## Fachbereich Mathematik

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- Fachbereich Mathematik (241)
- Fraunhofer (ITWM) (2)

In this thesis we study a variant of the quadrature problem for stochastic differential equations (SDEs), namely the approximation of expectations \(\mathrm{E}(f(X))\), where \(X = (X(t))_{t \in [0,1]}\) is the solution of an SDE and \(f \colon C([0,1],\mathbb{R}^r) \to \mathbb{R}\) is a functional, mapping each realization of \(X\) into the real numbers. The distinctive feature in this work is that we consider randomized (Monte Carlo) algorithms with random bits as their only source of randomness, whereas the algorithms commonly studied in the literature are allowed to sample from the uniform distribution on the unit interval, i.e., they do have access to random numbers from \([0,1]\).
By assumption, all further operations like, e.g., arithmetic operations, evaluations of elementary functions, and oracle calls to evaluate \(f\) are considered within the real number model of computation, i.e., they are carried out exactly.
In the following, we provide a detailed description of the quadrature problem, namely we are interested in the approximation of
\begin{align*}
S(f) = \mathrm{E}(f(X))
\end{align*}
for \(X\) being the \(r\)-dimensional solution of an autonomous SDE of the form
\begin{align*}
\mathrm{d}X(t) = a(X(t)) \, \mathrm{d}t + b(X(t)) \, \mathrm{d}W(t), \quad t \in [0,1],
\end{align*}
with deterministic initial value
\begin{align*}
X(0) = x_0 \in \mathbb{R}^r,
\end{align*}
and driven by a \(d\)-dimensional standard Brownian motion \(W\). Furthermore, the drift coefficient \(a \colon \mathbb{R}^r \to \mathbb{R}^r\) and the diffusion coefficient \(b \colon \mathbb{R}^r \to \mathbb{R}^{r \times d}\) are assumed to be globally Lipschitz continuous.
For the function classes
\begin{align*}
F_{\infty} = \bigl\{f \colon C([0,1],\mathbb{R}^r) \to \mathbb{R} \colon |f(x) - f(y)| \leq \|x-y\|_{\sup}\bigr\}
\end{align*}
and
\begin{align*}
F_p = \bigl\{f \colon C([0,1],\mathbb{R}^r) \to \mathbb{R} \colon |f(x) - f(y)| \leq \|x-y\|_{L_p}\bigr\}, \quad 1 \leq p < \infty.
\end{align*}
we have established the following.
\[\]
\(\textit{Theorem 1.}\)
There exists a random bit multilevel Monte Carlo (MLMC) algorithm \(M\) using
\[
L = L(\varepsilon,F) = \begin{cases}\lceil{\log_2(\varepsilon^{-2}}\rceil, &\text{if} \ F = F_p,\\
\lceil{\log_2(\varepsilon^{-2} + \log_2(\log_2(\varepsilon^{-1}))}\rceil, &\text{if} \ F = F_\infty
\end{cases}
\]
and replication numbers
\[
N_\ell = N_\ell(\varepsilon,F) = \begin{cases}
\lceil{(L+1) \cdot 2^{-\ell} \cdot \varepsilon^{-2}}\rceil, & \text{if} \ F = F_p,\\
\lceil{(L+1) \cdot 2^{-\ell} \cdot \max(\ell,1) \cdot \varepsilon^{-2}}\rceil, & \text{if} \ F=f_\infty
\end{cases}
\]
for \(\ell = 0,\ldots,L\), for which exists a positive constant \(c\) such that
\begin{align*}
\mathrm{error}(M,F) = \sup_{f \in F} \bigl(\mathrm{E}(S(f) - M(f))^2\bigr)^{1/2} \leq c \cdot \varepsilon
\end{align*}
and
\begin{align*}
\mathrm{cost}(M,F) = \sup_{f \in F} \mathrm{E}(\mathrm{cost}(M,f)) \leq c \cdot \varepsilon^{-2} \cdot \begin{cases}
(\ln(\varepsilon^{-1}))^2, &\text{if} \ F=F_p,\\
(\ln(\varepsilon^{-1}))^3, &\text{if} \ F=F_\infty
\end{cases}
\end{align*}
for every \(\varepsilon \in {]0,1/2[}\).
\[\]
Hence, in terms of the \(\varepsilon\)-complexity
\begin{align*}
\mathrm{comp}(\varepsilon,F) = \inf\bigl\{\mathrm{cost}(M,F) \colon M \ \text{is a random bit MC algorithm}, \mathrm{error}(M,F) \leq \varepsilon\bigr\}
\end{align*}
we have established the upper bound
\begin{align*}
\mathrm{comp}(\varepsilon,F) \leq c \cdot \varepsilon^{-2} \cdot \begin{cases}
(\ln(\varepsilon^{-1}))^2, &\text{if} \ F=F_p,\\
(\ln(\varepsilon^{-1}))^3, &\text{if} \ F=F_\infty
\end{cases}
\end{align*}
for some positive constant \(c\). That is, we have shown the same weak asymptotic upper bound as in the case of random numbers from \([0,1]\). Hence, in this sense, random bits are almost as powerful as random numbers for our computational problem.
Moreover, we present numerical results for a non-analyzed adaptive random bit MLMC Euler algorithm, in the particular cases of the Brownian motion, the geometric Brownian motion, the Ornstein-Uhlenbeck SDE and the Cox-Ingersoll-Ross SDE. We also provide a numerical comparison to the corresponding adaptive random number MLMC Euler method.
A key challenge in the analysis of the algorithm in Theorem 1 is the approximation of probability distributions by means of random bits. A problem very closely related to the quantization problem, i.e., the optimal approximation of a given probability measure (on a separable Hilbert space) by means of a probability measure with finite support size.
Though we have shown that the random bit approximation of the standard normal distribution is 'harder' than the corresponding quantization problem (lower weak rate of convergence), we have been able to establish the same weak rate of convergence as for the corresponding quantization problem in the case of the distribution of a Brownian bridge on \(L_2([0,1])\), the distribution of the solution of a scalar SDE on \(L_2([0,1])\), and the distribution of a centered Gaussian random element in a separable Hilbert space.

