## Fachbereich Mathematik

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#### Year of publication

- 2015 (19) (remove)

#### Document Type

- Doctoral Thesis (19) (remove)

#### Keywords

- isogeometric analysis (2)
- Asymptotic Expansion (1)
- B-Spline (1)
- Beam models (1)
- Boltzmann Equation (1)
- Brownian Diffusion (1)
- CFD (1)
- DSMC (1)
- Elasticity (1)
- Homogenization (1)
- Isogeometrische Analyse (1)
- Kirchhoff-Love shell (1)
- Leading-Order Optimality (1)
- NURBS (1)
- Optimale Kontrolle (1)
- Optimization (1)
- Partial Differential Equations (1)
- Pathwise Optimality (1)
- Quasi-Variational Inequalities (1)
- Rarefied gas (1)
- Regime Shifts (1)
- Rigid Body Motion (1)
- Shape optimization, gradient based optimization, adjoint method (1)
- Stochastic Impulse Control (1)
- Strukturoptimierung (1)
- Thermophoresis (1)
- Transaction Costs (1)
- bending strip method (1)
- finite element method (1)
- incompressible elasticity (1)
- mixed methods (1)
- modal derivatives (1)
- model order reduction (1)
- multipatch (1)
- nonlinear vibration analysis (1)
- penalty-free formulation (1)
- redundant constraint (1)

#### Faculty / Organisational entity

- Fachbereich Mathematik (19)
- Fraunhofer (ITWM) (2)

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.