## Fachbereich Mathematik

### Filtern

#### Erscheinungsjahr

- 2003 (39) (entfernen)

#### Dokumenttyp

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

#### Schlagworte

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

We consider the problem of estimating the conditional quantile of a time series at time t given observations of the same and perhaps other time series available at time t-1. We discuss an estimate which we get by inverting a kernel estimate of the conditional distribution function, and prove its asymptotic normality and uniform strong consistency. We illustrate the good performance of the estimate for light and heavy-tailed distributions of the innovations with a small simulation study.

The following three papers present recent developments in multiscale gravitational field modeling by the use of CHAMP or CHAMP-related data. Part A - The Model SWITCH-03: Observed orbit perturbations of the near-Earth orbiting satellite CHAMP are analyzed to recover the long-wavelength features of the Earth's gravitational potential. More precisely, by tracking the low-flying satellite CHAMP by the high-flying satellites of the Global Positioning System (GPS) a kinematic orbit of CHAMP is obtainable from GPS tracking observations, i.e. the ephemeris in cartesian coordinates in an Earth-fixed coordinate frame (WGS84) becomes available. In this study we are concerned with two tasks: First we present new methods for preprocessing, modelling and analyzing the emerging tracking data. Then, in a first step we demonstrate the strength of our approach by applying it to simulated CHAMP orbit data. In a second step we present results obtained by operating on a data set derived from real CHAMP data. The modelling is mainly based on a connection between non-bandlimited spherical splines and least square adjustment techniques to take into account the non-sphericity of the trajectory. Furthermore, harmonic regularization wavelets for solving the underlying Satellite-to-Satellite Tracking (SST) problem are used within the framework of multiscale recovery of the Earth's gravitational potential leading to SWITCH-03 (Spline and Wavelet Inverse Tikhonov regularized CHamp data). Further it is shown how regularization parameters can be adapted adequately to a specific region improving a globally resolved model. Finally we give a comparison of the developed model to the EGM96 model, the model UCPH2002_02_0.5 from the University of Copenhagen and the GFZ models EIGEN-1s and EIGEN-2. Part B - Multiscale Solutions from CHAMP: CHAMP orbits and accelerometer data are used to recover the long- to medium- wavelength features of the Earth's gravitational potential. In this study we are concerned with analyzing preprocessed data in a framework of multiscale recovery of the Earth's gravitational potential, allowing both global and regional solutions. The energy conservation approach has been used to convert orbits and accelerometer data into in-situ potential. Our modelling is spacewise, based on (1) non-bandlimited least square adjustment splines to take into account the true (non-spherical) shape of the trajectory (2) harmonic regularization wavelets for solving the underlying inverse problem of downward continuation. Furthermore we can show that by adapting regularization parameters to specific regions local solutions can improve considerably on global ones. We apply this concept to kinematic CHAMP orbits, and, for test purposes, to dynamic orbits. Finally we compare our recovered model to the EGM96 model, and the GFZ models EIGEN-2 and EIGEN-GRACE01s. Part C - Multiscale Modeling from EIGEN-1S, EIGEN-2, EIGEN-GRACE01S, UCPH2002_0.5, EGM96: Spherical wavelets have been developed by the Geomathematics Group Kaiserslautern for several years and have been successfully applied to georelevant problems. Wavelets can be considered as consecutive band-pass filters and allow local approximations. The wavelet transform can also be applied to spherical harmonic models of the Earth's gravitational field like the most up-to-date EIGEN-1S, EIGEN-2, EIGEN-GRACE01S, UCPH2002_0.5, and the well-known EGM96. Thereby, wavelet coefficients arise and these shall be made available to other interested groups. These wavelet coefficients allow the reconstruction of the wavelet approximations. Different types of wavelets are considered: bandlimited wavelets (here: Shannon and Cubic Polynomial (CP)) as well as non-bandlimited ones (in our case: Abel-Poisson). For these types wavelet coefficients are computed and wavelet variances are given. The data format of the wavelet coefficients is also included.

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.

In this paper, the reflection and refraction of a plane wave at an interface between .two half-spaces composed of triclinic crystalline material is considered. It is shown that due to incidence of a plane wave three types of waves namely quasi-P (qP), quasi-SV (qSV) and quasi-SH (qSH) will be generated governed by the propagation condition involving the acoustic tensor. A simple procedure has been presented for the calculation of all the three phase velocities of the quasi waves. It has been considered that the direction of particle motion is neither parallel nor perpendicular to the direction of propagation. Relations are established between directions of motion and propagation, respectively. The expressions for reflection and refraction coefficients of qP, qSV and qSH waves are obtained. Numerical results of reflection and refraction coefficients are presented for different types of anisotropic media and for different types of incident waves. Graphical representation have been made for incident qP waves and for incident qSV and qSH waves numerical data are presented in two tables.