Diversification is one of the main pillars of investment strategies. The prominent 1/N portfolio, which puts equal weight on each asset is, apart from its simplicity, a method which is hard to outperform in realistic settings, as many studies have shown. However, depending on the number of considered assets, this method can lead to very large portfolios. On the other hand, optimization methods like the mean-variance portfolio suffer from estimation errors, which often destroy the theoretical benefits. We investigate the performance of the equal weight portfolio when using fewer assets. For this we explore different naive portfolios, from selecting the best Sharpe ratio assets to exploiting knowledge about correlation structures using clustering methods. The clustering techniques separate the possible assets into non-overlapping clusters and the assets within a cluster are ordered by their Sharpe ratio. Then the best asset of each portfolio is chosen to be a member of the new portfolio with equal weights, the cluster portfolio. We show that this portfolio inherits the advantages of the 1/N portfolio and can even outperform it empirically. For this we use real data and several simulation models. We prove these findings from a statistical point of view using the framework by DeMiguel, Garlappi and Uppal (2009). Moreover, we show the superiority regarding the Sharpe ratio in a setting, where in each cluster the assets are comonotonic. In addition, we recommend the consideration of a diversification-risk ratio to evaluate the performance of different portfolios.

In a recent paper, G. Malle and G. Robinson proposed a modular anologue to Brauer's famous \( k(B) \)-conjecture. If \( B \) is a \( p \)-block of a finite group with defect group \( D \), then they conjecture that \( l(B) \leq p^r \), where \( r \) is the sectional \( p \)-rank of \( D \). Since this conjecture is relatively new, there is obviously still a lot of work to do. This thesis is concerned with proving their conjecture for the finite groups of exceptional Lie type.

This thesis introduces a novel deformation method for computational meshes. It is based on the numerical path following for the equations of nonlinear elasticity. By employing a logarithmic variation of the neo-Hookean hyperelastic material law, the method guarantees that the mesh elements do not become inverted and remain well-shaped. In order to demonstrate the performance of the method, this thesis addresses two areas of active research in isogeometric analysis: volumetric domain parametrization and fluid-structure interaction. The former concerns itself with the construction of a parametrization for a given computational domain provided only a parametrization of the domain’s boundary. The proposed mesh deformation method gives rise to a novel solution approach to this problem. Within it, the domain parametrization is constructed as a deformed configuration of a simplified domain. In order to obtain the simplified domain, the boundary of the target domain is projected in the \(L^2\)-sense onto a coarse NURBS basis. Then, the Coons patch is applied to parametrize the simplified domain. As a range of 2D and 3D examples demonstrates, the mesh deformation approach is able to produce high-quality parametrizations for complex domains where many state-of-the-art methods either fail or become unstable and inefficient. In the context of fluid-structure interaction, the proposed mesh deformation method is applied to robustly update the computational mesh in situations when the fluid domain undergoes large deformations. In comparison to the state-of-the-art mesh update methods, it is able to handle larger deformations and does not result in an eventual reduction of mesh quality. The performance of the method is demonstrated on a classic 2D fluid-structure interaction benchmark reproduced by using an isogeometric partitioned solver with strong coupling.

