• 경영과학
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• 제33권1호
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• pp.77-87
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• 2016

I study optimal consumption and investment choices of an infinitely-lived economic agent with a general time-separable von Neumann-Morgenstern utility under general borrowing constraints against future labor income. An explicit solution is provided by the dynamic programming method. It is shown that the optimal consumption and risky investment decrease as the borrowing constraints become stronger.

• Structural Engineering and Mechanics
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• 제28권3호
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• pp.281-294
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• 2008

In this paper, linear elastic isotropic structures under the effects of both stochastic operators and stochastic excitations are studied. The analysis utilizes the spectral stochastic finite elements (SSFEM) with its two main expansions namely; Neumann and Homogeneous Chaos expansions. The random excitation and the random operator fields are assumed to be second order stochastic processes. The formulations are obtained for the system solution of the two dimensional problems of plane strain and plate bending structures under stochastic loading and relevant rigidity using the previously mentioned expansions. Two finite element programs were developed to incorporate such formulations. Two illustrative examples are introduced: the first is a reinforced concrete culvert with stochastic rigidity subjected to a stochastic load where the culvert is modeled as plane strain problem. The second example is a simply supported square reinforced concrete slab subjected to out of plane loading in which the slab flexural rigidity and the applied load are considered stochastic. In each of the two examples, the first two statistical moments of displacement are evaluated using both expansions. The probability density function of the structure response of each problem is obtained using Homogeneous Chaos expansion.

• Journal of applied mathematics & informatics
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• 제40권3_4호
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• pp.675-694
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• 2022

In this article, we investigate the solution of the inverse problem for one dimensional heat equation with Neumann and Robin boundary conditions, that is, we determine the temperature and source term with given initial and boundary conditions. Three radial basis functions(RBFs) have been used for numerical solution, and Homotopy perturbation method for analytic solution. Numerical solutions which are obtained by considering each of the three RBFs are compared to the exact solution. For appropriate value of shape parameter c, numerical solutions best approximates exact solutions. Furthermore, we have shown the impact of noisy data on the numerical solution of u and f.

• 대한기계학회논문집
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• 제14권1호
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• pp.189-196
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• 1990

본 연구에서는 THOMPSON의 방법과는 달리 경계에서 부여된 metric scale fac- tor에 의해서 동적으로 제어되는 제어함수법과 경계에서 Neumann조건을 적용하여, 제 어함수와 비직교성의 문제를 해결하는 새로운 방법을 소개하고, 3차원 단연결영역(si- mply-conneted region)의 실제적이고 관심있는 영역, 즉, 축대칭 물체(axisymmetric body), 익형 물체(wing body), 확대 곡관(diffusing curved duct), 90도 곡관(90 deg. elbow turn)에 대하여 격자생성을 하였다.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• 제18권4호
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• pp.283-294
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• 2014

In this paper we study consumption-labor supply decision of an agent who prepares for retirement at a known time in the future. The agent is assumed to have a preference which is represented by the von Neumann-Morgenstern utility function in which the felicity function has constant relative risk aversion over the composite of consumption and leisure. The composite is obtained by the Cobb-Douglas function. A general problem has been studied by Bodie et al. (2004). We contribute to the literature by deriving the Slutsky equations and conducting comparative statics. In particular, we show that wealth effect can exhibit an interesting property depending upon the time until retirement, as the interest rate increases.

• 호남수학학술지
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• 제31권4호
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• pp.579-590
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• 2009

The precise form of singular functions, singular function representation and the extraction form for the stress intensity factor play an important role in the singular function methods to deal with the domain singularities for the Poisson problems with most common boundary conditions, e.q. Dirichlet or Mixed boundary condition [2, 4]. In this paper we give an elementary step to get the singular functions of the solution for Poisson problem with Neumann boundary condition or Robin boundary condition. We also give singular function representation and the extraction form for the stress intensity with a result showing the number of singular functions depending on the boundary conditions.

• 한국통계학회:학술대회논문집
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• 한국통계학회 2003년도 춘계 학술발표회 논문집
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• pp.43-48
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• 2003

We consider a consumption and investment problem where an investor's investment opportunity gets enlarged when she becomes rich enough, i.e., when her wealth touches a critical level. We derive optimal consumption and investment rules assuming that the investor has a time-separable von Neumann-Morgenstern utility function. An interesting feature of optimal rules is that the investor consumes less and takes more risk in risky assets if the investor expects that she will have a better investment opportunity when her wealth reaches a critical level.

• Structural Engineering and Mechanics
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• 제28권2호
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• pp.129-152
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• 2008

This paper considers the solution of the stochastic differential equations (SDEs) with random operator and/or random excitation using the spectral SFEM. The random system parameters (involved in the operator) and the random excitations are modeled as second order stochastic processes defined only by their means and covariance functions. All random fields dealt with in this paper are continuous and do not have known explicit forms dependent on the spatial dimension. This fact makes the usage of the finite element (FE) analysis be difficult. Relying on the spectral properties of the covariance function, the Karhunen-Loeve expansion is used to represent these processes to overcome this difficulty. Then, a spectral approximation for the stochastic response (solution) of the SDE is obtained based on the implementation of the concept of generalized inverse defined by the Neumann expansion. This leads to an explicit expression for the solution process as a multivariate polynomial functional of a set of uncorrelated random variables that enables us to compute the statistical moments of the solution vector. To check the validity of this method, two applications are introduced which are, randomly loaded simply supported reinforced concrete beam and reinforced concrete cantilever beam with random bending rigidity. Finally, a more general application, randomly loaded simply supported reinforced concrete beam with random bending rigidity, is presented to illustrate the method.

• 대한수학회논문집
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• 제33권2호
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• pp.409-421
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• 2018

Let X be a complex manifold of dimension n $n{\geqslant}2$ and let ${\Omega}{\Subset}X$ be a weakly q-convex domain with smooth boundary. Assume that E is a holomorphic line bundle over X and $E^{{\otimes}m}$ is the m-times tensor product of E for positive integer m. If there exists a strongly plurisubharmonic function on a neighborhood of $b{\Omega}$, then we solve the ${\bar{\partial}}$-problem with support condition in ${\Omega}$ for forms of type (r, s), $s{\geqslant}q$ with values in $E^{{\otimes}m}$. Moreover, the solvability of the ${\bar{\partial}}_b$-problem on boundaries of weakly q-convex domains with smooth boundary in $K{\ddot{a}}hler$ manifolds are given. Furthermore, we shall establish an extension theorem for the ${\bar{\partial}}_b$-closed forms.

• 대한수학회논문집
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• 제23권1호
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• pp.81-93
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• 2008

In [3, 9], using the theory of noncommutative Dirichlet forms in the sense of Cipriani [6] and the symmetric embedding map, authors constructed the KMS-symmetric Markovian semigroup $\{S_t\}_{t{\geq}0}$ on a von Neumann algebra $\cal{M}$ with an admissible function f and an operator $x\;{\in}\;{\cal{M}}$. We give a sufficient and necessary condition for x so that the semigroup $\{S_t\}_{t{\geq}0}$ acts separately on diagonal and off-diagonal operators with respect to a basis and study some results.