• Journal of the Korean Society of Propulsion Engineers
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• v.16 no.4
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• pp.33-41
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• 2012

The aim of the study is to investigate the method to estimate a shelf life of KM6 single base propellant by stochastic gamma process model. The state failure level is assumed that the degradation content of stabilizer is below 0.8%. The constant of time dependent shape function and the scale parameter of stationary gamma process are estimated by moment method. The state distribution at each storage time can be shown from probability density function of deterioration. It is estimated that the $B_{10}$ life, a time at which the cumulative failure probability is 10%, is 25 years and the $B_{50}$ life is 36 years from cumulative failure distribution function curve. The $B_{50}$ life can be treated as the average shelf life from the practical viewpoint and the lifetime can be expressed as distribution curve by using stochastic process theory.

• Transactions of the Korean Society of Mechanical Engineers A
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• v.38 no.11
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• pp.1245-1256
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• 2014

The physical nature of fatigue shows the considerable amount of scatter from intrinsic and extrinsic factors. In this study, some degradation models, such as the gamma process model, were reviewed in terms of uncertainties associated with the continuous, gradual, and monotonic nature of fatigue crack growth. Statistically varying fatigue crack growth data obtained from Lu and Meeker were used as an example to demonstrate the use of the gamma process model. This model can describe the condition and lifetime as statistical distribution curves whose shapes vary with cycles. From the skewness of the statistical distribution curves, it was confirmed that the median is suitable for being considered as the expected life. The use of the gamma process model enables the optimum replacement period and percentile life to be employed as criteria for preventive maintenance policy.

• Journal of Korean Society of Coastal and Ocean Engineers
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• v.31 no.3
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• pp.158-169
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• 2019

A probabilistic model that can predict the residual useful lifetime of structure is formulated by using the gamma process which is one of the stochastic processes. The formulated stochastic model can take into account both the sampling uncertainty associated with damages measured up to now and the temporal uncertainty of cumulative damage over time. A method estimating several parameters of stochastic model is additionally proposed by introducing of the least square method and the method of moments, so that the age of a structure, the operational environment, and the evolution of damage with time can be considered. Some features related to the residual useful lifetime are firstly investigated into through the sensitivity analysis on parameters under a simple setting of single damage data measured at the current age. The stochastic model are then applied to the rubble-mound breakwater straightforwardly. The parameters of gamma process can be estimated for several experimental data on the damage processes of armor rocks of rubble-mound breakwater. The expected damage levels over time, which are numerically simulated with the estimated parameters, are in very good agreement with those from the flume testing. It has been found from various numerical calculations that the probabilities exceeding the failure limit are converged to the constraint that the model must be satisfied after lasting for a long time from now. Meanwhile, the expected residual useful lifetimes evaluated from the failure probabilities are seen to be different with respect to the behavior of damage history. As the coefficient of variation of cumulative damage is becoming large, in particular, it has been shown that the expected residual useful lifetimes have significant discrepancies from those of the deterministic regression model. This is mainly due to the effect of sampling and temporal uncertainties associated with damage, by which the first time to failure tends to be widely distributed. Therefore, the stochastic model presented in this paper for predicting the residual useful lifetime of structure can properly implement the probabilistic assessment on current damage state of structure as well as take account of the temporal uncertainty of future cumulative damage.

• Journal of the Korean Society of Propulsion Engineers
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• v.18 no.3
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• pp.17-25
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• 2014

The purpose of this paper is to present a method to estimate the storage life of propellant bag for degradation of breaking load with storage time by using gamma process model. The nitrogen compound generated by natural decomposition of propellants degrades the breaking load of propellant bag with time. The statistical distributions of condition and lifetime with time were shown from the results of accelerated life test of propellant bag cloth at $80^{\circ}C$. It was found that the use of median for life was highly appropriate and the $B_1$ or $B_5$ life should be selectively applied to the quality assurance policy.