On the complexity and approximability of optimization problems with Minimum Quantity Constraints
(2020)

During the last couple of years, there has been a variety of publications on the topic of
minimum quantity constraints. In general, a minimum quantity constraint is a lower bound
constraint on an entity of an optimization problem that only has to be fulfilled if the entity is
“used” in the respective solution. For example, if a minimum quantity \(q_e\) is defined on an
edge \(e\) of a flow network, the edge flow on \(e\) may either be \(0\) or at least \(q_e\) units of flow.
Minimum quantity constraints have already been applied to problem classes such as flow, bin
packing, assignment, scheduling and matching problems. A result that is common to all these
problem classes is that in the majority of cases problems with minimum quantity constraints
are NP-hard, even if the problem without minimum quantity constraints but with fixed lower
bounds can be solved in polynomial time. For instance, the maximum flow problem is known
to be solvable in polynomial time, but becomes NP-hard once minimum quantity constraints
are added.
In this thesis we consider flow, bin packing, scheduling and matching problems with minimum
quantity constraints. For each of these problem classes we provide a summary of the
definitions and results that exist to date. In addition, we define new problems by applying
minimum quantity constraints to the maximum-weight b-matching problem and to open
shop scheduling problems. We contribute results to each of the four problem classes: We
show NP-hardness for a variety of problems with minimum quantity constraints that have
not been considered so far. If possible, we restrict NP-hard problems to special cases that
can be solved in polynomial time. In addition, we consider approximability of the problems:
For most problems it turns out that, unless P=NP, there cannot be any polynomial-time
approximation algorithm. Hence, we consider bicriteria approximation algorithms that allow
the constraints of the problem to be violated up to a certain degree. This approach proves to
be very helpful and we provide a polynomial-time bicriteria approximation algorithm for at
least one problem of each of the four problem classes we consider. For problems defined on
graphs, the class of series parallel graphs supports this approach very well.
We end the thesis with a summary of the results and several suggestions for future research
on minimum quantity constraints.

In this thesis, we present the basic concepts of isogeometric analysis (IGA) and we consider Poisson's equation as model problem. Since in IGA the physical domain is parametrized via a geometry function that goes from a parameter domain, e.g. the unit square or unit cube, to the physical one, we present a class of parametrizations that can be viewed as a generalization of polar coordinates, known as the scaled boundary parametrizations (SB-parametrizations). These are easy to construct and are particularly attractive when only the boundary of a domain is available. We then present an IGA approach based on these parametrizations, that we call scaled boundary isogeometric analysis (SB-IGA). The SB-IGA derives the weak form of partial differential equations in a different way from the standard IGA. For the discretization projection
on a finite-dimensional space, we choose in both cases Galerkin's method. Thanks to this technique, we state an equivalence theorem for linear elliptic boundary value problems between the standard IGA, when it makes use of an SB-parametrization,
and the SB-IGA. We solve Poisson's equation with Dirichlet boundary conditions on different geometries and with different SB-parametrizations.

Fibre reinforced polymers(FRPs) are one the newest and modern materials. In FRPs a light polymer matrix holds but weak polymer matrix is strengthened by glass or carbon fibres. The result is a material that is light and compared to its weight, very strong.\par
The stiffness of the resulting material is governed by the direction and the length of the fibres. To better understand the behaviour of FRPs we need to know the fibre length distribution in the resulting material. The classic method for this is ashing, where a sample of the material is burned and destroyed. We look at CT images of the material. In the first part we assumed that we have a full fibre segmentation, we can fit an a cylinder to each individual fibre. In this setting we identified two problems, sampling bias and censoring.\par
Sampling bias occurs since a longer fibre has a higher probability to be visible in the observation window. To solve this problem we used a reweighed fibre length distribution. The weight depends on the used sampling rule.\par
For the censoring we used an EM algorithm. The EM algorithm is used to get a Maximum Likelihood estimator in cases of missing or censored data.\par
For this setting we deduced conditions such that the EM algorithm converges to at least a stationary point of the underlying likelihood function. We further found conditions such that if the EM converges to the correct ML estimator, the estimator is consistent and asymptotically normally distributed.\par
Since obtaining a full fibre segmentation is hard we further looked in the fibre endpoint process. The fibre end point process can be modelled as a Neymann-Scott cluster process. Using this model we can find a formula for the reduced second moment measure for this process. We use this formula to get an estimator for the fibre length distribution.\par
We investigated all estimators using simulation studies. We especially investigated their performance in the case of non overlapping fibres.

