Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion

On a multi-assets Black-Scholes economy, we introduce a class of barrier options. In this model we apply a generalized reflection principle in a context of the finite reflection group acting on a Euclidean space to give a valuation formula and the semi-static hedge.Comment: Asia-Pacific Financial Markets, online firs

Cauchy's infinitesimals, his sum theorem, and foundational paradigms

Cauchy's sum theorem is a prototype of what is today a basic result on the convergence of a series of functions in undergraduate analysis. We seek to interpret Cauchy's proof, and discuss the related epistemological questions involved in comparing distinct interpretive paradigms. Cauchy's proof is often interpreted in the modern framework of a Weierstrassian paradigm. We analyze Cauchy's proof closely and show that it finds closer proxies in a different modern framework. Keywords: Cauchy's infinitesimal; sum theorem; quantifier alternation; uniform convergence; foundational paradigms.Comment: 42 pages; to appear in Foundations of Scienc

Noncolliding Squared Bessel Processes

We consider a particle system of the squared Bessel processes with index $\nu > -1$ conditioned never to collide with each other, in which if $-1 < \nu < 0$ the origin is assumed to be reflecting. When the number of particles is finite, we prove for any fixed initial configuration that this noncolliding diffusion process is determinantal in the sense that any multitime correlation function is given by a determinant with a continuous kernel called the correlation kernel. When the number of particles is infinite, we give sufficient conditions for initial configurations so that the system is well defined. There the process with an infinite number of particles is determinantal and the correlation kernel is expressed using an entire function represented by the Weierstrass canonical product, whose zeros on the positive part of the real axis are given by the particle-positions in the initial configuration. From the class of infinite-particle initial configurations satisfying our conditions, we report one example in detail, which is a fixed configuration such that every point of the square of positive zero of the Bessel function $J_{\nu}$ is occupied by one particle. The process starting from this initial configuration shows a relaxation phenomenon converging to the stationary process, which is determinantal with the extended Bessel kernel, in the long-term limit.Comment: v3: LaTeX2e, 26 pages, no figure, corrections made for publication in J. Stat. Phy

Symmetry of matrix-valued stochastic processes and noncolliding diffusion particle systems

As an extension of the theory of Dyson's Brownian motion models for the standard Gaussian random-matrix ensembles, we report a systematic study of hermitian matrix-valued processes and their eigenvalue processes associated with the chiral and nonstandard random-matrix ensembles. In addition to the noncolliding Brownian motions, we introduce a one-parameter family of temporally homogeneous noncolliding systems of the Bessel processes and a two-parameter family of temporally inhomogeneous noncolliding systems of Yor's generalized meanders and show that all of the ten classes of eigenvalue statistics in the Altland-Zirnbauer classification are realized as particle distributions in the special cases of these diffusion particle systems. As a corollary of each equivalence in distribution of a temporally inhomogeneous eigenvalue process and a noncolliding diffusion process, a stochastic-calculus proof of a version of the Harish-Chandra (Itzykson-Zuber) formula of integral over unitary group is established.Comment: LaTeX, 27 pages, 4 figures, v3: Minor corrections made for publication in J. Math. Phy

A Burgessian critique of nominalistic tendencies in contemporary mathematics and its historiography

We analyze the developments in mathematical rigor from the viewpoint of a Burgessian critique of nominalistic reconstructions. We apply such a critique to the reconstruction of infinitesimal analysis accomplished through the efforts of Cantor, Dedekind, and Weierstrass; to the reconstruction of Cauchy's foundational work associated with the work of Boyer and Grabiner; and to Bishop's constructivist reconstruction of classical analysis. We examine the effects of a nominalist disposition on historiography, teaching, and research.Comment: 57 pages; 3 figures. Corrected misprint

Moments of vicious walkers and M\"obius graph expansions

A system of Brownian motions in one-dimension all started from the origin and conditioned never to collide with each other in a given finite time-interval $(0, T]$ is studied. The spatial distribution of such vicious walkers can be described by using the repulsive eigenvalue-statistics of random Hermitian matrices and it was shown that the present vicious walker model exhibits a transition from the Gaussian unitary ensemble (GUE) statistics to the Gaussian orthogonal ensemble (GOE) statistics as the time $t$ is going on from 0 to $T$. In the present paper, we characterize this GUE-to-GOE transition by presenting the graphical expansion formula for the moments of positions of vicious walkers. In the GUE limit $t \to 0$, only the ribbon graphs contribute and the problem is reduced to the classification of orientable surfaces by genus. Following the time evolution of the vicious walkers, however, the graphs with twisted ribbons, called M\"obius graphs, increase their contribution to our expansion formula, and we have to deal with the topology of non-orientable surfaces. Application of the recent exact result of dynamical correlation functions yields closed expressions for the coefficients in the M\"obius expansion using the Stirling numbers of the first kind.Comment: REVTeX4, 11 pages, 1 figure. v.2: calculations of the Green function and references added. v.3: minor additions and corrections made for publication in Phys.Rev.

