## Fachbereich Mathematik

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- 2008 (15) (remove)

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- Doctoral Thesis (15) (remove)

#### Keywords

- domain decomposition (2)
- Annulus (1)
- Bayes-Entscheidungstheorie (1)
- Biot Poroelastizitätgleichung (1)
- CDS (1)
- CPDO (1)
- Center Location (1)
- Circle Location (1)
- Combinatorial Optimization (1)
- Credit Risk (1)

- Parallel tetrahedral mesh generation based on a-priori domain decomposition (2008)
- The desire to model in ever increasing detail geometrical and physical features has lead to a steady increase in the number of points used in field solvers. While many solvers have been ported to parallel machines, grid generators have left behind. Sequential generation of meshes of large size is extremely problematic both in terms of time and memory requirements. Therefore, the need for developing parallel mesh generation technique is well justified. In this work a novel algorithm is presented for automatic parallel generation of tetrahedral computational meshes based on geometrical domain decomposition. It has a potential to remove this bottleneck. Different domain decomposition approaches and criteria have been investigated. Questions regarding time and memory consumption, efficiency of computations and quality of generated surface and volume meshes have been considered. As a result of the work parTgen (partitioner and parallel tetrahedral mesh generator) software package based on the developed algorithm has been created. Several real-life examples of relatively complex structures involving large meshes (of order 10^7-10^8 elements) are given. It has been shown that high mesh quality is achieved. Memory and time consumption are reduced significantly, and parallel algorithm is efficient.

- Numerical Estimation of Surface Parameters by Level Set Methods (2008)
- A modular level set algorithm is developed to study the interface and its movement for free moving boundary problems. The algorithm is divided into three basic modules : initialization, propagation and contouring. Initialization is the process of finding the signed distance function from closed objects. We discuss here, a methodology to find an accurate signed distance function from a closed, simply connected surface discretized by triangulation. We compute the signed distance function using the direct method and it is stored efficiently in the neighborhood of the interface by a narrow band level set method. A novel approach is employed to determine the correct sign of the distance function at convex-concave junctions of the surface. The accuracy and convergence of the method with respect to the surface resolution is studied. It is shown that the efficient organization of surface and narrow band data structures enables the solution of large industrial problems. We also compare the accuracy of the signed distance function by direct approach with Fast Marching Method (FMM). It is found that the direct approach is more accurate than FMM. Contouring is performed through a variant of the marching cube algorithm used for the isosurface construction from volumetric data sets. The algorithm is designed to keep foreground and background information consistent, contrary to the neutrality principle followed for surface rendering in computer graphics. The algorithm ensures that the isosurface triangulation is closed, non-degenerate and non-ambiguous. The constructed triangulation has desirable properties required for the generation of good volume meshes. These volume meshes are used in the boundary element method for the study of linear electrostatics. For estimating surface properties like interface position, normal and curvature accurately from a discrete level set function, a method based on higher order weighted least squares is developed. It is found that least squares approach is more accurate than finite difference approximation. Furthermore, the method of least squares requires a more compact stencil than those of finite difference schemes. The accuracy and convergence of the method depends on the surface resolution and the discrete mesh width. This approach is used in propagation for the study of mean curvature flow and bubble dynamics. The advantage of this approach is that the curvature is not discretized explicitly on the grid and is estimated on the interface. The method of constant velocity extension is employed for the propagation of the interface. With least squares approach, the mean curvature flow has considerable reduction in mass loss compared to finite difference techniques. In the bubble dynamics, the modules are used for the study of a bubble under the influence of surface tension forces to validate Young-Laplace law. It is found that the order of curvature estimation plays a crucial role for calculating accurate pressure difference between inside and outside of the bubble. Further, we study the coalescence of two bubbles under surface tension force. The application of these modules to various industrial problems is discussed.

- Hub Location Models in Public Transport Planning (2008)
- The dissertation deals with the application of Hub Location models in public transport planning. The author proposes new mathematical models along with different solution approaches to solve the instances. Moreover, a novel multi-period formulation is proposed as an extension to the general model. Due to its high complexity heuristic approaches are formulated to find a good solution within a reasonable amount of time.

