## Fachbereich Mathematik

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- Aspects and Applications of the Wilkie Investment Model (2015)
- The Wilkie model is a stochastic asset model, developed by A.D. Wilkie in 1984 with a purpose to explore the behaviour of investment factors of insurers within the United Kingdom. Even so, there is still no analysis that studies the Wilkie model in a portfolio optimization framework thus far. Originally, the Wilkie model is considering a discrete-time horizon and we apply the concept of Wilkie model to develop a suitable ARIMA model for Malaysian data by using Box-Jenkins methodology. We obtained the estimated parameters for each sub model within the Wilkie model that suits the case of Malaysia, and permits us to analyse the result based on statistics and economics view. We then tend to review the continuous time case which was initially introduced by Terence Chan in 1998. The continuous-time Wilkie model inspired is then being employed to develop the wealth equation of a portfolio that consists of a bond and a stock. We are interested in building portfolios based on three well-known trading strategies, a self-financing strategy, a constant growth optimal strategy as well as a buy-and-hold strategy. In dealing with the portfolio optimization problems, we use the stochastic control technique consisting of the maximization problem itself, the Hamilton-Jacobi-equation, the solution to the Hamilton-Jacobi-equation and finally the verification theorem. In finding the optimal portfolio, we obtained the specific solution of the Hamilton-Jacobi-equation and proved the solution via the verification theorem. For a simple buy-and-hold strategy, we use the mean-variance analysis to solve the portfolio optimization problem.

- Coercive functions from a topological viewpoint and properties of minimizing sets of convex functions appearing in image restoration (2015)
- Many tasks in image processing can be tackled by modeling an appropriate data fidelity term \(\Phi: \mathbb{R}^n \rightarrow \mathbb{R} \cup \{+\infty\}\) and then solve one of the regularized minimization problems \begin{align*} &{}(P_{1,\tau}) \qquad \mathop{\rm argmin}_{x \in \mathbb R^n} \big\{ \Phi(x) \;{\rm s.t.}\; \Psi(x) \leq \tau \big\} \\ &{}(P_{2,\lambda}) \qquad \mathop{\rm argmin}_{x \in \mathbb R^n} \{ \Phi(x) + \lambda \Psi(x) \}, \; \lambda > 0 \end{align*} with some function \(\Psi: \mathbb{R}^n \rightarrow \mathbb{R} \cup \{+\infty\}\) and a good choice of the parameter(s). Two tasks arise naturally here: \begin{align*} {}& \text{1. Study the solver sets \({\rm SOL}(P_{1,\tau})\) and \({\rm SOL}(P_{2,\lambda})\) of the minimization problems.} \\ {}& \text{2. Ensure that the minimization problems have solutions.} \end{align*} This thesis provides contributions to both tasks: Regarding the first task for a more special setting we prove that there are intervals \((0,c)\) and \((0,d)\) such that the setvalued curves \begin{align*} \tau \mapsto {}& {\rm SOL}(P_{1,\tau}), \; \tau \in (0,c) \\ {} \lambda \mapsto {}& {\rm SOL}(P_{2,\lambda}), \; \lambda \in (0,d) \end{align*} are the same, besides an order reversing parameter change \(g: (0,c) \rightarrow (0,d)\). Moreover we show that the solver sets are changing all the time while \(\tau\) runs from \(0\) to \(c\) and \(\lambda\) runs from \(d\) to \(0\). In the presence of lower semicontinuity the second task is done if we have additionally coercivity. We regard lower semicontinuity and coercivity from a topological point of view and develop a new technique for proving lower semicontinuity plus coercivity. Dropping any lower semicontinuity assumption we also prove a theorem on the coercivity of a sum of functions.

