has zero mean and finite variance by (1.2)) and let us denote by
Z_{n}:= Y_{1}+ . . . + Y_{n}the corresponding integrated random walk process. In Proposition 2.2
we show that the law P^{a}_{0,N} is nothing but a bridge of length N of the process {Zn}n, with
the further conditioning to stay non-negative in the wetting case a = w. Therefore we focus
on the asymptotic properties of the process {Zn}n, obtaining a basic local limit theorem,
cf. Proposition 2.3, and some polynomial bounds for the probability that {Z^{n}}^{n} stays
positive (connected to the problem of entropic repulsion that we discuss below, cf. §1.5).

In Section 3, which is in a sense the core of the paper, we show that for ε > 0 the law P^{a}_{ε,N}
admits a crucial description in terms of Markov renewal theory. More precisely, we show
that the zeros of the field {i ≤ N : ϕi= 0} under P^{a}ε,Nare distributed according to the law
of a (hidden) Markov renewal process conditioned to hit {N, N + 1}, cf. Proposition 3.1.

We thus obtain an explicit expression for the partition function Z_{ε,N}^{a} in terms of this
Markov renewal process, which is the key to our main results.

Section 4 is devoted to proving some analytical results that underlie the construc-
tion of the Markov renewal process appearing in Section 3. The main tool is an infinite-
dimensional version of the classical Perron-Frobenius Theorem, cf. [33], and a basic role is
played by the asymptotic estimates obtained in Seciton 2. A by-product of this analysis is
an explicit formula, cf. (4.10), that links f^{a}(·) and ε^{a}c to the spectral radius of a suitable
integral operator and that will be exploited later.

Sections 5, 6 and 7 contain the proofs of Theorems 1.2, 1.3 and 1.4 respectively. In view of the description given in Section 3, all the results to prove can be rephrased in the language of Markov renewal theory. The proofs are then carried out exploiting the asymptotic estimates derived in Sections 2 and 4 together with some algebraic manipulation of the kernel that gives the law of the hidden Markov renewal process (we refer to §1.6 for notation on kernels). Finally, the Appendixes contain the proof of some technical results.

1.5. Entropic repulsion. We recall that {Yn}n≥0, P

is the random walk with step
P Y_{1} ∈ dx

= e^{−V (x)}dx and that Z_{n}= Y_{1}+ . . . + Y_{n}. The analysis of the wetting model
requires estimating the decay as N → ∞ of the probabilities P Ω^{+}_{N}

and P Ω^{+}_{N}

Z_{N +1}=
0, Z_{N +2}= 0

, where we set Ω^{+}_{N} :=

Z_{1} ≥ 0, . . . , ZN ≥ 0

. This type of problem is known
in the literature as entropic repulsion and it has received a lot of attention, see [32] for a
recent overview. In the Laplacian case that we consider here, this problem has been solved
in the Gaussian setting (i.e. when V (x) ∝ x^{2}) in (d + 1)–dimension with d ≥ 5, cf. [28, 22].

Little is known in the (1+1)–dimensional setting, apart from the following result of Sinai’s
[30] in the special case when {Y^{n}}^{n} is the simple random walk on Z:

c

N^{1/4} ≤ P Ω^{+}N

≤ C

N^{1/4}, (1.20)

where c, C are positive constants. The proof of this bound relies on the exact combinatorial results available in the simple random walk case and it appears difficult to extend it to our situation. We point out that the same exponent 1/4 appears in related continuous models dealing with the integral of Brownian motion, cf. [23, 24]. Based on Sinai’s result, which we believe to hold for general random walks with zero mean and finite variance, we expect

that for the bridge case one should have the bound c

N^{1/2} ≤ P Ω^{+}N

ZN +1= 0, ZN +2= 0

≤ C

N^{1/2}. (1.21)

We cannot derive precise bounds as (1.20) and (1.21), however for the purpose of this paper the following weaker result suffices:

Proposition 1.5. There exist positive constants c, C, c_{−}, c_{+} such that for every N ∈ N
c

N^{c}^{−} ≤ P Ω^{+}_{N}

≤ C

N^{c}^{+} (1.22)

c

N^{c}^{−} ≤ P Ω^{+}_{N}

Z_{N +1}= 0, Z_{N +2}= 0

≤ C

N^{c}^{+} . (1.23)

We prove this proposition in Appendix C. We point out that the most delicate point is the proof of the upper bound in (1.22): the idea is to dilute the system on exponentially spaced times and then to combine FKG arguments with a suitable invariance principle.

