## Fachbereich Mathematik

### Filtern

#### Erscheinungsjahr

- 2003 (39) (entfernen)

#### Dokumenttyp

- Preprint (19)
- Dissertation (13)
- Bericht (5)
- Diplomarbeit (2)

#### Schlagworte

- Lineare Algebra (4)
- Mathematikunterricht (4)
- Modellierung (4)
- linear algebra (4)
- modelling (4)
- praxisorientiert (4)
- Mehrskalenanalyse (3)
- Wavelet (3)
- mathematical education (3)
- Gravitationsfeld (2)

- Locating stops along bus or railway lines - a bicriterial problem (2003)
- In this paper we consider the location of stops along the edges of an already existing public transportation network, as introduced in [SHLW02]. This can be the introduction of bus stops along some given bus routes, or of railway stations along the tracks in a railway network. The goal is to achieve a maximal covering of given demand points with a minimal number of stops. This bicriterial problem is in general NP-hard. We present a nite dominating set yielding an IP-formulation as a bicriterial set covering problem. We use this formulation to observe that along one single straight line the bicriterial stop location problem can be solved in polynomial time and present an e cient solution approach for this case. It can be used as the basis of an algorithm tackling real-world instances.

- Semiparametric estimation of conditional quantiles for time series, with applications in finance (2003)
- The estimation of conditional quantiles has become an increasingly important issue in insurance and financial risk management. The stylized facts of financial time series data has rendered direct applications of extreme value theory methodologies, in the estimation of extreme conditional quantiles, inappropriate. On the other hand, quantile regression based procedures work well in nonextreme parts of a given data but breaks down in extreme probability levels. In order to solve this problem, we combine nonparametric regressions for time series and extreme value theory approaches in the estimation of extreme conditional quantiles for financial time series. To do so, a class of time series models that is similar to nonparametric AR-(G)ARCH models but which does not depend on distributional and moments assumptions, is introduced. We discuss estimation procedures for the nonextreme levels using the models and consider the estimates obtained by inverting conditional distribution estimators and by direct estimation using Koenker-Basset (1978) version for kernels. Under some regularity conditions, the asymptotic normality and uniform convergence, with rates, of the conditional quantile estimator for strong mixing time series, are established. We study the estimation of scale function in the introduced models using similar procedures and show that under some regularity conditions, the scale estimate is weakly consistent and asymptotically normal. The application of introduced models in the estimation of extreme conditional quantiles is achieved by augmenting them with methods in extreme value theory. It is shown that the overal extreme conditional quantiles estimator is consistent. A Monte Carlo study is carried out to illustrate the good performance of the estimates and real data are used to demonstrate the estimation of Value-at-Risk and conditional expected shortfall in financial risk management and their multiperiod predictions discussed.

- Nichtparametrische Trend- und Volatilitätsschätzer für Finanzzeitreihen (2003)
- Zuerst einmal werden die Grundlagen der nichtparametrischen Regression sowie die der Kleinste-Quadrate-Schätzer behandelt und unser verwendetes Modell hergeleitet. Kapitel 3 führt dann in die Theorie der gewichteten Kernschätzer ein, wobei auch das asymptotische Verhalten genauer untersucht wird. Des Weiteren wird ein numerischer Algorithmus zur Berechnung der Kernschätzer angegeben. Die Simulationsstudie der gewichteten Kernschätzer anhand von Regressionsdaten und Zeitreihendaten sowie die praktische Beurteilung erfolgen in Kapitel 4 und 5. Reale Zeitreihendaten bilden danach im sechsten Kapitel die Grundlage für die praktische Betrachtung der neuen Schätzer. Im letzten Kapitel folgt dann ein Resümee und ein kleiner Ausblick auf die gewichteten Kernschätzer für allgemeinere Modelle.

- Smoothing Splines in Multiscale Geopotential Determination from Satellite Data (2003)
- SST (satellite-to-satellite tracking) and SGG (satellite gravity gradiometry) provide data that allows the determination of the first and second order radial derivative of the earth's gravitational potential on the satellite orbit, respectively. The modeling of the gravitational potential from such data is an exponentially ill-posed problem that demands regularization. In this paper, we present the numerical studies of an approach, investigated in [24] and [25], that reconstructs the potential with spline smoothing. In this case, spline smoothing is not just an approximation procedure but it solves the underlying compact operator equation of the SST-problem and the SGG-problem. The numerical studies in this paper are performed for a simplified geometrical scenario with simulated data, but the approach is designed to handle first or second order radial derivative data on a real satellite orbit.

- Extensions of Shallow Water Equations (2003)
- Extensions of Shallow Water Equations The subject of the thesis of Michael Hilden is the simulation of floods in urban areas. In case of strong rain events, water can flow out of the overloaded sewer system onto the street and damage the connected houses. The dependable simulation of water flow out of a manhole ("manhole") and over a curb ("curb") is crucial for the assessment of the flood risks. The incompressible 3D-Navier-Stokes Equations (3D-NSE) describe the free surface flow of water accurately, but require expensive computations. Therefore, the less CPU-intensive (factor ca.1/100) Shallow Water Equations (SWE) are usually applied in hydrology. They can be derived from 3D-NSE under the assumption of a hydrostatic pressure distribution via depth-integration and are applied successfully in particular to simulations of river flow processes. The SWE-computations of the flow problems "manhole" and "curb" differ to the 3D-NSE results. Thus, SWE need to be extended appropriately to give reliable forecasts for flood risks in urban areas within reduced computational efforts. These extensions are developed based on physical considerations not considered in the classical SWE. In one extension, a vortex layer on the ground is separated from the main flow representing its new bottom. In a further extension, the hydrostatic pressure distribution is corrected by additional terms due to approximations of vertical velocities and their interaction with the flow. These extensions increase the quality of the SWE results for these flow problems up to the quality level of the NSE results within a moderate increase of the CPU efforts.

