KLUEDO RSS FeedKLUEDO Dokumente/documents
https://kluedo.ub.uni-kl.de/index/index/
Tue, 07 Jun 2016 12:30:55 +0200Tue, 07 Jun 2016 12:30:55 +0200The Bootstrap for the Functional Autoregressive Model FAR(1)
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4410
Functional data analysis is a branch of statistics that deals with observations \(X_1,..., X_n\) which are curves. We are interested in particular in time series of dependent curves and, specifically, consider the functional autoregressive process of order one (FAR(1)), which is defined as \(X_{n+1}=\Psi(X_{n})+\epsilon_{n+1}\) with independent innovations \(\epsilon_t\). Estimates \(\hat{\Psi}\) for the autoregressive operator \(\Psi\) have been investigated a lot during the last two decades, and their asymptotic properties are well understood. Particularly difficult and different from scalar- or vector-valued autoregressions are the weak convergence properties which also form the basis of the bootstrap theory.
Although the asymptotics for \(\hat{\Psi}{(X_{n})}\) are still tractable, they are only useful for large enough samples. In applications, however, frequently only small samples of data are available such that an alternative method for approximating the distribution of \(\hat{\Psi}{(X_{n})}\) is welcome. As a motivation, we discuss a real-data example where we investigate a changepoint detection problem for a stimulus response dataset obtained from the animal physiology group at the Technical University of Kaiserslautern.
To get an alternative for asymptotic approximations, we employ the naive or residual-based bootstrap procedure. In this thesis, we prove theoretically and show via simulations that the bootstrap provides asymptotically valid and practically useful approximations of the distributions of certain functions of the data. Such results may be used to calculate approximate confidence bands or critical bounds for tests.
Euna Gesare Nyarigedoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4410Wed, 06 Jul 2016 12:30:55 +0200Integrality of representations of finite groups
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4408
Since the early days of representation theory of finite groups in the 19th century, it was known that complex linear representations of finite groups live over number fields, that is, over finite extensions of the field of rational numbers.
While the related question of integrality of representations was answered negatively by the work of Cliff, Ritter and Weiss as well as by Serre and Feit, it was not known how to decide integrality of a given representation.
In this thesis we show that there exists an algorithm that given a representation of a finite group over a number field decides whether this representation can be made integral.
Moreover, we provide theoretical and numerical evidence for a conjecture, which predicts the existence of splitting fields of irreducible characters with integrality properties.
In the first part, we describe two algorithms for the pseudo-Hermite normal form, which is crucial when handling modules over ring of integers.
Using a newly developed computational model for ideal and element arithmetic in number fields, we show that our pseudo-Hermite normal form algorithms have polynomial running time.
Furthermore, we address a range of algorithmic questions related to orders and lattices over Dedekind domains, including computation of genera, testing local isomorphism, computation of various homomorphism rings and computation of Solomon zeta functions.
In the second part we turn to the integrality of representations of finite groups and show that an important ingredient is a thorough understanding of the reduction of lattices at almost all prime ideals.
By employing class field theory and tools from representation theory we solve this problem and eventually describe an algorithm for testing integrality.
After running the algorithm on a large set of examples we are led to a conjecture on the existence of integral and nonintegral splitting fields of characters.
By extending techniques of Serre we prove the conjecture for characters with rational character field and Schur index two.Tommy Hofmanndoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4408Mon, 04 Jul 2016 16:07:15 +0200Hecke algebras of type A: Auslander--Reiten quivers and branching rules
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4386
The thesis consists of two parts. In the first part we consider the stable Auslander--Reiten quiver of a block \(B\) of a Hecke algebra of the symmetric group at a root of unity in characteristic zero. The main theorem states that if the ground field is algebraically closed and \(B\) is of wild representation type, then the tree class of every connected component of the stable Auslander--Reiten quiver \(\Gamma_{s}(B)\) of \(B\) is \(A_{\infty}\). The main ingredient of the proof is a skew group algebra construction over a quantum complete intersection. Also, for these algebras the stable Auslander--Reiten quiver is computed in the case where the defining parameters are roots of unity. As a result, the tree class of every connected component of the stable Auslander--Reiten quiver is \(A_{\infty}\).\[\]
In the second part of the thesis we are concerned with branching rules for Hecke algebras of the symmetric group at a root of unity. We give a detailed survey of the theory initiated by I. Grojnowski and A. Kleshchev, describing the Lie-theoretic structure that the Grothendieck group of finite-dimensional modules over a cyclotomic Hecke algebra carries. A decisive role in this approach is played by various functors that give branching rules for cyclotomic Hecke algebras that are independent of the underlying field. We give a thorough definition of divided power functors that will enable us to reformulate the Scopes equivalence of a Scopes pair of blocks of Hecke algebras of the symmetric group. As a consequence we prove that two indecomposable modules that correspond under this equivalence have a common vertex. In particular, we verify the Dipper--Du Conjecture in the case where the blocks under consideration have finite representation type.Simon Schmiderdoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4386Wed, 01 Jun 2016 15:32:16 +0200New Aspects of Inflation Modeling
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4381
Inflation modeling is a very important tool for conducting an efficient monetary policy. This doctoral thesis reviewed inflation models, in particular the Phillips curve models of inflation dynamics. We focused on a well known and widely used model, the so-called three equation new Keynesian model which is a system of equations consisting of a new Keynesian Phillips curve (NKPC), an investment and saving (IS) curve and an interest rate rule.
