• Structural Monitoring and Maintenance
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• v.7 no.3
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• pp.195-213
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• 2020

In this paper an extension to the method for the identification of mechanical parameters of nonlinear systems proposed in Breccolotti and Materazzi (2007) for MDoF systems is presented. It can be used for damage identification purposes when damage modifies the linear characteristics of the investigated structure. It is based on the following two main features: the solution of the Fokker-Planck equation that describes the response probabilistic properties of the system when it is excited by external Gaussian loads; and a model updating technique that minimizes the differences between the response of the actual system and that of a parametric system used to identify the unknown parameters. Numerical analysis, that simulate virtual experimental tests, are used in the paper to show the capabilities of the method and to analyse the conditions required for its application.

• Journal of The Korean Astronomical Society
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• v.40 no.4
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• pp.91-97
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• 2007

The Fokker-Planck (FP) model is one of the commonly used methods for studies of the dynamical evolution of dense spherical stellar systems such as globular clusters and galactic nuclei. The FP model is numerically stable in most cases, but we find that it encounters numerical difficulties rather often when the effects of tidal shocks are included in two-dimensional (energy and angular momentum space) version of the FP model or when the initial condition is extreme (e.g., a very large cluster mass and a small cluster radius). To avoid such a problem, we have developed a new integration scheme for a two-dimensional FP equation by adopting an Alternating Direction Implicit (ADI) method given in the Douglas-Rachford split form. We find that our ADI method reduces the computing time by a factor of ${\sim}2$ compared to the fully implicit method, and resolves problems of numerical instability.

• Proceedings of the Korean Nuclear Society Conference
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• 2001.05a
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• pp.59.2-59
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• 2001

• Proceedings of the Korean Nuclear Society Conference
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• 2001.10a
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• pp.53.2-53
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• 2001

• Journal of the Computational Structural Engineering Institute of Korea
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• v.17 no.1
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• pp.83-91
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• 2004

Nonlinear system responses of an impact system under randomly perturbed harmonic excitations are predicted in the probability domain by adopting the semi-analytical procedure previously developed. The semi-analytical procedure is obtained by solving the Fokker-Planck equation corresponding to the stochastic differential equation of the given impact system by utilizing the path-integral solution. The evolutionary joint probability density functions are generated by using the method, and the characteristics of nonlinear dynamic response behaviors of the system are examined. Noise effects on the responses are also examined. It Is found that the semi-analytical method can provides the accurate information of the responses via the joint probability functions for the impact system. It is found that the noises weaken and eventually terminate the chaos in the responses, but it is also found that the chaotic signatures reside in the presence of the external noise with relatively high intensity. The joint probability density function shows that the ensemble of the system responses are weakly stationary.

• Journal of KSNVE
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• v.8 no.3
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• pp.408-419
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• 1998

Dynamic characteristics are investigated when a nonlinear system showing periodic and chaotic responses under harmonic excitation is exposed to random perturbation. Approach for both qulitative and quantitative analysis of the noise effect in a nonlinear system under harmonic excitation is presented. For the qualitative analysis, Lyapunov exponents are calculated and Poincar map is illustrated. For the quatitative analysis. Fokker-Planck equatin is solved numerical by means of a Path-integral solution procedure. Eigenvalue problem obtained from the numerical caculation is solved and the relation of eigenvalue, eigenvector and chaotic motion is investigated.

• Proceedings of the Korea Water Resources Association Conference
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• 2009.05a
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• pp.52-56
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• 2009

In this study a dynamic modeling scheme is presented to derive the probabilistic structure of soil water and plant water stress when subject to stochastic precipitation conditions. The newly developed model has the form of the Fokker-Planck equation, and its applicability as a model for the probabilistic evolution of the soil water and plant water stress is investigated under climate change scenarios. This model is based on the cumulant expansion theory, and has the advantage of providing the probabilistic solution in the form of probability distribution function (PDF), from which one can obtain the ensemble average behavior of the dynamics. The simulation result of soil water confirms that the proposed soil water model can properly reproduce the results obtained from observations, and it also proves that the soil water behaves with consistent cycle based on the precipitation pattern. The plant water stress simulation, also, shows two different PDF patterns according to the precipitation. Moreover, with all the simulation results with climate change scenarios, it can be concluded that the future soil water and plant water stress dynamics will differently behave with different climate change scenarios.

• Journal of Korean Society on Water Environment
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• v.25 no.4
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• pp.507-514
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• 2009

In this study, a dynamic modeling scheme is presented to describe the probabilistic structure of soil water and plant water stress index under stochastic precipitation conditions. The proposed model has the form of the Fokker-Planck equation, and its applicability as a model for the probabilistic evolution of the soil water and plant water stress index is investigated under a climate change scenario. The simulation results of soil water confirm that the proposed soil water model can properly reproduce the observations and show that the soil water behaves with consistent cycle based on the precipitation pattern. The simulation results of plant water stress index show two different PDF patterns according to the precipitation. The simple impact assessment of climate change to soil water and plant water stress is discussed with Korean Meteorological Administration regional climate model.

• Korean Journal of Mathematics
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• v.23 no.1
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• pp.81-91
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• 2015

This paper is about the local volatility for the price of a European quanto call option. We derive the explicit formula of the local volatility with constant foreign and domestic interest rates by adapting the methods of Dupire and Derman & Kani. Furthermore, we obtain the Dupire equation for the local volatility with stochastic interest rates.

• Bulletin of the Korean Chemical Society
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• v.14 no.1
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• pp.95-100
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• 1993

A noise-induced transition is presented for a bistable system subjected to a multiplicative random force, which is singular at the unstable state. The stationary probability distribution is obtained from the Fokker-Planck equation and the effects of the singularity is analyzed. On the basis of noise-induced phase transition with Gaussian white noise, the relaxation time and the transition rate of the system are evaluated up to the first order correction of D. In the parameter region v < l, the transition rates decrease as the exponent v goes to 1 and as the coefficient of the linear term of the kinetic equation increases.