While the value of c_{+} that we obtain is non-optimal, our approach has the advantage of
being quite robust: in view of the possible interest, we carry out the proof in a very general
setting, namely we only assume that the random walk {Yn}nis in the domain of attraction
of a stable law with positivity parameter ρ ∈ (0, 1). We point out that the same kind of
arguments have found a recent application in [29].

1.6. Some recurrent notations. Throughout the paper, generic positive and finite con-
stants will be denoted by (const.), (const.^{′}). For us N = {1, 2, . . .}, Z^{+} = N ∪ {0} and
R^{+}:= [0, ∞). Given two positive sequences (a^{n}), (bn), by an∼ b^{n}we mean that an/bn→ 1
as n → ∞. For x ∈ R we denote as usual by ⌊x⌋ := max{n ∈ Z : n ≤ x} its integer part.

In this paper we deal with kernels of two kinds. Kernels of the first kind are just σ–finite
kernels on R, i.e. functions A_{·,·}: R×B(R) → R^{+}, where B(R) denotes the Borel σ–field of R,
such that A_{x,·}is a σ–finite Borel measure on R for every x ∈ R and A·,F is a Borel function
for every F ∈ B(R). Given two such kernels Ax,dy, B_{x,dy}, their composition is denoted as
usual by (A ◦ B)x,dy := R

z∈RA_{x,dz}B_{z,dy} and A^{◦k}_{x,dy} denotes the k-fold composition of A
with itself, where A^{◦0}_{x,dy} := δ_{x}(dy). We also use the standard notation

(1 − A)^{−1}_{x,dy} :=

X∞ k=0

A^{◦k}_{x,dy},
which of course in general may be infinite.

The second kind of kernels is obtained by letting a kernel of the first kind depend on
the further parameter n ∈ Z^{+}, i.e. we consider objects of the form Ax,dy(n) with x, y ∈ R
and n ∈ Z^{+}. Given two such kernels Ax,dy(n), Bx,dy(n), we define their convolution by

(A ∗ B)x,dy(n) :=

Xn m=0

A(m)◦ B(n − m)

x,dy = Xn m=0

Z

z∈RAx,dz(m) · Bz,dy(n − m) ,
and the k-fold convolution of the kernel Ax,dy(n) with itself will be denoted by A^{∗k}_{x,dy}(n),
where by definition A^{∗0}_{x,dy}(n) := δ_{0}(dy) 1_{(n=0)}. Finally, given two kernels Ax,dy(n) and B_{x,dy}
and a positive sequence (a_{n}), we will write

Ax,dy(n) ∼ B_{x,dy}

a_{n} (n → ∞)

to mean Ax,F(n) ∼ Bx,F/a_{n} as n → ∞, ∀x ∈ R and for every bounded Borel set F ⊂ R.

2. The free case ε = 0 : a random walk viewpoint

In this section we study in detail the free laws P^{p}_{0,N} and P^{w}_{0,N} and their link with the
integral of a random walk. The main results are a basic local limit theorem and some
asymptotic estimates.

2.1. Integrated random walk. Given a, b ∈ R, let (Ω, F, P = P^{(a,b)}) be a probability
space on which are defined the processes {X^{i}}i∈N, {Y^{i}}i∈Z^{+} and {Z^{i}}i∈Z^{+} with the following
properties:

• {Xi}i∈Nis a sequence of independent and identically distributed random variables,
with marginal laws X_{1} ∼ exp(−V (x)) dx. We recall that by our assumptions on
V (·) it follows that E(X1) = 0 and E(X_{1}^{2}) = σ^{2}∈ (0, ∞), cf. (1.2).

• {Yi}_{i∈Z}^{+} is the random walk associated to {Xi}, with starting point a, that is
Y_{0} = a Y_{n}= a + X_{1}+ . . . + X_{n} (2.1)

• {Zi}_{i∈Z}^{+} is the integrated random walk process with initial value b: that is Z_{0} = b
and for n ∈ N

Z_{n} = b + Y_{1}+ . . . + Y_{n} = b + na + nX_{1}+ (n − 1)X2+ . . . + X_{n}. (2.2)
From (2.1) and (2.2) it follows that

Yn, Zn

nunder P^{(a,b)} =^{d}

Yn+ a , Zn+ b + na

n under P^{(0,0)}. (2.3)
The marginal distributions of the process {Zn}n are specified in the following lemma.