We gave a detailed derivation of these equations. The interest rate rule used in this model is normally determined by using a Lagrangian method to solve an optimal control problem constrained by a standard discrete time NKPC which describes the inflation dynamics and an IS curve that represents the output gaps dynamics. In contrast to the real world, this method assumes that the policy makers intervene continuously. This means that the costs resulting from the change in the interest rates are ignored. We showed also that there are approximation errors made, when one log-linearizes non linear equations, by doing the derivation of the standard discrete time NKPC.
We agreed with other researchers as mentioned in this thesis, that errors which result from ignoring such log-linear approximation errors and the costs of altering interest rates by determining interest rate rule, can lead to a suboptimal interest rate rule and hence to non-optimal paths of output gaps and inflation rate.
To overcome such a problem, we proposed a stochastic optimal impulse control method. We formulated the problem as a stochastic optimal impulse control problem by considering the costs of change in interest rates and the approximation error terms. In order to formulate this problem, we first transform the standard discrete time NKPC and the IS curve into their high-frequency versions and hence into their continuous time versions where error terms are described by a zero mean Gaussian white noise with a finite and constant variance. After formulating this problem, we use the quasi-variational inequality approach to solve analytically a special case of the central bank problem, where an inflation rate is supposed to be on target and a central bank has to optimally control output gap dynamics. This method gives an optimal control band in which output gap process has to be maintained and an optimal control strategy, which includes the optimal size of intervention and optimal intervention time, that can be used to keep the process into the optimal control band.
Finally, using a numerical example, we examined the impact of some model parameters on optimal control strategy. The results show that an increase in the output gap volatility as well as in the fixed and proportional costs of the change in interest rate lead to an increase in the width of the optimal control band. In this case, the optimal intervention requires the central bank to wait longer before undertaking another control action.François Sindamubaradoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4381Tue, 24 May 2016 15:03:18 +0200Recursive Utility and Stochastic Differential Utility: From Discrete to Continuous Time
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4380
In this thesis, mathematical research questions related to recursive utility and stochastic differential utility (SDU) are explored.
First, a class of backward equations under nonlinear expectations is investigated: Existence and uniqueness of solutions are established, and the issues of stability and discrete-time approximation are addressed. It is then shown that backward equations of this class naturally appear as a continuous-time limit in the context of recursive utility with nonlinear expectations.
Then, the Epstein-Zin parametrization of SDU is studied. The focus is on specifications with both relative risk aversion and elasitcity of intertemporal substitution greater that one. A concave utility functional is constructed and a utility gradient inequality is established.
Finally, consumption-portfolio problems with recursive preferences and unspanned risk are investigated. The investor's optimal strategies are characterized by a specific semilinear partial differential equation. The solution of this equation is constructed by a fixed point argument, and a corresponding efficient and accurate method to calculate optimal strategies numerically is given.Thomas Seiferlingdoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4380Mon, 23 May 2016 10:55:22 +0200Utility-Based Risk Measures and Time Consistency of Dynamic Risk Measures
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4370
This thesis deals with risk measures based on utility functions and time consistency of dynamic risk measures. It is therefore aimed at readers interested in both, the theory of static and dynamic financial risk measures in the sense of Artzner, Delbaen, Eber and Heath [7], [8] and the theory of preferences in the tradition of von Neumann and Morgenstern [134].
A main contribution of this thesis is the introduction of optimal expected utility (OEU) risk measures as a new class of utility-based risk measures. We introduce OEU, investigate its main properties, and its applicability to risk measurement and put it in perspective to alternative risk measures and notions of certainty equivalents. To the best of our knowledge, OEU is the only existing utility-based risk measure that is (non-trivial and) coherent if the utility function u has constant relative risk aversion. We present several different risk measures that can be derived with special choices of u and illustrate that OEU reacts in a more sensitive way to slight changes of the probability of a financial loss than value at risk (V@R) and average value at risk.
Further, we propose implied risk aversion as a coherent rating methodology for retail structured products (RSPs). Implied risk aversion is based on optimal expected utility risk measures and, in contrast to standard V@R-based ratings, takes into account both the upside potential and the downside risks of such products. In addition, implied risk aversion is easily interpreted in terms of an individual investor's risk aversion: A product is attractive (unattractive) for an investor if its implied risk aversion is higher (lower) than his individual risk aversion. We illustrate this approach in a case study with more than 15,000 warrants on DAX ® and find that implied risk aversion is able to identify favorable products; in particular, implied risk aversion is not necessarily increasing with respect to the strikes of call warrants.