- Dynamic network optimization with application to the evacuation problem (2003)
- The thesis discusses discrete-time dynamic flows over a finite time horizon T. These flows take time, called travel time, to pass an arc of the network. Travel times, as well as other network attributes, such as, costs, arc and node capacities, and supply at the source node, can be constant or time-dependent. Here we review results on discrete-time dynamic flow problems (DTDNFP) with constant attributes and develop new algorithms to solve several DTDNFPs with time-dependent attributes. Several dynamic network flow problems are discussed: maximum dynamic flow, earliest arrival flow, and quickest flow problems. We generalize the hybrid capacity scaling and shortest augmenting path algorithmic of the static network flow problem to consider the time dependency of the network attributes. The result is used to solve the maximum dynamic flow problem with time-dependent travel times and capacities. We also develop a new algorithm to solve earliest arrival flow problems with the same assumptions on the network attributes. The possibility to wait (or park) at a node before departing on outgoing arc is also taken into account. We prove that the complexity of new algorithm is reduced when infinite waiting is considered. We also report the computational analysis of this algorithm. The results are then used to solve quickest flow problems. Additionally, we discuss time-dependent bicriteria shortest path problems. Here we generalize the classical shortest path problems in two ways. We consider two - in general contradicting - objective functions and introduce a time dependency of the cost which is caused by a travel time on each arc. These problems have several interesting practical applications, but have not attained much attention in the literature. Here we develop two new algorithms in which one of them requires weaker assumptions as in previous research on the subject. Numerical tests show the superiority of the new algorithms. We then apply dynamic network flow models and their associated solution algorithms to determine lower bounds of the evacuation time, evacuation routes, and maximum capacities of inhabited areas with respect to safety requirements. As a macroscopic approach, our dynamic network flow models are mainly used to produce good lower bounds for the evacuation time and do not consider any individual behavior during the emergency situation. These bounds can be used to analyze existing buildings or help in the design phase of planning a building.

- Some new aspects of Optimal Portfolios and Option Pricing (2003)
- The main two problems of continuous-time financial mathematics are option pricing and portfolio optimization. In this thesis, various new aspects of these major topics of financial mathematics will be discussed. In all our considerations we will assume the standard diffusion type setting for securitiy prices which is today well-know under the term "Black-Scholes model". This setting and the basic results of option pricing and portfolio optimization are surveyed in the first chapter. The next three chapters deal with generalizations of the standard portfolio problem, also know as "Merton's problem". Here, we will always use the stochastic control approach as introduced in the seminal papers by Merton (1969, 1971, 1990). One such problem is the very realistic setting of an investor who is faced with fixed monetary streams. More precisely, in addition to maximizing the utility from final wealth via choosing an investment strategy, the investor also has to fulfill certain consumption needs. Also the opposite situation, an additional income stream can now be taken into account in our portfolio optimization problem. We consider various examples and solve them on one hand via classical stochastic control methods and on the other hand by our new separation theorem. This together with some numerical examples forms Chapter 2. Chapter 3 is mainly concerned with the portfolio problem if the investor has different lending and borrowing rates. We give explicit solutions (where possible) and numerical methods to calculate the optimal strategy in the cases of log utility and HARA utility for three different modelling approaches of the dependence of the borrowing rate on the fraction of wealth financed by a credit. The further generalization of the standard Merton problem in Chapter 4 consists in considering simultaneously the possibilities for continuous and discrete consumption. In our general approach there is a possibility for assigning the different consumption times different weights which is a generalization of the usual way of making them comparable via discounting. Chapter 5 deals with the special case of pricing basket options. Here, the main problem is not path-dependence but the multi-dimensionality which makes it impossible to give usuefull analytical representations of the option price. We review the literature and compare six different numerical methods in a systematic way. Thereby we also look at the influence of various parameters such as strike, correlation, forwards or volatilities on the erformance of the different numerical methods. The problem of pricing Asian options on average spot with average strike is the topic of Chapter 6. We here apply the bivariate normal distribution to obtain an approximate option price. This method proves to be very reliable and e±cient for the valuation of different variants of Asian options on average spot with average strike.

- A Model for Spherical SH-Wave Propagation in Self-reinforced Linearly Elastic Media (2003)
- The original publication is available at www.springerlink.com. This original publication also contains further results. We study a spherical wave propagating in radius- and latitude-direction and oscillating in latitude-direction in case of fibre-reinforced linearly elastic material. A function system solving Euler's equation of motion in this case and depending on certain Bessel and associated Legendre functions is derived.

- Regularized Multiresolution Recovery of the Mass Density Distribution from Satellite Data of the Earth's Gravitational Field (2003)
- The inverse problem of recovering the Earth's density distribution from satellite data of the first or second derivative of the gravitational potential at orbit height is discussed. This problem is exponentially ill-posed. In this paper a multiscale regularization technique using scaling functions and wavelets constructed for the corresponding integro-differential equations is introduced and its numerical applications are discussed. In the numerical part the second radial derivative of the gravitational potential at 200 km orbit height is calculated on a point grid out of the NASA/GSFC/NIMA Earth Geopotential Model (EGM96). Those simulated derived data out of SGG satellite measurements are taken for convolutions with the introduced scaling functions yielding a multiresolution analysis of harmonic density variations in the Earth's crust.