• 한국경영과학회지
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• 제19권3호
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• pp.93-109
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• 1994

Even though sojourn time distributions are essential information in analyzing queueing networks, there are few methods to compute them accurately in non-product form queueing networks. In this study, we model the location process of a typical customer as a GMPH semi-Markov chain and develop computationally useful formula for the transition function and the first-passage time distribution in the GMPH semi-Markov chain. We use the formula to develop an effcient method for approximating sojourn time distributions in the non-product form queueing networks under quite general situation. We demonstrate its validity through numerical examples.

• East Asian mathematical journal
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• 제34권3호
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• pp.239-248
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• 2018

In this paper, we derive a closed-form formula of a second-order approximation for a European corrected option price under stochastic elasticity of variance model mentioned in Kim et al. (2014) [1] [J.-H. Kim, J Lee, S.-P. Zhu, S.-H. Yu, A multiscale correction to the Black-Scholes formula, Appl. Stoch. Model. Bus. 30 (2014)]. To find the explicit-form correction to the option price, we use Mellin transform approaches.

• 대한화학회지
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• 제17권5호
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• pp.332-336
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• 1973

Integral Hellmann-Feynman Theorem을 degenerate case에 연장 전개하였다. 연장된 formula의 특성을 조사하고 근사식을 제안하였다. Conventional crystal field theory에 대한 고차섭동 에너지 보정의 가능성을 논의 하였다.

• Structural Engineering and Mechanics
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• 제25권6호
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• pp.717-732
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• 2007

A formula to approximate the fundamental period of a fixed-free mass-spring system with varying mass and varying stiffness is formulated. The formula is derived mainly by taking the dominant parts from the general form of the characteristic polynomial, and adjusting the initial approximation by a coefficient derived from the exact solution of a uniform case. The formula is tested for a large number of randomly generated structures, and the results show that the approximated fundamental periods are within the error range of 4% with 90% of confidence. Also, the error is shown to be normally distributed with zero mean, and the width of the distribution (as measured by the standard deviation) tends to decrease as the total number of discretized elements in the system increases. Other possible extensions of the formula are discussed, including an extension to a continuous cantilever structure with distributed mass and stiffness. The suggested formula provides an efficient way to estimate the fundamental period of building structures and other systems that can be modeled as mass-spring systems.

• 한국통계학회:학술대회논문집
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• 한국통계학회 2002년도 춘계 학술발표회 논문집
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• pp.55-60
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• 2002

We present an extension of the Wong-Zakai type approximation theorem for a multiple stochastic integral. Using a piecewise linear approximation $W^{(n)}$ of a Wiener process W, we prove that the multiple integral processes {${\int}_{0}^{t}{\cdots}{\int}_{0}^{t}f(t_{1},{\cdots},t_{m})W^{(n)}(t_{1}){\cdots}W^{(n)}(t_{m}),t{\in}[0,T]$} where f is a given symmetric function in the space $C([0,T]^{m})$, converge to the multiple Stratonovich integral of f in the uniform $L^{2}$-sense.

• Korean Journal of Mathematics
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• 제14권2호
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• pp.273-280
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• 2006

Lipschitzian semigroup is a semigroup of Lipschitz operators which contains $C_0$ semigroup and nonlinear semigroup. In this paper, we establish the cannonical exponential formula of Lipschitzian semigroup from its Lie generator and the approximation theorem by Laplace transform approach to Lipschitzian semigroup.

• 경영과학
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• 제25권3호
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• pp.1-12
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• 2008

The Swaption is one of the popular Interest rates derivatives. In spite of such a popularity, the swaption pricing formula is hard to derived within the theoretical consistency. Most of swaption pricing model are heavily depending on the simulation technique. We present a new class of swaption model based on the multi-factor HJM levy-mixture model. A key contribution of this paper is to provide a generalized swaption pricing formula encompassing many market stylize facts. We provide an approximated closed form solution of the swaption price using the Gram-Charlier expansion. Specifically, the solution form is similar to the market models, since our approximation is based on the Lognormal distribution. It can be directly compared with the traditional Black's formula when the size of third and fourth moments are not so large. The proposed extended levy model is also expected to be capable of producing the volatility smiles and skewness.

• Journal of Mechanical Science and Technology
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• 제15권7호
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• pp.876-888
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• 2001

For a large scaled optimization based on response surface methods, an efficient quadratic approximation method is presented in the context of the trust region model management strategy. If the number of design variables is η, the proposed method requires only 2η+1 design points for one approximation, which are a center point and tow additional axial points within a systematically adjusted trust region. These design points are used to uniquely determine the main effect terms such as the linear and quadratic regression coefficients. A quasi-Newton formula then uses these linear and quadratic coefficients to progressively update the two-factor interaction effect terms as the sequential approximate optimization progresses. In order to show the numerical performance of the proposed method, a typical unconstrained optimization problem and two dynamic response optimization problems with multiple objective are solved. Finally, their optimization results compared with those of the central composite designs (CCD) or the over-determined D-optimality criterion show that the proposed method gives more efficient results than others.

• 대한기계학회논문집A
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• 제24권12호
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• pp.3040-3052
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• 2000

For effective construction of second-order response surface models, an efficient quad ratic approximation method is proposed in the context of trust region model management strategy. In the proposed method, although only the linear and quadratic terms are uniquely determined using 2n+1 design points, the two-factor interaction terms are mathematically updated by normalized quasi-Newton formula. In order to show the numerical performance of the proposed approximation method, a sequential approximate optimizer is developed and solves a typical unconstrained optimization problem having 2, 6, 10, 15, 30 and 50 design variables, a gear reducer system design problem and two dynamic response optimization problems with multiple objectives, five objectives for one and two objectives for the other. Finally, their optimization results are compared with those of the CCD or the 50% over-determined D-optimal design combined with the same trust region sequential approximate optimizer. These comparisons show that the proposed method gives more efficient than others.

• KSII Transactions on Internet and Information Systems (TIIS)
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• 제14권5호
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• pp.2141-2155
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• 2020

In order to meet the requirements of background change, illumination variation, moving shadow interference and high accuracy in object detection of moving camera, and strive for real-time and high efficiency, this paper presents an object detection algorithm based on sparse approximation recursion and sparse coding migration in subspace. First, low-rank sparse decomposition is used to reduce the dimension of the data. Combining with dictionary sparse representation, the computational model is established by the recursive formula of sparse approximation with the video sequences taken as subspace sets. And the moving object is calculated by the background difference method, which effectively reduces the computational complexity and running time. According to the idea of sparse coding migration, the above operations are carried out in the down-sampling space to further reduce the requirements of computational complexity and memory storage, and this will be adapt to multi-scale target objects and overcome the impact of large anomaly areas. Finally, experiments are carried out on VDAO datasets containing 59 sets of videos. The experimental results show that the algorithm can detect moving object effectively in the moving camera with uniform speed, not only in terms of low computational complexity but also in terms of low storage requirements, so that our proposed algorithm is suitable for detection systems with high real-time requirements.