## Fachbereich Mathematik

- Edgeworth Expansions for Binomial Trees (2014)
- In the theory of option pricing one is usually concerned with evaluating expectations under the risk-neutral measure in a continuous-time model. However, very often these values cannot be calculated explicitly and numerical methods need to be applied to approximate the desired quantity. Monte Carlo simulations, numerical methods for PDEs and the lattice approach are the methods typically employed. In this thesis we consider the latter approach, with the main focus on binomial trees. The binomial method is based on the concept of weak convergence. The discrete-time model is constructed so as to ensure convergence in distribution to the continuous process. This means that the expectations calculated in the binomial tree can be used as approximations of the option prices in the continuous model. The binomial method is easy to implement and can be adapted to options with different types of payout structures, including American options. This makes the approach very appealing. However, the problem is that in many cases, the convergence of the method is slow and highly irregular, and even a fine discretization does not guarantee accurate price approximations. Therefore, ways of improving the convergence properties are required. We apply Edgeworth expansions to study the convergence behavior of the lattice approach. We propose a general framework, that allows to obtain asymptotic expansion for both multinomial and multidimensional trees. This information is then used to construct advanced models with superior convergence properties. In binomial models we usually deal with triangular arrays of lattice random vectors. In this case the available results on Edgeworth expansions for lattices are not directly applicable. Therefore, we first present Edgeworth expansions, which are also valid for the binomial tree setting. We then apply these result to the one-dimensional and multidimensional Black-Scholes models. We obtain third order expansions for general binomial and trinomial trees in the 1D setting, and construct advanced models for digital, vanilla and barrier options. Second order expansion are provided for the standard 2D binomial trees and advanced models are constructed for the two-asset digital and the two-asset correlation options. We also present advanced binomial models for a multidimensional setting.

- Portfoliooptimierung im Binomialmodell (2014)
- Die Dissertation "Portfoliooptimierung im Binomialmodell" befasst sich mit der Frage, inwieweit das Problem der optimalen Portfolioauswahl im Binomialmodell lösbar ist bzw. inwieweit die Ergebnisse auf das stetige Modell übertragbar sind. Dabei werden neben dem klassischen Modell ohne Kosten und ohne Veränderung der Marktsituation auch Modellerweiterungen untersucht.

- Algorithms in SINGULAR: Parallelization, Syzygies, and Singularities (2014)
- This thesis, whose subject is located in the field of algorithmic commutative algebra and algebraic geometry, consists of three parts. The first part is devoted to parallelization, a technique which allows us to take advantage of the computational power of modern multicore processors. First, we present parallel algorithms for the normalization of a reduced affine algebra A over a perfect field. Starting from the algorithm of Greuel, Laplagne, and Seelisch, we propose two approaches. For the local-to-global approach, we stratify the singular locus Sing(A) of A, compute the normalization locally at each stratum and finally reconstruct the normalization of A from the local results. For the second approach, we apply modular methods to both the global and the local-to-global normalization algorithm. Second, we propose a parallel version of the algorithm of Gianni, Trager, and Zacharias for primary decomposition. For the parallelization of this algorithm, we use modular methods for the computationally hardest steps, such as for the computation of the associated prime ideals in the zero-dimensional case and for the standard bases computations. We then apply an innovative fast method to verify that the result is indeed a primary decomposition of the input ideal. This allows us to skip the verification step at each of the intermediate modular computations. The proposed parallel algorithms are implemented in the open-source computer algebra system SINGULAR. The implementation is based on SINGULAR's new parallel framework which has been developed as part of this thesis and which is specifically designed for applications in mathematical research. In the second part, we propose new algorithms for the computation of syzygies, based on an in-depth analysis of Schreyer's algorithm. Here, the main ideas are that we may leave out so-called "lower order terms" which do not contribute to the result of the algorithm, that we do not need to order the terms of certain module elements which occur at intermediate steps, and that some partial results can be cached and reused. Finally, the third part deals with the algorithmic classification of singularities over the real numbers. First, we present a real version of the Splitting Lemma and, based on the classification theorems of Arnold, algorithms for the classification of the simple real singularities. In addition to the algorithms, we also provide insights into how real and complex singularities are related geometrically. Second, we explicitly describe the structure of the equivalence classes of the unimodal real singularities of corank 2. We prove that the equivalences are given by automorphisms of a certain shape. Based on this theorem, we explain in detail how the structure of the equivalence classes can be computed using SINGULAR and present the results in concise form. The probably most surprising outcome is that the real singularity type \(J_{10}^-\) is actually redundant.

