Non-parametric estimation of the diffusion coefficient of a branching diffusion with immigration

Wir betrachten Systeme von endlich vielen Partikeln, wobei die Partikel sich unabhängig voneinander gemäß eindimensionaler Diffusionen [dX_t = b(X_t),dt + sigma(X_t),dW_t] bewegen. Die Partikel sterben mit positionsabhängigen Raten und hinterlassen eine zufällige Anzahl an Nachkommen, die sich gemäß eines Übergangskerns im Raum verteilen. Zudem immigrieren neue Partikel mit einer konstanten Rate. Ein Prozess mit diesen Eigenschaften wird Verzweigungsprozess mit Immigration genannt. Beobachten wir einen solchen Prozess zu diskreten Zeitpunkten, so ist zunächst nicht offensichtlich, welche diskret beobachteten Punkte zu welchem Pfad gehören. Daher entwickeln wir einen Algorithmus, um den zugrundeliegenden Pfad zu rekonstruieren. Mit Hilfe dieses Algorithmus konstruieren wir einen nichtparametrischen Schätzer für den quadrierten Diffusionskoeffizienten $sigma^2(cdot),$ wobei die Konstruktion im Wesentlichen auf dem Auffüllen eines klassischen Regressionsschemas beruht. Wir beweisen Konsistenz und einen zentralen Grenzwertsatz.

Wavelet estimation in diffusions with periodicity

Wir betrachten einen zeitlich inhomogenen Diffusionsprozess, der durch eine stochastische Differentialgleichung gegeben wird, deren Driftterm ein deterministisches T-periodisches Signal beinhaltet, dessen Periodizität bekannt ist. Dieses Signal sei in einem Besovraum enthalten. Wir schätzen es mit Hilfe eines nichtparametrischen Waveletschätzers. Unser Schätzer ist von einem Wavelet-Dichteschätzer mit Thresholding inspiriert, der 1996 in einem klassischen iid-Modell von Donoho, Johnstone, Kerkyacharian und Picard konstruiert wurde. Unter gewissen Ergodizitätsvoraussetzungen an den Prozess können wir nichtparametrische Konvergenzraten angegeben, die bis auf einen logarithmischen Term den Raten im klassischen iid-Fall entsprechen. Diese Raten werden mit Hilfe von Orakel-Ungleichungen gezeigt, die auf Ergebnissen über Markovketten in diskreter Zeit von Clémencon, 2001, beruhen. Außerdem betrachten wir einen technisch einfacheren Spezialfall und zeigen einige Computersimulationen dieses Schätzers.

Phylogeny and historical biogeography of the Australian Camphorosmeae (Chenopodiaceae)