Lemma 2.1. For every n ∈ N, the law of the vector (Z1, . . . , Z_{n}) under P^{(a,b)} is given by
P^{(a,b)} (Z_{1}, . . . , Z_{n}) ∈ (dz1, . . . , dz_{n})

= exp −H_{[−1,n]}(z_{−1}, z_{0}, z_{1}, . . . , z_{n})Y^{n}

i=1

dz_{i}, (2.4)
where we set z_{−1} := b − a and z0 := b.

Proof. By definition Yn= Zn− Zn−1 for n ≥ 1 under P^{(a,b)}. Then, setting yi:= zi− zi−1

for i ≥ 2 and y1 := z_{1} − b, it suffices to show that, under the measure given by the
r.h.s. of (2.4), the variables (yi)i=1,...,n are distributed like the first n steps of a random
walk starting at a and with step law exp(−V (x)) dx. But for this it suffices to rewrite the
Hamiltonian as

H[−1,n](z) = V (z1− b) − (b − (b − a)) +

n−1X

i=1

V (zi+1− z^{i}) − (z^{i}− zi−1)

= V y_{1}− a
+

n−1X

i=1

V y_{i+1}− yi

,

and the proof is completed.

By construction {(Y^{n}, Zn)}n∈Z^{+} under P^{(a,b)} is a Markov process with starting values
Y_{0}= a, Z_{0}= b. On the other hand, the process {Zn}n alone is not a Markov process: it is
rather a process with finite memory m = 2, i.e. for every n ∈ N

P^{(a,b)} {Zn+k}k≥0 ∈ ·

Z_{i}, i ≤ n

= P^{(a,b)} {Zn+k}k≥0 ∈ ·

Z_{n−1}, Z_{n}

= P^{(Z}^{n}^{−Z}^{n−1}^{,Z}^{n}^{)} {Zk}k≥0 ∈ ·

, (2.5)

as it follows from Lemma 2.1. For this reason the law P^{(a,b)} may be viewed as
P^{(a,b)} = P ·

Z_{−1}= b − a, Z^{0}= b

. (2.6)

2.2. The link with P^{a}_{0,N}. In the r.h.s. of (2.4) we see exactly the same density appearing
in the definitions (1.5) and (1.7) of our models P^{a}_{0,N}. As an immediate consequence we have
the following proposition, which states that P^{a}_{0,N} is nothing but a bridge of the process
{Zn}n for a = p, with the further constraint to stay non-negative for a = w.

Proposition 2.2. The following statements hold:

(1) The pinning model P^{p}_{0,N} is the law of the vector (Z_{1}, . . . , Z_{N −1}) under the measure
P^{(0,0)}( · | ZN = 0, Z_{N +1}= 0). The partition function Z0,N^{p} is the value at (0, 0) of
the density of the vector (Y_{N +1}, Z_{N +1}) under the law P^{(0,0)}.

(2) Setting Ω^{+}_{n} := {S1 ≥ 0, . . . , Sn≥ 0}, the wetting model P^{w}0,N is the law of the vector
(Z_{1}, . . . , Z_{N −1}) under the measure P^{(0,0)}( · | Ω^{+}_{N −1}, Z_{N} = 0, Z_{N +1}= 0). The parti-
tion function Z0,N^{w} is the value at (0, 0) of the density of the vector (Y_{N +1}, Z_{N +1})
under the law P^{(0,0)}( · | Ω^{+}_{N −1}).

For the statement on the partition function, observe that the density at (0, 0) of the vector
(YN +1, ZN +1) coincides with the one of the vector (ZN, ZN +1), since YN +1= ZN +1− Z^{N}.
2.3. A local limit theorem. In view of Proposition 2.2, we study the asymptotic be-
havior as n → ∞ of the vector (Yn, Z_{n}) under the law P^{(a,b)}.