Cell migration is essential for embryogenesis, wound healing, immune surveillance, and
progression of diseases, such as cancer metastasis. For the migration to occur, cellular
structures such as actomyosin cables and cell-substrate adhesion clusters must interact.
As cell trajectories exhibit a random character, so must such interactions. Furthermore,
migration often occurs in a crowded environment, where the collision outcome is deter-
mined by altered regulation of the aforementioned structures. In this work, guided by a
few fundamental attributes of cell motility, we construct a minimal stochastic cell migration
model from ground-up. The resulting model couples a deterministic actomyosin contrac-
tility mechanism with stochastic cell-substrate adhesion kinetics, and yields a well-defined
piecewise deterministic process. The signaling pathways regulating the contractility and
adhesion are considered as well. The model is extended to include cell collectives. Numer-
ical simulations of single cell migration reproduce several experimentally observed results,
including anomalous diffusion, tactic migration, and contact guidance. The simulations
of colliding cells explain the observed outcomes in terms of contact induced modification
of contractility and adhesion dynamics. These explained outcomes include modulation
of collision response and group behavior in the presence of an external signal, as well as
invasive and dispersive migration. Moreover, from the single cell model we deduce a pop-
ulation scale formulation for the migration of non-interacting cells. In this formulation,
the relationships concerning actomyosin contractility and adhesion clusters are maintained.
Thus, we construct a multiscale description of cell migration, whereby single, collective,
and population scale formulations are deduced from the relationships on the subcellular
level in a mathematically consistent way.

In this thesis we consider the directional analysis of stationary point processes. We focus on three non-parametric methods based on second order analysis which we have defined as Integral method, Ellipsoid method, and Projection method. We present the methods in a general setting and then focus on their application in the 2D and 3D case of a particular type of anisotropy mechanism called geometric anisotropy. We mainly consider regular point patterns motivated by our application to real 3D data coming from glaciology. Note that directional analysis of 3D data is not so prominent in the literature.
We compare the performance of the methods, which depends on the relative parameters, in a simulation study both in 2D and 3D. Based on the results we give recommendations on how to choose the methods´ parameters in practice.
We apply the directional analysis to the 3D data coming from glaciology, which consist in the locations of air-bubbles in polar ice cores. The aim of this study is to provide information about the deformation rate in the ice and the corresponding thinning of ice layers at different depths. This information is substantial for the glaciologists in order to build ice dating models and consequently to give a correct interpretation of the climate information which can be found by analyzing ice cores. In this thesis we consider data coming from three different ice cores: the Talos Dome core, the EDML core and the Renland core.
Motivated by the ice application, we study how isotropic and stationary noise influences the directional analysis. In fact, due to the relaxation of the ice after drilling, noise bubbles can form within the ice samples. In this context we take two classification algorithms into consideration, which aim to classify points in a superposition of a regular isotropic and stationary point process with Poisson noise.
We introduce two methods to visualize anisotropy, which are particularly useful in 3D and apply them to the ice data. Finally, we consider the problem of testing anisotropy and the limiting behavior of the geometric anisotropy transform.

Model uncertainty is a challenge that is inherent in many applications of mathematical models in various areas, for instance in mathematical finance and stochastic control. Optimization procedures in general take place under a particular model. This model, however, might be misspecified due to statistical estimation errors and incomplete information. In that sense, any specified model must be understood as an approximation of the unknown "true" model. Difficulties arise since a strategy which is optimal under the approximating model might perform rather bad in the true model. A natural way to deal with model uncertainty is to consider worst-case optimization.
The optimization problems that we are interested in are utility maximization problems in continuous-time financial markets. It is well known that drift parameters in such markets are notoriously difficult to estimate. To obtain strategies that are robust with respect to a possible misspecification of the drift we consider a worst-case utility maximization problem with ellipsoidal uncertainty sets for the drift parameter and with a constraint on the strategies that prevents a pure bond investment.
By a dual approach we derive an explicit representation of the optimal strategy and prove a minimax theorem. This enables us to show that the optimal strategy converges to a generalized uniform diversification strategy as uncertainty increases.
To come up with a reasonable uncertainty set, investors can use filtering techniques to estimate the drift of asset returns based on return observations as well as external sources of information, so-called expert opinions. In a Black-Scholes type financial market with a Gaussian drift process we investigate the asymptotic behavior of the filter as the frequency of expert opinions tends to infinity. We derive limit theorems stating that the information obtained from observing the discrete-time expert opinions is asymptotically the same as that from observing a certain diffusion process which can be interpreted as a continuous-time expert. Our convergence results carry over to convergence of the value function in a portfolio optimization problem with logarithmic utility.
Lastly, we use our observations about how expert opinions improve drift estimates for our robust utility maximization problem. We show that our duality approach carries over to a financial market with non-constant drift and time-dependence in the uncertainty set. A time-dependent uncertainty set can then be defined based on a generic filter. We apply this to various investor filtrations and investigate which effect expert opinions have on the robust strategies.