Diese Studie befasst sich mit der Phylogenie und Biogeographie der australischen Camphorosmeae, die ein wichtiges Element der Flora arider Gebiete Australiens sind. Die molekularen Phylogenien wurden mit Hilfe Bayes’scher Statistik und „maximum likelihood”berechnet. Um das Alter der Gruppe und interner Linien abzuschätzen, wurden die Methoden „Nonparametric rate smoothing” und “penalized likelihood” benutzt. Morphologische Merkmale wurden nach Kriterien der Parsimonie auf den molekularen Baum aufgetragen. „Brooks parsimony analysis”, „cladistic analysis of distributions and endemism”, „dispersal-vicariance analysis”,„ancestral area analysis” und „weighted ancestral area analysis” wurden angewandt, um Abfolge und Richtungen der Ausbreitung der Gruppe in Australien zu analysieren.Von sieben getesteten Markern hatten nur die nukleären ETS und ITS genügend Variation für die phylogenetische Analyse der Camphorosmeae. Die plastidären Marker trnL-trnF spacer,trnP-psaJ spacer, rpS16 intron, rpL16 intron und trnS-trnG spacer zeigten kein ausreichendes phylogenetisches Signal. Die gefundenen phylogenetischen Hypothesen widersprechen der jetzigen Taxonomie der Gruppe. Neobassia, Threlkeldia, Osteocarpum und Enchylaena sollten den Gattungen Sclerolaena bzw. Maireana zugeordnet werden. Die kladistische Analyse der Fruchtanhängsel unterstützt die taxonomischen Ergebnisse der auf DNA basierenden Phylogenie. Allerdings hat die Behaarung, die bei anderen Gruppen der Chenopodiaceae als wichtiges taxonomisches Merkmal herangezogen wird, die Phylogenie nicht unterstützt. Vorfahren der heutigen Camphorosmeen sind im Miozän, vor ca. 8-14 Millionen Jahren, durch Fernausbreitung vermutlich aus Asien in Australien eingewandert. Anfängliche Diversifizierung fand während des späten Miozäns bis in das frühe Pliozän vor ca. 4-7 Millionen Jahren statt. Am Ende des Pliozäns existierten schon 45% - 72% der Abstammungslinien der jetzigen Camphorosmeen. Dies weist auf eine schnelle Ausbreitung hin. Das Alter stimmt mit dem Einsetzen der Aridisierung Australiens überein, und deutet darauf hin, dass die Ausbreitung der ariden Gebiete eine große Rolle bei der Diversifizierung der Gruppe spielte. Die Vorfahren der australischen Camphorosmeae scheinen die Südküste Australiens zuerst besiedeln zu haben. Dies geschah vor dem Einsetzen der Aridisierung des Kontinents. Die anschließende Ausbreitung erfolgte in verschiedene Richtungen und folgte der fortschreitenden Austrocknung im späten Tertiär und im ganzen Quartär. Durch ihre Anpassung an Trockenheit ist der Erfolg der Camphorosmeae in den ariden Gebieten zu erklären.Die Abwesenheit von klaren phylogenetischen und artspezifischen Signalen zwischen Arten der australischen Camphorosmeae ist auf das junge Alter und die schnelle Diversifizierung der Gruppe zurückzuführen, welche die Häufung von Mutationen und eine starke morphologische Differenzierung nicht zugelassen haben.

Risikomaße in der Finanzmathematik

„Risikomaße in der Finanzmathematik“ Der Value-at -Risk (VaR) ist ein Risikomaß, dessen Verwendung von der Bankenaufsicht gefordert wird. Der Vorteil des VaR liegt – als Quantil der Ertrags- oder Verlustverteilung - vor allem in seiner einfachen Interpretierbarkeit. Nachteilig ist, dass der linke Rand der Wahrscheinlichkeitsverteilung nicht beachtet wird. Darüber hinaus ist die Berechnung des VaR schwierig, da Quantile nicht additiv sind. Der größte Nachteil des VaR ist in der fehlenden Subadditivität zu sehen. Deswegen werden Alternativen wie Expected Shortfall untersucht. In dieser Arbeit werden zunächst finanzielle Risikomaße eingeführt und einige ihre grundlegenden Eigenschaften festgehalten. Wir beschäftigen uns mit verschiedenen parametrischen und nichtparametrischen Methoden zur Ermittlung des VaR, unter anderen mit ihren Vorteilen und Nachteilen. Des Weiteren beschäftigen wir uns mit parametrischen und nichtparametrischen Schätzern vom VaR in diskreter Zeit. Wir stellen Portfoliooptimierungsprobleme im Black Scholes Modell mit beschränktem VaR und mit beschränkter Varianz vor. Der Vorteil des erstens Ansatzes gegenüber dem zweiten wird hier erläutert. Wir lösen Nutzenoptimierungsprobleme in Bezug auf das Endvermögen mit beschränktem VaR und mit beschränkter Varianz. VaR sagt nichts über den darüber hinausgehenden Verlust aus, während dieser von Expected Shortfall berücksichtigt wird. Deswegen verwenden wir hier den Expected Shortfall anstelle des von Emmer, Korn und Klüppelberg (2001) betrachteten Risikomaßes VaR für die Optimierung des Portfolios im Black Scholes Modell.