Ten Misconceptions from the History of Analysis and Their Debunking

The widespread idea that infinitesimals were "eliminated" by the "great triumvirate" of Cantor, Dedekind, and Weierstrass is refuted by an uninterrupted chain of work on infinitesimal-enriched number systems. The elimination claim is an oversimplification created by triumvirate followers, who tend to view the history of analysis as a pre-ordained march toward the radiant future of Weierstrassian epsilontics. In the present text, we document distortions of the history of analysis stemming from the triumvirate ideology of ontological minimalism, which identified the continuum with a single number system. Such anachronistic distortions characterize the received interpretation of Stevin, Leibniz, d'Alembert, Cauchy, and others.Comment: 46 pages, 4 figures; Foundations of Science (2012). arXiv admin note: text overlap with arXiv:1108.2885 and arXiv:1110.545

Leibniz's Infinitesimals: Their Fictionality, Their Modern Implementations, And Their Foes From Berkeley To Russell And Beyond

Many historians of the calculus deny significant continuity between infinitesimal calculus of the 17th century and 20th century developments such as Robinson's theory. Robinson's hyperreals, while providing a consistent theory of infinitesimals, require the resources of modern logic; thus many commentators are comfortable denying a historical continuity. A notable exception is Robinson himself, whose identification with the Leibnizian tradition inspired Lakatos, Laugwitz, and others to consider the history of the infinitesimal in a more favorable light. Inspite of his Leibnizian sympathies, Robinson regards Berkeley's criticisms of the infinitesimal calculus as aptly demonstrating the inconsistency of reasoning with historical infinitesimal magnitudes. We argue that Robinson, among others, overestimates the force of Berkeley's criticisms, by underestimating the mathematical and philosophical resources available to Leibniz. Leibniz's infinitesimals are fictions, not logical fictions, as Ishiguro proposed, but rather pure fictions, like imaginaries, which are not eliminable by some syncategorematic paraphrase. We argue that Leibniz's defense of infinitesimals is more firmly grounded than Berkeley's criticism thereof. We show, moreover, that Leibniz's system for differential calculus was free of logical fallacies. Our argument strengthens the conception of modern infinitesimals as a development of Leibniz's strategy of relating inassignable to assignable quantities by means of his transcendental law of homogeneity.Comment: 69 pages, 3 figure

A Hexagon Model for 3D Lorentzian Quantum Cosmology

We formulate a dynamically triangulated model of three-dimensional Lorentzian quantum gravity whose spatial sections are flat two-tori. It is shown that the combinatorics involved in evaluating the one-step propagator (the transfer matrix) is that of a set of vicious walkers on a two-dimensional lattice with periodic boundary conditions and that the entropy of the model scales exponentially with the volume. We also give explicit expressions for the Teichm\"uller parameters of the spatial slices in terms of the discrete parameters of the 3d triangulations, and reexpress the discretized action in terms of them. The relative simplicity and explicitness of this model make it ideally suited for an analytic study of the conformal-factor cancellation observed previously in Lorentzian dynamical triangulations and of its relation to alternative, reduced phase space quantizations of 3d gravity.Comment: 34 pages, 20 figures, some clarifying remarks added, final version to appear in Phys Rev

Abortion in the United States' bible belt: organizing for power and empowerment

Over the last 30 years, conservative power in the United States, financed and organized by Christian fundamentalist sects, the Catholic Church, and conservative corporate and political leadership, has become more threatening and potentially destabilizing of progressive democratic principles and practices. Powerful interlocking political, financial and social forces are arrayed against women in many Southern and Western states. They are having destructive effects on women's ability to control their fertility and maintain bodily integrity and health. Poor women and women of color are disproportionately affected by restrictions on abortion services. Strategically developed interventions must be initiated and managed at every level in these localities. It is urgent to coordinate and empower individuals, multiple organizations and communities to engender effective changes in attitudes, norms, behavior and policies that will enable women to obtain reproductive health services, including abortion care. This paper describes contextual factors that continue to decimate U.S. women's right to health and, then, describes a community organizing-social action project in a number of US' states aimed at reversing the erosion of women's right to have or not to have children