byrnema comments on Compartmentalization as a passive phenomenon - Less Wrong
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Absolutely. Another piece of the puzzle required to understand whether the pen 'obviously' falls or not is, 'what kind of atmosphere does the moon have'? What fraction of people know that there is no atmosphere on the surface of the moon? (Do I really know this?? I think I just remember being told this, and despite being told, I'm not certain there's absolutely no atmosphere on the moon.)
Without detailed information about the atmosphere, you really don't know. On Earth, the pen floats in water, but doesn't float in air.
(And then you have the added problem that there's a high chance people will first recall the image of the flag blowing on the moon, which is unfortunate for physics.)
This is surely also true on the moon? The relative densities of the pen and the fluid you put it in don't change depending on the gravitational field they're in.
Gravity affects pressure affects density. To a first approximation, gases have density directly proportional to their pressure, and liquids and solids don't compress very much.
With air/water/pen the conclusion doesn't change. But an example where it does:
A nitrogen atmosphere at STP has a density of 1251 g/m^3.
A helium balloon at STP has a density of 179 g/m^3. The balloon floats.
Then reduce Earth's gravity by a factor of 10, and hold temperature constant.
The atmospheric pressure reduces by a factor of 10, so its density goes to 125 g/m^3.
But the helium can't expand likewise (assume the balloon is perfectly inelastic), so it's still 179 g/m^3. The balloon sinks.
Hmm. I actually don't know the relationship between gravity and buoyancy -- a moment with Google and I'd know, but in the meantime I'm in the position of relating to all those people who answered incorrectly.
Another unobvious fact is that the force that holds up a floating object is also tied to weight - specifically, the weight of the atmosphere or liquid. Even if the atmosphere on the Moon were precisely as dense as the Earth's (it is not), the pen and the air would be lighter in the same proportion, and the pen would still fall.
Edit: i.e. what bentarm said.