## Fraunhofer (ITWM)

In the literature, there are at least two equivalent two-factor Gaussian models for the instantaneous short rate. These are the original two-factor Hull White model (see [3]) and the G2++ one by Brigo and Mercurio (see [1]). Both these models first specify a time homogeneous two-factor short rate dynamics and then by adding a deterministic shift function '(·) fit exactly the initial term structure of interest rates. However, the obtained results are rather clumsy and not intuitive which means that a special care has to be taken for their correct numerical implementation.

In this paper we investigate the use of the sharp function known from functional analysis in image processing. The sharp function gives a measure of the variations of a function and can be used as an edge detector. We extend the classical notion of the sharp function for measuring anisotropic behaviour and give a fast anisotropic edge detection variant inspired by the sharp function. We show that these edge detection results are useful to steer isotropic and anisotropic nonlinear diffusion filters for image enhancement.

The rotational spinning of viscous jets is of interest in many industrial applications, including pellet manufacturing [4, 14, 19, 20] and drawing, tapering and spinning of glass and polymer fibers [8, 12, 13], see also [15, 21] and references within. In [12] an asymptotic model for the dynamics of curved viscous inertial fiber jets emerging from a rotating orifice under surface tension and gravity was deduced from the three-dimensional free boundary value problem given by the incompressible Navier-Stokes equations for a Newtonian fluid. In the terminology of [1], it is a string model consisting of balance equations for mass and linear momentum. Accounting for inner viscous transport, surface tension and placing no restrictions on either the motion or the shape of the jet’s center-line, it generalizes the previously developed string models for straight [3, 5, 6] and curved center-lines [4, 13, 19]. Moreover, the numerical results investigating the effects of viscosity, surface tension, gravity and rotation on the jet behavior coincide well with the experiments of Wong et.al. [20].

For the numerical simulation of a mechanical multibody system (MBS), dynamical loads are needed as input data, such as a road profile. With given input quantities, the equations of motion of the system can be integrated. Output quantities for further investigations are calculated from the integration results. In this paper, we consider the corresponding inverse problem: We assume, that a dynamical system and some reference output signals are given. The general task is to derive an input signal, such that the system simulation produces the desired reference output. We present the state-of-the-art method in industrial applications, the iterative learning control method (ILC) and give an application example from automotive industry. Then, we discuss three alternative methods based on optimal control theory for differential algebraic equations (DAEs) and give an overview of their general scheme.

The capacitated single-allocation hub location problem revisited: A note on a classical formulation
(2009)

Denote by G = (N;A) a complete graph where N is the set of nodes and A is the set of edges. Assume that a °ow wij should be sent from each node i to each node j (i; j 2 N). One possibility is to send these °ows directly between the corresponding pairs of nodes. However, in practice this is often neither e±cient nor costly attractive because it would imply that a link was built between each pair of nodes. An alternative is to select some nodes to become hubs and use them as consolidation and redistribution points that altogether process more e±ciently the flow in the network. Accordingly, hubs are nodes in the graph that receive tra±c (mail, phone calls, passengers, etc) from di®erent origins (nodes) and redirect this tra±c directly to the destination nodes (when a link exists) or else to other hubs. The concentration of tra±c in the hubs and its shipment to other hubs lead to a natural decrease in the overall cost due to economies of scale.

In this paper, an extension to the classical capacitated single-allocation hub location problem is studied in which the size of the hubs is part of the decision making process. For each potential hub a set of capacities is assumed to be available among which one can be chosen. Several formulations are proposed for the problem, which are compared in terms of the bound provided by the linear programming relaxation. Di®erent sets of inequalities are proposed to enhance the models. Several preprocessing tests are also presented with the goal of reducing the size of the models for each particular instance. The results of the computational experiments performed using the proposed models are reported.

In this work we use the Parsimonious Multi–Asset Heston model recently developed in [Dimitroff et al., 2009] at Fraunhofer ITWM, Department Financial Mathematics, Kaiserslautern (Germany) and apply it to Quanto options. We give a summary of the model and its calibration scheme. A suitable transformation of the Quanto option payoff is explained and used to price Quantos within the new framework. Simulated prices are given and compared to market prices and Black–Scholes prices. We find that the new approach underprices the chosen options, but gives better results than the Black–Scholes approach, which is prevailing in the literature on Quanto options.

