• 대한수학회지
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• 제33권4호
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• pp.777-791
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• 1996

Let $S(R^d)$ be the Schwartz space of infinitely differentiable functions on $R^d$ which vanish at $\infty$ and $S'(R^d)$ be its dual space. The theory of stochastic differential equations(SDEs) governing processes that takes values in the dual of countably Hilbertian nuclear space such as $S'(R^d)$ studied by many authors(e.g [M],[KM]). Let M be a martingale measure defined by Walsh[W], then M can be considered as a $S'(R^d)$-valued process in a certain condition i.e. M has a version of $S'(R^d)$-valued martingale process. (See [W] for detailed discussion)

• 충청수학회지
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• 제28권1호
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• pp.109-117
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• 2015

We consider the relative entropy for two R-CGMY processes, which are CGMY processes with Y equal to 1, to choose an equivalent martingale measure (EMM) when the underlying asset of a derivative follows a R-CGMY process in the financial market. Since the R-CGMY process leads to an incomplete market, we have to use a proper technique to choose an EMM among a variety of EMMs. In this paper, we derive the closed form expression of the relative entropy for R-CGMY processes.

• 응용통계연구
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• 제25권5호
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• pp.757-773
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• 2012

Traditional value at risk(S-VaR) has a difficulity in predicting the future risk of financial asset prices since S-VaR is a backward looking measure based on the historical data of the underlying asset prices. In order to resolve the deficiency of S-VaR, an economic value at risk(E-VaR) using the risk neutral probability distributions is suggested since E-VaR is a forward looking measure based on the option price data. In this study E-VaR is estimated by assuming the generalized gamma distribution(GGD) as risk neutral density function which is implied in the option. The estimated E-VaR with GGD was compared with E-VaR estimates under the Black-Scholes model, two-lognormal mixture distribution, generalized extreme value distribution and S-VaR estimates under the normal distribution and GARCH(1, 1) model, respectively. The option market data of the KOSPI 200 index are used in order to compare the performances of the above VaR estimates. The results of the empirical analysis show that GGD seems to have a tendency to estimate VaR conservatively; however, GGD is superior to other models in the overall sense.

• 한국수자원학회:학술대회논문집
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• 한국수자원학회 2015년도 학술발표회
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• pp.239-239
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• 2015

This study presents a bivariate extension of the goodness-of-fit measure for regional frequency distributions developed by Hosking and Wallis [1993] for use with the method of L-moments. Utilising the approximate joint normal distribution of the regional L-skewness and L-kurtosis, a graphical representation of the confidence region on the L-moment diagram can be constructed as an ellipsoid. Candidate distributions can then be accepted where the corresponding the oretical relationship between the L-skewness and L-kurtosis intersects the confidence region, and the chosen distribution would be the one that minimises the Mahalanobis distance measure. Based on a set of Monte Carlo simulations it is demonstrated that the new bivariate measure generally selects the true population distribution more frequently than the original method. An R-code implementation of the method is available for download free-of-charge from the GitHub code depository and will be demonstrated on a case study of annual maximum series of peak flow data from a homogeneous region in Italy.

• 한국수학사학회지
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• 제17권2호
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• pp.85-96
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• 2004

본 연구에서 카오스 모형을 직접적으로 검정하기 위한 표준적인 기법 중의 하나인 R/S 분석(resealed range statistical analysis)과 허스트 지수를 'sinusoid' 패턴 평가하는 데 적용하였다. 이는 다소 잡음이 섞여 있으면서 동시에 준주기 성향을 갖는 시계열자료에 대해서 허스트 지수가 이를 간접적으로 평가 할 수 있는 측도(measure)로 활용될 수 있음을 논하였다.

• 대한수학회논문집
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• 제10권1호
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• pp.207-213
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• 1995

Let $(\Omega, F, P)$ be a probability space with F a $\sigma$-algebra of subsets of the measure space $\Omega$ and P a probability measure on $\Omega$. Suppose $a > 0$ and let $(F_t)_{t \in [0,a]}$ be an increasing family of sub-$\sigma$-algebras of F. If $r > 0$, let $J = [-r,0]$ and $C(J, R^n)$ the Banach space of all continuous paths $\gamma : J \to R^n$ with the sup-norm $\Vert \gamma \Vert = sup_{s \in J}$\mid$\gamma(s)$\mid$$ where $$\mid$\cdot$\mid$$ denotes the Euclidean norm on $R^n$. Let E,F be separable real Banach spaces and L(E,F) be the Banach space of all continuous linear maps $T : E \to F$.

