• Journal of computational fluids engineering
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• v.14 no.1
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• pp.86-95
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• 2009

A kinetic theory analysis is used to study the ultra-thin gas flow field in gas bearings. The Boltzmann equation simplified by a collision model is solved by means of a finite difference approximation with the discrete ordinate method. Calculations are made for flows inside micro-channels of backward-facing step, forward-facing step, and slider bearings. The results are compared well with those from the DSMC method. The present method does not suffer from statistical noise which is common in particle based methods and requires less computational effort.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.14 no.3
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• pp.175-187
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• 2010

This paper presents the numerical valuation of the two-asset step-down equitylinked securities (ELS) option by using the operator-splitting method (OSM). The ELS is one of the most popular financial options. The value of ELS option can be modeled by a modified Black-Scholes partial differential equation. However, regardless of whether there is a closedform solution, it is difficult and not efficient to evaluate the solution because such a solution would be represented by multiple integrations. Thus, a fast and accurate numerical algorithm is needed to value the price of the ELS option. This paper uses a finite difference method to discretize the governing equation and applies the OSM to solve the resulting discrete equations. The OSM is very robust and accurate in evaluating finite difference discretizations. We provide a detailed numerical algorithm and computational results showing the performance of the method for two underlying asset option pricing problems such as cash-or-nothing and stepdown ELS. Final option value of two-asset step-down ELS is obtained by a weighted average value using probability which is estimated by performing a MC simulation.

• Journal of the Korean Institute of Illuminating and Electrical Installation Engineers
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• v.18 no.4
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• pp.68-72
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• 2004

In this paper, the energy conversion theory of the linear actuator deals with the temperature characteristic analysis with verifying temperature of linear Actuator system This model of linear actuator has winding part and mechanical spring, and a plunger. This paper proposed and experimented the linear Actuator(LA) by using finite difference equation(FDE). The experimental result represented the temperature T1 and T2 which remarks Tl is a center of magnetic road inside of actuator winding part, and T2 is a surface of actuator winding part. And the temperature characteristic of the actuator winding part are experimented by the digital temperature meter TECPEL 322.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.19 no.1
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• pp.1-21
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• 2015

This paper presents two algorithms based on the Jamshidian equation which is from the Black-Scholes partial differential equation. The first algorithm is for American call options and the second one is for American put options. They compute numerically free boundary and then option price, iteratively, because the free boundary and the option price are coupled implicitly. By the upwind finite-difference scheme, we discretize the Jamshidian equation with respect to asset variable s and set up a linear system whose solution is an approximation to the option value. Using the property that the coefficient matrix of this linear system is an M-matrix, we prove several theorems in order to formulate a bisection method, which generates a sequence of intervals converging to the fixed interval containing the free boundary value with error bound h. These algorithms have the accuracy of O(k + h), where k and h are step sizes of variables t and s, respectively. We prove that they are unconditionally stable. We applied our algorithms for a series of numerical experiments and compared them with other algorithms. Our algorithms are efficient and applicable to options with such constraints as r > d, $r{\leq}d$, long-time or short-time maturity T.

• Journal of Korea Water Resources Association
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• v.37 no.11
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• pp.889-896
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• 2004

The fractal advection-diffusion equation (ADE) is a generalization of the classical AdE in which the second-order derivative is replaced with a fractal order derivative. While the fractal ADE have been analyzed with a stochastic process In the Fourier and Laplace space so far, in this study a fractal ADE for describing solute transport in rivers is derived with a finite difference scheme in the real space. This derivation with a finite difference scheme gives the hint how the fractal derivative order and fractal diffusion coefficient can be estimated physically In contrast to the classical ADE, the fractal ADE is expected to be able to provide solutions that resemble the highly skewed and heavy-tailed time-concentration distribution curves of contaminant plumes observed in rivers.

• Journal of the Korean Mathematical Society
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• v.58 no.3
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• pp.553-569
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• 2021

In this paper, we present and analyze a fully discrete numerical method for solving the time-fractional diffusion wave equation: ∂^β_tu - div(a∇u) = f, 1 < β < 2. We first construct a difference formula to approximate ∂^β_tu by using an interpolation of derivative type. The truncation error of this formula is of O(△t^2+δ-β)-order if function u(t) ∈ C^2,δ[0, T] where 0 ≤ δ ≤ 1 is the Hölder continuity index. This error order can come up to O(△t^3-β) if u(t) ∈ C³ [0, T]. Then, in combinination with the linear finite volume discretization on spatial domain, we give a fully discrete scheme for the fractional wave equation. We prove that the fully discrete scheme is unconditionally stable and the discrete solution admits the optimal error estimates in the H¹-norm and L₂-norm, respectively. Numerical examples are provided to verify the effectiveness of the proposed numerical method.

• Journal of the Korean Mathematical Society
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• v.38 no.3
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• pp.657-667
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• 2001

We propose a statistical interpolation approximate solution for a nonlinear stochastic integral equation of a stock price process. The proposed method has the order O(h$^2$) of local error under the weaker conditions of $\mu$ and $\sigma$ than those of Milstein' scheme.

• Journal of applied mathematics & informatics
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• v.7 no.1
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• pp.215-222
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• 2000

A multigrid algorithm is developed for solving the one- dimensional initial boundary value problem. The numerical solutions of linear and nonlinear Burgers; equation for various initial conditions are studied. The stability conditions are derived by Von -Neumann analysis . Numerical results are presented.

• Journal of applied mathematics & informatics
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• v.41 no.2
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• pp.439-448
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• 2023

We introduce several higher-order (p, q)-differential equation of which are related to (p, q)-Bernoulli polynomials. We also find some relations between (p, q)-Bernoulli, (p, q)-Euler, and (p, q)-Genocchi polynomials.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.13 no.3
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• pp.129-138
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• 1993

In this study, the applicability of finite analytic method (FAM) is studied by selecting linearized-Burgers equation and Burgers equation which have convective and diffusive behaviors as the model equation of Navier-Stokes equations and by comparing numerical solution of finite difference method (FDM) and finite analytic method. The results are as follows. It is shown that the convergence of FAM for steady-state analytic solution of linearized-Burgers equation and Burgers equation is better than that of FDM under the same criteria. Also the accuracy of FAM for transient solution of Burgers equation is excellent. Especially, it is shown that oscillation phenomenon due to dispersion errors which occur according to the choice of grid size in FDM does not occur in FAM at all. So, it can be thought that FAM is numerically very stable scheme, which is free from dispersion errors.