Let us denote by {B^{t}}t∈[0,1] a standard Brownian motion and by {I^{t}}t∈[0,1] its integral
process I_{t}:=Rt

0B_{s}ds. A simple application of Donsker’s invariance principle shows that the
vector Y_{n}/(σ√

n), Z_{n}/(σn^{3/2})

under P^{(0,0)} converges in distribution as n → ∞ toward
the law of the centered Gaussian vector (B1, I1), whose density g(y, z) is

g(y, z) = 6

π exp − 2y^{2}− 6z^{2}+ 6yz

. (2.7)

We want to reinforce this convergence in the form of a local limit theorem. To this purpose,
we introduce the density of (Y_{n}, Z_{n}) under P^{(a,b)}, setting for n ≥ 2

ϕ^{(a,b)}_{n} (y, z) = P^{(a,b)} (Y_{n}, Z_{n}) ∈ (dy, dz)

dy dz . (2.8)

From (2.3) it follows that

ϕ^{(a,b)}_{n} (y, z) = ϕ^{(0,0)}_{n} y − a , z − b − na

, (2.9)

hence it suffices to focus on ϕ^{(0,0)}n (·, ·). We set for short ϕ^{(0,0)}^{n} (R, z) := R

Rϕ^{(0,0)}n (y, z) dy,
i.e. the density of Z_{n} under P^{(0,0)}, and g(R, z) :=R

Rg(y, z) dy. We are ready to state the main result of this section.

Proposition 2.3 (Local limit theorem). The following relations hold as n → ∞:

sup

(y,z)∈R^{2}

σ^{2}n^{2}ϕ^{(0,0)}_{n} σ√

n y , σn^{3/2}z

− g(y, z) → 0 sup

z∈R

σn^{3/2}ϕ^{(0,0)}_{n} R, σn^{3/2}z

− g(R, z)

→ 0 . (2.10)

The proof, based on Fourier analysis, is deferred to Appendix B. We stress that this result
retains a crucial importance in the rest of the paper. Notice that an analogous local limit
theorem holds also for ϕ^{(0,0)}_{n} (y, R), i.e. the density of Y_{n}, but we do not state it explicitly
because we will not need it.

2.4. The positivity constraint. To deal with the wetting model we need to study the
law of the random vector (Y_{n}, Z_{n}), or equivalently of (Z_{n−1}, Z_{n}), conditionally on the event
Ω^{+}_{n−2}= {Z1 ≥ 0, . . . , Zn−2 ≥ 0}. To this purpose we set for x, y ∈ R and n ≥ 3

w_{x,y}(n) := 1_{(x≥0, y≥0)}· P^{(−x,0)} Ω^{+}_{n−2}

Z_{n−1}= y, Z_{n}= 0

, (2.11)

while for n = 1, 2 we simply set wx,y(n) := 1_{(x≥0,y≥0)}. We are interested in the rate of
decay of w_{x,y}(n) as n → ∞. To this purpose we claim that there exists a positive constant
c_{+} such that the following upper bound holds: for all n ∈ N and x, y ∈ R^{+}

w_{x,y}(n) ≤ (const.)

n^{c}^{+} · 1

P^{(0,0)} Z_{n−1} ≥ y + (n − 1)x, Zn≥ nx . (2.12)
Moreover we have the following lower bound for x, y = 0 and ∀n ∈ N:

w_{0,0}(n) ≥ (const.)

n^{c}^{−} , (2.13)

for some positive constant c_{−}. Notice that by Proposition 2.2 we have Z0,N^{p} = ϕ^{(0,0)}_{N +1}(0, 0)
and Z0,N^{w} = Z0,N^{p} · w0,0(N + 1), hence by (2.10) and (2.13) we have for every N ∈ N

Z_{0,N}^{p} ≥ Z0,N^{w} ≥ (const.)

N^{2+c}^{−} , (2.14)

so that the last inequality in (1.9) is proven.

We prove the lower bound (2.13) in Appendix C.1: the idea is to restrict the expectation
that defines w_{0,0}(n) on a suitable subset of paths, whose probability can be estimated. On
the other hand, the upper bound (2.12) follows directly combining the following Lemma
with the upper bound in (1.22) (which is proven in Appendix C.2).

