• Journal of the Korean Society for Industrial and Applied Mathematics
• /
• 제15권2호
• /
• pp.151-160
• /
• 2011

Typically, it is hard to find a closed form solution of option pricing formula under an asset governed by a change point process. In this paper we derive a closed-form solution of the valuation function for an American perpetual put option under an asset having a change point. Structural changes are formulated through a change-point process with a Markov chain. The modified smooth-fit technique is used to obtain the closed-form valuation function. We also guarantee the optimality of the solution via the proof of a corresponding verification theorem. Numerical examples are included to illustrate the results.

• 제어로봇시스템학회:학술대회논문집
• /
• 제어로봇시스템학회 1992년도 한국자동제어학술회의논문집(국내학술편); KOEX, Seoul; 19-21 Oct. 1992
• /
• pp.572-577
• /
• 1992

In this paper, the optimal homing guidance problem is investigated for the general missile/target models described in the state-space. The closed-form solution of the optimal guidance law derived, and its asymptotic properties are studied as the time-to-go goes to infinity or zero. Futhermore, several approximate solutions of the optimal guidance law are suggested for real-time applications.

• ETRI Journal
• /
• 제37권3호
• /
• pp.533-540
• /
• 2015

In wireless localization, several linear closed-form solution (LCS) methods have been investigated as a direct result of the drawbacks that plague the existing iterative methods, such as the local minimum problem and heavy computational burden. Among the known LCS methods, both the direct solution method and the difference of squared range measurements method are considered in this paper. These LCS methods do not have any of the aforementioned problems that occur in the existing iterative methods. However, each LCS method does have its own individual error property. In this paper, a hybrid LCS method is presented to reduce these errors. The hybrid LCS method integrates the two aforementioned LCS methods by using two check points that give important information on the probability of occurrence of each LCS's individual error. The results of several Monte Carlo simulations show that the proposed method has a good performance. The solutions provided by the proposed method are accurate and reliable. The solutions do not have serious errors such as those that occur in the conventional standalone LCS and iterative methods.

• 제어로봇시스템학회:학술대회논문집
• /
• 제어로봇시스템학회 2001년도 ICCAS
• /
• pp.83.4-83
• /
• 2001

The paper presents a new closed-form, not a polynomial-form, solution of the direct kinematics of the 3-6 (Stewart-Gough) Platform. Many research works have presented a single high-order polynomial equation of the direct kinematics. However the polynomial equation causes potential problems such as complicated formulation procedures and discrimination of the actual solution from all roots, which results in time-consuming task and heavy computational burden. Thus, to overcome these problems, we use a new formulation approach, based on the Tetrahedron Approach, to derive easily a closed-form nonlinear equation of the direct kinematics and use not the Newton-Raphson method, but the Secant method to obtain quickly the solution from ...

• Journal of electromagnetic engineering and science
• /
• 제1권2호
• /
• pp.156-160
• /
• 2001

Very convenient equivalent circuits fur the design of bandpass filters with an attenuation pole in the lower or upper stopband are provided together with necessary closed-form solutions. The proposed approach gives us much flexibility and simplifies the design of inserting attenuation poles.

• 한국해양공학회:학술대회논문집
• /
• 한국해양공학회 2003년도 추계학술대회 논문집
• /
• pp.152-157
• /
• 2003

Natural frequencies of the transνerse vibration of beams with step change in cross-section are obtained by using the asymptotic closed form solution. This closed form solution is found by using WKB method under the assumption of slowly varying properties, such as mass, cross-section, tension etc., along the beam length. However, this solution is found to be still very accurate even in the case of large variation in cross-section and tension. Therefore, this result can be easily applied to many engineering problems.

• 대한전자공학회논문지TC
• /
• 제41권6호
• /
• pp.79-86
• /
• 2004

정확한 closed-form 근린함수 계산방법은 공간영역 그린함수에 포함된 Sommerfeld 적분의 계산시간을 줄이기 위해 기존에 이용되어온 복소 영상법(Complex image method)과 2단계 근사화법(Two-level approach)에 비해 훨씬 적은 오차를 갖는다. 본 논문에서는 정확한 closed-form 그린함수 계산방법을 일반적인 전원을 포함하는 평판구조에 적용하는 방법을 제안하였다.

• 제어로봇시스템학회:학술대회논문집
• /
• 제어로봇시스템학회 1994년도 Proceedings of the Korea Automatic Control Conference, 9th (KACC) ; Taejeon, Korea; 17-20 Oct. 1994
• /
• pp.129-133
• /
• 1994

Presented are closed-form expressions of the steady-state solution for the three-state exponentially correlated acceleration(ECA) target-tracking filter. The steady-state solution is derived based on Vaughan's approach for the case that the measurements of target position and velocity are available at discrete points in time. The solution for the ECA filter using only position measurements is obtained as a special case of the presented results.

• Journal of Electrical Engineering and information Science
• /
• 제2권4호
• /
• pp.23-27
• /
• 1997

Presented are closed-form expressions of the three-state exponentially correlated acceleration (ECA) target-tracking filter. The steady-state solution is derived based on Vaughan's approach for the case that he measurements of target position and velocity are available at discrete point in time. The solution for ECA tracking filter using only position measurements and the solution for the constant acceleration (CA) tracking filter are obtained as a special case of the presented results.

• 한국복합재료학회:학술대회논문집
• /
• 한국복합재료학회 2004년도 춘계학술발표대회 논문집
• /
• pp.223-227
• /
• 2004

The pultruded structural shapes are usually composed of thin-walled plate elements. Because the composite material has relatively low elastic moduli, the design of pultruded compression members may not be governed by the material strength limit state but by the stability limit state such as the local buckling or the global buckling. Therefore, the stability limit state must be checked to design pultruded columns. In this research, the local buckling analysis of pultruded I-shape column was conducted for various composite materials using the closed-form solution. To establish the design guidelines for the local buckling of pultruded I-shape compression members, the simplified form of equation to find the local buckling coefficient of pultruded I-shape column was proposed as a function of mechanical properties and the width ratio of plate components using the results obtainde by the closed-form solution. In order to verify the validity of proposed solution, the results obtained by the proposed approximate solution were compared with those of the closed-form solution and the experimental results.