Another main focus of this thesis is on consistency of dynamic risk measures. To this end, we study risk measures on the space of distributions, discuss concavity on the level of distributions and slightly generalize Weber's [137] findings on the relation of time consistent dynamic risk measures to static risk measures to the case of dynamic risk measures with time-dependent parameters. Finally, this thesis investigates how recursively composed dynamic risk measures in discrete time, which are time consistent by construction, can be related to corresponding dynamic risk measures in continuous time. We present different approaches to establish this link and outline the theoretical basis and the practical benefits of this relation. The thesis concludes with a numerical implementation of this theory.Sebastian Geisseldoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4370Tue, 17 May 2016 10:22:33 +0200Linear diffusions conditioned on long-term survival
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4311
We investigate the long-term behaviour of diffusions on the non-negative real numbers under killing at some random time. Killing can occur at zero as well as in the interior of the state space. The diffusion follows a stochastic differential equation driven by a Brownian motion. The diffusions we are working with will almost surely be killed. In large parts of this thesis we only assume the drift coefficient to be continuous. Further, we suppose that zero is regular and that infinity is natural. We condition the diffusion on survival up to time t and let t tend to infinity looking for a limiting behaviour. Martin Andersdoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4311Thu, 03 Mar 2016 11:45:00 +0100Advantage of Filtering for Portfolio Optimization in Financial Markets with Partial Information
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4282
In a financial market we consider three types of investors trading with a finite
time horizon with access to a bank account as well as multliple stocks: the
fully informed investor, the partially informed investor whose only source of
information are the stock prices and an investor who does not use this infor-
mation. The drift is modeled either as following linear Gaussian dynamics
or as being a continuous time Markov chain with finite state space. The
optimization problem is to maximize expected utility of terminal wealth.
The case of partial information is based on the use of filtering techniques.
Conditions to ensure boundedness of the expected value of the filters are
developed, in the Markov case also for positivity. For the Markov modulated
drift, boundedness of the expected value of the filter relates strongly to port-
folio optimization: effects are studied and quantified. The derivation of an
equivalent, less dimensional market is presented next. It is a type of Mutual
Fund Theorem that is shown here.
Gains and losses eminating from the use of filtering are then discussed in
detail for different market parameters: For infrequent trading we find that
both filters need to comply with the boundedness conditions to be an advan-
tage for the investor. Losses are minimal in case the filters are advantageous.
At an increasing number of stocks, again boundedness conditions need to be
met. Losses in this case depend strongly on the added stocks. The relation
of boundedness and portfolio optimization in the Markov model leads here to
increasing losses for the investor if the boundedness condition is to hold for
all numbers of stocks. In the Markov case, the losses for different numbers
of states are negligible in case more states are assumed then were originally
present. Assuming less states leads to high losses. Again for the Markov
model, a simplification of the complex optimal trading strategy for power
utility in the partial information setting is shown to cause only minor losses.
If the market parameters are such that shortselling and borrowing constraints
are in effect, these constraints may lead to big losses depending on how much
effect the constraints have. They can though also be an advantage for the
investor in case the expected value of the filters does not meet the conditions
for boundedness.
All results are implemented and illustrated with the corresponding numerical
findings.Leonie Rudererdoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4282Fri, 15 Jan 2016 09:45:44 +0100Isogeometric finite element methods for shape optimization
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4264
In this thesis we develop a shape optimization framework for isogeometric analysis in the optimize first–discretize then setting. For the discretization we use
isogeometric analysis (iga) to solve the state equation, and search optimal designs in a space of admissible b-spline or nurbs combinations. Thus a quite
general class of functions for representing optimal shapes is available. For the
gradient-descent method, the shape derivatives indicate both stopping criteria and search directions and are determined isogeometrically. The numerical treatment requires solvers for partial differential equations and optimization methods, which introduces numerical errors. The tight connection between iga and geometry representation offers new ways of refining the geometry and analysis discretization by the same means. Therefore, our main concern is to develop the optimize first framework for isogeometric shape optimization as ground work for both implementation and an error analysis. Numerical examples show that this ansatz is practical and case studies indicate that it allows local refinement.Daniela Fußederdoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4264Thu, 07 Jan 2016 14:50:15 +0100The Inductive Blockwise Alperin Weight Condition for the Finite Groups \( SL_3(q) \) \( (3 \nmid (q-1)) \), \( G_2(q) \) and \( ^3D_4(q) \)
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4225
The central topic of this thesis is Alperin's weight conjecture, a problem concerning the representation theory of finite groups.
This conjecture, which was first proposed by J. L. Alperin in 1986, asserts that for any finite group the number of its irreducible Brauer characters coincides with the number of conjugacy classes of its weights. The blockwise version of Alperin's conjecture partitions this problem into a question concerning the number of irreducible Brauer characters and weights belonging to the blocks of finite groups.
A proof for this conjecture has not (yet) been found. However, the problem has been reduced to a question on non-abelian finite (quasi-) simple groups in the sense that there is a set of conditions, the so-called inductive blockwise Alperin weight condition, whose verification for all non-abelian finite simple groups implies the blockwise Alperin weight conjecture. Now the objective is to prove this condition for all non-abelian finite simple groups, all of which are known via the classification of finite simple groups.
In this thesis we establish the inductive blockwise Alperin weight condition for three infinite series of finite groups of Lie type: the special linear groups \(SL_3(q)\) in the case \(q>2\) and \(q \not\equiv 1 \bmod 3\), the Chevalley groups \(G_2(q)\) for \(q \geqslant 5\), and Steinberg's triality groups \(^3D_4(q)\).Elisabeth Schultedoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4225Mon, 09 Nov 2015 11:04:50 +0100Representative Systems and Decision Support for Multicriteria Optimization Problems
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4220
In this thesis, we investigate several upcoming issues occurring in the context of conceiving and building a decision support system. We elaborate new algorithms for computing representative systems with special quality guarantees, provide concepts for supporting the decision makers after a representative system was computed, and consider a methodology of combining two optimization problems.
