• Journal of applied mathematics & informatics
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• v.17 no.1_2_3
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• pp.519-536
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• 2005

The purpose of this paper is to propose several approximating methods to obtain the American option prices under jump-diffusion processes. The first method is to extend an approximating method to the optimal exercise boundary by a multipiece exponential function suggested by Ju [17]. The second approach is to modify the analytical methods of MacMillan [20] and Zhang [25] in a discrete time space. The third approach is to apply the simulation technique of Ibanez and Zapareto [14] to the problem of American option pricing when the jumps are allowed. Finally, we compare the numerical performance of each suggesting method with those of the previous numerical approaches.

• Steel and Composite Structures
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• v.3 no.2
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• pp.141-152
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• 2003

The ski jump in Innsbruck known for the famous annual New Year "Four-ski-jump-tournament" has been fully renewed. The original jumping tower (built for the 1976 Olympic winter games) was fully pulled down and a new landmark similar to a lighthouse has been erected located on a small hill at the border of the city. Zaha Hadid(London) won the international architectural competition for this significant building. The constructional realisation has been ordered from Aste Konstruktion and has been finally honoured with the Austrian state award for consulting 2002. After a very strict timetable the building was already handed restaurant at the top.

• Transactions of the Korean Society of Mechanical Engineers B
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• v.22 no.1
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• pp.1-11
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• 1998

For the analysis of phonon heat transfer within short time and spatial scales, conventional macroscopic heat conduction equations with jump boundary conditions are tried and the results are compared to those of equation of phonon radiative transport(EPRT), which is one of microscopic transport equation. In transient state the macroscopic temperatures show far different behavior from EPRT. In steady state the hyperbolic temperatures with temperature jump at the wall from time relaxation model agrees well with EPRT temperatures. Since EPRT is also an approximate form of microscopic transport equation and there are no experimental results to verify the proposed model in this study, we can not conclude whether the approaching method from this study is valid or not. To the authors' knowledge, there are no experimental results available which can be used to test the validity of these models. Such an experiment, while difficult to conduct, would be invaluable.

• Proceedings of the KIEE Conference
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• 2006.04b
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• pp.244-246
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• 2006

This paper deals with an analysis of SCR thyristor switching pattern for a power quality disturbance generator with phase jump function. The proposed generator can be applied to the performance test of custom power devices. Voltage sag, swell, outage, unbalance and phase jump after outage are provided by the generator. The phase jump operating principle of the generator is described and analysed. Especially, a proper switching of the SCR thyristors for the proposed generator is important to guarantee the system reliability. Therefore the switching patterns for the thyristors in each made were analysed.

• The Korean Journal of Applied Statistics
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• v.23 no.6
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• pp.1245-1253
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• 2010

There are two main approaches for estimating the discontinuous regression function nonparametrically. One is the direct approach, the other is the indirect approach. The major goal of the two approaches are different. The direct approach focuses on the overall good estimation of the regression function itself, whereas the indirect approach focuses on the good estimation of jump locations. Apparently, the two approaches are quite different in nature. Gijbels et al. (2007) argue that the comparison of two approaches does not make much sense and that it is even difficult to choose an appropriate criterion for comparisons. However, it is obvious that the indirect approach also has the regression curve estimate as the subsidiary result. Therefore it is necessary to verify the appropriateness of the indirect approach as the estimator of the discontinuous regression function itself. Park (2009a) compared the performance of two approaches through a simulation study. In this paper, we consider a more general case and draw some useful conclusions.

• Proceedings of the KIEE Conference
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• 2006.10d
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• pp.146-148
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• 2006

This paper deals with a simple structured power quality disturbance generator for nonlinear load devices. The proposed generator can be applied to the performance test of custom power devices. Voltage sag, swell, outage, unbalance and phase jump after outage are provided by the generator. The improving phase jump operating principle of the generator is described and analysed. The usefulness of the generator is verified through simulation.

• Progress in Superconductivity
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• v.9 no.1
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• pp.11-17
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• 2007

Magnetization studies have been carried out on $MgB_2$ polycrystalline samples in the temperature range of 5 - 44 K and in the magnetic field up to 7 Tesla. The critical current density was calculated from hysteresis loops using the Bean's critical state model, and the highest value of $J_c$ at 20 K was $2.7{\times}10^5\;A/cm^2$ at 2 Tesla. The hysteresis loops were carefully examined to determine the temperature and magnetic field range where flux jumps appeared. The first jump occurred typically at 1 Tesla. Due to the strong pinning, we observed the presence of flux jump below H = 1 Tesla at temperature below 30 K.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.19 no.1
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• pp.23-45
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• 2015

We consider counterparty risk in CDS rates. To do so, we use a multivariate jump diffusion process for obligors' default intensity, where jumps (i.e. magnitude of contribution of primary events to default intensities) occur simultaneously and their sizes are dependent. For these simultaneous jumps and their sizes, a homogeneous Poisson process. We apply copula-dependent default intensities of multivariate Cox process to derive the joint Laplace transform that provides us with joint survival/default probability and other relevant joint probabilities. For that purpose, the piecewise deterministic Markov process (PDMP) theory developed in [7] and the martingale methodology in [6] are used. We compute survival/default probability using three copulas, which are Farlie-Gumbel-Morgenstern (FGM), Gaussian and Student-t copulas, with exponential marginal distributions. We then apply the results to calculate CDS rates assuming deterministic rate of interest and recovery rate. We also conduct sensitivity analysis for the CDS rates by changing the relevant parameters and provide their figures.

• Structural Engineering and Mechanics
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• v.62 no.3
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• pp.259-272
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• 2017

In this study, recently developed swarm intelligence algorithm called Social Spider Optimization (SSO) approach and its enhanced version of SSO algorithm with spider jump techniques is used to develop a structural optimization technique for steel space structures. The improved version of SSO uses adaptive randomness probability in generating new solutions. The objective function of the design optimization problem is taken as the weight of a steel space structure. Constraints' functions are implemented from American Institute of Steel Construction-Load Resistance factor design (AISC-LRFD) and Ad Hoc Committee report and practice which cover strength, serviceability and geometric requirements. Three steel space structures are optimized using both standard SSO and SSO with spider jump (SSO_SJ) algorithms and the results are compared with those available in the literature in order to investigate the performance of the proposed algorithms.

• Journal of Electrical Engineering and information Science
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• v.3 no.3
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• pp.373-384
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• 1998

This paper presents a maneuvering target model with the maneuver dynamics modeled as a jump process of Poisson-type. The jump process represents the deterministic maneuver(or pilot commands) and is described by a stochastic differential equation driven by a Poisson process taking values a set of discrete states. Employing the new maneuver model along with the noisy observations described by linear difference equations, the author has developed a new linear, recursive, unbiased minimum variance filter, which is structurally simple, computationally efficient, and hence real-time implementable. Futhermore, the proposed filter does not involve a computationally burdensome technique to compute the filter gains and corresponding covariance matrices and still be able to track effectively a fast maneuvering target. The performance of the proposed filter is assessed through the numerical results generated from the Monte-Carlo simulation.