• The Korean Journal of Applied Statistics
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• v.19 no.3
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• pp.579-585
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• 2006

We consider a ruin model where the surplus process is formed by a Brownian motion. If the level of surplus exceeds V, then we assume that a insurer invests an amount of S to other place. In this paper, we apply martingale methods to the surplus process and obtain the expectation of period T, time from origin to the point where the level of surplus reaches either V or 0. As a consequence, we finally derive the total and average amount of surplus during T.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.26 no.2
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• pp.108-120
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• 2022

We considered qualitative behaviour of the generalization of Einstein's model of Brownian motion when the key parameter of the time interval of free jump degenerates. Fluids will be characterised by number of particles per unit volume (density of fluid) at point of observation. Degeneration of the phenomenon manifests in two scenarios: a) flow of the fluid, which is highly dispersing like a non-dense gas and b) flow of fluid far away from the source of flow, when the velocity of the flow is incomparably smaller than the gradient of the density. First, we will show that both types of flows can be modeled using the Einstein paradigm. We will investigate the question: What features will particle flow exhibit if the time interval of the free jump is inverse proportional to the density and its gradient ? We will show that in this scenario, the flow exhibits localization property, namely: if at some moment of time t₀ in the region, the gradient of the density or density itself is equal to zero, then for some T during time interval [t₀, t₀ + T] there is no flow in the region. This directly links to Barenblatt's finite speed of propagation property for the degenerate equation. The method of the proof is very different from Barenblatt's method and based on the application of Ladyzhenskaya - De Giorgi iterative scheme and Vespri - Tedeev technique. From PDE point of view it assumed that solution exists in appropriate Sobolev type of space.

• 한국가시화정보학회:학술대회논문집
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• 2004.12a
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• pp.91-110
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• 2004

A comprehensive three-dimensional nano-particle tracking technique in micro- and nano-scale spatial resolution using the Total Internal Reflection Fluorescence Microscope (TIRFM) is discussed. Evanescent waves from the total internal reflection of a 488nm argon-ion laser are used to measure the hindered Brownian diffusion within few hundred nanometers of a glass-water interface. 200-nm fluorescence-coated polystyrene spheres are used as tracers to achieve three-dimensional tracking within the near-wall penetration depth. A novel ratiometric imaging technique coupled with a neural network model is used to tag and track the tracer particles. This technique allows for the determination of the relative depth wise locations of the particles. This analysis, to our knowledge is the first such three-dimensional ratiometric nano-particle tracking velocimetry technique to be applied for measuring Brownian diffusion close to the wall.

• Journal of Korean Society of Water and Wastewater
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• v.9 no.3
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• pp.65-77
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• 1995

The kinetics of flocculation of heterodisperse suspension like those in water treatment plants and natural water system are usually described by the Smoluchowski equation, which incorporates collision frequency functions for particle collisions by Brownian motion, fluid shear, and differential sedimentation. These collisionfrequeney functions have been based on a rectilinear view of collisions, i.e., one that ignores short-range forces and changes in fluid motion as particles approach one another. In this research, a curvilinear approach, i.e., one that accounts for hydrodynamic forces and particle interaction in the collision of two different size particles is developed. Collision efficiency factors of each mechanism can be calculated by trajectory analysis (fluid shear and differential sedimentation) or the solution of diffusion equation (Brownian motion). The results are presented as a set of corrections to the rectilinear collision frequency functions for each mechanism.

• 한국데이터정보과학회:학술대회논문집
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• 2005.10a
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• pp.207-207
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• 2005

• Communications for Statistical Applications and Methods
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• v.9 no.3
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• pp.649-663
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• 2002

We consider an unlimited fluid queueing model which has Fractional Brownian motion(FBM) as an input and a single server of constant service rate. By using the result of Duffield and O'Connell(6), we investigate the asymptotic tail-distribution of the stationary work-load. When there are multiple homogeneous FBM inputs, the workload distribution is similar to that of the queue with one FBM input; whereas for the heterogeneous sources the asymptotic work-load distributions is dominated by the source with the largest Hurst parameter.

• Journal of the Korean Mathematical Society
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• v.38 no.2
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• pp.275-281
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• 2001

The trajectory of a classical dynamics is determined by the least action principle. As soon as we come to quantum dynamics, we have to consider all possible trajectories which are proposed to be a sum of the classical trajectory and Brownian fluctuation. Thus, the action involves the square of the derivative B(t) (white noise) of a Brownian motion B(t). The square is a typical example of a generalized white noise functional. The Feynman propagator should therefore be an average of a certain generalized white noise functional. This idea can be applied to a large class of dynamics with various kinds of Lagrangians.

• Journal of the Korean Chemical Society
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• v.51 no.3
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• pp.227-231
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• 2007

We improve Wilehemski-Fixmann theory for intrachain reaction dynamics of a polymer chain by taking into account excluded volume effects between reactive groups in the polymerchain. An approximate analytic expression for the intra-chain reaction dynamics is obtained for Gaussian chain model and compared to Brownian dynamics simulation results. The results of the present theory are in a better agreement to Brownian dynamics simulation results than those calculated by previously reported theories.

• Journal of Korean Society for Atmospheric Environment
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• v.15 no.E
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• pp.65-71
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• 1999

The log-normal size distribution theories developed recently for aerosol coagulation are reviewed. The analytical solutiosn to Brownian coagulation developed recently for various particle size regimes are reviewed. In order to describe the evolution of the size distribution of a coagulating aerosol over the entire size range, the analytical solutions developed individually for the free-molecule regime, the transition regime, the nearcontinuum regime, and the continuum regime have been combined. The work described here represents the first analytical solution to the aerosol coagulation problem covering the entire particle size range.

• Bulletin of the Korean Mathematical Society
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• v.40 no.3
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• pp.437-456
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• 2003

In this paper we use a generalized Brownian motion process to define a generalized analytic Feynman integral. We then establish a Fubini theorem for the function space integral and generalized analytic Feynman integral of a functional F belonging to Banach algebra $S(L^2_{a,b}[0,T])$ and we proceed to obtain several integration formulas. Finally, we use this Fubini theorem to obtain several Feynman integration formulas involving analytic generalized Fourier-Feynman transforms. These results subsume similar known results obtained by Huffman, Skoug and Storvick for the standard Wiener process.