We review the original Box-Algorithm for two objectives by Hamacher et al. (2007) and discuss several extensions regarding coverage, uniformity, the enumeration of the whole nondominated set, and necessary modifications if the underlying scalarization problem cannot be solved to optimality. In a next step, the original Box-Algorithm is extended to the case of three objective functions to compute a representative system with desired coverage error. Besides the investigation of several theoretical properties, we prove the correctness of the algorithm, derive a bound on the number of iterations needed by the algorithm to meet the desired coverage error, and propose some ideas for possible extensions.
Furthermore, we investigate the problem of selecting a subset with desired cardinality from the computed representative system, the Hypervolume Subset Selection Problem (HSSP). We provide two new formulations for the bicriteria HSSP, a linear programming formulation and a \(k\)-link shortest path formulation. For the latter formulation, we propose an algorithm for which we obtain the currently best known complexity bound for solving the bicriteria HSSP. For the tricriteria HSSP, we propose an integer programming formulation with a corresponding branch-and-bound scheme.
Moreover, we address the issue of how to present the whole set of computed representative points to the decision makers. Based on common illustration methods, we elaborate an algorithm guiding the decision makers in choosing their preferred solution.
Finally, we step back and look from a meta-level on the issue of how to combine two given optimization problems and how the resulting combinations can be related to each other. We come up with several different combined formulations and give some ideas for the practical approach.Tobias Kuhndoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4220Thu, 05 Nov 2015 08:54:53 +0100Application of the Finite Pointset Method to moving boundary problems for the BGK model of rarefied gas dynamics
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4182
The overall goal of the work is to simulate rarefied flows inside geometries with moving boundaries. The behavior of a rarefied flow is characterized through the Knudsen number \(Kn\), which can be very small (\(Kn < 0.01\) continuum flow) or larger (\(Kn > 1\) molecular flow). The transition region (\(0.01 < Kn < 1\)) is referred to as the transition flow regime.
Continuum flows are mainly simulated by using commercial CFD methods, which are used to solve the Euler equations. In the case of molecular flows one uses statistical methods, such as the Direct Simulation Monte Carlo (DSMC) method. In the transition region Euler equations are not adequate to model gas flows. Because of the rapid increase of particle collisions the DSMC method tends to fail, as well
Therefore, we develop a deterministic method, which is suitable to simulate problems of rarefied gases for any Knudsen number and is appropriate to simulate flows inside geometries with moving boundaries. Thus, the method we use is the Finite Pointset Method (FPM), which is a mesh-free numerical method developed at the ITWM Kaiserslautern and is mainly used to solve fluid dynamical problems.
More precisely, we develop a method in the FPM framework to solve the BGK model equation, which is a simplification of the Boltzmann equation. This equation is mainly used to describe rarefied flows.
The FPM based method is implemented for one and two dimensional physical and velocity space and different ranges of the Knudsen number. Numerical examples are shown for problems with moving boundaries. It is seen, that our method is superior to regular grid methods with respect to the implementation of boundary conditions. Furthermore, our results are comparable to reference solutions gained through CFD- and DSMC methods, respectevly.Maria Kobertdoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4182Mon, 28 Sep 2015 08:22:27 +0200American-style Option Pricing and Improvement of Regression-based Monte Carlo Methods by Machine Learning Techniques
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4172
In this dissertation, we discuss how to price American-style options. Our aim is to study and improve the regression-based Monte Carlo methods. In order to have good benchmarks to compare with them, we also study the tree methods.
In the second chapter, we investigate the tree methods specifically. We do research firstly within the Black-Scholes model and then within the Heston model. In the Black-Scholes model, based on Müller's work, we illustrate how to price one dimensional and multidimensional American options, American Asian options, American lookback options, American barrier options and so on. In the Heston model, based on Sayer's research, we implement his algorithm to price one dimensional American options. In this way, we have good benchmarks of various American-style options and put them all in the appendix.
In the third chapter, we focus on the regression-based Monte Carlo methods theoretically and numerically. Firstly, we introduce two variations, the so called "Tsitsiklis-Roy method" and the "Longstaff-Schwartz method". Secondly, we illustrate the approximation of American option by its Bermudan counterpart. Thirdly we explain the source of low bias and high bias. Fourthly we compare these two methods using in-the-money paths and all paths. Fifthly, we examine the effect using different number and form of basis functions. Finally, we study the Andersen-Broadie method and present the lower and upper bounds.
In the fourth chapter, we study two machine learning techniques to improve the regression part of the Monte Carlo methods: Gaussian kernel method and kernel-based support vector machine. In order to choose a proper smooth parameter, we compare fixed bandwidth, global optimum and suboptimum from a finite set. We also point out that scaling the training data to [0,1] can avoid numerical difficulty. When out-of-sample paths of stock prices are simulated, the kernel method is robust and even performs better in several cases than the Tsitsiklis-Roy method and the Longstaff-Schwartz method. The support vector machine can keep on improving the kernel method and needs less representations of old stock prices during prediction of option continuation value for a new stock price.