- Stochastic Optimization in Finance and Life Insurance: Applications of the Martingale Method (2008)
- This thesis is devoted to deal with the stochastic optimization problems in various situations with the aid of the Martingale method. Chapter 2 discusses the Martingale method and its applications to the basic optimization problems, which are well addressed in the literature (for example, [15], [23] and [24]). In Chapter 3, we study the problem of maximizing expected utility of real terminal wealth in the presence of an index bond. Chapter 4, which is a modification of the original research paper joint with Korn and Ewald [39], investigates an optimization problem faced by a DC pension fund manager under inflationary risk. Although the problem is addressed in the context of a pension fund, it presents a way of how to deal with the optimization problem, in the case there is a (positive) endowment. In Chapter 5, we turn to a situation where the additional income, other than the income from returns on investment, is gained by supplying labor. Chapter 6 concerns a situation where the market considered is incomplete. A trick of completing an incomplete market is presented there. The general theory which supports the discussion followed is summarized in the first chapter.

- Modelling and Multicriteria Optimization of the Web Formation in a Spunbond Process (2008)
- This dissertation deals with the optimization of the web formation in a spunbond process for the production of artificial fabrics. A mathematical model of the process is presented. Based on the model, two kind of attributes to be optimized are considered, those related with the quality of the fabric and those describing the stability of the production process. The problem falls in the multicriteria and decision making framework. The functions involved on the model of the process are non linear, non convex and non differentiable. A strategy in two steps; exploration and continuation, is proposed to approximate numerically the Pareto frontier and alternative methods are proposed to navigate the set and support the decision making process. The proposed strategy is applied to a particular production process and numerical results are presented.

- Flow-driven orientation dynamics in two classes of fibre suspensions (2008)
- In this dissertation we consider mesoscale based models for flow driven fibre orientation dynamics in suspensions. Models for fibre orientation dynamics are derived for two classes of suspensions. For concentrated suspensions of rigid fibres the Folgar-Tucker model is generalized by incorporating the excluded volume effect. For dilute semi-flexible fibre suspensions a novel moments based description of fibre orientation state is introduced and a model for the flow-driven evolution of the corresponding variables is derived together with several closure approximations. The equation system describing fibre suspension flows, consisting of the incompressible Navier-Stokes equation with an orientation state dependent non-Newtonian constitutive relation and a linear first order hyperbolic system for the fibre orientation variables, has been analyzed, allowing rather general fibre orientation evolution models and constitutive relations. The existence and uniqueness of a solution has been demonstrated locally in time for sufficiently small data. The closure relations for the semiflexible fibre suspension model are studied numerically. A finite volume based discretization of the suspension flow is given and the numerical results for several two and three dimensional domains with different parameter values are presented and discussed.

- Portfolio Optimisation and Calibration with Credit Risk (2008)
- This thesis covers two important fields in financial mathematics, namely the continuous time portfolio optimisation and credit risk modelling. We analyse optimisation problems of portfolios of Call and Put options on the stock and/or the zero coupon bond issued by a firm with default risk. We use the martingale approach for dynamic optimisation problems. Our findings show that the riskier the option gets, the less proportion of his wealth the investor allocates to the risky asset. Further, we analyse the Credit Default Swap (CDS) market quotes on the Eurobonds issued by Turkish sovereign for building the term structure of the sovereign credit risk. Two methods are introduced and compared for bootstrapping the risk-neutral probabilities of default (PD) in an intensity based (or reduced form) credit risk modelling approach. We compare the market-implied PDs with the actual PDs reported by credit rating agencies based on historical experience. Our results highlight the market price of the sovereign credit risk depending on the assigned rating category in the sampling period. Finally, we find an optimal leverage strategy for delivering the payments promised by a Constant Proportion Debt Obligation (CPDO). The problem is solved via the introduction and explicit solution of a stochastic control problem by transforming the related Hamilton-Jacobi-Bellman Equation into its dual. Contrary to the industry practise, the optimal leverage function we derive is a non-linear function of the CPDO asset value. The simulations show promising behaviour of the optimal leverage function compared with the one popular among practitioners.

- Nonparametric changepoint analysis for bernoulli random variables based on neural networks (2008)
- In many medical, financial, industrial, e.t.c. applications of statistics, the model parameters may undergo changes at unknown moment of time. In this thesis, we consider change point analysis in a regression setting for dichotomous responses, i.e. they can be modeled as Bernoulli or 0-1 variables. Applications are widespread including credit scoring in financial statistics and dose-response relations in biometry. The model parameters are estimated using neural network method. We show that the parameter estimates are identifiable up to a given family of transformations and derive the consistency and asymptotic normality of the network parameter estimates using the results in Franke and Neumann Franke Neumann (2000). We use a neural network based likelihood ratio test statistic to detect a change point in a given set of data and derive the limit distribution of the estimator using the results in Gombay and Horvath (1994,1996) under the assumption that the model is properly specified. For the misspecified case, we develop a scaled test statistic for the case of one-dimensional parameter. Through simulation, we show that the sample size, change point location and the size of change influence change point detection. In this work, the maximum likelihood estimation method is used to estimate a change point when it has been detected. Through simulation, we show that change point estimation is influenced by the sample size, change point location and the size of change. We present two methods for determining the change point confidence intervals: Profile log-likelihood ratio and Percentile bootstrap methods. Through simulation, the Percentile bootstrap method is shown to be superior to profile log-likelihood ratio method.

