• Journal of computational fluids engineering
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• v.3 no.1
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• pp.11-21
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• 1998

A vorticity-based method for the numerical solution of the two-dimensional incompressible Navier-Stokes equations is presented. The governing equations for vorticity, velocity and pressure variables are expressed in an integro-differential form. The global coupling between the vorticity and the pressure boundary conditions is fully considered in an iterative procedure when numerical schemes are employed. The finite volume method of the second order TVD scheme is implemented to integrate the vorticity transport equation with the dynamic vorticity boundary condition. The velocity field is obtained by using the Biot-Savart integral. The Green's scalar identity is used to solve the total pressure in an integral approach similar to the surface panel methods which have been well established for potential flow analysis. The present formulation is validated by comparison with data from the literature for the two-dimensional cavity flow driven by shear in a square cavity. We take two types of the cavity now: (ⅰ) driven by non-uniform shear on top lid and body forces for which the exact solution exists, and (ⅱ) driven only by uniform shear (of the classical type).

• Smart Structures and Systems
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• v.26 no.2
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• pp.213-226
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• 2020

In this manuscript, static and dynamic behaviors of geometrically imperfect carbon nanotubes (CNTs) subject to different types of end conditions are investigated. The Doublet Mechanics (DM) theory, which is length scale dependent theory, is used in the analysis. The Euler-Bernoulli kinematic and nonlinear mid-plane stretching effect are considered through analysis. The governing equation of imperfect CNTs is a sixth order nonlinear integro-partial-differential equation. The buckling problem is discretized via the differential-integral-quadrature method (DIQM) and then it is solved using Newton's method. The equation of linear vibration problem is discretized using DIQM and then solved as a linear eigenvalue problem to get natural frequencies and corresponding mode shapes. The DIQM results are compared with analytical ones available in the literature and excellent agreement is obtained. The numerical results are depicted to illustrate the influence of length scale parameter, imperfection amplitude and shear foundation constant on critical buckling load, post-buckling configuration and linear vibration behavior. The current model is effective in designing of NEMS, nano-sensor and nano-actuator manufactured by CNTs.

• Journal of Korean Institute of Industrial Engineers
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• v.38 no.4
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• pp.249-253
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• 2012

This paper suggests a numerical method for valuation of American options under the Kou model (double exponential jump diffusion model). The method is based on approximation of underlying asset price using a finite-state, time-homogeneous Markov chain. We examine the effectiveness of the proposed method with simulation results, which are compared with those from the conventional numerical method, the finite difference method for PIDE (partial integro-differential equation).

• Journal of the Korean Mathematical Society
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• v.43 no.2
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• pp.383-398
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• 2006

We consider a geometric Levy process for an underlying asset. We prove first that the option price is the unique solution of certain integro-differential equation without assuming differentiability and boundedness of derivatives of the payoff function. Second result is to provide convergence rate for option prices when the small jumps are removed from the Levy process.

• Journal of the Korean Data and Information Science Society
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• v.23 no.6
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• pp.1289-1297
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• 2012

We consider a general compound Poisson risk model in which the premium rate is surplus dependent. We analyze the joint distribution of the surplus immediately before ruin, the deffcit at ruin and the time of ruin by solving the integro-differential equation for the Gerber-Shiu discounted penalty function.

• Korean Journal of Mathematics
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• v.13 no.2
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• pp.161-176
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• 2005

We consider a model of population dynamics whose mortality function is unbounded. We note that the regularity of the solution depends on the growth rate of the mortality near the maximum age. We propose Gauss-Legendre methods along the characteristics to approximate the solution when the solution is smooth enough. It is proven that the scheme is convergent at fourth-order rate in the maximum norm. We also propose discontinuous Galerkin finite element methods to approximate the solution which is not smooth enough. The stability of the method is discussed. Several numerical examples are presented.

• Journal of the Chungcheong Mathematical Society
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• v.29 no.3
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• pp.503-508
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• 2016

We propose a number of finite difference methods for the prices of a European option under the CGMY model. These numerical methods to solve a partial integro-differential equation (PIDE) are based on three time levels in order to avoid fixed point iterations arising from an integral operator. Numerical simulations are carried out to compare these methods with each other for pricing the European option under the CGMY model.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.1 no.1
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• pp.83-104
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• 1997

This paper studies parameter estimation for a first-order hyperbolic integro-differential equation modelling one-sex population dynamics. A second-order finite difference scheme is used to estimate parameters such as the age-specific death-rate and the age-specific fertility from fully discrete observations on the population. The function space parameter estimation convergence of this scheme is proved. Also, numerical simulations are performed.

• Communications of the Korean Mathematical Society
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• v.18 no.4
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• pp.767-779
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• 2003

We consider a model of population dynamics whose mortality function is unbounded. We approximate the solution of the model using a discontinuous Galerkin finite element for the age variable and a backward Euler for the time variable. We present several numerical examples. It is experimentally shown that the scheme converges at the rate of $h^{3/2}$ in the case of piecewise linear polynomial space.

• Journal of the Chungcheong Mathematical Society
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• v.34 no.2
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• pp.169-180
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• 2021

This paper investigates the time-inconsistent agent's optimal consumption and investment problem under inflation risk. The agents' discount factor is governed by hyperbolic discounting, which has a random time to change. We impose the inflation risk which plays a crucial role in long-term financial planning. We derive the semi-analytic solution to the problem of sophisticated agents when the time horizon is finite.