Lemma 2.4. For every x, y ∈ R^{+} and n ∈ N we have
w_{x,y}(n) ≤ P^{(0,0)} Ω^{+}_{n}

· 1

P^{(0,0)} Z_{n−1}≥ y + (n − 1)x, Zn ≥ nx . (2.15)
Proof. It is convenient to denote by p_{n} the image law on R^{n} of the vector (X_{1}, . . . , X_{n})
under P^{(0,0)}, i.e. p_{n}(dt_{1}, . . . , dt_{n}) = Qn

i=1e^{−V (t}^{i}^{)}dt_{i}. With some abuse of notation, for
t = (t_{1}, . . . , t_{n}) ∈ R^{n} and x ∈ R we set Zi(t) := −ix + it1+ (i − 1)t2+ . . . + t_{i}, so that the
process {Zi(t)}1≤i≤n under p_{n}(dt) is distributed like the process {Zi}1≤i≤nunder P^{(−x,0)}.
Since p_{n} is an i.i.d. law and the event {Zn−1(t) ≥ y, Zn(t) ≥ 0} is increasing in t, the
conditioned law p^{∗}_{n}:= p_{n}( · | Zn−1 ≥ y, Zn≥ 0) satisfies the FKG inequality, cf. [26]. This
means that for Borel sets A, B ⊆ R^{n} such that A is increasing and B is decreasing, we
have p^{∗}_{n}(A | B) ≤ p^{∗}n(A). The choices A = Ω^{+}_{n} and B := {Zn−1≤ y + ε, Z^{n}≤ ε} yield

P^{(−x,0)} Ω^{+}_{n}

Z_{n−1}∈ [y, y + ε], Zn∈ [0, ε]

≤ P^{(−x,0)}(Ω^{+}_{n}| Zn−1 ≥ y, Zn≥ 0) .
The conclusion follows letting ε ↓ 0 and noting that P^{(−x,0)} Z_{1} ≥ 0, . . . , Zn ≥ 0

is
decreasing in x and P^{(−x,0)}(Z_{n−1} ≥ y, Zn ≥ 0) = P^{(0,0)} Z_{n−1} ≥ y + (n − 1)x, Zn ≥ nx

by relation (2.3).

3. The interacting case ε > 0: a renewal theory description

In this section we study in detail the laws P^{p}_{ε,N} and P^{w}_{ε,N} in the case ε > 0. The crucial
result is that the contact set {i ∈ Z^{+} : ϕ_{i} = 0} can be described in terms of a Markov
renewal process. Throughout the section we assume that ε > 0.

3.1. The law of the contact set. We introduce the contact set τ by:

τ :=

i ∈ Z^{+} : ϕ_{i} = 0

⊂ Z^{+}, (3.1)

where we set by definition ϕ0 = 0, so that 0 ∈ τ. It is practical to identify the set τ with the increasing sequence of random variables {τk}k≥0 defined by

τ0:= 0 τ_{k+1}:= inf{i > τk: ϕi = 0} . (3.2)
Observe that the random variable ℓ_{N}, introduced in (1.12), may be expressed as ℓ_{N} :=

max{k : τk≤ N}. Next we introduce the process {Jk}k≥0 that gives the height of the field before the contact points:

J0 := 0 J_{k}:= ϕτ_{k}−1. (3.3)

The basic observation is that the joint law of the process {ℓN, (τ_{k})_{k≤ℓ}_{N}, (J_{k})_{k≤ℓ}_{N}} under
P^{a}

ε,N can be written in the following ‘product form’: for k ∈ N, for (t^{i})_{i=1,...,k} ∈ N with
0 < t1 < . . . < t_{k−1}< t_{k} := N and for (yi)_{i=1,...,k}∈ R we have

P^{a}_{ε,N}

ℓ_{N} = k, τ_{i} = t_{i}, J_{i} ∈ dyi, i = 1, . . . , k

= 1

Zε,N^{a}

ε^{k−1}F^{a}_{0,dy}_{1}(t1) · F^{a}y1,dy2(t2− t^{1}) · . . . · F^{a}y_{k−1},dy_{k}(N − tk−1) · F^{a}yk,{0}(1) , (3.4)
for a suitable kernel F^{a}_{x,dy}(n) that we now define. For a = p we have

F^{p}_{x,dy}(n) :=

e^{−H}^{[−1,1]}^{(x,0,0)}δ_{0}(dy) = e^{−V (x)}δ_{0}(dy) if n = 1
e^{−H}^{[−1,2]}^{(x,0,y,0)}dy = e−V (x+y)−V (−2y)dy if n = 2

