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High entropy ceramic coatings, including multicomponent transition metal nitrides called also high entropy nitrides (HEN), are usually deposited using reactive arc and/or DC magnetron (co)sputtering. High Target Utilization Sputtering (HiTUS) was not applied in HEN systems up to now. Subsequently, the mechanical properties of HEN coatings prepared by HiTUS are also not known. The transition metals from the 4th and 5th group of the periodic table (Ti, Zr, Hf, Nb, V, and Ta) are strong nitride formers which would be the most suitable for HEN coating systems and therefore, investigation of their properties would be of significant interest. However, the nanoindentation measurements on thin coatings always produce „composite“ values involving the contribution from the substrate. The separation of the coating properties from composite values requires upgraded analytical approaches different from standard Oliver & Pharr analysis. Thus, the aim work is to investigate the structure, hardness, and elastic modulus of TiZrHfNbVTa–xN coatings with different nitrogen stoichiometry deposited by reactive HiTUS using both CSM for bulk and CSM for thin films methods and to compare the results obtained on 4 different substrates (Si wafer, sapphire, 100Cr6 steel, and Ti6Al4V alloy). The subsequent results showed systematic differences in the calculated mechanical properties depending on the substrate properties both in CSM and CSMTF modes. Stiffer substrates always resulted in the overestimations of the calculated hardness and indentation modulus compared to softer substrates with lower Young’s modulus and the differences were in the range of around 10 %. Obviously, better theoretical models for the calculations of true coating properties are required.