95 research outputs found
Pathwise super-replication via Vovk's outer measure
Since Hobson's seminal paper [D. Hobson: Robust hedging of the lookback
option. In: Finance Stoch. (1998)] the connection between model-independent
pricing and the Skorokhod embedding problem has been a driving force in robust
finance. We establish a general pricing-hedging duality for financial
derivatives which are susceptible to the Skorokhod approach.
Using Vovk's approach to mathematical finance we derive a model-independent
super-replication theorem in continuous time, given information on finitely
many marginals. Our result covers a broad range of exotic derivatives,
including lookback options, discretely monitored Asian options, and options on
realized variance.Comment: 18 page
Root to Kellerer
We revisit Kellerer's Theorem, that is, we show that for a family of real
probability distributions which increases in convex
order there exists a Markov martingale s.t.\ .
To establish the result, we observe that the set of martingale measures with
given marginals carries a natural compact Polish topology. Based on a
particular property of the martingale coupling associated to Root's embedding
this allows for a relatively concise proof of Kellerer's theorem.
We emphasize that many of our arguments are borrowed from Kellerer
\cite{Ke72}, Lowther \cite{Lo07}, and Hirsch-Roynette-Profeta-Yor
\cite{HiPr11,HiRo12}.Comment: 8 pages, 1 figur
Optimal strategies for a game on amenable semigroups
The semigroup game is a two-person zero-sum game defined on a semigroup S as
follows: Players 1 and 2 choose elements x and y in S, respectively, and player
1 receives a payoff f(xy) defined by a function f from S to [-1,1]. If the
semigroup is amenable in the sense of Day and von Neumann, one can extend the
set of classical strategies, namely countably additive probability measures on
S, to include some finitely additive measures in a natural way. This extended
game has a value and the players have optimal strategies. This theorem extends
previous results for the multiplication game on a compact group or on the
positive integers with a specific payoff. We also prove that the procedure of
extending the set of allowed strategies preserves classical solutions: if a
semigroup game has a classical solution, this solution solves also the extended
game.Comment: 17 pages. To appear in International Journal of Game Theor
Multipole moments in Kaluza-Klein theories
This paper contains discussion of the problem of motion of extended i.e. non
point test bodies in multidimensional space. Extended bodies are described in
terms of so called multipole moments. Using approximated form of equations of
motion for extended bodies deviation from geodesic motion is derived. Results
are applied to special form of space-time.Comment: 11 pages, AMS-TeX, few misprints corrected, to appear in Classical
and Quantum Gravit
Axiomatic approach to radiation reaction of scalar point particles in curved spacetime
Several different methods have recently been proposed for calculating the
motion of a point particle coupled to a linearized gravitational field on a
curved background. These proposals are motivated by the hope that the point
particle system will accurately model certain astrophysical systems which are
promising candidates for observation by the new generation of gravitational
wave detectors. Because of its mathematical simplicity, the analogous system
consisting of a point particle coupled to a scalar field provides a useful
context in which to investigate these proposed methods. In this paper, we
generalize the axiomatic approach of Quinn and Wald in order to produce a
general expression for the self force on a point particle coupled to a scalar
field following an arbitrary trajectory on a curved background. Our equation
includes the leading order effects of the particle's own fields, commonly
referred to as ``self force'' or ``radiation reaction'' effects. We then
explore the equations of motion which follow from this expression in the
absence of non-scalar forces.Comment: 17 pages, 1 figur
An axiomatic approach to electromagnetic and gravitational radiation reaction of particles in curved spacetime
The problem of determining the electromagnetic and gravitational
``self-force'' on a particle in a curved spacetime is investigated using an
axiomatic approach. In the electromagnetic case, our key postulate is a
``comparison axiom'', which states that whenever two particles of the same
charge have the same magnitude of acceleration, the difference in their
self-force is given by the ordinary Lorentz force of the difference in their
(suitably compared) electromagnetic fields. We thereby derive an expression for
the electromagnetic self-force which agrees with that of DeWitt and Brehme as
corrected by Hobbs. Despite several important differences, our analysis of the
gravitational self-force proceeds in close parallel with the electromagnetic
case. In the gravitational case, our final expression for the (reduced order)
equations of motion shows that the deviation from geodesic motion arises
entirely from a ``tail term'', in agreement with recent results of Mino et al.
Throughout the paper, we take the view that ``point particles'' do not make
sense as fundamental objects, but that ``point particle equations of motion''
do make sense as means of encoding information about the motion of an extended
body in the limit where not only the size but also the charge and mass of the
body go to zero at a suitable rate. Plausibility arguments for the validity of
our comparison axiom are given by considering the limiting behavior of the
self-force on extended bodies.Comment: 37 pages, LaTeX with style package RevTeX 3.
Does Quantum Mechanics Clash with the Equivalence Principle - and Does it Matter?
With an eye on developing a quantum theory of gravity, many physicists have
recently searched for quantum challenges to the equivalence principle of
general relativity. However, as historians and philosophers of science are well
aware, the principle of equivalence is not so clear. When clarified, we think
quantum tests of the equivalence principle won't yield much. The problem is
that the clash/not-clash is either already evident or guaranteed not to exist.
Nonetheless, this work does help teach us what it means for a theory to be
geometric.Comment: 12 page
Hypernatural Numbers as Ultrafilters
In this paper we present a use of nonstandard methods in the theory of
ultrafilters and in related applications to combinatorics of numbers
Combined Effect of Dietary Cadmium and Benzo(a)pyrene on Metallothionein Induction and Apoptosis in the Liver and Kidneys of Bank Voles
Bank voles free living in a contaminated environment have been shown to be more sensitive to cadmium (Cd) toxicity than the rodents exposed to Cd under laboratory conditions. The objective of this study was to find out whether benzo(a)pyrene (BaP), a common environmental co-contaminant, increases Cd toxicity through inhibition of metallothionein (MT) synthesis—a low molecular weight protein that is considered to be primary intracellular component of the protective mechanism. For 6 weeks, the female bank voles were provided with diet containing Cd [less than 0.1 μg/g (control) and 60 μg/g dry wt.] and BaP (0, 5, and 10 μg/g dry wt.) alone or in combination. At the end of exposure period, apoptosis and analyses of MT, Cd, and zinc (Zn) in the liver and kidneys were carried out. Dietary BaP 5 μg/g did not affect but BaP 10 μg/g potentiated rather than inhibited induction of hepatic and renal MT by Cd, and diminished Cd-induced apoptosis in both organs. The hepatic and renal Zn followed a pattern similar to that of MT, attaining the highest level in the Cd + BaP 10-μg/g group. These data indicate that dietary BaP attenuates rather than exacerbates Cd toxicity in bank voles, probably by potentiating MT synthesis and increasing Zn concentration in the liver and kidneys
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