We consider irreversible investment problems where an agent decides if and when to invest in a project which generates a perpetual flow of profits after paying some investment cost. The agent observes the profits which follow a geometric Brownian motion with possibly time-dependent drift. Moreover, she discounts future profits as well as the investment cost. In the classical model introduced by Dixit and Pindyck (1994, Chapter 6, Section 1), the drift is constant and known to the agent. Even though this assumption is convenient for their analysis, it is generally unrealistic. In this thesis, we consider three variants of the classical model which turn out to be two-dimensional optimal stopping problems: Unknown drift, a jump of the drift at a fixed time, and a jump of the drift at an exponentially distributed time. For all variants, the optimal investment decision only depends on the current profits and the current state of the respective additional feature, which is either the current updated belief on the true state of the drift, the remaining time until the drift jumps, or the current state of the drift. Precisely, we characterize the optimal stopping time by a continuous and monotonic boundary function mapping the state of the additional feature on the minimal stopping trigger for the profit process. To achieve these results and to derive the boundary function, we employ the following two approaches: For unknown drift and a jump of the drift at a fixed time, we compute the boundary function numerically by a nonlinear integral equation. This approach requires establishing several properties of the boundary function and the value function such as monotonicity and continuity. Since the agent’s payoff not only depends on the current state of the profit process but also on the state of the additional feature, many standard arguments to derive these properties are not applicable. Instead, our proofs build on a method to connect the value functions for different initial profit levels and initial states of the additional feature. Based on this, we show that the value function solves the associated free boundary problem. Next, we derive a nonlinear integral equation whose unique solution is the boundary function. Utilizing this, we compute the boundary function numerically via a fixed-point iteration in combination with a Monte-Carlo method. For a jump of the drift at an exponentially distributed time and in a special case for unknown drift, we determine the boundary function by a nonlinear equation which, for the latter variant, even yields an analytical expression. We reduce both problems to a family of parameterized one-dimensional optimal stopping problems whose optimal thresholds characterize the boundary function. For each sub-problem, we solve the associated free boundary problem and verify that its solution corresponds to the value function. This way, we establish a nonlinear equation for the threshold. Additionally, we numerically analyze the influence of parameter variation on the optimal investment behavior for every variant. Particularly, we analyze the value of information in the case of unknown drift and, for the same expected jump time, compare the models whose drift jumps at a fixed or an exponentially distributed time.

The dissertation is devoted to the construction and justification of three-point difference schemes of high order of accuracy for solving the Sturm-Liouville problem. A new algorithmic realization of the exact three-point difference scheme on a non-uniform grid has been developed. We show that to compute the coefficients of the exact scheme in an arbitrary grid node, it is necessary to solve two auxiliary Cauchy problems for the system of three linear ordinary differential equations of the first order. The coefficient stability of the exact three-point difference scheme is proved. If the Cauchy problems are solved numerically using any one-step method, we obtain the truncated three-point difference scheme. The accuracy estimate of three-point difference schemes was obtained and the algorithm for finding their solution was developed. We also developed a new algorithmic realization of the exact three-point difference scheme for the Sturm-Liouville problem with singularities at the ends of the interval. As in the case of the classical Sturm-Liouville problem, to find the coefficients of the exact three-point difference scheme, it is necessary to solve two auxiliary Cauchy problems for each grid node. The coefficient stability of the exact three-point difference scheme is proved. Since the Cauchy problems for the first and last grid nodes are singular, the Taylor series method has been developed to solve them. The accuracy estimate of truncated three-point difference schemes was obtained. To solve the difference scheme, the Newton's iterative method is used. Numerical experiments are presented which confirm the efficiency of the proposed approach.

