## Fachbereich Mathematik

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- Die Feynman-Kac-Formel für unbeschränkte Potentiale und allgemeine Anfangsbedingungen (2005)
- Die vorliegende Arbeit wurde angeregt durch die in A.N. Borodin(2000) [Version of the Feynman-Kac Formula. Journal of Mathematical Sciences, 99(2):1044-1052, 2000] und in B. Simon(2000) [A Feynman-Kac Formula for Unbounded Semigroups. Canadian Math. Soc. Conf. Proc., 28:317-321, 2000] dargestellten Feynman-Kac-Formeln. Sie beschäftigt sich mit dem Problem, den Geltungsbereich der Feynman-Kac-Formel im Hinblick auf die Bedingungen der Potentiale und der Anfangsbedingung der zugehörigen partiellen Differentialgleichung zu erweitern. Es ist bekannt, dass die Feynman-Kac-Formel für beschränkte Potentiale gilt. Ausserdem gilt sie auch für Anfangsbedingungen, die im Raum \(C_{0}(\mathbb{R}^{n})\) oder im Raum \(C_{c}^{2}(\mathbb{R}^{n})\) liegen. Die Darstellung der Feynman-Kac-Formel für die Anfangsbedingung, die im Raum \(C_{c}^{2}(\mathbb{R}^{n})\) liegt, liefert die Lösung der partiellen Differentialgleichung. Wir können sie auch als stark stetige Halbgruppe auf dem Raum \(C_{0}(\mathbb{R}^{n})\) auffassen. Diese zwei verschiedenen Darstellungen sind äquivalent. In dieser Arbeit zeigen wir zunächst, dass die Feynman-Kac-Formel auch für unbeschränkte Potentiale \(V\) gilt, wobei \(|V(x)| \leq \varepsilon ||x||^{2} + C_{\varepsilon} \) für alle \(\varepsilon > 0; C_{\varepsilon} > 0\) und \(x \in \mathbb{R}^{n}\) ist. Ausserdem zeigen wir, dass sie für alle Anfangsbedingungen \(f\) gilt mit \(x \mapsto e^{-\varepsilon |x|^{2}} f(x) \in H^{2,2}(\mathbb{R}^{n})\). Der Beweis ist wahrscheinlichkeitstheoretisch und benutzt keine Spektraltheorie. Der spektraltheoretische Zugang, in dem eine Darstellung des Operators \(e^{-tH}\), wobei \(H = -\frac{1}{2} \Delta + V\) gegeben wird, wurde von B. Simon(2000) auch auf die obige Klasse von Potentialen ausgeweitet. Wir lassen zusätzlich auch Potentiale der Form \(V = V_{1} + V_{2}\) zu, wobei \(V_{1} \in L^{2}(\mathbb{R}^{3})\) ist und für alle \(\varepsilon > 0\) gibt es \(C_{\varepsilon} > 0\), so dass \(|V_{2}(x)| \leq\varepsilon ||x||^{2} + C_{\varepsilon}\) für alle \(x \in \mathbb{R}^{3}\) ist. Im Gegensatz zur klassischen Situation ist \(e^{-tH}\) jetzt ein unbeschränkter Operator. Schließlich wird in dieser Arbeit auch der Zusammenhang zwischen der Feynman-Kac-It\(\hat{o}\)-Formel, der Feynman-Kac-Formel und der Kolmogorov-Rückwärtsgleichung untersucht.

- Initial Temperature Reconstruction for a Nonlinear Heat Equation: Application to Radiative Heat Transfer (2005)
- Consider a cooling process described by a nonlinear heat equation. We are interested to recover the initial temperature from temperature measurements which are available on a part of the boundary for some time. Up to now even for the linear heat equation such a problem has been usually studied as a nonlinear ill-posed operator equation, and regularization methods involving Frechet derivatives have been applied. We propose a fast derivative-free iterative method. Numerical results are presented for the glass cooling process, where nonlinearity appears due to radiation.

- Spherical Location Problems with Restricted Regions and Polygonal Barriers (2005)
- This thesis investigates the constrained form of the spherical Minimax location problem and the spherical Weber location problem. Specifically, we consider the problem of locating a new facility on the surface of the unit sphere in the presence of convex spherical polygonal restricted regions and forbidden regions such that the maximum weighted distance from the new facility on the surface of the unit sphere to m existing facilities is minimized and the sum of the weighted distance from the new facility on the surface of the unit sphere to m existing facilities is minimized. It is assumed that a forbidden region is an area on the surface of the unit sphere where travel and facility location are not permitted and that distance is measured using the great circle arc distance. We represent a polynomial time algorithm for the spherical Minimax location problem for the special case where all the existing facilities are located on the surface of a hemisphere. Further, we have developed algorithms for spherical Weber location problem using barrier distance on a hemisphere as well as on the unit sphere.