In the fifth chapter, we switch to the hardware (FGPA) implementation of the Longstaff-Schwartz method and propose novel reversion formulas for the stock price and volatility within the Black-Scholes and Heston models. The test for this formula within the Black-Scholes model shows that the storage of data is reduced and also the corresponding energy consumption.Songyin Tangdoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4172Mon, 14 Sep 2015 09:21:08 +0200Tropical Geometry in Singular
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4169
Yue Rendoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4169Wed, 09 Sep 2015 10:34:35 +0200Stochastic Modeling and Approximation of Turbulent Spinning Processes
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4168
In some processes for spinning synthetic fibers the filaments are exposed to highly turbulent air flows to achieve a high degree of stretching (elongation). The quality of the resulting filaments, namely thickness and uniformity, is thus determined essentially by the aerodynamic force coming from the turbulent flow. Up to now, there is a gap between the elongation measured in experiments and the elongation obtained by numerical simulations available in the literature.
The main focus of this thesis is the development of an efficient and sufficiently accurate simulation algorithm for the velocity of a turbulent air flow and the application in turbulent spinning processes.
In stochastic turbulence models the velocity is described by an \(\mathbb{R}^3\)-valued random field. Based on an appropriate description of the random field by Marheineke, we have developed an algorithm that fulfills our requirements of efficiency and accuracy. Applying a resulting stochastic aerodynamic drag force on the fibers then allows the simulation of the fiber dynamics modeled by a random partial differential algebraic equation system as well as a quantization of the elongation in a simplified random ordinary differential equation model for turbulent spinning. The numerical results are very promising: whereas the numerical results available in the literature can only predict elongations up to order \(10^4\) we get an order of \(10^5\), which is closer to the elongations of order \(10^6\) measured in experiments.Florian Hübschdoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4168Tue, 01 Sep 2015 13:27:20 +0200Construction of a Mittag-Leffler Analysis and its Applications
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4157
Motivated by the results of infinite dimensional Gaussian analysis and especially white noise analysis, we construct a Mittag-Leffler analysis. This is an infinite dimensional analysis with respect to non-Gaussian measures of Mittag-Leffler type which we call Mittag-Leffler measures. Our results indicate that the Wick ordered polynomials, which play a key role in Gaussian analysis, cannot be generalized to this non-Gaussian case. We provide evidence that a system of biorthogonal polynomials, called generalized Appell system, is applicable to the Mittag-Leffler measures, instead of using Wick ordered polynomials. With the help of an Appell system, we introduce a test function and a distribution space. Furthermore we give characterizations of the distribution space and we characterize the weak integrable functions and the convergent sequences within the distribution space. We construct Donsker's delta in a non-Gaussian setting as an application.
In the second part, we develop a grey noise analysis. This is a special application of the Mittag-Leffler analysis. In this framework, we introduce generalized grey Brownian motion and prove differentiability in a distributional sense and the existence of generalized grey Brownian motion local times. Grey noise analysis is then applied to the time-fractional heat equation and the time-fractional Schrödinger equation. We prove a generalization of the fractional Feynman-Kac formula for distributional initial values. In this way, we find a Green's function for the time-fractional heat equation which coincides with the solutions given in the literature.
Florian Jahnertdoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4157Tue, 18 Aug 2015 08:32:00 +0200Aspects and Applications of the Wilkie Investment Model
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4137
The Wilkie model is a stochastic asset model, developed by A.D. Wilkie in 1984 with a purpose to explore the behaviour of investment factors of insurers within the United Kingdom. Even so, there is still no analysis that studies the Wilkie model in a portfolio optimization framework thus far. Originally, the Wilkie model is considering a discrete-time horizon and we apply the concept of Wilkie model to develop a suitable ARIMA model for Malaysian data by using Box-Jenkins methodology. We obtained the estimated parameters for each sub model within the Wilkie model that suits the case of Malaysia, and permits us to analyse the result based on statistics and economics view. We then tend to review the continuous time case which was initially introduced by Terence Chan in 1998. The continuous-time Wilkie model inspired is then being employed to develop the wealth equation of a portfolio that consists of a bond and a stock. We are interested in building portfolios based on three well-known trading strategies, a self-financing strategy, a constant growth optimal strategy as well as a buy-and-hold strategy. In dealing with the portfolio optimization problems, we use the stochastic control technique consisting of the maximization problem itself, the Hamilton-Jacobi-equation, the solution to the Hamilton-Jacobi-equation and finally the verification theorem. In finding the optimal portfolio, we obtained the specific solution of the Hamilton-Jacobi-equation and proved the solution via the verification theorem. For a simple buy-and-hold strategy, we use the mean-variance analysis to solve the portfolio optimization problem.
Norizarina Ishakdoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4137Tue, 11 Aug 2015 11:06:03 +0200Coercive functions from a topological viewpoint and properties of minimizing sets of convex functions appearing in image restoration
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4100
Many tasks in image processing can be tackled by modeling an appropriate data fidelity term \(\Phi: \mathbb{R}^n \rightarrow \mathbb{R} \cup \{+\infty\}\) and then solve one of the regularized minimization problems \begin{align*}
&{}(P_{1,\tau}) \qquad \mathop{\rm argmin}_{x \in \mathbb R^n} \big\{ \Phi(x) \;{\rm s.t.}\; \Psi(x) \leq \tau \big\} \\ &{}(P_{2,\lambda}) \qquad \mathop{\rm argmin}_{x \in \mathbb R^n} \{ \Phi(x) + \lambda \Psi(x) \}, \; \lambda > 0 \end{align*} with some function \(\Psi: \mathbb{R}^n \rightarrow \mathbb{R} \cup \{+\infty\}\) and a good choice of the parameter(s). Two tasks arise naturally here: \begin{align*} {}& \text{1. Study the solver sets \({\rm SOL}(P_{1,\tau})\) and
\({\rm SOL}(P_{2,\lambda})\) of the minimization problems.} \\ {}& \text{2. Ensure that the minimization problems have solutions.} \end{align*} This thesis provides contributions to both tasks: Regarding the first task for a more special setting we prove that there are intervals \((0,c)\) and \((0,d)\) such that the setvalued curves \begin{align*}
\tau \mapsto {}& {\rm SOL}(P_{1,\tau}), \; \tau \in (0,c) \\ {} \lambda \mapsto {}& {\rm SOL}(P_{2,\lambda}), \; \lambda \in (0,d) \end{align*} are the same, besides an order reversing parameter change \(g: (0,c) \rightarrow (0,d)\). Moreover we show that the solver sets are changing all the time while \(\tau\) runs from \(0\) to \(c\) and \(\lambda\) runs from \(d\) to \(0\).