Although universality has fascinated over the last decades, there are still numerous open questions in this field that require further investigation. In this work, we will mainly focus on classes of functions whose Fourier series are universal in the sense that they allow us to approximate uniformly any continuous function defined on a suitable subset of the unit circle. The structure of this thesis is as follows. In the first chapter, we will initially introduce the most important notation which is needed for our following discussion. Subsequently, after recalling the notion of universality in a general context, we will revisit significant results concerning universality of Taylor series. The focus here is particularly on universality with respect to uniform convergence and convergence in measure. By a result of Menshov, we will transition to universality of Fourier series which is the central object of study in this work. In the second chapter, we recall spaces of holomorphic functions which are characterized by the growth of their coefficients. In this context, we will derive a relationship to functions on the unit circle via an application of the Fourier transform. In the second part of the chapter, our attention is devoted to the $\mathcal{D}_{\textup{harm}}^p$ spaces which can be viewed as the set of harmonic functions contained in the $W^{1,p}(\D)$ Sobolev spaces. In this context, we will also recall the Bergman projection. Thanks to the intensive study of the latter in relation to Sobolev spaces, we can derive a decomposition of $\mathcal{D}_{\textup{harm}}^p$ spaces which may be seen as analogous to the Riesz projection for $L^p$ spaces. Owing to this result, we are able to provide a link between $\mathcal{D}_{\textup{harm}}^p$ spaces and spaces of holomorphic functions on $\mathbb{C}_\infty \setminus \s$ which turns out to be a crucial step in determining the dual of $\mathcal{D}_{\textup{harm}}^p$ spaces. The last section of this chapter deals with the Cauchy dual which has a close connection to the Fantappié transform. As an application, we will determine the Cauchy dual of the spaces $D_\alpha$ and $D_{\textup{harm}}^p$, two results that will prove to be very helpful later on. Finally, we will provide a useful criterion that establishes a connection between the density of a set in the direct sum $X \oplus Y$ and the Cauchy dual of the intersection of the respective spaces. The subsequent chapter will delve into the theory of capacities and, consequently, potential theory which will prove to be essential in formulating our universality results. In addition to introducing further necessary terminologies, we will define capacities in the first section following [16], however in the frame of separable metric spaces, and revisit the most important results about them. Simultaneously, we make preparations that allow us to define the $\mathrm{Li}_\alpha$-capacity which will turn out to be equivalent to the classical Riesz $\alpha$-capacity. The $\mathrm{Li}_\alpha$-capacity proves to be more adapted to the $D_\alpha$ spaces. It becomes apparent in the course of our discussion that the $\mathrm{Li}_\alpha$-capacity is essential to prove uniqueness results for the class $D_\alpha$. This leads to the centerpiece of this chapter which forms the energy formula for the $\mathrm{Li}_\alpha$-capacity on the unit circle. More precisely, this identity establishes a connection between the energy of a measure and its corresponding Fourier coefficients. We will briefly deal with the complement-equivalence of capacities before we revisit the concept of Bessel and Riesz capacities, this time, however, in a much more general context, where we will mainly rely on [1]. Since we defined capacities on separable metric spaces in the first section, we can draw a connection between Bessel capacities and $\mathrm{Li}_\alpha$-capacities. To conclude this chapter, we would like to take a closer look at the geometric meaning of capacities. Here, we will point out a connection between the Hausdorff dimension and the polarity of a set, and transfer it to the $\mathrm{Li}_\alpha$-capacity. Another aspect will be the comparison of Bessel capacities across different dimensions, in which the theory of Wolff potentials crystallizes as a crucial auxiliary tool. In the fourth chapter of this thesis, we will turn our focus to the theory of sets of uniqueness, a subject within the broader field of harmonic analysis. This theory has a close relationship with sets of universality, a connection that will be further elucidated in the upcoming chapter. The initial section of this chapter will be dedicated to the notion of sets of uniqueness that is specifically adapted to our current context. Building on this concept, we will recall some of the fundamental results of this theory. In the subsequent section, we will primarily rely on techniques from previous chapters to determine the closed sets of uniqueness for the class $\mathcal{D}_{\alpha}$. The proofs we will discuss are largely influenced by [16, p.\ 178] and [9, pp.