- Upscaling Approaches for Nonlinear Processes in Lithium-Ion Batteries (2015)
- Lithium-ion batteries are broadly used nowadays in all kinds of portable electronics, such as laptops, cell phones, tablets, e-book readers, digital cameras, etc. They are preferred to other types of rechargeable batteries due to their superior characteristics, such as light weight and high energy density, no memory effect, and a big number of charge/discharge cycles. The high demand and applicability of Li-ion batteries naturally give rise to the unceasing necessity of developing better batteries in terms of performance and lifetime. The aim of the mathematical modelling of Li-ion batteries is to help engineers test different battery configurations and electrode materials faster and cheaper. Lithium-ion batteries are multiscale systems. A typical Li-ion battery consists of multiple connected electrochemical battery cells. Each cell has two electrodes - anode and cathode, as well as a separator between them that prevents a short circuit. Both electrodes have porous structure composed of two phases - solid and electrolyte. We call macroscale the lengthscale of the whole electrode and microscale - the lengthscale at which we can distinguish the complex porous structure of the electrodes. We start from a Li-ion battery model derived on the microscale. The model is based on nonlinear diffusion type of equations for the transport of Lithium ions and charges in the electrolyte and in the active material. Electrochemical reactions on the solid-electrolyte interface couple the two phases. The interface kinetics is modelled by the highly nonlinear Butler-Volmer interface conditions. Direct numerical simulations with standard methods, such as the Finite Element Method or Finite Volume Method, lead to ill-conditioned problems with a huge number of degrees of freedom which are difficult to solve. Therefore, the aim of this work is to derive upscaled models on the lengthscale of the whole electrode so that we do not have to resolve all the small-scale features of the porous microstructure thus reducing the computational time and cost. We do this by applying two different upscaling techniques - the Asymptotic Homogenization Method and the Multiscale Finite Element Method (MsFEM). We consider the electrolyte and the solid as two self-complementary perforated domains and we exploit this idea with both upscaling methods. The first method is restricted only to periodic media and periodically oscillating solutions while the second method can be applied to randomly oscillating solutions and is based on the Finite Element Method framework. We apply the Asymptotic Homogenization Method to derive a coupled macro-micro upscaled model under the assumption of periodic electrode microstructure. A crucial step in the homogenization procedure is the upscaling of the Butler-Volmer interface conditions. We rigorously determine the asymptotic order of the interface exchange current densities and we perform a comprehensive numerical study in order to validate the derived homogenized Li-ion battery model. In order to upscale the microscale battery problem in the case of random electrode microstructure we apply the MsFEM, extended to problems in perforated domains with Neumann boundary conditions on the holes. We conduct a detailed numerical investigation of the proposed algorithm and we show numerical convergence of the method that we design. We also apply the developed technique to a simplified two-dimensional Li-ion battery problem and we show numerical convergence of the solution obtained with the MsFEM to the reference microscale one.

- Simulation of Degradation Processes in Lithium-Ion Batteries (2015)
- Lithium-ion batteries are increasingly becoming an ubiquitous part of our everyday life - they are present in mobile phones, laptops, tools, cars, etc. However, there are still many concerns about their longevity and their safety. In this work we focus on the simulation of several degradation mechanisms on the microscopic scale, where one can resolve the active materials inside the electrodes of the lithium-ion batteries as porous structures. We mainly study two aspects - heat generation and mechanical stress. For the former we consider an electrochemical non-isothermal model on the spatially resolved porous scale to observe the temperature increase inside a battery cell, as well as to observe the individual heat sources to assess their contributions to the total heat generation. As a result from our experiments, we determined that the temperature has very small spatial variance for our test cases and thus allows for an ODE formulation of the heat equation. The second aspect that we consider is the generation of mechanical stress as a result of the insertion of lithium ions in the electrode materials. We study two approaches - using small strain models and finite strain models. For the small strain models, the initial geometry and the current geometry coincide. The model considers a diffusion equation for the lithium ions and equilibrium equation for the mechanical stress. First, we test a single perforated cylindrical particle using different boundary conditions for the displacement and with Neumann boundary conditions for the diffusion equation. We also test for cylindrical particles, but with boundary conditions for the diffusion equation in the electrodes coming from an isothermal electrochemical model for the whole battery cell. For the finite strain models we take in consideration the deformation of the initial geometry as a result of the intercalation and the mechanical stress. We compare two elastic models to study the sensitivity of the predicted elastic behavior on the specific model used. We also consider a softening of the active material dependent on the concentration of the lithium ions and using data for silicon electrodes. We recover the general behavior of the stress from known physical experiments. Some models, like the mechanical models we use, depend on the local values of the concentration to predict the mechanical stress. In that sense we perform a short comparative study between the Finite Element Method with tetrahedral elements and the Finite Volume Method with voxel volumes for an isothermal electrochemical model. The spatial discretizations of the PDEs are done using the Finite Element Method. For some models we have discontinuous quantities where we adapt the FEM accordingly. The time derivatives are discretized using the implicit Backward Euler method. The nonlinear systems are linearized using the Newton method. All of the discretized models are implemented in a C++ framework developed during the thesis.

- Isogeometric Finite Element Analysis of Nonlinear Structural Vibrations (2015)
- In this thesis we present a new method for nonlinear frequency response analysis of mechanical vibrations. For an efficient spatial discretization of nonlinear partial differential equations of continuum mechanics we employ the concept of isogeometric analysis. Isogeometric finite element methods have already been shown to possess advantages over classical finite element discretizations in terms of exact geometry representation and higher accuracy of numerical approximations using spline functions. For computing nonlinear frequency response to periodic external excitations, we rely on the well-established harmonic balance method. It expands the solution of the nonlinear ordinary differential equation system resulting from spatial discretization as a truncated Fourier series in the frequency domain. A fundamental aspect for enabling large-scale and industrial application of the method is model order reduction of the spatial discretization of the equation of motion. Therefore we propose the utilization of a modal projection method enhanced with modal derivatives, providing second-order information. We investigate the concept of modal derivatives theoretically and using computational examples we demonstrate the applicability and accuracy of the reduction method for nonlinear static computations and vibration analysis. Furthermore, we extend nonlinear vibration analysis to incompressible elasticity using isogeometric mixed finite element methods.