Pore structure and column efficiency of silica monoliths in high performance liquid chromatography (HPLC)

Five different methods were critically examined to characterize the pore structure of the silica monoliths. The mesopore characterization was performed using: a) the classical BJH method of nitrogen sorption data, which showed overestimated values in the mesopore distribution and was improved by using the NLDFT method, b) the ISEC method implementing the PPM and PNM models, which were especially developed for monolithic silicas, that contrary to the particulate supports, demonstrate the two inflection points in the ISEC curve, enabling the calculation of pore connectivity, a measure for the mass transfer kinetics in the mesopore network, c) the mercury porosimetry using a new recommended mercury contact angle values. rnThe results of the characterization of mesopores of monolithic silica columns by the three methods indicated that all methods were useful with respect to the pore size distribution by volume, but only the ISEC method with implemented PPM and PNM models gave the average pore size and distribution based on the number average and the pore connectivity values.rnThe characterization of the flow-through pore was performed by two different methods: a) the mercury porosimetry, which was used not only for average flow-through pore value estimation, but also the assessment of entrapment. It was found that the mass transfer from the flow-through pores to mesopores was not hindered in case of small sized flow-through pores with a narrow distribution, b) the liquid penetration where the average flow-through pore values were obtained via existing equations and improved by the additional methods developed according to Hagen-Poiseuille rules. The result was that not the flow-through pore size influences the column bock pressure, but the surface area to volume ratio of silica skeleton is most decisive. Thus the monolith with lowest ratio values will be the most permeable. rnThe flow-through pore characterization results obtained by mercury porosimetry and liquid permeability were compared with the ones from imaging and image analysis. All named methods enable a reliable characterization of the flow-through pore diameters for the monolithic silica columns, but special care should be taken about the chosen theoretical model.rnThe measured pore characterization parameters were then linked with the mass transfer properties of monolithic silica columns. As indicated by the ISEC results, no restrictions in mass transfer resistance were noticed in mesopores due to their high connectivity. The mercury porosimetry results also gave evidence that no restrictions occur for mass transfer from flow-through pores to mesopores in the small scaled silica monoliths with narrow distribution. rnThe prediction of the optimum regimes of the pore structural parameters for the given target parameters in HPLC separations was performed. It was found that a low mass transfer resistance in the mesopore volume is achieved when the nominal diameter of the number average size distribution of the mesopores is appr. an order of magnitude larger that the molecular radius of the analyte. The effective diffusion coefficient of an analyte molecule in the mesopore volume is strongly dependent on the value of the nominal pore diameter of the number averaged pore size distribution. The mesopore size has to be adapted to the molecular size of the analyte, in particular for peptides and proteins. rnThe study on flow-through pores of silica monoliths demonstrated that the surface to volume of the skeletons ratio and external porosity are decisive for the column efficiency. The latter is independent from the flow-through pore diameter. The flow-through pore characteristics by direct and indirect approaches were assessed and theoretical column efficiency curves were derived. The study showed that next to the surface to volume ratio, the total porosity and its distribution of the flow-through pores and mesopores have a substantial effect on the column plate number, especially as the extent of adsorption increases. The column efficiency is increasing with decreasing flow through pore diameter, decreasing with external porosity, and increasing with total porosity. Though this tendency has a limit due to heterogeneity of the studied monolithic samples. We found that the maximum efficiency of the studied monolithic research columns could be reached at a skeleton diameter of ~ 0.5 µm. Furthermore when the intention is to maximize the column efficiency, more homogeneous monoliths should be prepared.rn