We define a class of topological spaces (LCNT-spaces) which come together with a nuclear Frechet algebra. Like the algebra of smooth functions on a manifold, this algebra carries the differential structure of the object. We compute the Hochschild homology of this object and show that it is isomorphic to the space of differential forms. This is a generalization of a result obtained by Alain Connes in the framework of smooth manifolds.

A hub location problem consists of locating p hubs in a network in order to collect and consolidate flow between node pairs. This thesis deals with the uncapacitated single allocation p-hub center problem (USApHCP) as a special type of hub location problem with min max objective function. Using the so-called radius formulation of the problem, the dimension of the polyhedron of USApHCP is derived. The formulation constraints are investigated to find out which of these define facets. Then, three new classes of facet-defining inequalities are derived. Finally, efficient procedures to separate facets in a branch-and-cut algorithm are proposed. The polyhedral analysis of USApHCP is based on a tight relation to the uncapacitated facility location problem (UFL). Hence, many results stated in this thesis also hold for UFL.

Diese Arbeit gehört in die algebraische Geometrie und die Darstellungstheorie und stellt eine Beziehung zwischen beiden Gebieten dar. Man beschäftigt sich mit den abgeleiteten Kategorien auf flachen Entartungen projektiver Geraden und elliptischer Kurven. Als Mittel benutzt man die Technik der Matrixprobleme. Das Hauptergebnis dieser Dissertation ist der folgende Satz: SATZ. Sei X ein Zykel projektiver Geraden. Dann gibt es drei Typen unzerlegbarer Objekte in D^-(Coh_X): - Shifts von Wolkenkratzergarben in einem regulären Punkt; - Bänder B(w,m,lambda), - Saiten S(w). Ganz analog beweist man die Zahmheit der abgeleiteten Kategorien vieler assoziativer Algebren.

The central theme in this thesis concerns the development of enhanced methods and algorithms for appraising market and credit risks and their application within the context of standard and more advanced market models. Generally, methods and algorithms for analysing market risk of complex portfolios involve detailed knowledge of option sensitivities, the so-called "Greeks". Based on an analysis of symmetries in financial market models, relations between option sensitivities are obtained, which can be used for the efficient valuation of the Greeks. Mainly, the relations are derived within the Black Scholes model, however, some relations are also valid for more general models, for instance the Heston model. Portfolios are usually influenced by lots of underlyings, so it is necessary to characterise the dependencies of these basic instruments. It is usual to describe such dependencies by correlation matrices. However, estimations of correlation matrices in practice are disturbed by statistical noise and usually have the problem of rank deficiency due to missing data. A fast algorithm is presented which performs a generalized Cholesky decomposition of a perturbed correlation matrix. In contrast to the standard Cholesky algorithm, an advantage of the generalized method is that it works for semi-positive, rank deficient matrices as well. Moreover, it gives an approximative decomposition when the input matrix is indefinite. A comparison with known algorithms with similar features is performed and it turns out, that the new algorithm can be recommended in situations where computation time is the critical issue. The determination of a profit and loss distribution by Fourier inversion of its characteristic function is a powerful tool, but it can break down when the characteristic function is not integrable. In this thesis, methods for Fourier inversion of non-integrable characteristic functions are studied. In this respect, two theorems are obtained which are based on a suitable approximation of the unknown distribution with known density and characteristic function. Further it will be shown, that straightforward Fast Fourier inversion works, when the according density lives on a bounded interval. The above techniques are of crucial importance to determine the profit and loss distribution (P&L) of large portfolios efficiently. The so-called Delta Gamma normal approach has become industrial standard for the estimation of market risk. It is shown, that the performance of the Delta Gamma normal approach can be improved substantially by application of the developed methods. The same optimization procedure also applies to the Delta Gamma Student model. A standard tool for computing the P&L distribution of a loan portfolio is the CreditRisk+ model. Basically, the CreditRisk+ distribution is a discrete distribution which can be computed from its probability generating function. For this a numerically stable method is presented and as an alternative, a new algorithm based on Fourier inversion is proposed. Finally, an extension of the CreditRisk+ model to market risk is developed, which distribution can be obtained efficiently by the presented Fourier inversion methods as well.

The thesis deals with the subgradient optimization methods which are serving to solve nonsmooth optimization problems. We are particularly concerned with solving large-scale integer programming problems using the methodology of Lagrangian relaxation and dualization. The goal is to employ the subgradient optimization techniques to solve large-scale optimization problems that originated from radiation therapy planning problem. In the thesis, different kinds of zigzagging phenomena which hamper the speed of the subgradient procedures have been investigated and identified. Moreover, we have established a new procedure which can completely eliminate the zigzagging phenomena of subgradient methods. Procedures used to construct both primal and dual solutions within the subgradient schemes have been also described. We applied the subgradient optimization methods to solve the problem of minimizing total treatment time of radiation therapy. The problem is NP-hard and thus far there exists no method for solving the problem to optimality. We present a new, efficient, and fast algorithm which combines exact and heuristic procedures to solve the problem.