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#### Erscheinungsjahr

- 2004 (7) (entfernen)

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- Dissertation (7) (entfernen)

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#### Fachbereich / Organisatorische Einheit

- Fachbereich Mathematik (7) (entfernen)

In traditional portfolio optimization under the threat of a crash the investment horizon or time to maturity is neglected. Developing the so-called crash hedging strategies (which are portfolio strategies which make an investor indifferent to the occurrence of an uncertain (down) jumps of the price of the risky asset) the time to maturity turns out to be essential. The crash hedging strategies are derived as solutions of non-linear differential equations which itself are consequences of an equilibrium strategy. Hereby the situation of changing market coefficients after a possible crash is considered for the case of logarithmic utility as well as for the case of general utility functions. A benefit-cost analysis of the crash hedging strategy is done as well as a comparison of the crash hedging strategy with the optimal portfolio strategies given in traditional crash models. Moreover, it will be shown that the crash hedging strategies optimize the worst-case bound for the expected utility from final wealth subject to some restrictions. Another application is to model crash hedging strategies in situations where both the number and the height of the crash are uncertain but bounded. Taking the additional information of the probability of a possible crash happening into account leads to the development of the q-quantile crash hedging strategy.

In the filling process of a car tank, the formation of foam plays an unwanted role, as it may prevent the tank from being completely filled or at least delay the filling. Therefore it is of interest to optimize the geometry of the tank using numerical simulation in such a way that the influence of the foam is minimized. In this dissertation, we analyze the behaviour of the foam mathematically on the mezoscopic scale, that is for single lamellae. The most important goals are on the one hand to gain a deeper understanding of the interaction of the relevant physical effects, on the other hand to obtain a model for the simulation of the decay of a lamella which can be integrated in a global foam model. In the first part of this work, we give a short introduction into the physical properties of foam and find that the Marangoni effect is the main cause for its stability. We then develop a mathematical model for the simulation of the dynamical behaviour of a lamella based on an asymptotic analysis using the special geometry of the lamella. The result is a system of nonlinear partial differential equations (PDE) of third order in two spatial and one time dimension. In the second part, we analyze this system mathematically and prove an existence and uniqueness result for a simplified case. For some special parameter domains the system can be further simplified, and in some cases explicit solutions can be derived. In the last part of the dissertation, we solve the system using a finite element approach and discuss the results in detail.

Nowadays one of the major objectives in geosciences is the determination of the gravitational field of our planet, the Earth. A precise knowledge of this quantity is not just interesting on its own but it is indeed a key point for a vast number of applications. The important question is how to obtain a good model for the gravitational field on a global scale. The only applicable solution - both in costs and data coverage - is the usage of satellite data. We concentrate on highly precise measurements which will be obtained by GOCE (Gravity Field and Steady State Ocean Circulation Explorer, launch expected 2006). This satellite has a gradiometer onboard which returns the second derivatives of the gravitational potential. Mathematically seen we have to deal with several obstacles. The first one is that the noise in the different components of these second derivatives differs over several orders of magnitude, i.e. a straightforward solution of this outer boundary value problem will not work properly. Furthermore we are not interested in the data at satellite height but we want to know the field at the Earth's surface, thus we need a regularization (downward-continuation) of the data. These two problems are tackled in the thesis and are now described briefly. Split Operators: We have to solve an outer boundary value problem at the height of the satellite track. Classically one can handle first order side conditions which are not tangential to the surface and second derivatives pointing in the radial direction employing integral and pseudo differential equation methods. We present a different approach: We classify all first and purely second order operators which fulfill that a harmonic function stays harmonic under their application. This task is done by using modern algebraic methods for solving systems of partial differential equations symbolically. Now we can look at the problem with oblique side conditions as if we had ordinary i.e. non-derived side conditions. The only additional work which has to be done is an inversion of the differential operator, i.e. integration. In particular we are capable to deal with derivatives which are tangential to the boundary. Auto-Regularization: The second obstacle is finding a proper regularization procedure. This is complicated by the fact that we are facing stochastic rather than deterministic noise. The main question is how to find an optimal regularization parameter which is impossible without any additional knowledge. However we could show that with a very limited number of additional information, which are obtainable also in practice, we can regularize in an asymptotically optimal way. In particular we showed that the knowledge of two input data sets allows an order optimal regularization procedure even under the hard conditions of Gaussian white noise and an exponentially ill-posed problem. A last but rather simple task is combining data from different derivatives which can be done by a weighted least squares approach using the information we obtained out of the regularization procedure. A practical application to the downward-continuation problem for simulated gravitational data is shown.

