• Journal of the Korean Society for Industrial and Applied Mathematics
• /
• v.20 no.2
• /
• pp.123-135
• /
• 2016

This article deals with the pricing of Asian options under a constant elasticity of variance (CEV) model as well as a stochastic elasticity of variance (SEV) model. The CEV and SEV models are underlying asset price models proposed to overcome shortcomings of the constant volatility model. In particular, the SEV model is attractive because it can characterize the feature of volatility in risky situation such as the global financial crisis both quantitatively and qualitatively. We use an asymptotic expansion method to approximate the no-arbitrage price of an arithmetic average Asian option under both CEV and SEV models. Subsequently, the zero and non-zero constant leverage effects as well as stochastic leverage effects are compared with each other. Lastly, we investigate the SEV correction effects to the CEV model for the price of Asian options.

• Structural Engineering and Mechanics
• /
• v.33 no.4
• /
• pp.407-428
• /
• 2009

The effects of the uniform and spatially varying ground motions on the stochastic response of fluid-structure interaction system during an earthquake are investigated by using the displacement based fluid finite elements in this paper. For this purpose, variable-number-nodes two-dimensional fluid finite elements based on the Lagrangian approach is programmed in FORTRAN language and incorporated into a general-purpose computer program SVEM, which is used for stochastic dynamic analysis of solid systems under spatially varying earthquake ground motion. The spatially varying earthquake ground motion model includes wave-passage, incoherence and site-response effects. The effect of the wave-passage is considered by using various wave velocities. The incoherence effect is examined by considering the Harichandran-Vanmarcke and Luco-Wong coherency models. Homogeneous medium and firm soil types are selected for considering the site-response effect where the foundation supports are constructed. A concrete gravity dam is selected for numerical example. The S16E component recorded at Pacoima dam during the San Fernando Earthquake in 1971 is used as a ground motion. Three different analysis cases are considered for spatially varying ground motion. Displacements, stresses and hydrodynamic pressures occurring on the upstream face of the dam are calculated for each case and compare with those of uniform ground motion. It is concluded that spatially varying earthquake ground motions have important effects on the stochastic response of fluid-structure interaction systems.

• Structural Engineering and Mechanics
• /
• v.28 no.3
• /
• pp.281-294
• /
• 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 the military operations research society of Korea
• /
• v.31 no.2
• /
• pp.28-44
• /
• 2005

The previous studies approach the field artillery fire scheduling problem as deterministic and do not explicitly include information on the potential scenario changes. Unfortunately, the effort used to optimize fire sequences and reduce the total time of engagement is often inefficient as the collected military intelligence changes. Instead of modeling the fire sequencing problem as deterministic model, we consider a stochastic artillery fire scheduling model and devise a solution methodology to integrate possible enemy attack scenarios in the evaluation of artillery fire sequences. The goal is to use that information to find robust solutions that withstand disruptions in a better way, Such an approach is important because we can proactively consider the effects of certain unique scheduling decisions. By identifying more robust schedules, cascading delay effects will be minimized. In this paper we describe our stochastic model for the field artillery fire sequencing problem and offer revised robust stochastic model which considers worst scenario first. The robust stochastic model makes the solution more stable than the general two-stage stochastic model and also reduces the computational cost dramatically. We present computational results demonstrating the effectiveness of our proposed method by EVPI, VSS, and Variances.

• Structural Engineering and Mechanics
• /
• v.43 no.5
• /
• pp.637-655
• /
• 2012

In this study, stochastic responses of a cable-stayed bridge subjected to the spatially varying earthquake ground motion are investigated by the finite element method taking into account soil-structure interaction (SSI) effects. The considered bridge in the analysis is Quincy Bay-view Bridge built on the Mississippi River in between 1983-1987 in Illinois, USA. The bridge is composed of two H-shaped concrete towers, double plane fan type cables and a composite concrete-steel girder deck. In order to determine the stochastic response of the bridge, a two-dimensional lumped masses model is considered. Incoherence, wave-passage and site response effects are taken into account for the spatially varying earthquake ground motion. Depending on variation in the earthquake motion, the response values of the cable-stayed bridge supported on firm, medium and soft foundation soil are obtained, separately. The effects of SSI on the stochastic response of the cable-stayed bridge are also investigated including foundation as a rigidly capped vertical pile groups. In this approach, piles closely grouped together beneath the towers are viewed as a single equivalent upright beam. The soil-pile interaction is linearly idealized as an upright beam on Winkler foundation model which is commonly used to study the response of single piles. A sufficient number of springs on the beam should be used along the length of the piles. The springs near the surface are usually the most important to characterize the response of the piles surrounded by the soil; thus a closer spacing may be used in that region. However, in generally springs are evenly spaced at about half the diameter of the pile. The results of the stochastic analysis with and without the SSI are compared each other while the bridge is under the sway of the spatially varying earthquake ground motion. Specifically, in case of rigid towers and soft soil condition, it is pointed out that the SSI should be significantly taken into account for the design of such bridges.