In the presence of lower semicontinuity the second task is done if we have additionally coercivity. We regard lower semicontinuity and coercivity from a topological point of view and develop a new technique for proving lower semicontinuity plus coercivity.
Dropping any lower semicontinuity assumption we also prove a theorem on the coercivity of a sum of functions.René Ciakdoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4100Tue, 09 Jun 2015 15:50:38 +0200Upscaling Approaches for Nonlinear Processes in Lithium-Ion Batteries
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4086
Lithium-ion batteries are broadly used nowadays in all kinds of portable electronics, such as laptops, cell phones, tablets, e-book readers, digital cameras, etc. They are preferred to other types of rechargeable batteries due to their superior characteristics, such as light weight and high energy density, no memory effect, and a big number of charge/discharge cycles. The high demand and applicability of Li-ion batteries naturally give rise to the unceasing necessity of developing better batteries in terms of performance and lifetime. The aim of the mathematical modelling of Li-ion batteries is to help engineers test different battery configurations and electrode materials faster and cheaper. Lithium-ion batteries are multiscale systems. A typical Li-ion battery consists of multiple connected electrochemical battery cells. Each cell has two electrodes - anode and cathode, as well as a separator between them that prevents a short circuit.
Both electrodes have porous structure composed of two phases - solid and electrolyte. We call macroscale the lengthscale of the whole electrode and microscale - the lengthscale at which we can distinguish the complex porous structure of the electrodes. We start from a Li-ion battery model derived on the microscale. The model is based on nonlinear diffusion type of equations for the transport of Lithium ions and charges in the electrolyte and in the active material. Electrochemical reactions on the solid-electrolyte interface couple the two phases. The interface kinetics is modelled by the highly nonlinear Butler-Volmer interface conditions. Direct numerical simulations with standard methods, such as the Finite Element Method or Finite Volume Method, lead to ill-conditioned problems with a huge number of degrees of freedom which are difficult to solve. Therefore, the aim of this work is to derive upscaled models on the lengthscale of the whole electrode so that we do not have to resolve all the small-scale features of the porous microstructure thus reducing the computational time and cost. We do this by applying two different upscaling techniques - the Asymptotic Homogenization Method and the Multiscale Finite Element Method (MsFEM). We consider the electrolyte and the solid as two self-complementary perforated domains and we exploit this idea with both upscaling methods. The first method is restricted only to periodic media and periodically oscillating solutions while the second method can be applied to randomly oscillating solutions and is based on the Finite Element Method framework. We apply the Asymptotic Homogenization Method to derive a coupled macro-micro upscaled model under the assumption of periodic electrode microstructure. A crucial step in the homogenization procedure is the upscaling of the Butler-Volmer interface conditions. We rigorously determine the asymptotic order of the interface exchange current densities and we perform a comprehensive numerical study in order to validate the derived homogenized Li-ion battery model. In order to upscale the microscale battery problem in the case of random electrode microstructure we apply the MsFEM, extended to problems in perforated domains with Neumann boundary conditions on the holes. We conduct a detailed numerical investigation of the proposed algorithm and we show numerical convergence of the method that we design. We also apply the developed technique to a simplified two-dimensional Li-ion battery problem and we show numerical convergence of the solution obtained with the MsFEM to the reference microscale one. Vasilena Taralovadoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4086Thu, 28 May 2015 09:01:35 +0200Simulation of Degradation Processes in Lithium-Ion Batteries
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4085
Lithium-ion batteries are increasingly becoming an ubiquitous part of our everyday life - they are present in mobile phones, laptops, tools, cars, etc. However, there are still many concerns about their longevity and their safety. In this work we focus on the simulation of several degradation mechanisms on the microscopic scale, where one can resolve the active materials inside the electrodes of the lithium-ion batteries as porous structures. We mainly study two aspects - heat generation and mechanical stress. For the former we consider an electrochemical non-isothermal model on the spatially resolved porous scale to observe the temperature increase inside a battery cell, as well as to observe the individual heat sources to assess their contributions to the total heat generation. As a result from our experiments, we determined that the temperature has very small spatial variance for our test cases and thus allows for an ODE formulation of the heat equation.