- Competing Neural Networks as Models for Non Stationary Financial Time Series -Changepoint Analysis- (2005)
- The problem of structural changes (variations) play a central role in many scientific fields. One of the most current debates is about climatic changes. Further, politicians, environmentalists, scientists, etc. are involved in this debate and almost everyone is concerned with the consequences of climatic changes. However, in this thesis we will not move into the latter direction, i.e. the study of climatic changes. Instead, we consider models for analyzing changes in the dynamics of observed time series assuming these changes are driven by a non-observable stochastic process. To this end, we consider a first order stationary Markov Chain as hidden process and define the Generalized Mixture of AR-ARCH model(GMAR-ARCH) which is an extension of the classical ARCH model to suit to model with dynamical changes. For this model we provide sufficient conditions that ensure its geometric ergodic property. Further, we define a conditional likelihood given the hidden process and a pseudo conditional likelihood in turn. For the pseudo conditional likelihood we assume that at each time instant the autoregressive and volatility functions can be suitably approximated by given Feedfoward Networks. Under this setting the consistency of the parameter estimates is derived and versions of the well-known Expectation Maximization algorithm and Viterbi Algorithm are designed to solve the problem numerically. Moreover, considering the volatility functions to be constants, we establish the consistency of the autoregressive functions estimates given some parametric classes of functions in general and some classes of single layer Feedfoward Networks in particular. Beside this hidden Markov Driven model, we define as alternative a Weighted Least Squares for estimating the time of change and the autoregressive functions. For the latter formulation, we consider a mixture of independent nonlinear autoregressive processes and assume once more that the autoregressive functions can be approximated by given single layer Feedfoward Networks. We derive the consistency and asymptotic normality of the parameter estimates. Further, we prove the convergence of Backpropagation for this setting under some regularity assumptions. Last but not least, we consider a Mixture of Nonlinear autoregressive processes with only one abrupt unknown changepoint and design a statistical test that can validate such changes.

- Immersed Interface Methods for Elliptic Boundary Value Problems (2005)
- In many industrial applications fast and accurate solutions of linear elliptic partial differential equations are needed as one of the building blocks of more complex problems. The domains are often highly complex and meshing turns out to be expensive and difficult to obtain with a sufficient quality. In such cases methods with a regular, not boundary adapted grid offer an attractive alternative. The Explicit Jump Immersed Interface Method is one of these algorithms. The main interest of this work lies in solving the linear elasticity equations. For this purpose the existing EJIIM algorithm has been extended to three dimensions. The Poisson equation is always considered in parallel as the most typical representative of elliptic PDEs. During the work it became clear that EJIIM can have very high computational memory requirements. To overcome this problem an improvement, Reduced EJIIM is proposed. The main theoretical result in this work is the proof of the smoothing property of inverses of elliptic finite difference operators in two and three space dimensions. It is an often observed phenomena that the local truncation error is allowed to be of lower order along some lower dimensional manifold without influencing the global convergence order of the solution.

- Risk Analysis of financial time series using neural networks (2005)
- An autoregressive-ARCH model with possible exogeneous variables is treated. We estimate the conditional volatility of the model by applying feedforward networks to the residuals and prove consistency and asymptotic normality for the estimates under the rate of feedforward networks complexity. Recurrent neural networks estimates of GARCH and value-at-risk is studied. We prove consistency and asymptotic normality for the recurrent neural networks ARMA estimator under the rate of recurrent networks complexity. We also overcome the estimation problem in stochastic variance models in discrete time by feedforward networks and the introduction of a new distributions on the innovations. We use the method to calculate market risk such as expected shortfall and Value-at risk. We tested this distribution together with other new distributions on the GARCH family models against other common distributions on the financial market such as Normal Inverse Gaussian, normal and the Student's t- distributions. As an application of the models, some German stocks are studied and the different approaches are compared together with the most common method of GARCH(1,1) fit.