Safety and reliability requirements on the one side and short development cycles, low costs and lightweight design on the other side are two competing aspects of truck engineering. For safety critical components essentially no failures can be tolerated within the target mileage of a truck. For other components the goals are to stay below certain predefined failure rates. Reducing weight or cost of structures often also reduces strength and reliability. The requirements on the strength, however, strongly depend on the loads in actual customer usage. Without sufficient knowledge of these loads one needs large safety factors, limiting possible weight or cost reduction potentials. There are a lot of different quantities influencing the loads acting on the vehicle in actual usage. These ‘influencing quantities’ are, for example, the road quality, the driver, traffic conditions, the mission (long haulage, distribution or construction site), and the geographic region. Thus there is a need for statistical methods to model the load distribution with all its variability, which in turn can be used for the derivation of testing specifications.

This contribution presents a model reduction method for nonlinear problems in structural mechanics. Emanating from a Finite Element model of the structure, a subspace and a lookup table are generated which do not require a linearisation of the equations. The method is applied to a model created with commercial FEM software. In this case, the terms describing geometrical and material nonlinearities are not explicitly known.

This paper discusses the possibility to use and apply the ideas of theWave BasedMethod, which has been developed especially for the steady–state acoustic areas, i.e. to solve the Helmholtz type boundary value problems in a bounded domain, in non–acoustics areas such as steady–state temperature propagation, calculation of the velocity potential function of a liquid flux, calculation of the light irradience in a liver tissue/tumor, etc.

Inspired by Kirchhoff’s kinetic analogy, the special Cosserat theory of rods is formulatedin the language of Lagrangian mechanics. A static rod corresponds to an abstract Lagrangian system where the energy density takes the role of the Lagrangian function. The equilibrium equations are derived from a variational principle. Noether’s theorem relates their first integrals to frame-indifference, isotropy and uniformity. These properties can be formulated in terms of Lie group symmetries. The rotational degrees of freedom, present in the geometrically exact beam theory, are represented in terms of orthonormal director triads. To reduce the number of unknowns, Lagrange multipliers associated with the orthonormality constraints are eliminated using null-space matrices. This is done both in the continuous and in the discrete setting. The discrete equilibrium equations are used to compute discrete rod configurations, where different types of boundary conditions can be handled.

Territory design and districting may be viewed as the problem of grouping small geographic areas into larger geographic clusters called territories in such a way that the latter are acceptable according to relevant planning criteria. The availability of GIS on computers and the growing interest in Geo-Marketing leads to an increasing importance of this area. Despite the wide range of applications for territory design problems, when taking a closer look at the models proposed in the literature, a lot of similarities can be noticed. Indeed, the models are many times very similar and can often be, more or less directly, carried over to other applications. Therefore, our aim is to provide a generic application-independent model and present efficient solution techniques. We introduce a basic model that covers aspects common to most applications. Moreover, we present a method for solving the general model which is based on ideas from the field of computational geometry. Theoretical as well as computational results underlining the efficiency of the new approach will be given. Finally, we show how to extend the model and solution algorithm to make it applicable for a broader range of applications and how to integrate the presented techniques into a GIS.

In this work we establish a hierarchy of mathematical models for the numerical simulation of the production process of technical textiles. The models range from highly complex three-dimensional fluid-solid interactions to one-dimensional fiber dynamics with stochastic aerodynamic drag and further to efficiently handable stochastic surrogate models for fiber lay-down. They are theoretically and numerically analyzed and coupled via asymptotic analysis, similarity estimates and parameter identification. Themodel hierarchy is applicable to a wide range of industrially relevant production processes and enables the optimization, control and design of technical textiles.

An efficient mathematical model to virtually generate woven metal wire meshes is
presented. The accuracy of this model is verified by the comparison of virtual structures with three-dimensional
images of real meshes, which are produced via computer tomography. Virtual structures
are generated for three types of metal wire meshes using only easy to measure parameters. For these
geometries the velocity-dependent pressure drop is simulated and compared with measurements
performed by the GKD - Gebr. Kufferath AG. The simulation results lie within the tolerances of
the measurements. The generation of the structures and the numerical simulations were done at
GKD using the Fraunhofer GeoDict software.

In nancial mathematics stock prices are usually modelled directly as a result of supply and demand and under the assumption that dividends are paid continuously. In contrast economic theory gives us the dividend discount model assuming that the stock price equals the present value of its future dividends. These two models need not to contradict each other - in their paper Korn and Rogers (2005) introduce a general dividend model preserving the stock price to follow a stochastic process and to be equal to the sum of all its discounted dividends. In this paper we specify the model of Korn and Rogers in a Black-Scholes framework in order to derive a closed-form solution for the pricing of American Call options under the assumption of a known next dividend followed by several stochastic dividend payments during the option's time to maturity.