• 산업공학
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• 제25권3호
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• pp.290-299
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• 2012

Keystroke dynamics refers to a way of typing a string of characters. Since one has his/her own typing behavior, one's keystroke dynamics can be used as a distinctive biometric feature for user authentication. In this paper, two authentication algorithms based on keystroke dynamics of long and free texts are proposed. The first is the K-S score, which is based on the Kolmogorov-Smirnov test, and the second is the 'R-A' measure, which combines 'R' and 'A' measures proposed by Gunetti and Picardi (2005). In order to verify the authentication performance of the proposed algorithms, we collected more than 3,000 key latencies from 34 subjects in Korean and 35 subjects in English. Compared with three benchmark algorithms, we found that the K-S score was outstanding when the reference and test key latencies were not sufficient, while the 'R-A' measure was the best when enough reference and test key latencies were provided.

• Journal of applied mathematics & informatics
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• 제7권2호
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• pp.673-683
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• 2000

We define the centered-net covering and the centered-net parking measure and then show that the regular sets induced by the two centered measures are equal for $C{\frac}{\delta}{R}$ almost everywhere.

• 대한수학회논문집
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• 제22권1호
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• pp.65-74
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• 2007

Suppose that $\mu$ is a finite positive Borel measure on bounded symmetric domain $\Omega{\subset}\mathbb{C}^n\;and\;\nu$ is the Euclidean volume measure such that $\nu(\Omega)=1$. Suppose 1 < p < $\infty$ and r > 0. In this paper, we will show that the norms $sup\{\int_\Omega{\mid}k_z(w)\mid^2d\mu(w)\;:\;z\in\Omega\}$, $sup\{\int_\Omega{\mid}h(w)\mid^pd\mu(w)/\int_\Omega{\mid}h(w)^pd\nu(w)\;:\;h{\in}L_a^p(\Omega,d\nu),\;h\neq0\}$ and $$sup\{\frac{\mu(E(z,r))}{\nu(E(z,r))}\;:\;z\in\Omega\}$$ are are all equivalent. We will also show that the inclusion mapping $ip\;:\;L_a^p(\Omega,d\nu){\rightarrow}L^p(\Omega,d\mu)$ is compact if and only if lim $w\rightarrow\partial\Omega\frac{\mu(E(w,r))}{\nu(E(w,r))}=0$.

• Kyungpook Mathematical Journal
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• 제52권4호
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• pp.413-431
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• 2012

Let $C^r[0,t]$ be the function space of the vector-valued continuous paths $x:[0,t]{\rightarrow}\mathbb{R}^r$ and define $X_t:C^r[0,t]{\rightarrow}\mathbb{R}^{(n+1)r}$ and $Y_t:C^r[0,t]{\rightarrow}\mathbb{R}^{nr}$ by $X_t(x)=(x(t_0),\;x(t_1),\;{\cdots},\;x(t_{n-1}),\;x(t_n))$ and $Y_t(x)=(x(t_0),\;x(t_1),\;{\cdots},\;x(t_{n-1}))$, respectively, where $0=t_0$ < $t_1$ < ${\cdots}$ < $t_n=t$. In the present paper, using two simple formulas for the conditional expectations over $C^r[0,t]$ with the conditioning functions $X_t$ and $Y_t$, we establish evaluation formulas for the analogue of the conditional analytic Fourier-Feynman transform for the function of the form $${\exp}\{{\int_o}^t{\theta}(s,\;x(s))\;d{\eta}(s)\}{\psi}(x(t)),\;x{\in}C^r[0,t]$$ where ${\eta}$ is a complex Borel measure on [0, t] and both ${\theta}(s,{\cdot})$ and ${\psi}$ are the Fourier-Stieltjes transforms of the complex Borel measures on $\mathbb{R}^r$.