- Algorithmic aspects of tropical intersection theory (2014)
- In the first part of this thesis we study algorithmic aspects of tropical intersection theory. We analyse how divisors and intersection products on tropical cycles can actually be computed using polyhedral geometry. The main focus is the study of moduli spaces, where the underlying combinatorics of the varieties involved allow a much more efficient way of computing certain tropical cycles. The algorithms discussed here have been implemented in an extension for polymake, a software for polyhedral computations. In the second part we apply the algorithmic toolkit developed in the first part to the study of tropical double Hurwitz cycles. Hurwitz cycles are a higher-dimensional generalization of Hurwitz numbers, which count covers of \(\mathbb{P}^1\) by smooth curves of a given genus with a certain fixed ramification behaviour. Double Hurwitz numbers provide a strong connection between various mathematical disciplines, including algebraic geometry, representation theory and combinatorics. The tropical cycles have a rather complex combinatorial nature, so it is very difficult to study them purely "by hand". Being able to compute examples has been very helpful in coming up with theoretical results. Our main result states that all marked and unmarked Hurwitz cycles are connected in codimension one and that for a generic choice of simple ramification points the marked cycle is a multiple of an irreducible cycle. In addition we provide computational examples to show that this is the strongest possible statement.

- Efficient Algorithms for Flow Simulation related to Nuclear Reactor Safety (2014)
- Safety analysis is of ultimate importance for operating Nuclear Power Plants (NPP). The overall modeling and simulation of physical and chemical processes occuring in the course of an accident is an interdisciplinary problem and has origins in fluid dynamics, numerical analysis, reactor tech- nology and computer programming. The aim of the study is therefore to create the foundations of a multi-dimensional non-isothermal fluid model for a NPP containment and software tool based on it. The numerical simulations allow to analyze and predict the behavior of NPP systems under different working and accident conditions, and to develop proper action plans for minimizing the risks of accidents, and/or minimizing the consequences of possible accidents. A very large number of scenarios have to be simulated, and at the same time acceptable accuracy for the critical param- eters, such as radioactive pollution, temperature, etc., have to be achieved. The existing software tools are either too slow, or not accurate enough. This thesis deals with developing customized al- gorithm and software tools for simulation of isothermal and non-isothermal flows in a containment pool of NPP. Requirements to such a software are formulated, and proper algorithms are presented. The goal of the work is to achieve a balance between accuracy and speed of calculation, and to develop customized algorithm for this special case. Different discretization and solution approaches are studied and those which correspond best to the formulated goal are selected, adjusted, and when possible, analysed. Fast directional splitting algorithm for Navier-Stokes equations in complicated geometries, in presence of solid and porous obstales, is in the core of the algorithm. Developing suitable pre-processor and customized domain decomposition algorithms are essential part of the overall algorithm amd software. Results from numerical simulations in test geometries and in real geometries are presented and discussed.

- Efficient algorithms for Asymmetric Flow Field Flow Fractionation (2014)
- This thesis is devoted to the modeling and simulation of Asymmetric Flow Field Flow Fractionation, which is a technique for separating particles of submicron scale. This process is a part of large family of Field Flow Fractionation techniques and has a very broad range of industrial applications, e. g. in microbiology, chemistry, pharmaceutics, environmental analysis. Mathematical modeling is crucial for this process, as due to the own nature of the process, lab ex- periments are difficult and expensive to perform. On the other hand, there are several challenges for the mathematical modeling: huge dominance (up to 106 times) of the flow over the diffusion, highly stretched geometry of the device. This work is devoted to developing fast and efficient algorithms, which take into the account the challenges, posed by the application, and provide reliable approximations for the quantities of interest. We present a new Multilevel Monte Carlo method for estimating the distribution functions on a compact interval, which are of the main interest for Asymmetric Flow Field Flow Fractionation. Error estimates for this method in terms of computational cost are also derived. We optimize the flow control at the Focusing stage under the given constraints on the flow and present an important ingredients for the further optimization, such as two-grid Reduced Basis method, specially adapted for the Finite Volume discretization approach.

- Pedestrian Flow Models (2014)
- There have been many crowd disasters because of poor planning of the events. Pedestrian models are useful in analysing the behavior of pedestrians in advance to the events so that no pedestrians will be harmed during the event. This thesis deals with pedestrian flow models on microscopic, hydrodynamic and scalar scales. By following the Hughes' approach, who describes the crowd as a thinking fluid, we use the solution of the Eikonal equation to compute the optimal path for pedestrians. We start with the microscopic model for pedestrian flow and then derive the hydrodynamic and scalar models from it. We use particle methods to solve the governing equations. Moreover, we have coupled a mesh free particle method to the fixed grid for solving the Eikonal equation. We consider an example with a large number of pedestrians to investigate our models for different settings of obstacles and for different parameters. We also consider the pedestrian flow in a straight corridor and through T-junction and compare our numerical results with the experiments. A part of this work is devoted for finding a mesh free method to solve the Eikonal equation. Most of the available methods to solve the Eikonal equation are restricted to either cartesian grid or triangulated grid. In this context, we propose a mesh free method to solve the Eikonal equation, which can be applicable to any arbitrary grid and useful for the complex geometries.