The second aspect that we consider is the generation of mechanical stress as a result of the insertion of lithium ions in the electrode materials. We study two approaches - using small strain models and finite strain models. For the small strain models, the initial geometry and the current geometry coincide. The model considers a diffusion equation for the lithium ions and equilibrium equation for the mechanical stress. First, we test a single perforated cylindrical particle using different boundary conditions for the displacement and with Neumann boundary conditions for the diffusion equation. We also test for cylindrical particles, but with boundary conditions for the diffusion equation in the electrodes coming from an isothermal electrochemical model for the whole battery cell. For the finite strain models we take in consideration the deformation of the initial geometry as a result of the intercalation and the mechanical stress. We compare two elastic models to study the sensitivity of the predicted elastic behavior on the specific model used. We also consider a softening of the active material dependent on the concentration of the lithium ions and using data for silicon electrodes. We recover the general behavior of the stress from known physical experiments.
Some models, like the mechanical models we use, depend on the local values of the concentration to predict the mechanical stress. In that sense we perform a short comparative study between the Finite Element Method with tetrahedral elements and the Finite Volume Method with voxel volumes for an isothermal electrochemical model.
The spatial discretizations of the PDEs are done using the Finite Element Method. For some models we have discontinuous quantities where we adapt the FEM accordingly. The time derivatives are discretized using the implicit Backward Euler method. The nonlinear systems are linearized using the Newton method. All of the discretized models are implemented in a C++ framework developed during the thesis. Maxim Taralovdoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4085Thu, 28 May 2015 08:47:34 +0200Isogeometric Finite Element Analysis of Nonlinear Structural Vibrations
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4079
In this thesis we present a new method for nonlinear frequency response analysis of mechanical vibrations.
For an efficient spatial discretization of nonlinear partial differential equations of continuum mechanics we employ the concept of isogeometric analysis. Isogeometric finite element methods have already been shown to possess advantages over classical finite element discretizations in terms of exact geometry representation and higher accuracy of numerical approximations using spline functions.
For computing nonlinear frequency response to periodic external excitations, we rely on the well-established harmonic balance method. It expands the solution of the nonlinear ordinary differential equation system resulting from spatial discretization as a truncated Fourier series in the frequency domain.
A fundamental aspect for enabling large-scale and industrial application of the method is model order reduction of the spatial discretization of the equation of motion. Therefore we propose the utilization of a modal projection method enhanced with modal derivatives, providing second-order information. We investigate the concept of modal derivatives theoretically and using computational examples we demonstrate the applicability and accuracy of the reduction method for nonlinear static computations and vibration analysis.
Furthermore, we extend nonlinear vibration analysis to incompressible elasticity using isogeometric mixed finite element methods.
Oliver Weegerdoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4079Wed, 20 May 2015 11:46:03 +0200Isogeometric Shell Discretizations for Flexible Multibody Dynamics
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4076
This work aims at including nonlinear elastic shell models in a multibody framework. We focus our attention to Kirchhoff-Love shells and explore the benefits of an isogeometric approach, the latest development in finite element methods, within a multibody system. Isogeometric analysis extends isoparametric finite elements to more general functions such as B-Splines and Non-Uniform Rational B-Splines (NURBS) and works on exact geometry representations even at the coarsest level of discretizations. Using NURBS as basis functions, high regularity requirements of the shell model, which are difficult to achieve with standard finite elements, are easily fulfilled. A particular advantage is the promise of simplifying the mesh generation step, and mesh refinement is easily performed by eliminating the need for communication with the geometry representation in a Computer-Aided Design (CAD) tool.
Quite often the domain consists of several patches where each patch is parametrized by means of NURBS, and these patches are then glued together by means of continuity conditions. Although the techniques known from domain decomposition can be carried over to this situation, the analysis of shell structures is substantially more involved as additional angle preservation constraints between the patches might arise. In this work, we address this issue in the stationary and transient case and make use of the analogy to constrained mechanical systems with joints and springs as interconnection elements. Starting point of our work is the bending strip method which is a penalty approach that adds extra stiffness to the interface between adjacent patches and which is found to lead to a so-called stiff mechanical system that might suffer from ill-conditioning and severe stepsize restrictions during time integration. As a remedy, an alternative formulation is developed that improves the condition number of the system and removes the penalty parameter dependence. Moreover, we study another alternative formulation with continuity constraints applied to triples of control points at the interface. The approach presented here to tackle stiff systems is quite general and can be applied to all penalty problems fulfilling some regularity requirements.
The numerical examples demonstrate an impressive convergence behavior of the isogeometric approach even for a coarse mesh, while offering substantial savings with respect to the number of degrees of freedom. We show a comparison between the different multipatch approaches and observe that the alternative formulations are well conditioned, independent of any penalty parameter and give the correct results. We also present a technique to couple the isogeometric shells with multibody systems using a pointwise interaction. Anmol Goyaldoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4076Tue, 19 May 2015 09:55:55 +0200Portfolio Optimization and Stochastic Control under Transaction Costs
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4073
This thesis is concerned with stochastic control problems under transaction costs. In particular, we consider a generalized menu cost problem with partially controlled regime switching, general multidimensional running cost problems and the maximization of long-term growth rates in incomplete markets. The first two problems are considered under a general cost structure that includes a fixed cost component, whereas the latter is analyzed under proportional and Morton-Pliska
transaction costs.
For the menu cost problem and the running cost problem we provide an equivalent characterization of the value function by means of a generalized version of the Ito-Dynkin formula instead of the more restrictive, traditional approach via the use of quasi-variational inequalities (QVIs). Based on the finite element method and weak solutions of QVIs in suitable Sobolev spaces, the value function is constructed iteratively. In addition to the analytical results, we study a novel application of the menu cost problem in management science. We consider a company that aims to implement an optimal investment and marketing strategy and must decide when to issue a new version of a product and when and how much
to invest into marketing.
