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

Functional central limit theorems for vicious walkers

We consider the diffusion scaling limit of the vicious walker model that is a system of nonintersecting random walks. We prove a functional central limit theorem for the model and derive two types of nonintersecting Brownian motions, in which the nonintersecting condition is imposed in a finite time interval $(0,T]$ for the first type and in an infinite time interval $(0,\infty)$ for the second type, respectively. The limit process of the first type is a temporally inhomogeneous diffusion, and that of the second type is a temporally homogeneous diffusion that is identified with a Dyson's model of Brownian motions studied in the random matrix theory. We show that these two types of processes are related to each other by a multi-dimensional generalization of Imhof's relation, whose original form relates the Brownian meander and the three-dimensional Bessel process. We also study the vicious walkers with wall restriction and prove a functional central limit theorem in the diffusion scaling limit.Comment: AMS-LaTeX, 20 pages, 2 figures, v6: minor corrections made for publicatio

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

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.

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

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

Infinite systems of non-colliding generalized meanders and Riemann-Liouville differintegrals

Yor's generalized meander is a temporally inhomogeneous modification of the $2(\nu+1)$-dimensional Bessel process with $\nu > -1$, in which the inhomogeneity is indexed by $\kappa \in [0, 2(\nu+1))$. We introduce the non-colliding particle systems of the generalized meanders and prove that they are the Pfaffian processes, in the sense that any multitime correlation function is given by a Pfaffian. In the infinite particle limit, we show that the elements of matrix kernels of the obtained infinite Pfaffian processes are generally expressed by the Riemann-Liouville differintegrals of functions comprising the Bessel functions $J_{\nu}$ used in the fractional calculus, where orders of differintegration are determined by $\nu-\kappa$. As special cases of the two parameters $(\nu, \kappa)$, the present infinite systems include the quaternion determinantal processes studied by Forrester, Nagao and Honner and by Nagao, which exhibit the temporal transitions between the universality classes of random matrix theory.Comment: LaTeX, 35 pages, v3: The argument given in Section 3.2 was simplified. Minor corrections were mad

Activating mTOR Mutations in a Patient with an Extraordinary Response on a Phase I Trial of Everolimus and Pazopanib

Understanding the genetic mechanisms of sensitivity to targeted anticancer therapies may improve patient selection, response to therapy, and rational treatment designs. One approach to increase this understanding involves detailed studies of exceptional responders: rare patients with unexpected exquisite sensitivity or durable responses to therapy. We identified an exceptional responder in a phase I study of pazopanib and everolimus in advanced solid tumors. Whole-exome sequencing of a patient with a 14-month complete response on this trial revealed two concurrent mutations in mTOR, the target of everolimus. In vitro experiments demonstrate that both mutations are activating, suggesting a biologic mechanism for exquisite sensitivity to everolimus in this patient. The use of precision (or “personalized”) medicine approaches to screen patients with cancer for alterations in the mTOR pathway may help to identify subsets of patients who may benefit from targeted therapies directed against mTOR.National Human Genome Research Institute (U.S.) (5U54HG003067-11

The Elbow-EpiTrainer : A method of delivering graded resistance to the extensor carpi radialis brevis. Effectiveness of a prototype device in a healthy population

This document is the Accepted Manuscript version of the following article: Navsaria R, Ryder DM, Lewis JS, et al, 'The Elbow-EpiTrainer: a method of delivering graded resistance to the extensor carpi radialis brevi:. Effectiveness of a prototype device in a healthy population', British Journal of Sports Medicine, Vol. 49(5):318-322, March 2015, available online at: http://bjsm.bmj.com/content/49/5/318. Published by the BMJ Publishing Group Limited.Background: Tennis elbow or lateral epicondylopathy (LE) is experienced as the lateral elbow has a reported prevalence of 1.3%, with symptoms lasting up to 18 months. LE is most commonly attributed to tendinopathy involving the extensor carpi radialis brevis (ECRB) tendon. The aim of tendinopathy management is to alleviate symptoms and restore function that initially involves relative rest followed by progressive therapeutic exercise. Objective: To assess the effectiveness of two prototype exercises using commonly available clinical equipment to progressively increase resistance and activity of the ECRB. Method: Eighteen healthy participants undertook two exercise progressions. Surface electromyography was used to record ECRB activity during the two progressions, involving eccentric exercises of the wrist extensors and elbow pronation exercises using a prototype device. The two progressions were assessed for their linearity of progression using repeated ANOVA and linear regression analysis. Five participants repeated the study to assess reliability. Results: The exercise progressions led to an increase in ECRB electromyographic (EMG) activity (p0.7) between the first and second tests for five participants. Conclusions: Manipulation of resistance and leverage with the prototype exercises was effective in creating significant increases of ECRB normalised EMG activity in a linear manner that may, with future research, become useful to clinicians treating LE. In addition, between trial reliability for the device to generate a consistent load was acceptable.Peer reviewedFinal Accepted Versio