What is meant by a local Lagrangian density?
How will a non-local Lagrangian look like?
What is the problem that we do not consider such Lagrangian densities?
Answer
What is a local Lagrangian density?
A classical field theory on Minkowski space Rd,1 is specified by a space C of field configurations ϕ:Rd,1→T, and an action functional S:C→R. The set T is called the target space of the theory, and is often a vector space. If there exists a function L:C×R→R for which S[ϕ]=∫RdtL[ϕ](t),
An example of a non-local Lagrangian density.
Consider T=R, namely a theory of a single real scalar field. Let a∈Rd be given, and define a Lagrangian density by ˜L[ϕ](t,x)=ϕ(t,x)+ϕ(t,x+a).
What's the issue with theories with non-local Lagrangian densities?
I'm no expert on this, so I'll divert to another user. I will say, however, that people do study theories with non-local Lagrangian densities in practice, so there's nothing a priori "wrong" with them, but they might generically exhibit some pathology that you might prefer not to have.
Perhaps most relevant, though, if you're taking QFT from a high energy theorist, for example, is that the Lagrangian density of the Standard Model is local, so there's no need to consider non-local beasts if one is studying the Standard Model.
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