quinta-feira, agosto 16, 2007

Bachelier and His Times

A entrevista sobre o Bachelier é muito interessante, e consegui achar um link para o artigo:

Algumas passagens interessantes:

M.T. : Bachelier had indeed taken his course (Poincaré) . But in those courses, did
one speak to the professor?
B.B. : Never. It was unthinkable to question a professor. Even after
the course. In the biography of Jerzy Neyman6 by Constance Reid [112],
Neyman recounts that, when he was a Rockefeller fellow in Paris, he followed
Borel’s course in probability7. He once approached Borel to ask him
some questions. Borel answered, “You are probably under the impression
that our relationships with people who attend our courses are similar here
to what they are elsewhere. I am sorry. This is not the case. Yes, it would
be a pleasure to talk to you, but it would be more convenient if you would
come this summer to Brittany where I will be vacationing”8. This was in
1926. Neyman was at the still youngag e of 32.

33Keynes [73] had reviewed Bachelier’s text Calcul des Probabilit´es [12] in 1912. He
M. Bachelier’s volume is large, and makes large claims. His 500 quarto pages
are to be followed by further volumes, in which he will treat of the history
and ofthe philosophy ofpr obability. His work, in the words ofthe preface, is
written with the object, not only ofexp ounding the whole of ascertained knowledge
on the calculus ofpr obabilities, but also of setting forth new methods
and new results which represent from some points of view une transformation
compl`ete de ce calcul. On what he has accomplished it is not very easy to
pass judgment. The author is evidently ofm uch ability and perseverance, and
ofgr eat mathematical ingenuity; and a good many ofhi s results are undoubtedly
novel. Yet, on the whole, I am inclined to doubt their value, and, in
some important cases, their validity. His artificial hypotheses certainly make
these results out oftouch to a quite extraordinary degree with most important
problems, and they can be capable off ew applications. I do not make this
judgment with complete confidence, for the book shows qualities of no negligible
order. Those who wish to sample his methods may be recommended to
read chapter ix, on what he terms Probabilit´es connexes, as a f air specimen
ofhi s original work.

Samuelson, however, had already
heard of Bachelier. First from Stanislaw Ulam, between 1937 and 1940, who
then belonged like him to the Society of Fellows at Harvard University. Ulam
was a gambler by instinct. He was a topologist who later popularized Monte
Carlo methods and worked on the atom bomb at Los Alamos. Samuelson
also knew of Bachelier from Feller.