• Journal of Korea Water Resources Association
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• v.46 no.3
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• pp.315-326
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• 2013

Despite of the importance on the maintenance of a reservoir storage, relatively few studies have addressed the stochastic reliability analysis including uncertainty on the decrease of the reservoir storage by the sedimentation. Therefore, the stochastic gamma process under the reliability framework is developed and applied to estimate the reduction of the Soyang Dam reservoir storage in this paper. Especially, in the estimation of parameters of the stochastic gamma process, the Bayesian MCMC scheme using informative prior distribution is used to incorporate a wide variety of information related with the sedimentation. The results show that the selected informative prior distribution is reasonable because the uncertainty of the posterior distribution is reduced considerably compared to that of the prior distribution. Also, the range of the expected life time of the dead storage in Soyang Dam reservoir including uncertainty is estimated from 119.3 years to 183.5 years at 5% significance level. Finally, it is suggested that the improvement of the assessment strategy in this study can provide the valuable information to the decision makers who are in charge of the maintenance of a reservoir.

• The Korean Journal of Financial Management
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• v.24 no.4
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• pp.1-43
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• 2007

The traditional Black-Scholes model for option pricing is based on the assumption that the log-return of the underlying asset follows a Brownian motion. But this assumption has been criticized for being unrealistic. Thus, for the last 20 years, many attempts have been made to adopt different stochastic processes to derive new option pricing models. The option pricing models based on L$\acute{e}$vy processes are being actively studied originating from the Gerber-Shiu model driven by H. U. Gerber and E. S. W. Shiu in 1994. In 2004, G. H. L. Cheang derived an option pricing model under multiple L$\acute{e}$vy processes, enabling us to adopt drift and jumps to the Gerber-Shiu model, while Gerber and Shiu derived their model under one L$\acute{e}$vy process. We derive the Gerber-Shiu model which includes drift and jumps under L$\acute{e}$vy processes. By adopting a Gamma distribution, we expand the Heston model which was driven in 1993 to include jumps. Then, using KOSPI200 index option data, we analyze the price-fitting performance of our model compared to that of the Black-Scholes model. It shows that our model shows a better price-fitting performance.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.30 no.3B
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• pp.257-267
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• 2010

A flood event can be characterized by three attributes such as peak discharge, total flood volume, and flood duration, which are correlated each other. However, the amount of peak discharge is only used to evaluate the flood events for the hydrological plan and design. The univariate analysis has a limitation in describing the complex probability behavior of flood events. Thus, the univariate analysis cannot derive satisfying results in flood frequency analysis. This study proposed bivariate flood frequency analysis methods for evaluating flood events considering correlations among attributes of flood events. Parametric distributions such as Gumbel mixed model and bivariate gamma distribution, and a non-parametric model using a bivariate kernel function were introduced in this study. A time series of annual flood events were extracted from observations of inflow to the Soyang River Dam and the Daechung Dam, respectively. The joint probability distributions and return periods were derived from the relationship between the amount of peak discharge and the total volume of flood runoff. Applicabilities of bivariate flood frequency analysis were examined by comparing the return period acquired from the proposed bivariate analyses and the conventional univariate analysis.

• Korean Journal of Agricultural and Forest Meteorology
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• v.26 no.1
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• pp.31-52
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• 2024

Considering the significant relationship between a tree's branch structure and physiology, understanding the detailed branch structure is crucial for fields such as species classification, and 3D tree modelling. Recently, terrestrial laser scanning (TLS) and quantitative structure model (QSM) have enhanced the understanding of branch structures by capturing the radius, length, and branching angle of branches. Previous studies examining branch structure with TL S and QSM often relied on mean or median of branch structure parameters, such as the radius ratio and length ratio in parent-child relationships, as representative values. Additionally, these studies have typically focused on the relationship between trunk and the first order branches. This study aims to explore the distribution of branch structure parameters up to the third order in Aesculus hippocastanum, Ginkgo biloba, and Prunus yedoensis. The gamma distribution best represented the distributions of branch structure parameters, as evidenced by the average of Kolmogorov-Smirnov statistics (radius = 0.048; length = 0.061; angle = 0.050). Comparisons of the mode, mean, and median were conducted to determine the most representative measure indicating the central tendency of branch structure parameters. The estimated distributions showed differences between the mode and mean (average of normalized differences for radius ratio = 11.2%; length ratio = 17.0%; branching angle = 8.2%), and between the mode and median (radius ratio = 7.5%; length ratio = 11.5%; branching angle = 5.5%). Comparisons of the estimated distributions across branch orders and species were conducted, showing variations across branch orders and species. This study suggests that examining the estimated distribution of the branch structure parameter offers a more detailed description of branch structure, capturing the central tendencies of branch structure parameters. We also emphasize the importance of examining higher branch orders to gain a comprehensive understanding of branch structure, highlighting the differences across branch orders.