- Isogeometric Shell Discretizations for Flexible Multibody Dynamics (2015)
- This work aims at including nonlinear elastic shell models in a multibody framework. We focus our attention to Kirchhoff-Love shells and explore the benefits of an isogeometric approach, the latest development in finite element methods, within a multibody system. Isogeometric analysis extends isoparametric finite elements to more general functions such as B-Splines and Non-Uniform Rational B-Splines (NURBS) and works on exact geometry representations even at the coarsest level of discretizations. Using NURBS as basis functions, high regularity requirements of the shell model, which are difficult to achieve with standard finite elements, are easily fulfilled. A particular advantage is the promise of simplifying the mesh generation step, and mesh refinement is easily performed by eliminating the need for communication with the geometry representation in a Computer-Aided Design (CAD) tool. Quite often the domain consists of several patches where each patch is parametrized by means of NURBS, and these patches are then glued together by means of continuity conditions. Although the techniques known from domain decomposition can be carried over to this situation, the analysis of shell structures is substantially more involved as additional angle preservation constraints between the patches might arise. In this work, we address this issue in the stationary and transient case and make use of the analogy to constrained mechanical systems with joints and springs as interconnection elements. Starting point of our work is the bending strip method which is a penalty approach that adds extra stiffness to the interface between adjacent patches and which is found to lead to a so-called stiff mechanical system that might suffer from ill-conditioning and severe stepsize restrictions during time integration. As a remedy, an alternative formulation is developed that improves the condition number of the system and removes the penalty parameter dependence. Moreover, we study another alternative formulation with continuity constraints applied to triples of control points at the interface. The approach presented here to tackle stiff systems is quite general and can be applied to all penalty problems fulfilling some regularity requirements. The numerical examples demonstrate an impressive convergence behavior of the isogeometric approach even for a coarse mesh, while offering substantial savings with respect to the number of degrees of freedom. We show a comparison between the different multipatch approaches and observe that the alternative formulations are well conditioned, independent of any penalty parameter and give the correct results. We also present a technique to couple the isogeometric shells with multibody systems using a pointwise interaction.

- Portfolio Optimization and Stochastic Control under Transaction Costs (2015)
- This thesis is concerned with stochastic control problems under transaction costs. In particular, we consider a generalized menu cost problem with partially controlled regime switching, general multidimensional running cost problems and the maximization of long-term growth rates in incomplete markets. The first two problems are considered under a general cost structure that includes a fixed cost component, whereas the latter is analyzed under proportional and Morton-Pliska transaction costs. For the menu cost problem and the running cost problem we provide an equivalent characterization of the value function by means of a generalized version of the Ito-Dynkin formula instead of the more restrictive, traditional approach via the use of quasi-variational inequalities (QVIs). Based on the finite element method and weak solutions of QVIs in suitable Sobolev spaces, the value function is constructed iteratively. In addition to the analytical results, we study a novel application of the menu cost problem in management science. We consider a company that aims to implement an optimal investment and marketing strategy and must decide when to issue a new version of a product and when and how much to invest into marketing. For the long-term growth rate problem we provide a rigorous asymptotic analysis under both proportional and Morton-Pliska transaction costs in a general incomplete market that includes, for instance, the Heston stochastic volatility model and the Kim-Omberg stochastic excess return model as special cases. By means of a dynamic programming approach leading-order optimal strategies are constructed and the leading-order coefficients in the expansions of the long-term growth rates are determined. Moreover, we analyze the asymptotic performance of Morton-Pliska strategies in settings with proportional transaction costs. Finally, pathwise optimality of the constructed strategies is established.

