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 $(\mu_t)_{t\in [0,1]}$ which increases in convex order there exists a Markov martingale $(S_t)_{t\in[0,1]}$ s.t.\ $S_t\sim \mu_t$. 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 $e$ 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