Classical geometrically exact Kirchhoff and Cosserat models are used to study the nonlinear deformation of rods. Extension, bending and torsion of the rod may be represented by the Kirchhoff model. The Cosserat model additionally takes into account shearing effects. Second order finite differences on a staggered grid define discrete viscoelastic versions of these classical models. Since the rotations are parametrised by unit quaternions, the space discretisation results in differential-algebraic equations that are solved numerically by standard techniques like index reduction and projection methods. Using absolute coordinates, the mass and constraint matrices are sparse and this sparsity may be exploited to speed-up time integration. Further improvements are possible in the Cosserat model, because the constraints are just the normalisation conditions for unit quaternions such that the null space of the constraint matrix can be given analytically. The results of the theoretical investigations are illustrated by numerical tests.

In this paper, the model of Köttgen, Barkey and Socie, which corrects the elastic stress and strain tensor histories at notches of a metallic specimen under non-proportional loading, is improved. It can be used in connection with any multiaxial s -e -law of incremental plasticity. For the correction model, we introduce a constraint for the strain components that goes back to the work of Hoffmann and Seeger. Parameter identification for the improved model is performed by Automatic Differentiation and an established least squares algorithm. The results agree accurately both with transient FE computations and notch strain measurements.

In this paper, we present a viscoelastic rod model that is suitable for fast and sufficiently accurate dynamic simulations. It is based on Cosserat’s geometrically exact theory of rods and is able to represent extension, shearing (’stiff ’ dof), bending and torsion (’soft’ dof). For inner dissipation, a consistent damping potential from Antman is chosen. Our discrete model is based on a finite difference discretisation on a staggered grid. The right-hand side function f and the Jacobian ∂f/∂(q, v, t) of the dynamical system q˙ = v, v˙ = f(q, v, t) – after index reduction from three to zero – is free of higher algebraic (e.g. root) or transcendent (e.g. trigonometric or exponential) functions and is therefore cheap to evaluate. For the time integration of the system, we use well established stiff solvers like RADAU5 or DASPK. As our model yields computation times within milliseconds, it is suitable for interactivemanipulation in ’virtual reality’ applications. In contrast to fast common VR rod models, our model reflects the structural mechanics solutions sufficiently correct, as comparison with ABAQUS finite element results shows.

The understanding of the motion of long slender elastic fibers in turbulent flows is of great interest to research, development and production in technical textiles manufacturing. The fiber dynamics depend on the drag forces that are imposed on the fiber by the fluid. Their computation requires in principle a coupling of fiber and flow with no-slip interface conditions. However, theneeded high resolution and adaptive grid refinement make the direct numerical simulation of the three-dimensional fluid-solid-problem for slender fibers and turbulent flows not only extremely costly and complex, but also still impossible for practically relevant applications. Embedded in a slender body theory, an aerodynamic force concept for a general drag model was therefore derived on basis of a stochastic k-o; description for a turbulent flow field in [23]. The turbulence effects on the fiber dynamics were modeled by a correlated random Gaussian force and its asymptotic limit on a macroscopic fiber scale by Gaussian white noise with flow-dependent amplitude. The concept was numerically studied under the conditions of a melt-spinning process for nonwoven materials in [24] – for the specific choice of a non-linear Taylor drag model. Taylor [35] suggested the heuristic model for high Reynolds number flows, Re in [20, 3 · 105], around inclined slender objects under an angle of attack of alpha in (pi/36, pi/2] between flow and object tangent. Since the Reynolds number is considered with respect to the relative velocity between flow and fiber, the numerical results lackaccuracy evidently for small Re that occur in cases of flexible light fibers moving occasionally with the flow velocity. In such a regime (Re << 1), linear Stokes drag forces were successfully applied for the prediction of small particles immersed in turbulent flows, see e.g. [25, 26, 32, 39], a modifiedStokes force taking also into account the particle oscillations was presented in [14]. The linear drag relation was also conferred to longer filaments by imposing free-draining assumptions [29, 8]. Apart from this, the Taylor drag suffers from its non-applicability to tangential incident flow situations (alpha = 0) that often occur in fiber and nonwoven production processes.