- Robustness for regression models with asymmetric error distribution (2015)
- In this work we focus on the regression models with asymmetrical error distribution, more precisely, with extreme value error distributions. This thesis arises in the framework of the project "Robust Risk Estimation". Starting from July 2011, this project won three years funding by the Volkswagen foundation in the call "Extreme Events: Modelling, Analysis, and Prediction" within the initiative "New Conceptual Approaches to Modelling and Simulation of Complex Systems". The project involves applications in Financial Mathematics (Operational and Liquidity Risk), Medicine (length of stay and cost), and Hydrology (river discharge data). These applications are bridged by the common use of robustness and extreme value statistics. Within the project, in each of these applications arise issues, which can be dealt with by means of Extreme Value Theory adding extra information in the form of the regression models. The particular challenge in this context concerns asymmetric error distributions, which significantly complicate the computations and make desired robustification extremely difficult. To this end, this thesis makes a contribution. This work consists of three main parts. The first part is focused on the basic notions and it gives an overview of the existing results in the Robust Statistics and Extreme Value Theory. We also provide some diagnostics, which is an important achievement of our project work. The second part of the thesis presents deeper analysis of the basic models and tools, used to achieve the main results of the research. The second part is the most important part of the thesis, which contains our personal contributions. First, in Chapter 5, we develop robust procedures for the risk management of complex systems in the presence of extreme events. Mentioned applications use time structure (e.g. hydrology), therefore we provide extreme value theory methods with time dynamics. To this end, in the framework of the project we considered two strategies. In the first one, we capture dynamic with the state-space model and apply extreme value theory to the residuals, and in the second one, we integrate the dynamics by means of autoregressive models, where the regressors are described by generalized linear models. More precisely, since the classical procedures are not appropriate to the case of outlier presence, for the first strategy we rework classical Kalman smoother and extended Kalman procedures in a robust way for different types of outliers and illustrate the performance of the new procedures in a GPS application and a stylized outlier situation. To apply approach to shrinking neighborhoods we need some smoothness, therefore for the second strategy, we derive smoothness of the generalized linear model in terms of L2 differentiability and create sufficient conditions for it in the cases of stochastic and deterministic regressors. Moreover, we set the time dependence in these models by linking the distribution parameters to the own past observations. The advantage of our approach is its applicability to the error distributions with the higher dimensional parameter and case of regressors of possibly different length for each parameter. Further, we apply our results to the models with generalized Pareto and generalized extreme value error distributions. Finally, we create the exemplary implementation of the fixed point iteration algorithm for the computation of the optimally robust in uence curve in R. Here we do not aim to provide the most exible implementation, but rather sketch how it should be done and retain points of particular importance. In the third part of the thesis we discuss three applications, operational risk, hospitalization times and hydrological river discharge data, and apply our code to the real data set taken from Jena university hospital ICU and provide reader with the various illustrations and detailed conclusions.

- Worst-Case Portfolio Optimization: Transaction Costs and Bubbles (2015)
- In this thesis we extend the worst-case modeling approach as first introduced by Hua and Wilmott (1997) (option pricing in discrete time) and Korn and Wilmott (2002) (portfolio optimization in continuous time) in various directions. In the continuous-time worst-case portfolio optimization model (as first introduced by Korn and Wilmott (2002)), the financial market is assumed to be under the threat of a crash in the sense that the stock price may crash by an unknown fraction at an unknown time. It is assumed that only an upper bound on the size of the crash is known and that the investor prepares for the worst-possible crash scenario. That is, the investor aims to find the strategy maximizing her objective function in the worst-case crash scenario. In the first part of this thesis, we consider the model of Korn and Wilmott (2002) in the presence of proportional transaction costs. First, we treat the problem without crashes and show that the value function is the unique viscosity solution of a dynamic programming equation (DPE) and then construct the optimal strategies. We then consider the problem in the presence of crash threats, derive the corresponding DPE and characterize the value function as the unique viscosity solution of this DPE. In the last part, we consider the worst-case problem with a random number of crashes by proposing a regime switching model in which each state corresponds to a different crash regime. We interpret each of the crash-threatened regimes of the market as states in which a financial bubble has formed which may lead to a crash. In this model, we prove that the value function is a classical solution of a system of DPEs and derive the optimal strategies.

- Modeling and design optimization of textile-like materials via homogenization and one-dimensional models of elasticity (2015)
- The work consists of two parts. In the first part an optimization problem of structures of linear elastic material with contact modeled by Robin-type boundary conditions is considered. The structures model textile-like materials and possess certain quasiperiodicity properties. The homogenization method is used to represent the structures by homogeneous elastic bodies and is essential for formulations of the effective stress and Poisson's ratio optimization problems. At the micro-level, the classical one-dimensional Euler-Bernoulli beam model extended with jump conditions at contact interfaces is used. The stress optimization problem is of a PDE-constrained optimization type, and the adjoint approach is exploited. Several numerical results are provided. In the second part a non-linear model for simulation of textiles is proposed. The yarns are modeled by hyperelastic law and have no bending stiffness. The friction is modeled by the Capstan equation. The model is formulated as a problem with the rate-independent dissipation, and the basic continuity and convexity properties are investigated. The part ends with numerical experiments and a comparison of the results to a real measurement.