• Communications for Statistical Applications and Methods
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• v.28 no.3
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• pp.251-265
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• 2021

This paper discusses the pricing of autocallable structured product with knock-in (KI) feature using the exit probability with the Brownian Bridge technique. The explicit pricing formula of autocallable ELS derived in the existing paper handles the part including the minimum of the Brownian motion using the inclusion-exclusion principle. This has the disadvantage that the pricing formula is complicate because of the probability with minimum value and the computational volume increases dramatically as the number of autocall chances increases. To solve this problem, we applied an efficient and robust simulation method called the Brownian Bridge technique, which provides the probability of touching the predetermined barrier when the initial and terminal values of the process following the Brownian motion in a certain interval are specified. We rewrite the existing pricing formula and provide a brief theoretical background and computational algorithm for the technique. We also provide several numerical examples computed in three different ways: explicit pricing formula, the Crude Monte Carlo simulation method and the Brownian Bridge technique.

• Journal of the Korean Mathematical Society
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• v.55 no.5
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• pp.1063-1073
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• 2018

We study the estimation of the drift parameter and the change point obtained through a Kalman-Bucy filter for linear systems with signal driven by a fractional Brownian motion and the observation driven by a Brownian motion.

• Bulletin of the Korean Mathematical Society
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• v.55 no.1
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• pp.9-23
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• 2018

In this paper, inspired by the fractional Brownian sheet of Riemann-Liouville type, we introduce the operator fractional Brownian sheet of Riemman-Liouville type, and study some properties of it. We also present an approximation in law to it based on the martingale differences.

• Bulletin of the Korean Chemical Society
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• v.11 no.2
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• pp.127-131
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• 1990

A Brownian dynamics method is proposed for simulating the coupled translational and rotational diffusive motions of nonspherical Brownian particles. Results of test simulations to assess the accuracy of the algorithm are presented.

• Journal of Mechanical Science and Technology
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• v.17 no.4
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• pp.545-561
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• 2003

We use the first-passage-time formulation by Torquato, Kim and Cule ［J. Appl. Phys., Vol. 85, pp. 1560∼1571 (1999) ］, which makes use of the first-passage region in association with the diffusion tracer's Brownian movement, and develop a new efficient Brownian motion simulation method to compute the effective conductivity of digitized composite media. By using the new method, one can remarkably enhance the speed of the Brownian walkers sampling the medium and thus reduce the computation time. In the new method, we specifically choose the first-passage regions such that they coincide with two, four, or eight digitizing units according to the dimensionality of the composite medium and the local configurations around the Brownian walkers. We first obtain explicit solutions for the relevant first-passage-time equations in two-and three-dimensions. We then apply the new method to solve the illustrative benchmark problem of estimating the effective conductivities of the checkerboard-shaped composite media. for both periodic and random configurations. Simulation results show that the new method can reduce the computation time about by an order of magnitude.

• Proceedings of the Korean Statistical Society Conference
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• 2002.05a
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• pp.45-48
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• 2002

Consider the mean distance of Brownian motion on Riemannian manifolds. We obtain the first three terms of the asymptotic expansion of the mean distance by means of Stochastic Differential Equation(SDE) for Brownian motion on Riemannian manifold. This method proves to be much simpler for further expansion than the methods developed by Liao and Zheng(1995). Our expansion gives the same characterizations as the mean exit time from a small geodesic ball with regard to Euclidean space and the rank 1 symmetric spaces.

• Proceedings of the Korea Air Pollution Research Association Conference
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• 2003.05b
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• pp.355-356
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• 2003

Coagulation is a process whereby particles collide with one another due to their relative motion, and adhere to form large particles. Coagulation caused by the random Brownian motion of particles is called Brownian coagulation. Many properties, such as light scattering, electrostatic charges, toxicity, as well as physical processes, including diffusion, condensation and thermophoresis depend strongly on their size distribution. Therefore, Brownian coagulation is substantially important in atmospheric science, combustion technology, inhalation toxicology and nuclear safety analysis. (omitted)

• Journal of the Korean Data and Information Science Society
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• v.7 no.1
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• pp.69-78
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• 1996

Consider a natural model for stochastic flow systems is Brownian motion, which is Brownian motion on the positive real line with constant drift and constant diffusion coefficient, modified by an impenetrable reflecting barrier at $x_{0}$. In this paper, we investigate the joint distribution functions and study on the distribution of the first-passage time. Also we find out the distribution of ${\mu}-RBMPx_{0}$.

• Proceedings of the Korean Statistical Society Conference
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• 2003.10a
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• pp.1-8
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• 2003

The traffic patterns of today's IP networks exhibit two important properties: self-similarity and long-range dependence. The fractional Brownian motion is widely used for representing the traffic model with the properties. We consider a single server fluid queueing system with input process of a fractional Brownian motion type. Formulas for effective bandwidth are derived in a single source and multiple source cases.

• Communications for Statistical Applications and Methods
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• v.17 no.1
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• pp.47-54
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• 2010

By using the white noise theory for fractional Brownian sheet, we give new representations of the Wick integrals of various types with respect to fractional Brownian sheet with Hurst parameters $H_1,H_2{\in}$(0, 1).