• Communications for Statistical Applications and Methods
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• 제18권2호
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• pp.229-236
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• 2011

A continuous time stochastic volatility model for financial assets suggested by Barndorff-Nielsen and Shephard (2001) is considered, where the volatility process is modelled as an Ornstein-Uhlenbeck type process driven by a general L$\'{e}$vy process and the price process is then obtained by using an independent Brownian motion as the driving noise. The uniform ergodicity of the volatility process and exponential ${\alpha}$-mixing properties of the log price processes of given continuous time stochastic volatility models are obtained.

• 물과 미래
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• 제27권3호
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• pp.115-121
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• 1994

하구수리계에 있어서 점착성류사의 운동은 응결과 응집(aggregation) 현상에 의해 크게 좌우되며, 이들 현상에 의하여 의결된 입자들의 크기, 모양, 강도는 그 퇴적율과 그리고 부유류사와 오염물질의 변동과정에 영향을 미친다. 본 연구에서는 Brownian 운동에 의해 지배되는 이동성 부유영역과 중력에 의해 지배되는 정체성 부유영역으로 분리하여 점착성입자들의 응집과 응결과정을 모의하였다. 이동성 부유영역에 있어서는 Smoluchowski 모형중 입자들의 무작위 회전을 이용한 최대연쇄 모형으로 응집물질의 사영들을 도출하였으며, 그 회전반경에 의해 사영들의 쪽거리 차원을 구하였다. 저에성 부유영역에서의 응집물질(Brownian 영역을 벗어나 침강하는 응집물질)는 비구형 입자들의 침강으로 간주되어진다. 최종 침강속도 차이로 이들 응집물들은 재차 충돌, 결합하여 보다 큰 응집 입자들을 형성하며, 이들 최종 응집입자들의 사영이 모의되어진다. 최대 Feret's 직경과 Minkowski's sausage logic 개념들을 이용하여 모의되어진 사영들의 둘레 길이에 대하여 쪽거리 차원들을 구하였다.

• 재무관리연구
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• 제24권4호
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• pp.1-43
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• 2007

전통적인 옵션가격결정모형인 블랙-숄즈 모형(Black-Scholes model)은 기초자산의 로그수익률(log-return)이 브라운운동(Brownian motion)을 따른다는 가정에 기반을 두고 있다. 그러나 이 가정은 현실적인 한계가 많은 것으로 비판을 받아 왔다. 이에 따라 지난 20여 년간 브라운 운동 이외에 새로운 확률과정을 도입한 모형들이 연구되고 도출되었다. 최근에는 레비과정(L$\acute{e}$vy process)에 기반한 모형들이 활발히 연구되어오고 있는데, 그 기원은 1994년 거버(Gerber)와 쉬우(Shiu)에 의한 거버-쉬우 모형(Gerber-Shiu model)이다. 2004년 치앙(Cheang)은, 거버-쉬우 모형이 하나의 레비과정을 가정한 데 비해, 복수의 독립적인 레비과정을 가정하여 옵션가격결정모형을 유도함으로써 거버-쉬우 모형을 추세(drift)와 도약(jump)을 갖는 경우로 확장할 수 있는 가능성을 제시하였다. 본 논문에서는 치앙의 모형을 이용하여 레비과정 하에서의 추세와 도약을 갖는 거버-쉬우 모형을 유도하였다. 여기에 감마분포를 도입하여 1993년에 도출된 헤스톤 모형(Heston model)에 도약을 도입한 형태의 모형을 유도하였다. 아울러 이렇게 유도된 모형에 대하여 KOSPI200 지수 옵션 자료를 사용해서 블랙-숄즈 모형과의 가격설명력을 비교하였다. 그 결과, 본 논문에서 유도된 모형이 블랙-숄즈 모형 이상의 가격설명력을 보이는 것으로 나타났다.

• 응용통계연구
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• 제31권6호
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• pp.801-810
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• 2018

확산은 금융이나 물리적 현상의 모형화에 이용되는 확률과정이다. 반복적으로 관측된 확산과정에 대하여 통계적인 모형을 구축할 때, 확률효과를 고려할 필요가 있다. 이 연구에서는 Ornstein-Uhlenbeck 확산모형과 geometric Brownian motion 확산모형에 대하여 확률효과를 도입한다. 모형모수에 대한 최도우도추정법을 적용하기 위하여, 확률효과에 대한 적절한 분포를 가정하여 닫힌 형태로 우도함수를 얻는 방법을 탐색하였다. 1991년부터 2017년까지 27년간 일일 단위로 기록된 다우존스 산업지수에 대하여 확률효과 모형을 적용하였다.

• Communications for Statistical Applications and Methods
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• 제22권3호
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• pp.277-283
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• 2015

Pickands constant $H_{\alpha}$ appears in the classical result about tail probabilities of the extremes of Gaussian processes and there exist several different representations of Pickands constant. However, the exact value of $H_{\alpha}$ is unknown except for two special Gaussian processes. Significant effort has been made to find numerical approximations of $H_{\alpha}$. In this paper, we attempt to compute numerically $H_{\alpha}$ based on its representation derived by $H{\ddot{u}}sler$ (1999) and Albin and Choi (2010). Our estimates are compared with the often quoted conjecture $H_{\alpha}=1/{\Gamma}(1/{\alpha})$ for 0 < ${\alpha}$ ${\leq}$ 2. This conjecture does not seem compatible with our simulation result for 1 < ${\alpha}$ < 2, which is also recently observed by Dieker and Yakir (2014) who devised a reliable algorithm to estimate these constants along with a detailed error analysis.