Climate change in Libya and desertification of Jifara Plain

The study was arranged to manifest its objectives through preceding it with an intro-duction. Particular attention was paid in the second part to detect the physical settings of the study area, together with an attempt to show the climatic characteristics in Libya. In the third part, observed temporal and spatial climate change in Libya was investigated through the trends of temperature, precipitation, relative humidity and cloud amount over the peri-ods (1946-2000), (1946-1975), and (1976-2000), comparing the results with the global scales. The forth part detected the natural and human causes of climate change concentrat-ing on the greenhouse effect. The potential impacts of climate change on Libya were ex-amined in the fifth chapter. As a case study, desertification of Jifara Plain was studied in the sixth part. In the seventh chapter, projections and mitigations of climate change and desertification were discussed. Ultimately, the main results and recommendations of the study were summarized. In order to carry through the objectives outlined above, the following methods and approaches were used: a simple linear regression analysis was computed to detect the trends of climatic parameters over time; a trend test based on a trend-to-noise-ratio was applied for detecting linear or non-linear trends; the non-parametric Mann-Kendall test for trend was used to reveal the behavior of the trends and their significance; PCA was applied to construct the all-Libya climatic parameters trends; aridity index after Walter-Lieth was shown for computing humid respectively arid months in Libya; correlation coefficient, (after Pearson) for detecting the teleconnection between sun spot numbers, NAOI, SOI, GHGs, and global warming, climate changes in Libya; aridity index, after De Martonne, to elaborate the trends of aridity in Jifara Plain; Geographical Information System and Re-mote Sensing techniques were applied to clarify the illustrations and to monitor desertifi-cation of Jifara Plain using the available satellite images MSS, TM, ETM+ and Shuttle Radar Topography Mission (SRTM). The results are explained by 88 tables, 96 figures and 10 photos. Temporal and spatial temperature changes in Libya indicated remarkably different an-nual and seasonal trends over the long observation period 1946-2000 and the short obser-vation periods 1946-1975 and 1976-2000. Trends of mean annual temperature were posi-tive at all study stations except at one from 1946-2000, negative trends prevailed at most stations from 1946-1975, while strongly positive trends were computed at all study stations from 1976-2000 corresponding with the global warming trend. Positive trends of mean minimum temperatures were observed at all reference stations from 1946-2000 and 1976-2000, while negative trends prevailed at most stations over the period 1946-1975. For mean maximum temperature, positive trends were shown from 1946-2000 and from 1976-2000 at most stations, while most trends were negative from 1946-1975. Minimum tem-peratures increased at nearly more than twice the rate of maximum temperatures at most stations. In respect of seasonal temperature, warming mostly occurred in summer and au-tumn in contrast to the global observations identifying warming mostly in winter and spring in both study periods. Precipitation across Libya is characterized by scanty and sporadically totals, as well as high intensities and very high spatial and temporal variabilities. From 1946-2000, large inter-annual and intra-annual variabilities were observed. Positive trends of annual precipi-tation totals have been observed from 1946-2000, negative trends from 1976-2000 at most stations. Variabilities of seasonal precipitation over Libya are more strikingly experienced from 1976-2000 than from 1951-1975 indicating a growing magnitude of climate change in more recent times. Negative trends of mean annual relative humidity were computed at eight stations, while positive trends prevailed at seven stations from 1946-2000. For the short observation period 1976-2000, positive trends were computed at most stations. Annual cloud amount totals decreased at most study stations in Libya over both long and short periods. Re-markably large spatial variations of climate changes were observed from north to south over Libya. Causes of climate change were discussed showing high correlation between tempera-ture increasing over Libya and CO2 emissions; weakly positive correlation between pre-cipitation and North Atlantic Oscillation index; negative correlation between temperature and sunspot numbers; negative correlation between precipitation over Libya and Southern Oscillation Index. The years 1992 and 1993 were shown as the coldest in the 1990s result-ing from the eruption of Mount Pinatubo, 1991. Libya is affected by climate change in many ways, in particular, crop production and food security, water resources, human health, population settlement and biodiversity. But the effects of climate change depend on its magnitude and the rate with which it occurs. Jifara Plain, located in northwestern Libya, has been seriously exposed to desertifica-tion as a result of climate change, landforms, overgrazing, over-cultivation and population growth. Soils have been degraded, vegetation cover disappeared and the groundwater wells were getting dry in many parts. The effect of desertification on Jifara Plain appears through reducing soil fertility and crop productivity, leading to long-term declines in agri-cultural yields, livestock yields, plant standing biomass, and plant biodiversity. Desertifi-cation has also significant implications on livestock industry and the national economy. Desertification accelerates migration from rural and nomadic areas to urban areas as the land cannot support the original inhabitants. In the absence of major shifts in policy, economic growth, energy prices, and con-sumer trends, climate change in Libya and desertification of Jifara Plain are expected to continue in the future. Libya cooperated with United Nations and other international organizations. It has signed and ratified a number of international and regional agreements which effectively established a policy framework for actions to mitigate climate change and combat deserti-fication. Libya has implemented several laws and legislative acts, with a number of ancil-lary and supplementary rules to regulate. Despite the current efforts and ongoing projects being undertaken in Libya in the field of climate change and desertification, urgent actions and projects are needed to mitigate climate change and combat desertification in the near future.