- Annulus and Center Location Problems (2008)
- In this work we study and investigate the minimum width annulus problem (MWAP), the circle center location or circle location problem (CLP) and the point center location or point location problem (PLP) on Rectilinear and Chebyshev planes as well as in networks. The relations between the problems have served as a basis for finding of elegant solution, algorithms for both new and well known problems. So, MWAP was formulated and investigated in Rectilinear space. In contrast to Euclidean metric, MWAP and PLP have at least one common optimal point. Therefore, MWAP on Rectilinear plane was solved in linear time with the help of PLP. Hence, the solution sequence was PLP-->MWAP. It was shown, that MWAP and CLP are equivalent. Thus, CLP can be also solved in linear time. The obtained results were analysed and transfered to Chebyshev metric. After that, the notions of circle, sphere and annulus in networks were introduced. It should be noted that the notion of a circle in a network is different from the notion of a cycle. An O(mn) time algorithm for solution of MWAP was constructed and implemented. The algorithm is based on the fact that the middle point of an edge represents an optimal solution of a local minimum width annulus on this edge. The resulting complexity is better than the complexity O(mn+n^2logn) in unweighted case of the fastest known algorithm for minimizing of the range function, which is mathematically equivalent to MWAP. MWAP in unweighted undirected networks was extended to the MWAP on subsets and to the restricted MWAP. Resulting problems were analysed and solved. Also the p–minimum width annulus problem was formulated and explored. This problem is NP–hard. However, the p–MWAP has been solved in polynomial O(m^2n^3p) time with a natural assumption, that each minimum width annulus covers all vertexes of a network having distances to the central point of annulus less than or equal to the radius of its outer circle. In contrast to the planar case MWAP in undirected unweighted networks have appeared to be a root problem among considered problems. During investigation of properties of circles in networks it was shown that the difference between planar and network circles is significant. This leads to the nonequivalence of CLP and MWAP in the general case. However, MWAP was effectively used in solution procedures for CLP giving the sequence MWAP-->CLP. The complexity of the developed and implemented algorithm is of order O(m^2n^2). It is important to mention that CLP in networks has been formulated for the first time in this work and differs from the well–studied location of cycles in networks. We have constructed an O(mn+n^2logn) algorithm for well–known PLP. The complexity of this algorithm is not worse than the complexity of the currently best algorithms. But the concept of the solution procedure is new – we use MWAP in order to solve PLP building the opposite to the planar case solution sequence MWAP-->PLP and this method has the following advantages: First, the lower bounds LB obtained in the solution procedure are proved to be in any case better than the strongest Halpern’s lower bound. Second, the developed algorithm is so simple that it can be easily applied to complex networks manually. Third, the empirical complexity of the algorithm is equal to O(mn). MWAP was extended to and explored in directed unweighted and weighted networks. The complexity bound O(n^2) of the developed algorithm for finding of the center of a minimum width annulus in the unweighted case does not depend on the number of edges in a network, because the problems can be solved in the order PLP-->MWAP. In the weighted case computational time is of order O(mn^2).

- A time series model for precipitation based on disaggregation and lognormal point processes (2008)
- In this thesis, we investigate a statistical model for precipitation time series recorded at a single site. The sequence of observations consists of rainfall amounts aggregated over time periods of fixed duration. As the properties of this sequence depend strongly on the length of the observation intervals, we follow the approach of Rodriguez-Iturbe et. al. [1] and use an underlying model for rainfall intensity in continuous time. In this idealized representation, rainfall occurs in clusters of rectangular cells, and each observations is treated as the sum of cell contributions during a given time period. Unlike the previous work, we use a multivariate lognormal distribution for the temporal structure of the cells and clusters. After formulating the model, we develop a Markov-Chain Monte-Carlo algorithm for fitting it to a given data set. A particular problem we have to deal with is the need to estimate the unobserved intensity process alongside the parameter of interest. The performance of the algorithm is tested on artificial data sets generated from the model. [1] I. Rodriguez-Iturbe, D. R. Cox, and Valerie Isham. Some models for rainfall based on stochastic point processes. Proc. R. Soc. Lond. A, 410:269-288, 1987.