- Intersection theory with applications to the computation of Gromov-Witten invariants (2014)
- This thesis is devoted to the computational aspects of intersection theory and enumerative geometry. The first results are a Sage package Schubert3 and a Singular library schubert.lib which both provide the key functionality necessary for computations in intersection theory and enumerative geometry. In particular, we describe an alternative method for computations in Schubert calculus via equivariant intersection theory. More concretely, we propose an explicit formula for computing the degree of Fano schemes of linear subspaces on hypersurfaces. As a special case, we also obtain an explicit formula for computing the number of linear subspaces on a general hypersurface when this number is finite. This leads to a much better performance than classical Schubert calculus. Another result of this thesis is related to the computation of Gromov-Witten invariants. The most powerful method for computing Gromov-Witten invariants is the localization of moduli spaces of stable maps. This method was introduced by Kontsevich in 1995. It allows us to compute Gromov-Witten invariants via Bott's formula. As an insightful application, we computed the numbers of rational curves on general complete intersection Calabi-Yau threefolds in projective spaces up to degree six. The results are all in agreement with predictions made from mirror symmetry.

- On the distribution of eigenspaces in classical groups over finite rings and the Cohen-Lenstra heuristic (2014)
- In 2006 Jeffrey Achter proved that the distribution of divisor class groups of degree 0 of function fields with a fixed genus and the distribution of eigenspaces in symplectic similitude groups are closely related to each other. Gunter Malle proposed that there should be a similar correspondence between the distribution of class groups of number fields and the distribution of eigenspaces in ceratin matrix groups. Motivated by these results and suggestions we study the distribution of eigenspaces corresponding to the eigenvalue one in some special subgroups of the general linear group over factor rings of rings of integers of number fields and derive some conjectural statements about the distribution of \(p\)-parts of class groups of number fields over a base field \(K_{0}\). Where our main interest lies in the case that \(K_{0}\) contains the \(p\)th roots of unity, because in this situation the \(p\)-parts of class groups seem to behave in an other way like predicted by the popular conjectures of Henri Cohen and Jacques Martinet. In 2010 based on computational data Malle has succeeded in formulating a conjecture in the spirit of Cohen and Martinet for this case. Here using our investigations about the distribution in matrixgroups we generalize the conjecture of Malle to a more abstract level and establish a theoretical backup for these statements.

- Multi-Class Image Segmentation via Convex and Biconvex Optimization (2013)
- This thesis is divided into two parts. Both cope with multi-class image segmentation and utilize non-smooth optimization algorithms. The topic of the first part, namely unsupervised segmentation, is the application of clustering to image pixels. Therefore, we start with an introduction of the biconvex center-based clustering algorithms c-means and fuzzy c-means, where c denotes the number of classes. We show that fuzzy c-means can be seen as an approximation of c-means in terms of power means. Since noise is omnipresent in our image data, these simple clustering models are not suitable for its segmentation. To this end, we introduce a general and finite dimensional segmentation model that consists of a data term stemming from the aforementioned clustering models plus a continuous regularization term. We tackle this optimization model via an alternating minimiza- tion approach called regularized c-centers (RcC). Thereby, we fix the centers and optimize the segment membership of the pixels and vice versa. In this general setting, we prove convergence in the sense of set-valued algorithms using Zangwill’s Theory [172]. Further, we present a segmentation model with a total variation regularizer. While updating the cluster centers is straightforward for fixed segment memberships of the pixels, updating the segment membership can be solved iteratively via non-smooth, convex optimization. Thereby, we do not iterate a convex optimization algorithm until convergence. Instead, we stop as soon as we have a certain amount of decrease in the objective functional to increase the efficiency. This algorithm is a particular implementation of RcC providing also the corresponding convergence theory. Moreover, we show the good performance of our method in various examples such as simulated 2d images of brain tissue and 3d volumes of two materials, namely a multi-filament composite superconductor and a carbon fiber reinforced silicon carbide ceramics. Thereby, we exploit the property of the latter material that two components have no common boundary in our adapted model. The second part of the thesis is concerned with supervised segmentation. We leave the area of center based models and investigate convex approaches related to graph p-Laplacians and reproducing kernel Hilbert spaces (RKHSs). We study the effect of different weights used to construct the graph. In practical experiments we show on the one hand image types that are better segmented by the p-Laplacian model and on the other hand images that are better segmented by the RKHS-based approach. This is due to the fact that the p-Laplacian approach provides smoother results, while the RKHS approach provides often more accurate and detailed segmentations. Finally, we propose a novel combination of both approaches to benefit from the advantages of both models and study the performance on challenging medical image data.