For the long-term growth rate problem we provide a rigorous asymptotic analysis under both proportional and Morton-Pliska transaction costs in a general incomplete market that includes, for instance, the Heston stochastic volatility model and the Kim-Omberg stochastic excess return model as special cases. By means of a dynamic programming approach leading-order optimal strategies are constructed
and the leading-order coefficients in the expansions of the long-term growth rates are determined. Moreover, we analyze the asymptotic performance of Morton-Pliska strategies in settings with proportional transaction costs. Finally, pathwise optimality of the constructed strategies is established.Yaroslav Melnykdoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4073Mon, 18 May 2015 10:01:57 +0200Robustness for regression models with asymmetric error distribution
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4046
In this work we focus on the regression models with asymmetrical error distribution,
more precisely, with extreme value error distributions. This thesis arises in the framework
of the project "Robust Risk Estimation". Starting from July 2011, this project won
three years funding by the Volkswagen foundation in the call "Extreme Events: Modelling,
Analysis, and Prediction" within the initiative "New Conceptual Approaches to
Modelling and Simulation of Complex Systems". The project involves applications in
Financial Mathematics (Operational and Liquidity Risk), Medicine (length of stay and
cost), and Hydrology (river discharge data). These applications are bridged by the
common use of robustness and extreme value statistics.
Within the project, in each of these applications arise issues, which can be dealt with by
means of Extreme Value Theory adding extra information in the form of the regression
models. The particular challenge in this context concerns asymmetric error distributions,
which significantly complicate the computations and make desired robustification
extremely difficult. To this end, this thesis makes a contribution.
This work consists of three main parts. The first part is focused on the basic notions
and it gives an overview of the existing results in the Robust Statistics and Extreme
Value Theory. We also provide some diagnostics, which is an important achievement of
our project work. The second part of the thesis presents deeper analysis of the basic
models and tools, used to achieve the main results of the research.
The second part is the most important part of the thesis, which contains our personal
contributions. First, in Chapter 5, we develop robust procedures for the risk management
of complex systems in the presence of extreme events. Mentioned applications use time
structure (e.g. hydrology), therefore we provide extreme value theory methods with time
dynamics. To this end, in the framework of the project we considered two strategies. In
the first one, we capture dynamic with the state-space model and apply extreme value
theory to the residuals, and in the second one, we integrate the dynamics by means of
autoregressive models, where the regressors are described by generalized linear models.
More precisely, since the classical procedures are not appropriate to the case of outlier
presence, for the first strategy we rework classical Kalman smoother and extended
Kalman procedures in a robust way for different types of outliers and illustrate the performance
of the new procedures in a GPS application and a stylized outlier situation.
To apply approach to shrinking neighborhoods we need some smoothness, therefore for
the second strategy, we derive smoothness of the generalized linear model in terms of
L2 differentiability and create sufficient conditions for it in the cases of stochastic and
deterministic regressors. Moreover, we set the time dependence in these models by
linking the distribution parameters to the own past observations. The advantage of
our approach is its applicability to the error distributions with the higher dimensional
parameter and case of regressors of possibly different length for each parameter. Further,
we apply our results to the models with generalized Pareto and generalized extreme value
error distributions.
Finally, we create the exemplary implementation of the fixed point iteration algorithm
for the computation of the optimally robust in
uence curve in R. Here we do not aim to
provide the most
exible implementation, but rather sketch how it should be done and
retain points of particular importance. In the third part of the thesis we discuss three applications,
operational risk, hospitalization times and hydrological river discharge data,
and apply our code to the real data set taken from Jena university hospital ICU and
provide reader with the various illustrations and detailed conclusions.Daria Pupashenkodoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4046Thu, 16 Apr 2015 13:53:08 +0200Worst-Case Portfolio Optimization: Transaction Costs and Bubbles
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4045
In this thesis we extend the worst-case modeling approach as first introduced by Hua and Wilmott (1997) (option pricing in discrete time) and Korn and Wilmott (2002) (portfolio optimization in continuous time) in various directions.
In the continuous-time worst-case portfolio optimization model (as first introduced by Korn and Wilmott (2002)), the financial market is assumed to be under the threat of a crash in the sense that the stock price may crash by an unknown fraction at an unknown time. It is assumed that only an upper bound on the size of the crash is known and that the investor prepares for the worst-possible crash scenario. That is, the investor aims to find the strategy maximizing her objective function in the worst-case crash scenario.
In the first part of this thesis, we consider the model of Korn and Wilmott (2002) in the presence of proportional transaction costs. First, we treat the problem without crashes and show that the value function is the unique viscosity solution of a dynamic programming equation (DPE) and then construct the optimal strategies. We then consider the problem in the presence of crash threats, derive the corresponding DPE and characterize the value function as the unique viscosity solution of this DPE.
In the last part, we consider the worst-case problem with a random number of crashes by proposing a regime switching model in which each state corresponds to a different crash regime. We interpret each of the crash-threatened regimes of the market as states in which a financial bubble has formed which may lead to a crash. In this model, we prove that the value function is a classical solution of a system of DPEs and derive the optimal strategies.
Christoph Belakdoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4045Tue, 07 Apr 2015 10:17:10 +0200