Z

Rn−2

e^{−H}^{[−1,n]}^{(ϕ}^{−1}^{,...,ϕ}^{n}^{)}dϕ_{1}· · · dϕn−2

dy
where ϕ_{−1} = x, ϕ_{0} = 0, ϕ_{n−1}= y, ϕ_{n}= 0

if n ≥ 3

, (3.5)

and the definition of F^{w}_{x,dy}(n) is analogous: we just have to impose that x, y ≥ 0 and for
n ≥ 3 we also have to restrict the integral in (3.5) on (R^{+})^{n−2}. Although these formulas
may appear quite involved, they follow easily from the definition of P^{a}_{ε,N}. In fact it suffice
to expand the product of measures in the r.h.s. of (1.5) and (1.7) as a sum of ‘monomials’,
according to the elementary formula (where we set Ω^{p}:= R and Ω^{w} := R^{+})

N −1Y

i=1

εδ_{0}(dϕ_{i}) + dϕ_{i}1_{(ϕ}_{i}_{∈Ω}^{a}_{)}

= X

A⊂{1,...,N−1}

ε^{|A|} Y

m∈A

δ_{0}(dϕ_{m}) Y

n∈A^{∁}

dϕ_{n}1_{(ϕ}_{n}_{∈Ω}^{a}_{)}.

It is then clear that A = {τ1, . . . , τ_{ℓ}_{N}_{−1}} and integrating over the variables ϕi with index
i 6∈ A ∪ (A − 1) one gets to (3.4). We stress that the algebraic structure of (3.4) retains a
crucial importance, that we are going to exploit in the next paragraph.

From (3.5) it follows that the kernel F^{a}_{x,dy}(n) is a Dirac mass in y for n = 1 while it is
absolutely continuous for n ≥ 2. Then it is convenient to introduce the σ–finite measure
µ(dx) := δ_{0}(dx) + dx, so that we can write

F^{a}_{x,dy}(n) = f_{x,y}^{a} (n) µ(dy) . (3.6)
The interesting fact is that the density fx,y^{a} (n) can be rephrased explicitly in terms of
the process {Zk}k introduced in §2.1. Let us start with the pinning case a = p: from
Lemma 2.1 and from equation (3.5) it follows that, for n ≥ 2, f^{x,y}^{p} (n) is nothing but the
density of (Z_{n−1}, Z_{n}) at (y, 0), under P^{(−x,0)}. Recalling the definition (2.8) of ϕ^{(·,·)}_{n} (·, ·)
and the fact that Z_{n−1}= Zn− Y^{n}, we can write

fx,y^{p} (n) =

(e^{−V (x)}1_{(y=0)} if n = 1

ϕ^{(−x,0)}n (−y, 0) 1_{(y6=0)} = ϕ^{(0,0)}n (−y + x, nx) 1_{(y6=0)} if n ≥ 2 , (3.7)
where we have used relation (2.9). Analogously, recalling the definition (2.11) of w_{x,y}(n),
in the wetting case we have

f_{x,y}^{w} (n) = f_{x,y}^{p} (n) · wx,y(n) . (3.8)
Equations (3.6), (3.7) and (3.8) provide a description of the kernel F^{a}_{x,dy}(n) which is both
simpler and more useful than the original definition (3.5).

3.2. A Markov renewal theory interpretation. Equation (3.4) expresses the law of
{(τk, J_{k})}k under P^{a}_{ε,N} in terms of an explicit kernel F^{a}_{x,dy}(n). The crucial point is that the
algebraic structure of the equation (3.4) allows to modify the kernel, in order to give this
formula a direct renewal theory interpretation. In fact we set

K^{a,ε}_{x,dy}(n) := ε F^{a}x,dy(n) e^{−f}^{a}^{(ε)n} v^{a}_{ε}(y)

v^{a}_{ε}(x), (3.9)

where the number f^{a}(ε) ∈ [0, ∞) and the positive real function v^{a}ε(·) will be defined
explicitly in Section 4. Of course this is an abuse of notation, because the symbol f^{a}(ε)
was already introduced to denote the free energy, cf. (1.8), but we will show in §5.2 that
the two quantities indeed coincide. We denote by k^{a,ε}x,y(n) the density of K^{a,ε}_{x,dy}(n) with
respect to µ(dy), i.e.

k^{a,ε}x,y(n) := ε fx,y^{a} (n) e^{−f}^{a}^{(ε)n} v_{ε}^{a}(y)

v^{a}_{ε}(x). (3.10)

