• Journal of the Korean Mathematical Society
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• v.38 no.5
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• pp.1047-1059
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• 2001

The classical Geometric Brownian motion (GBM) model for the price of a risky asset, from which the huge financial derivatives industry has developed, stipulates that the log returns are iid Gaussian. however, typical log returns data show a distribution with much higher peaks and heavier tails than the Gaussian as well as evidence of strong and persistent dependence. In this paper we describe a simple replacement for GBM, a fractal activity time Geometric Brownian motion (FATGBM) model based on fractal activity time which readily explains these observed features in the data. Consequences of the model are explained, and examples are given to illustrate how the self-similar scaling properties of the activity time check out in practice.

• Bulletin of the Korean Chemical Society
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• v.30 no.9
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• pp.2027-2031
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• 2009

The synthesis of a new series of diarylureas and amides having a 1-substituted-3-(3-chloro-5-methoxyphenyl)-4- pyridinylpyrazole scaffold is reported here. The in vitro antiproliferative activities of these diaryl derivatives against human melanoma cell line A375 were tested and the effect of substituents on the phenyl ring was investigated. Most of the newly synthesized compounds generally showed superior or similiar activity against A375 to Sorafenib. Among these compounds, IId, IIg and IIh showed excellent activity against A375 compared to Sorafenib.

• Journal of the Korean Statistical Society
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• v.35 no.4
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• pp.453-458
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• 2006

It is well known fact for the iid data that the limiting standard errors of sample autocorrelations are all unity for all time lags and they are asymptotically independent for different lags (Brockwell and Davis, 1991). It is also usual practice in time series modeling that this fact continues to be valid for white noise series which is a sequence of uncorrelated random variables. This paper contradicts this usual practice for white noise. We consider a sequence of martingale differences which belongs to white noise time series and derive exact joint asymptotic distributions of sample autocorrelations. Some implications of the result are illustrated for conditionally heteroscedastic time series.

• Communications of the Korean Mathematical Society
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• v.17 no.4
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• pp.719-729
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• 2002

Consider the random n $\times$ m assignment problem with m $\geq$ $_{i,j}$ Let $u_{i,j}$ be iid uniform random variables on [0, 1] and exponential random variables with mean 1, respectively, and let $U_{n, m}$ and $T_{n, m}$ denote the optimal assignment costs corresponding to $u_{i, j}$ and $t_{i, j}$. In this paper we first give a comparison result about the discrepancy E $T_{n, m}$ -E $U_{n, m}$. Using this comparison result with a known lower bound for Var( $T_{n, m}$) we obtains a lower bound for Var( $U_{n, m}$). Finally, we study the way that E $U_{n, m}$ and E $T_{n, m}$ vary as m does. It turns out that only when m - n is large enough, the cost decreases significantly.tly.

• Journal of Korean Institute of Industrial Engineers
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• v.5 no.1
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• pp.59-66
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• 1979

The objective of this paper is to develop a stochastic inventory system model under the so-called continuous-review policy with a Poisson one-at-a-time demand process, iid customer inter-arrival times {Xi}, backorders allowed, and constant procurement lead time $\gamma$. The distributions of the so-called inventory position process {$IP_{(t-r)}$} and lead time demand process {$D_{(t-r,t)}$} are formulated in terms of cumulative demand by time t, {$N_t$}. Then, for the long-run expected average annual inventory cost expression, the "ensemble" average is estimated, where the cost variations for stock ordering, holding and backorders are considered stationary.

• Journal of the Korean Operations Research and Management Science Society
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• v.27 no.3
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• pp.59-74
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• 2002

This study investigates two basic operations of mobility management of PCNs (Personal Communication Networks), i.e., the location update and the paging of the mobile terminal. From the realistic consideration that a user either moves through several cells consecutively or stays in a cell with long time, we model the mobility pattern by introducing two types of CRT (Cell Residence Time). Mobility patterns of the mobile terminal are classified Into various ways by using the ratios of two types of CRT. Cost analysis is performed for distance-based and movement-based location update schemes combined with blanket polling paging and selective paging scheme. It is demonstrated that in a certain condition of mobility pattern and call arrival pattern, 2-state CRT model produces different optimal threshold and so, is more effective than IID ( Independently-Identically-Distributed) CRT model. An analytical model for the new CRT model is compact and easily extendable to the other location update schemes.

• Communications of the Korean Mathematical Society
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• v.17 no.2
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• pp.321-330
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• 2002

Consider the random assignment (or bipartite matching) problem with iid uniform edge costs t(i, j). Let $A_{n}$ be the optimal assignment cost. Just recently does Aldous [2] give a rigorous proof that E $A_{n}$ longrightarrowζ(2). In this paper we establish the upper and lower bounds for Var $A_{n}$ , i.e., there exist two strictly positive but finite constants $C_1$ and $C_2$ such athat $C_1$ $n^{(-5}$2)/ (log n)$^{(-3}$2)/ $\leq$ Var $A_{n}$ $\leq$ $C_2$ $n^{-1}$ (log n)$^2$.EX>.

• Bulletin of the Korean Mathematical Society
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• v.40 no.2
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• pp.269-279
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• 2003

We prove an empirical LIL for the Kaplan-Meier integral process constructed from the random censorship model under bracketing entropy and mild assumptions due to censoring effects. The main method in deriving the empirical LIL is to use a weak convergence result of the sequential Kaplan-Meier integral process whose proofs appear in Bae and Kim [2]. Using the result of weak convergence, we translate the problem of the Kaplan Meier integral process into that of a Gaussian process. Finally we derive the result using an empirical LIL for the Gaussian process of Pisier [6] via a method adapted from Ossiander [5]. The result of this paper extends the empirical LIL for IID random variables to that of a random censorship model.

• Communications of the Korean Mathematical Society
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• v.25 no.2
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• pp.291-301
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• 2010

This paper consists of two main parts. Firstly, we introduce an evolving binomial process from a binomial stock model and consider various types of limiting behavior of the logarithm of the evolving binomial process. Among others we find that the logarithm of the binomial process converges weakly to a Gaussian process. Secondly, we provide new approaches for proving the limit theorems for an integral process motivated by the evolving binomial process. We provide a new proof for the uniform strong LLN for the integral process. We also provide a simple proof of the functional CLT by using a restriction of Bernstein inequality and a restricted chaining argument. We apply the functional CLT to derive the LIL for the IID random variables from that for Gaussian.

• Communications for Statistical Applications and Methods
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• v.6 no.1
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• pp.237-249
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• 1999

It has been issued that the irreconcilability of the classical test for a point null and standard Bayesian formulation for testing such a point null. The infimum of the posterior probability of the null hypothesis is used as measure of evidence against the null hypothesis in Bayesian approach; here the infimum is over the family of priors on the alternative hypotheses which includes all density that are a priori reasonable. For iid observations from a multivariate normal distribution in $\textit{p}$ dimensions with an unknown mean and a covariance matrix propotional to the Identity we consider the difference and the Wolfowitz distance of the distributions of the P-value and the lower bound of the posterior probability over the family of all normal priors. The Wolfowitz distance is interpreted as the average difference of the quantiles of the two distrbutions.