• 대한수학회보
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• 제47권6호
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• pp.1105-1119
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• 2010

We consider jump processes which has only downward jumps with size a fixed fraction of the current process. The jumps of the pro cesses are interpreted as crashes and we assume that the jump intensity is a nondecreasing function of the current process say $\lambda$(X) (X = X(t) process). For the case of $\lambda$(X) = $X^{\alpha}$, $\alpha$ > 0, we show that the process X shold explode in finite time, say $t_e$, conditional on no crash For the case of $\lambda$(X) = (lnX)$^{\alpha}$, we show that $\alpha$ = 1 is the borderline of two different classes of processes. We generalize the model by adding a Brownian noise and examine the blow up properties of the sample paths.

• 한국결정성장학회:학술대회논문집
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• 한국결정성장학회 1999년도 PROCEEDINGS OF 99 INTERNATIONAL CONFERENCE OF THE KACG AND 6TH KOREA·JAPAN EMG SYMPOSIUM (ELECTRONIC MATERIALS GROWTH SYMPOSIUM), HANYANG UNIVERSITY, SEOUL, 06월 09일 JUNE 1999
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• pp.115-127
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• 1999

The charged clusters or particles, which contain hundreds to thousands of atoms or even more, are suggested to form in the gas phase in the thin film processes such as CVD, thermal evaporation, laser ablation, and flame deposition. All of these processes are also used in the gas phase synthesis of the nanoparticles. Ion-induced or photo-induced nucleation is the main mechanism for the formation of these nanoclusters or nanoparticles inthe gas phase. Charged clusters can make a dense film because of its self-organizing characteristics while neutral ones make a porous skeletal structure because of its Brownian coagulation. The charged cluster model can successfully explain the unusual phenomenon of simultaneous deposition and etching taking place in diamond and silicon CVD processes. It also provides a new interpretation on the selective deposition on a conducting material in the CVDd process. The epitaxial sticking of the charged clusters on the growing surface is gettign difficult as the cluster size increases, resulting in the nanostructure such as cauliflowr or granular structures.

• 한국결정성장학회지
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• 제9권3호
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• pp.289-294
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• 1999

The charged clusters or particles, which contain hundreds to thousands of atoms or even more, are suggested to from in the gas phase in the thin film processes such as CVD, thermal evaporation, laser ablation, and flame deposition. All of these processes are also phase synthesis of the nanoparticels. Ion-induced or photo-induced nucleation is the main mechanism for the formation of these nanoclusters or nanoparticles in the gas phase. Charge clusters can make a dense film because of its self-organizing characteristics while neutral ones make a porous skeletal structure because of its Brownian coagulation. The charged cluster model can successfully explain the unusual phenomenon of simultaneous deposition and etching taking place in diamond and silicon CVD processes. It also provides a new interpretation on the selective deposition on a conducting material in the CVD process. The epitaxial sticking of the charged clusters on the growing surface is getting difficult as the cluster size increases, resulting in the nanostructure such as cauliflower or granular structures.

• 대한기계학회논문집B
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• 제22권1호
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• pp.61-69
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• 1998

Vapor Axial Deposition (VAD), one of optical fiber preform fabrication processes, is performed by deposition of submicron-size silica particles that are synthesized by combustion of raw chemical materials. In this study, flow field is assumed to be a forced uniform flow perpendicularly impinging on a rotating disk. Similarity solutions obtained in our previous study are utilized to solve the particle transport equation. The particles are approximated to be in a polydisperse state that satisfies a lognormal size distribution. A moment model is used in order to predict distributions of particle number density and size simultaneously. Deposition of the particles on the disk is examined considering convection, Brownian diffusion, thermophoresis, and coagulation with variations of the forced flow velocity and the disk rotating velocity. The deposition rate and the efficiency directly increase as the flow velocity increases, resulting from that the increase of the forced flow velocity causes thinner thermal and diffusion boundary layer thicknesses and thus causes the increase of thermophoretic drift and Brownian diffusion of the particles toward the disk. However, the increase of the disk rotating speed does not result in the direct increase of the deposition rate and the deposition efficiency. Slower flow velocity causes extension of the time scale for coagulation and thus yields larger mean particle size and its geometric standard deviation at the deposition surface. In the case of coagulation starting farther from the deposition surface, coagulation effects increases, resulting in the increase of the particle size and the decrease of the deposition rate at the surface.

• Journal of the Korean Data and Information Science Society
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• 제21권1호
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• pp.179-183
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• 2010

In this paper, we consider the change point problem in diusion processes based on discretely observed sample. Particularly, we consider the change point test for the dispersion parameter when the drift has unknown parameters. In performing a test, we employ the cusum of squares test based on the residuals. It is shown that the test has a limiting distribution of the sup of a Brownian bridge. A simulation result as to the Ornstein-Uhlenbeck process is provided for illustration. It demonstrates the validity of our test.