## Fachbereich Mathematik

### Filtern

#### Erscheinungsjahr

- 1999 (131) (entfernen)

#### Dokumenttyp

- Preprint (121)
- Wissenschaftlicher Artikel (4)
- Vorlesung (3)
- Studienarbeit (2)
- Diplomarbeit (1)

#### Schlagworte

- Value Preserving Strategies and a General Framework for Local Approaches to Optimal Portfolios (1999)
- We present some new general results on the existence and form of value preserving portfolio strategies in a general semimartingale setting. The concept of value preservation will be derived via a mean-variance argument. It will also be embedded into a framework for local approaches to the problem of portfolio optimisation.

- Portfolio management and market risk quantification using neural networks (1999)
- We discuss how neural networks may be used to estimate conditional means, variances and quantiles of nancial time series nonparametrically. These estimates may be used to forecast, to derive trading rules and to measure market risk.

- Discretizations for the Incompressible Navier-Stokes Equations based on the Lattice Boltzmann Method (1999)
- A discrete velocity model with spatial and velocity discretization based on a lattice Boltzmann method is considered in the low Mach number limit. A uniform numerical scheme for this model is investigated. In the limit, the scheme reduces to a finite difference scheme for the incompressible Navier-Stokes equation which is a projection method with a second order spatial discretization on a regular grid. The discretization is analyzed and the method is compared to Chorin's original spatial discretization. Numerical results supporting the analytical statements are presented.

- Numerical Modeling of Gas Flows in the Transition between Rarefied and Continuum Regimes (1999)
- In this paper we derive fluid dynamic equations byperforming asymptotic analysis for the generalized Boltzmann equationfor polyatomic gases. In particular, we consider the steady state,one-dimensional Boltzmann equation with one additional internal energyand different relaxation times. Moreover, we present a new approachto define coupling procedures for the Boltzmann equation and Navier-Stokesequations based on the 14-moments expansion of Levermore. These coupledmodels are validated by numerical simulations.

- Moment inequalities for the Boltzmann equation and applications to spatially homogeneous problems (1999)
- Some inequalities for the Boltzmann collision integral are proved. These inequalities can be considered as a generalization of the well-known Povzner inequality. The inequalities are used to obtain estimates of moments of solution to the spatially homogeneous Boltzmann equation for a wide class of intermolecular forces. We obtained simple necessary and sufficient conditions (on the potential) for the uniform boundedness of all moments. For potentials with compact support the following statement is proved. .....

- A Pyramid Scheme for Spherical Wavelets (1999)
- We consider a scale discrete wavelet approach on the sphere based on spherical radial basis functions. If the generators of the wavelets have a compact support, the scale and detail spaces are finite-dimensional, so that the detail information of a function is determined by only finitely many wavelet coefficients for each scale. We describe a pyramid scheme for the recursive determination of the wavelet coefficients from level to level, starting from an initial approximation of a given function. Basic tools are integration formulas which are exact for functions up to a given polynomial degree and spherical convolutions.

- Robustness in the Pareto-solutions for the Multicriteria Weber Location Problem (1999)
- In this paper a new trend is introduced into the field of multicriteria location problems. We combine the robustness approach using the minmax regret criterion together with Pareto-optimality. We consider the multicriteria Weber location problem which consists of simultaneously minimizing a number of weighted sum-distance functions and the set of Pareto-optimal locations as its solution concept. For this problem, we characterize the Pareto-optimal solutions within the set of robust locations for the original weighted sum-distance functions. These locations have both the properties of stability and non-domination which are required in robust and multicriteria programming.

- Convex Operators in Vector Optimization: Directional Derivatives and the Cone of Decrease Directions (1999)
- The paper is devoted to the investigation of directional derivatives and the cone of decrease directions for convex operators on Banach spaces. We prove a condition for the existence of directional derivatives which does not assume regularity of the ordering cone K. This result is then used to prove that for continuous convex operators the cone of decrease directions can be represented in terms of the directional derivatices . Decrease directions are those for which the directional derivative lies in the negative interior of the ordering cone K. Finally, we show that the continuity of the convex operator can be replaced by its K-boundedness.

- Wavelet Smoothing of Evolutionary Spectra by Non-Linear Thresholding (1999)
- We consider wavelet estimation of the time-dependent (evolutionary) power spectrum of a locally stationary time series. Allowing for departures from stationary proves useful for modelling, e.g., transient phenomena, quasi-oscillating behaviour or spectrum modulation. In our work wavelets are used to provide an adaptive local smoothing of a short-time periodogram in the time-freqeuncy plane. For this, in contrast to classical nonparametric (linear) approaches we use nonlinear thresholding of the empirical wavelet coefficients of the evolutionary spectrum. We show how these techniques allow for both adaptively reconstructing the local structure in the time-frequency plane and for denoising the resulting estimates. To this end a threshold choice is derived which is motivated by minimax properties w.r.t. the integrated mean squared error. Our approach is based on a 2-d orthogonal wavelet transform modified by using a cardinal Lagrange interpolation function on the finest scale. As an example, we apply our procedure to a time-varying spectrum motivated from mobile radio propagation.

- Multiscale Gravitational Field Recovery from GPS-Satellite-to-Satellite Tracking (1999)
- The purpose of GPS-satellite-to-satellite tracking (GPS-SST) is to determine the gravitational potential at the earth's surface from measured ranges (geometrical distances) between a low-flying satellite and the high-flying satellites of the Global Posittioning System (GPS). In this paper GPS-satellite-to-satellite tracking is reformulated as the problem of determining the gravitational potential of the earth from given gradients at satellite altitude. Uniqueness and stability of the solution are investigated. The essential tool is to split the gradient field into a normal part (i.e. the first order radial derivative) and a tangential part (i.e. the surface gradient). Uniqueness is proved for polar, circular orbits corresponding to both types of data (first radial derivative and/or surface gradient). In both cases gravity recovery based on satellite-to-satellite tracking turns out to be an exponentially ill-posed problem. As an appropriate solution method regularization in terms of spherical wavelets is proposed based on the knowledge of the singular system. Finally, the extension of this method is generalized to a non-spherical earth and a non-spherical orbital surface based on combined terrestrial and satellite data material.