- Harmonic Spline-Wavelets on the 3-dimensional Ball and their Application to the Reconstruction of the Earth´s Density Distribution from Gravitational Data at Arbitrarily Shaped Satellite Orbits (2005)
- We introduce splines for the approximation of harmonic functions on a 3-dimensional ball. Those splines are combined with a multiresolution concept. More precisely, at each step of improving the approximation we add more data and, at the same time, reduce the hat-width of the used spline basis functions. Finally, a convergence theorem is proved. One possible application, that is discussed in detail, is the reconstruction of the Earth´s density distribution from gravitational data obtained at a satellite orbit. This is an exponentially ill-posed problem where only the harmonic part of the density can be recovered since its orthogonal complement has the potential 0. Whereas classical approaches use a truncated singular value decomposition (TSVD) with the well-known disadvantages like the non-localizing character of the used spherical harmonics and the bandlimitedness of the solution, modern regularization techniques use wavelets allowing a localized reconstruction via convolutions with kernels that are only essentially large in the region of interest. The essential remaining drawback of a TSVD and the wavelet approaches is that the integrals (i.e. the inner product in case of a TSVD and the convolution in case of wavelets) are calculated on a spherical orbit, which is not given in reality. Thus, simplifying modelling assumptions, that certainly include a modelling error, have to be made. The splines introduced here have the important advantage, that the given data need not be located on a sphere but may be (almost) arbitrarily distributed in the outer space of the Earth. This includes, in particular, the possibility to mix data from different satellite missions (different orbits, different derivatives of the gravitational potential) in the calculation of the Earth´s density distribution. Moreover, the approximating splines can be calculated at varying resolution scales, where the differences for increasing the resolution can be computed with the introduced spline-wavelet technique.

- On Some Aspects of Investment into High-Yield Bonds (2005)
- It is considered an analytical model of defaultable bond portfolio in terms of its face value process. The face value process dynamically evolves with time and incorporates changes caused by recovery payment on default followed by purchasing of new bonds. The further studies involve properties, distribution and control of the face value process.

- Split Operators for Oblique Boundary Value Problems (2005)
- In the field of gravity determination a special kind of boundary value problem respectively ill-posed satellite problem occurs; the data and hence side condition of our PDE are oblique second order derivatives of the gravitational potential. In mathematical terms this means that our gravitational potential \(v\) fulfills \(\Delta v = 0\) in the exterior space of the Earth and \(\mathscr D v = f\) on the discrete data location which is on the Earth's surface for terrestrial measurements and on a satellite track in the exterior for spaceborne measurement campaigns. \(\mathscr D\) is a first order derivative for methods like geometric astronomic levelling and satellite-to-satellite tracking (e.g. CHAMP); it is a second order derivative for other methods like terrestrial gradiometry and satellite gravity gradiometry (e.g. GOCE). 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 will present a different approach: We classify all first and purely second order operators \(\mathscr D\) which fulfill \(\Delta \mathscr D v = 0\) if \(\Delta v = 0\). This allows us to solve 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 \(\mathscr D\), i.e. integration.

- Fibre Spinning: Model Analysis (2005)
- In this dissertation a model of melt spinning (by Doufas, McHugh and Miller) has been investigated. The model (DMM model) which takes into account effects of inertia, air drag, gravity and surface tension in the momentum equation and heat exchange between air and fibre surface, viscous dissipation and crystallization in the energy equation also has a complicated coupling with the microstructure. The model has two parts, before onset of crystallization (BOC) and after onset of crystallization (AOC) with the point of onset of crystallization as the unknown interface. Mathematically the model has been formulated as a Free boundary value problem. Changes have been introduced in the model with respect to the air drag and an interface condition at the free boundary. The mathematical analysis of the nonlinear, coupled free boundary value problem shows that the solution of this problem depends heavily on initial conditions and parameters which renders the global analysis impossible. But by defining a physically acceptable solution, it is shown that for a more restricted set of initial conditions if a unique solution exists for IVP BOC then it is physically acceptable. For this the important property of the positivity of the conformation tensor variables has been proved. Further it is shown that if a physically acceptable solution exists for IVP BOC then under certain conditions it also exists for IVP AOC. This gives an important relation between the initial conditions of IVP BOC and the existence of a physically acceptable solution of IVP AOC. A new investigation has been done for the melt spinning process in the framework of classical mechanics. A Hamiltonian formulation has been done for the melt spinning process for which appropriate Poisson brackets have been derived for the 1-d, elongational flow of a viscoelastic fluid. From the Hamiltonian, cross sectionally averaged balance mass and momentum equations of melt spinning can be derived along with the microstructural equations. These studies show that the complicated problem of melt spinning can also be studied under the framework of classical mechanics. This work provides the basic groundwork on which further investigations on the dynamics of a fibre could be carried out. The Free boundary value problem has been solved numerically using shooting method. Matlab routines have been used to solve the IVPs arising in the problem. Some numerical case studies have been done to study the sensitivity of the ODE systems with respect to the initial guess and parameters. These experiments support the analysis done and throw more light on the stiff nature and ill posedness of the ODE systems. To validate the model, simulations have been performed on sets of data provided by the company. Comparison of numerical results (axial velocity profiles) has been done with the experimental profiles provided by the company. Numerical results have been found to be in excellent agreement with the experimental profiles.