• East Asian mathematical journal
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• v.37 no.1
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• pp.79-85
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• 2021

In this paper, we investigate the valuation of vulnerable exchange option that has credit risk of option issuer. The reduced-form model is used to model credit risk. We assume that credit event is determined by the jump of the counting process with stochastic intensity, which follows the mean reverting process. We propose a simple approach to derive the closed-form pricing formula of vulnerable exchange option under the reduced-form model and provide the pricing formula as the standard normal cumulative function.

• Proceedings of the Korean Institute of Building Construction Conference
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• 2016.05a
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• pp.166-167
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• 2016

Unlike the past, supported by the development of digital technologies, free-form buildings are frequently designed with creative thoughts of architectural designers. However, there are some difficulties preventing successfully completion of projects, like reduced productivity and increased construction duration and cost upon the process of producing and installing concrete panels for free-form structures. In particular, there are active studies on the CNC machine for production of free-form concrete panels. Yet, it is difficult to effectively and easily come up with information on production and installation of free-form, curve-surfaced panels which are difficult to be mathematically defined. This requires a lot of manpower and time to implement the curved surfaces of free-form buildings as intended by architects. Accordingly, it needs a model that can effectively create production-installation data of free-form concrete panels for successful free-form building projects. Thus, the purpose of the study is to suggest data estimation model of production-installation using mathematical algorithm in free-form concrete panels. The study results will realize effective production and installation of free-form concrete members, allowing improved productivity of projects, reduced cost and shortened construction duration.

• 제어로봇시스템학회:학술대회논문집
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• 2001.10a
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• pp.110-110
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• 2001

By the state transformation including independent outputs functions, a nonlinear process model can be decomposed into two subsystems; the one(design model) is described in output variables as new states and used for control system synthesis and the other(disturbance model) is described in the original unavailable states and its couplings with the design model are treated as uncertain time-varying parameters in the design model. Its existence with respect to the design model is ignored. So, the design model is and uncertain time-variant system. Control synthesis based on a reduced design model is a combined form of a time-variant input-output linearization with parameter estimation. The parameter estimation is also based on the design model and it gives the parameter estimates such that the estimated outputs follow the actual outputs in a specified way. The disturbances form disturbance model and as well all the other uncertainties affecting the outputs will be reflected into the estimated parameters used in the linearizing control law.

• East Asian mathematical journal
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• v.37 no.5
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• pp.567-576
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• 2021

In this paper, we deal with the pricing of vulnerable power exchange option. We consider the hybrid model as the credit risk model. The hybrid model consists of a combination of the reduced-form model and the structural model. We derive the closed-form pricing formula of vulnerable power exchange option based on the change of measure technique.

• 제어로봇시스템학회:학술대회논문집
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• 1997.10a
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• pp.1766-1769
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• 1997

Fast and accurate distillation design requires a model that significantly reduces the problem size withour loss of accruacy is especially suitable for rela-time applicatoins. the reduced order model is obtained by use of Principal Component Anlysis(PCA). Then the extended Kalman filter and the Recursie Predictiuon Error(RPE) mehtod are appliced to identify the model parameters and the feed compostion form the measuremenets of the coumn. as a consequence it is found that the model reduction thechique can account for the dynamics of the rigorous distillation model and not only the model parameters, bu also the feed compostion can be identified efficiently. this technique is applied to industrial operation data verify the performance of reduced order model.

• 제어로봇시스템학회:학술대회논문집
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• 1989.10a
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• pp.367-371
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• 1989

A linear form of reduced-order distillation model is proposed, which contains the physical properties of distillation process and can be used in real time applications. The proposed model is linear in terms of liquid mole fraction and contains some tuning parameters. To verify the applicability of the proposed model, the model identification using nonlinear filtering techniques was applied. As a result, it was found that this model represented the simulated distillation process very closely as the parameters were converged.

• 한국기계연구소 소보
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• s.13
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• pp.87-98
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• 1984

An experimental study carried out to predict the performance characteristics of a high speed planing boat at the two displacements whose hull form shows hard chines form transom to bow. In the resistance test the planing hull model was porpoising at and above 30 knots for both displacements of 30 tons and 24 tons. A small stern wedge was newly designed and attached across hull bottom. The planing hull model with the stern sedge did not show any porpoising up to the speed of 45 knots for both displacements and it analysed results shows the improvement of resistance performance and planing performance comparing with those of original hull form; i.e. for displacement of 30 tons the effective power and trim angle were reduced by 18.9% and 5.71 degrees at the speed of 28 knots, and for the displacement of 24 tons the effective power and trim angle were reduced by 23.63% and 4.37 degrees at the speed of 28 knots, respectively.

• Fire Science and Engineering
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• v.17 no.2
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• pp.50-55
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• 2003

The lower flash points for the binary system, n-butanol+n-decane, were measured by Pensky-Martens closed cup tester. The experimental results showed the minimum in the flash point versus composition curve. The experimental data were compared with the values calculated by the reduced model under an ideal solution assumption and the flash point-prediction models based on the Van Laar and Wilson equations. The predictive curve based upon the reduced model deviated form the experimental data for this system. The experimental results were in good agreement with the predictive curves, which use the Van Laar and Wilson equations to estimate activity coefficients. However, the predictive curve of the flash point prediction model based on the Willson equation described the experimentally-derived data more effectively than that of the flash point prediction model based on the Van Laar equation.

• 제어로봇시스템학회:학술대회논문집
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• 2005.06a
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• pp.694-699
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• 2005

This paper deals with a control technique of eliminating the transient vibration of a geared mechanical system. This technique is based on a model-based control with a rotational speed sensor in order to establish the damping effect at the driven machine part. A rotational speed sensor is installed in a driven gear, namely a bull gear. A control model is composed of a reduced-order mechanical part expressed as a transfer function between the rotational speed of the motor and that of the bull gear. This control model estimates a load speed after the rotational speed of the bull gear is acted on the transfer function. The difference between the estimated load speed and the motor speed is calculated dynamically and it is added to the velocity command to suppress the transient vibration generated at the load. This control technique is applied to a dies driving spindle of a form rolling machine. In this paper, the performance of this control method is examined by simulations. The settling time of the residual vibration generated at the loading inertia can be shortened down to about 1/2 of the uncompensated vibration level.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.11
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• pp.759-768
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• 2020

The purpose of this study is to assess the state of competition in Nepalese banking over the period from 2010 to 2019. This study employs panel data and a non-structural Panzar-Rosse model to measure the degree of competition in the Nepalese banking industry. The first reduced-form equation is applied to gauge competition, and the second model is used to test the long-run equilibrium in the banking market. The finding reveals that the Nepalese banking market is equilibrium in the long-run. It implies that the factor prices do not affect ROA in the long-run. The result of the H-statistic shows that the Nepalese banking system is operating under the state of perfect competition and is shifted from monopolistic competition to perfect competition. The reduced-form model reveals that the interest income is positive and significantly affected by factor prices. Similarly, the macroeconomic variable GDP growth is positively related to interest income. On the contrary, the bank's specific factors risk and the number of bank branches are inversely associated with the regressand. The outcomes of the study may be advantageous to the policymakers, especially to Nepal Rastra Bank to implement monetary policy and M&A policy for the stability and growth of the financial system of Nepal.