\ 82]. One more time, it will become evident that the introduction of the $\mathrm{Li}_\alpha$-capacity in the third chapter and the closely associated energy formula on the unit circle, were the pivotal factors that enabled us to carry out these proofs. In the final chapter of our discourse, we will present our results on universality. To begin, we will recall a version of the universality criterion which traces back to the work of Grosse-Erdmann (see [26]). Coupled with an outcome from the second chapter, we will prove a result that allows us to obtain the universality of a class using the technique of simultaneous approximation. This tool will play a key role in the proof of our universality results which will follow hereafter. Our attention will first be directed toward the class $D_\alpha$ with $\alpha$ in the interval $(0,1]$. Here, we summarize that universality with respect to uniform convergence occurs on closed and $\alpha$-polar sets $E \subset \s$. Thanks to results of Carleson and further considerations, which particularly rely on the favorable behavior of the $\mathrm{Li}_\alpha$-kernel, we also find that this result is sharp. In particular, it may be seen as a generalization of the universality result for the harmonic Dirichlet space. Following this, we will investigate the same class, however, this time for $\alpha \in [-1,0)$. In this case, it turns out that universality with respect to uniform convergence occurs on closed and $(-\alpha)$-complement-polar sets $E \subset \s$. In particular, these sets of universality can have positive arc measure. In the final section, we will focus on the class $D_{\textup{harm}}^p$. Here, we manage to prove that universality occurs on closed and $(1,p)$-polar sets $E \subset \s$. Through results of Twomey [68] combined with an observation by Girela and Pélaez [23], as well as the decomposition of $D_{\textup{harm}}^p$, we can deduce that the closed sets of universality with respect to uniform convergence of the class $D_{\textup{harm}}^p$ are characterized by $(1,p)$-polarity. We conclude our work with an application of the latter result to the class $D^p$. We will show that the closed sets of divergence for the class $D^p$ are given by the $(1,p)$-polar sets.

Partial differential equations are not always suited to model all physical phenomena, especially, if long-range interactions are involved or if the actual solution might not satisfy the regularity requirements associated with the partial differential equation. One remedy to this problem are nonlocal operators, which typically consist of integrals that incorporate interactions between two separated points in space and the corresponding solutions to nonlocal equations have to satisfy less regularity conditions. In PDE-constrained shape optimization the goal is to minimize or maximize an objective functional that is dependent on the shape of a certain domain and on the solution to a partial differential equation, which is usually also influenced by the shape of this domain. Moreover, parameters associated with the nonlocal model are oftentimes domain dependent and thus it is a natural next step to now consider shape optimization problems that are governed by nonlocal equations. Therefore, an interface identification problem constrained by nonlocal equations is thoroughly investigated in this thesis. Here, we focus on rigorously developing the first and second shape derivative of the associated reduced functional. In addition, we study first- and second-order shape optimization algorithms in multiple numerical experiments. Moreover, we also propose Schwarz methods for nonlocal Dirichlet problems as well as regularized nonlocal Neumann problems. Particularly, we investigate the convergence of the multiplicative Schwarz approach and we conduct a number of numerical experiments, which illustrate various aspects of the Schwarz method applied to nonlocal equations. Since applying the finite element method to solve nonlocal problems numerically can be quite costly, Local-to-Nonlocal couplings emerged, which combine the accuracy of nonlocal models on one part of the domain with the fast computation of partial differential equations on the remaining area. Therefore, we also examine the interface identification problem governed by an energy-based Local-to-Nonlocal coupling, which can be numerically computed by making use of the Schwarz method. Here, we again present a formula for the shape derivative of the associated reduced functional and investigate a gradient based shape optimization method.

Differential equations yield solutions that necessarily contain a certain amount of regularity and are based on local interactions. There are various natural phenomena that are not well described by local models. An important class of models that describe long-range interactions are the so-called nonlocal models, which are the subject of this work. The nonlocal operators considered here are integral operators with a finite range of interaction and the resulting models can be applied to anomalous diffusion, mechanics and multiscale problems. While the range of applications is vast, the applicability of nonlocal models can face problems such as the high computational and algorithmic complexity of fundamental tasks. One of them is the assembly of finite element discretizations of truncated, nonlocal operators. The first contribution of this thesis is therefore an openly accessible, documented Python code which allows to compute finite element approximations for nonlocal convection-diffusion problems with truncated interaction horizon. Another difficulty in the solution of nonlocal problems is that the discrete systems may be ill-conditioned which complicates the application of iterative solvers. Thus, the second contribution of this work is the construction and study of a domain decomposition type solver that is inspired by substructuring methods for differential equations. The numerical results are based on the abstract framework of nonlocal subdivisions which is introduced here and which can serve as a guideline for general nonlocal domain decomposition methods.