The reason for introducing the kernel K^{a,ε}_{x,dy}(n) lies is the following fundamental fact: the
number f^{a}(ε) and the function v^{a}_{ε}(·) appearing in (3.9) can be chosen such that:

∀x ∈ R : Z

y∈R

X

n∈N

K^{a,ε}_{x,dy}(n) = ε

ε^{a}_{c} ∧ 1 ≤ 1 , (3.11)
where ε^{a}_{c} ∈ (0, ∞) is a fixed number. A detailed proof and discussion of this fact, with an
explicit definition of ε^{a}_{c}, f^{a}(ε) and v_{ε}^{a}(·), is deferred to Section 4: for the moment we focus
on its consequences.

Thanks to (3.11), we can define the law Pε^{a} under which the joint process {(τk, J_{k})}k≥0

is a (possibly defective) Markov chain on Z^{+}× R, with starting value (τ0, J_{0}) = (0, 0) and
with transition kernel given by

Pε^{a} (τ_{k+1}, J_{k+1}) ∈ ({n}, dy)

(τk, J_{k}) = (m, x)

= K^{a,ε}_{x,dy}(n − m) . (3.12)
An alternative (and perhaps more intuitive) definition is as follows:

• First sample the process {Jk}k≥0 as a (defective if ε < ε^{a}_{c}) Markov chain on R,
with J_{0} = 0 and with transition kernel

Pε^{a}( J_{k+1} ∈ dy | Jk= x ) = X

n∈N

K^{a,ε}_{x,dy}(n) =: D^{a,ε}_{x,dy}. (3.13)
In the defective case we take ∞ as cemetery.

• Then sample the increments {Tk := τ_{k}− τk−1}k∈N as a sequence of independent,
but not identically distributed, random variables, according to the conditional law:

Pε^{a}( T_{k}= n | {Ji}i≥0) =

1_{(n=1)} if J_{k}= 0

k^{a,ε}_{Jk−1,Jk}(n) 1(n≥2)

P

m≥2k^{a,ε}_{Jk−1,Jk}(m) if J_{k}6= 0, Jk 6= ∞

1_{(n=∞)} if J_{k}= ∞

.

We stress that the process {(τk, J_{k})}k≥0 is defective if ε < ε^{a}_{c} and proper if ε ≥ ε^{a}c,
cf. (3.11). The process {τk}k≥0 under Pε^{a} is what is called a Markov renewal process and
{Jk}k≥0 is its modulating chain. This is a generalization of classical renewal processes,
because τ_{n} = T_{1} + . . . + T_{n} where the variables {Tk}k∈N are allowed to have a special
kind of dependence, namely they are independent conditionally on the modulating chain
{Jk}k≥0. For a detailed account on Markov renewal processes we refer to [3].

Now let us come back to equation (3.4). We perform the substitution F^{a}_{x,dy}(n) →
K^{a,ε}_{x,dy}(n), defined in (3.9): the boundary terms v^{a}_{ε}(y)/v_{ε}^{a}(x) get simplified and the ex-
ponential term e^{−f}^{a}^{(ε)n} factorizes, so that we get

P^{a}_{ε,N}

ℓ_{N} = k, τ_{i}= t_{i}, J_{i} ∈ dyi, i = 1, . . . , k

= e^{f}^{a}^{(ε)N}

ε^{2}Z_{ε,N}^{a} K^{a,ε}_{0,dy}_{1}(t_{1}) · K^{a,ε}y1,dy2(t_{2}− t1) · . . . · K^{a,ε}y_{k−1},dy_{k}(N − tk−1) · K^{a,ε}_{y}_{k}_{,{0}}(1) .
(3.14)

Moreover, since the partition function Zε,N^{a} is the normalizing constant that makes P^{a}_{ε,N}
a probability, it can be expressed as

Zε,N^{a} = e^{f}^{a}^{(ε)N}
ε^{2}

XN k=1

X

ti∈N, i=1,...,k
0<t1<...<t_{k}:=N

Z

Rk

Yk i=1

K^{a,ε}_{y}_{i−1}_{,dy}_{i}(t_{i}− ti−1)

!