• Structural Engineering and Mechanics
• /
• v.65 no.6
• /
• pp.771-784
• /
• 2018

This study aims to investigate the stochastic response of isolated and non-isolated highway bridges subjected to spatially varying earthquake ground motion model. This model includes wave passage, incoherence and site response effects. The wave passage effect is examined by using various wave velocities. The incoherency effect is investigated by considering the Harichandran and Vanmarcke coherency model. The site response effect is considered by selecting homogeneous firm, medium and soft soil types where the bridge supports are constructed. The ground motion is described by power spectral density function and applied to each support point. Triple concave friction pendulum (TCFP) bearing which is more effective than other seismic isolation systems is used for seismic isolation. To implement seismic isolation procedure, TCFP bearing devices are placed at each of the support points of the deck. In the analysis, the bridge selected is a five-span featuring cast-in-place concrete box girder superstructure supported on reinforced concrete columns. Foundation supported highway bridge is regarded as three regions and compared its different situation in the stochastic analysis. The stochastic analyses results show that spatially varying ground motion has important effects on the stochastic response of the isolated and non-isolated bridges as long span structures.

• Honam Mathematical Journal
• /
• v.44 no.3
• /
• pp.402-418
• /
• 2022

Noise is a fundamental factor to increased validity and regularity of spike propagation and neuronal firing in the nervous system. In this paper, we examine the stochastic version of the Izhikevich-FitzHugh neuron dynamical model. This approach is based on techniques presented by Luo and Guo, which provide a general framework for the bifurcation and stability analysis of two dimensional stochastic dynamical system as an Itô averaging diffusion system. By using largest lyapunov exponent, local and global stability of the stochastic system at the equilibrium point are investigated. We focus on the two kinds of stochastic bifurcations: the P-bifurcation and the D-bifurcations. By use of polar coordinate, Taylor expansion and stochastic averaging method, it is shown that there exists choices of diffusion and drift parameters such that these bifurcations occurs. Finally, numerical simulations in various viewpoints, including phase portrait, evolution in time and probability density, are presented to show the effects of the diffusion and drift coefficients that illustrate our theoretical results.

• Bulletin of the Korean Mathematical Society
• /
• v.56 no.5
• /
• pp.1129-1141
• /
• 2019

We propose a stochastic delay financial model which describes influences driven by historical events. The underlying is modeled by stochastic delay differential equation (SDDE), and the delay effect is modeled by a stopping time in coefficient functions. While this model makes good economical sense, it is difficult to mathematically deal with this. Therefore, we circumvent this model with similar delay effects but mathematically more tractable, which is by the backward time integration. We derive the option pricing equation and provide the option price and the perfect hedging portfolio.

• International Journal of Advanced Culture Technology
• /
• v.6 no.4
• /
• pp.292-302
• /
• 2018

This study proposes a Bayesian stochastic frontier model that is well-suited to productivity/efficiency analysis particularly using panel data. A unique feature of our proposal is that both production frontier and efficiency are estimable for each individual firm and their linkage to various firm characteristics enriches our understanding of the source of productivity/efficiency. Empirical application of the proposed analysis to Human Capital Corporate Panel data enables identification and quantification of the effects of Human Resource factors on firm efficiency in tandem with those of firm types on production frontier. A comprehensive description of the Markov Chain Monte Carlo estimation procedure is forwarded to facilitate the use of our proposed stochastic frontier analysis.

• Structural Engineering and Mechanics
• /
• v.22 no.6
• /
• pp.647-664
• /
• 2006

The main purpose of this paper is to investigate the effect of transient stochastic analysis on nonlinear response of earth and rock-fill dams to spatially varying ground motion. The dam models are analyzed by a stochastic finite element method based on the equivalent linear method which considers the nonlinear variation of soil shear moduli and damping ratio as a function of shear strain. The spatial variability of ground motion is taken into account with the incoherence, wave-passage and site response effects. Stationary as well as transient stochastic response analyses are performed for the considered dam types. A time dependent frequency response function is used throughout the study for transient stochastic responses. It is observed that stationarity is a reasonable assumption for earth and rock-fill dams to typical durations of strong shaking.