In this dissertation we consider complex, projective hypersurfaces with many isolated singularities. The leading questions concern the maximal number of prescribed singularities of such hypersurfaces in a given linear system, and geometric properties of the equisingular stratum. In the first part a systematic introduction to the theory of equianalytic families of hypersurfaces is given. Furthermore, the patchworking method for constructing hypersurfaces with singularities of prescribed types is described. In the second part we present new existence results for hypersurfaces with many singularities. Using the patchworking method, we show asymptotically proper results for hypersurfaces in P^n with singularities of corank less than two. In the case of simple singularities, the results are even asymptotically optimal. These statements improve all previous general existence results for hypersurfaces with these singularities. Moreover, the results are also transferred to hypersurfaces defined over the real numbers. The last part of the dissertation deals with the Castelnuovo function for studying the cohomology of ideal sheaves of zero-dimensional schemes. Parts of the theory of this function for schemes in P^2 are generalized to the case of schemes on general surfaces in P^3. As an application we show an H^1-vanishing theorem for such schemes.

In this text we survey some large deviation results for diffusion processes. The first chapters present results from the literature such as the Freidlin-Wentzell theorem for diffusions with small noise. We use these results to prove a new large deviation theorem about diffusion processes with strong drift. This is the main result of the thesis. In the later chapters we give another application of large deviation results, namely to determine the exponential decay rate for the Bayes risk when separating two different processes. The final chapter presents techniques which help to experiment with rare events for diffusion processes by means of computer simulations.

In this thesis we propose an efficient method to compute the automorphism group of an arbitrary hyperelliptic function field over a given constant field of odd characteristic as well as over its algebraic extensions. Beside theoretical applications, knowing the automorphism group also is useful in cryptography: The Jacobians of hyperelliptic curves have been suggested by Koblitz as groups for cryptographic purposes, because the discrete logarithm is believed to be hard in this kind of groups. In order to obtain "secure" Jacobians, it is necessary to prevent attacks like Pohlig/Hellman's and Duursma/Gaudry/Morain's. The latter is only feasible, if the corresponding function field has an automorphism of large order. According to a theorem by Madan, automorphisms seem to allow the Pohlig/Hellman attack, too. Hence, the function field of a secure Jacobian will most likely have trivial automorphism group. In other words: Computing the automorphism group of a hyperelliptic function field promises to be a quick test for insecure Jacobians. Let us outline our algorithm for computing the automorphism group Aut(F/k) of a hyperelliptic function field F/k. It is well known that Aut(F/k) is finite. For each possible subgroup U of Aut(F/k), Rolf Brandt has given a normal form for F if k is algebraically closed. Hence our problem reduces to deciding, whether a given hyperelliptic function field F=k(x,y), y^2=D_x has a defining equation of the form given by Brandt. This question can be answered using theorem III.18: We have F=k(t,u), u^2=D_t iff x is a fraction of linear polynomials in t and y=pu, where the factor p is a rational function w.r.t. t which can be determined explicitly from the coefficients of x. This condition can be checked efficiently using Gröbner basis techniques. With additional effort, it is also possible to compute Aut(F/k) if k is not algebraically closed. Investigating a huge number of examples one gets the impression that the above motivation of getting a quick test for insecure Jacobians is partially fulfilled: The computation of automorphism groups is quite fast using the suggested algorithm. Furthermore, fields with nontrivial automorphism groups seem to have insecure Jacobians. Only fields of small characteristic seem to have a reasonable chance of having nontrivial automorphisms. Hence, from a cryptographic point of view, computing Aut(F/k) seems to make sense whenever k has small characteristic.

In this thesis we show that the theory of algebraic correspondences introduced by Deuring in the 1930s can be applied to construct non-trivial homomorphisms between the Jacobi groups of hyperelliptic function fields. Concretely, we deduce algorithms to add and multiply correspondences which perform in a reasonable time if the degrees of the associated divisors of the double field are small. Moreover, we show how to compute the differential matrices associated to prime divisors of the double field for arbitrary genus. These matrices give a representation for the homomorphisms or endomorphisms in the additive group (ring) of matrices which is even faithful if the ground field has characteristic zero. As first examples for non-trivial correspondences we investigate multiplication by m endomorphisms. Afterwards we use factorisations of certain bivariate polynomials to construct prime divisors of the double field that are not equivalent to 0 in a coarser sense. Applying the theory of Deuring, these divisors yield homomorphisms between the Jacobi groups of special classes of hyperelliptic function fields. Finally, we generalise the Richelot isogeny to higher genus and by this way derive a class of hyperelliptic function fields given in terms of their defining polynomials which admit non-trivial homomorphisms. These include homomorphisms between the Jacobi groups of hyperelliptic curves of different as well as of equal genus. In addition we provide an explicit method to construct genus 2 function fields the endomorphism ring of which contains a sqrt(2) multiplication with the help of the Cholesky decomposition of a certain matrix.