· K^{a,ε}_{y}_{k}_{,{0}}(1) . (3.15)

We are finally ready to make explicit the link between the law Pε^{a} and our model P^{a}_{ε,N}.
Let us introduce the event

A^{N} :=

{N, N + 1} ⊂ τ

=

∃k ≥ 0 : τk= N, τ_{k+1} = N + 1

. (3.16)

The following proposition is an immediate consequence of (3.12), (3.14) and (3.15).

Proposition 3.1. For any N ∈ N and ε > 0, the vector

ℓ_{N}, (τ_{i})_{i≤ℓ}_{N}, (J_{i})_{i≤ℓ}_{N}

has the
same law under P^{a}_{ε,N} and under the conditional law Pε^{a}( · | AN): for all k, {ti}i and {yi}i

P^{a}

ε,N

ℓ_{N} = k, τ_{i}= t_{i}, J_{i} ∈ dyi, i ≤ k

= Pε^{a}

ℓ_{N} = k, τ_{i} = t_{i}, J_{i} ∈ dyi, i ≤ k
A^{N}

.
Moreover the partition function can be expressed as Zε,N^{a} = (e^{f}^{a}^{(ε)N}/ε^{2}) · Pε^{a}(AN).

Thus we have shown that the contact set τ ∩ [0, N] under the pinning law P^{a}ε,N is
distributed like a Markov renewal process (of law Pε^{a}) conditioned to visit {N, N +1}. The
crucial point is that Pε^{a} does not have any dependence on N , therefore all the dependence
on N of P^{a}_{ε,N} is contained in the conditioning on the event A^{N}. As it will be clear in the
next sections, this fact is the key to all our results.

4. An infinite dimensional Perron-Frobenius problem

In this section we prove that for every ε > 0 the non-negative number f^{a}(ε) and the
positive real function v_{ε}^{a}(·) : R → (0, ∞) appearing in the definition of K^{a,ε}_{x,dy}(n), cf. (3.9),
can be chosen in such a way that equation (3.11) holds true.

4.1. Some analytical preliminaries. We recall that the kernel F^{a}_{x,dy}(n) and its density
fx,y^{a} (n) are defined in equations (3.6), (3.7) and (3.8), and that µ(dx) = δ_{0}(dx) + dx. In
particular we have 0 ≤ fx,y^{w} (n) ≤ fx,y^{p} (n). We first list some important properties of fx,y^{p} (n):

• Uniformly for x, y in compact sets we have:

f_{x,y}^{p} (n) ∼ c

n^{2} (n → ∞) , (4.1)

where c := 6/(πσ^{2}); moreover there exists C > 0 such that ∀x, y ∈ R and n ∈ N
f_{x,y}^{p} (n) ≤ C

n^{2}

Z

R

dz f_{x,z}^{p} (n) ≤ C
n^{3/2}

Z

R

dz f_{z,y}^{p} (n) ≤ C

n^{3/2}. (4.2)
Both the above relations follow comparing (3.7) with Proposition 2.3.

• For n ≥ 2 we have: Z

R2dx dy fx,y^{p} (n) = 1

n, (4.3)

as it follows from (3.7) recalling that ϕ^{(0,0)}_{n} (·, ·) is a probability density.

For λ ≥ 0 we introduce the kernel

B_{x,dy}^{a,λ} :=X

n∈N

e^{−λn}F^{a}x,dy(n) , (4.4)

which induces the integral operator: (B^{a,λ}h)(x) :=R

RB^{a,λ}_{x,dy}h(y). Note that for every x ∈ R
the kernel B_{x,dy}^{a,λ} is absolutely continuous with respect to the measure µ, so that we can
write B^{a,λ}_{x,dy} = b^{a,λ}(x, y) µ(dy), where the density b^{a,λ}(x, y) is given by (cf. (3.7))

b^{a,λ}(x, y) = e^{−λ}f_{x,0}^{a} (1) 1_{(y=0)} + X

n≥2

e^{−λn}f_{x,y}^{a} (n) 1_{(y6=0)}. (4.5)
The following result is of basic importance.

Lemma 4.1. For every λ ≥ 0, B^{a,λ} is a compact operator on the Hilbert space L^{2}(R, dµ).

Proof. We are going to check the stronger condition that B^{a,λ} is Hilbert-Schmidt, i.e.

Z

R2

b^{a,λ}(x, y)^{2}µ(dx) µ(dy) < ∞ . (4.6)