• Journal of the Korean Data and Information Science Society
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• v.26 no.2
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• pp.323-334
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• 2015

he current VaR model based on the J.P. Morgan's RiskMetrics structurally can not reflect the future economic situation. In this study, we propose a One-factor model resulting from the Wiener stochastic process decomposed into a systematic risk factor and an idiosyncratic risk factor. Therefore, we are able to perform a preemptive risk management by means of reflecting the predicted common risk factors in the model. Stocks in the portfolio are satisfied with the independence to each other because the common factors are fixed by the predicted value. Therefore, we can easily determine the investment in each stock to minimize the variance of the portfolio. In addition, the portfolio VaR is decomposed into the sum of the individual VaR. So we can effectively implement the constitution of the portfolio to meet the target maximum losses.

• 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.

• Korean Journal of Hydrosciences
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• v.6
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• pp.39-49
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• 1995

The surface hydrology of large land areas is susceptible to several preferred stable states with transitions between stable states induced by stochastic fluctuation. This comes about due to the close couping of land surface and atmospheric interaction. An interesting and important issue is the duration of residence in each mode. Mean transition times between the stable modes are analyzed for different model parameters or climatic types. In an example situation of this differential equation exhibits a bimodal probability distribution of soil moisture states. Uncertainty analysis regarding the model parameters is performed using a Monte-Carlo simulation method. The method developed in this research may reveal some important characteristics of soil moisture or precipitation over a large area, in particular, those relating to abrupt change in soil moisture or preciptation having extremely variable duration.

• 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.

• Journal of the Korean Physical Society
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• v.73 no.11
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• pp.1774-1786
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• 2018

Phenotypic variation among clones (individuals with identical genes, i.e. isogenic individuals) has been recognized both theoretically and experimentally. We investigate the effects of phenotypic variation on evolutionary dynamics of a population. In a population, the individuals are assumed to be haploid with two genotypes : one genotype shows phenotypic variation and the other does not. We use an individual-based Moran model in which the individuals reproduce according to their fitness values and die at random. The evolutionary dynamics of an individual-based model is formulated in terms of a master equation and is approximated as the Fokker-Planck equation (FPE) and the coupled non-linear stochastic differential equations (SDEs) with multiplicative noise. We first analyze the deterministic part of the SDEs to obtain the fixed points and determine the stability of each fixed point. We find that there is a discrete phase transition in the population distribution when the probability of reproducing the fitter individual is equal to the critical value determined by the stability of the fixed points. Next, we take demographic stochasticity into account and analyze the FPE by eliminating the fast variable to reduce the coupled two-variable FPE to the single-variable FPE. We derive a quasi-stationary distribution of the reduced FPE and predict the fixation probabilities and the mean fixation times to absorbing states. We also carry out numerical simulations in the form of the Gillespie algorithm and find that the results of simulations are consistent with the analytic predictions.

• Smart Structures and Systems
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• v.29 no.4
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• pp.641-652
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• 2022

High-rise structures prone to large vibrations under the action of strong winds, resulting in fatigue damage of the structural components and the foundation. A novel compound damping cable system (CDCS) is proposed to suppress the excessive vibrations. CDCS uses tailored double cable system with increased tensile stiffness as the connecting device, and makes use of the relative motion between the high-rise structure and the ground to drive the damper to move back-and-forth, dissipating the vibration mechanical energy of the high-rise structure so as to decaying the excessive vibration. Firstly, a third-order differential equation for the free vibration of high-rise structure with CDCS is established, and its closed form solution is obtained by the root formulas of cubic equation (Shengjin's formulas). Secondly, the analytical solution is validated by a laboratory model experiment. Thirdly, parametric analysis is conducted to investigate how the parameters affect the vibration control performance. Finally, the dynamic responses of the high-rise structure with CDCS under harmonic and stochastic excitations are calculated and its vibration mitigation performance is further evaluated. The results show that the CDCS can provide a large equivalent additional damping ratio for the vibrating structures, thus suppressing the excessive vibration effectively. It is anticipated that the CDCS can be used as a good alternative energy dissipation system for vibration control of high-rise structures.

• Journal of the Computational Structural Engineering Institute of Korea
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• v.17 no.1
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• pp.83-91
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• 2004

Nonlinear system responses of an impact system under randomly perturbed harmonic excitations are predicted in the probability domain by adopting the semi-analytical procedure previously developed. The semi-analytical procedure is obtained by solving the Fokker-Planck equation corresponding to the stochastic differential equation of the given impact system by utilizing the path-integral solution. The evolutionary joint probability density functions are generated by using the method, and the characteristics of nonlinear dynamic response behaviors of the system are examined. Noise effects on the responses are also examined. It Is found that the semi-analytical method can provides the accurate information of the responses via the joint probability functions for the impact system. It is found that the noises weaken and eventually terminate the chaos in the responses, but it is also found that the chaotic signatures reside in the presence of the external noise with relatively high intensity. The joint probability density function shows that the ensemble of the system responses are weakly stationary.

• Water for future
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• v.27 no.2
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• pp.129-137
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• 1994

The surface hydrology of large land areas is susceptible to several preferred stable states with transitions between stable states induced y stochastic fluctuation. This comes about due to the close coupling of land surface and atmospheric interaction. An interesting and important issue is the duration of residence in each mode. Mean transtion times between the stable modes are analyzed for different model parameters or climatic types. In an example situation of this differential equation exhibits a bimodal probability distribution of soil moisture states. Uncertainty analysis regarding the model parameters is performed using a Monte-Carlo simulation method. The method developed in this research may reveal some important characteristics of soil moisture or precipitation over a large area, in particular, those relating to abrupt changes in soil moisture or precipitation having extremely variable duration.

• Journal of the Computational Structural Engineering Institute of Korea
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• v.13 no.4
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• pp.387-394
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• 2000

The nonlinear modal interaction of an autoparametric system under a broadband random excitation is investigated. The specific system examined is an autoparametric vibration absorber with internal resonance, which is typical of many common structural configurations. By means of Gaussian closure scheme the dynamic moment equations explaining the random responses of the system are reduced to a system of autonomous ordinary differential equations of the first and second moments. In view of equilibrium solutions of this system and their stability we examine the system responses. We could not find the destabilizing effect of damping, which was reported in References (18) and (20). The saturation phenomenon, which is well known in deterministic nonlinear system, did not take place lot this system subject to broadband random excitation.

• Computational Structural Engineering
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• v.10 no.3
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• pp.175-184
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• 1997

The objective of this paper is to study arelationship between maximum response and its standard deviation of rotational shells that are subjected to uneven settlements. For this, the ratio, .eta, of the maximum response to standard deviation and it's approximate, .eta./sub apr/, are investigated by stochastic methods. Also, an equation for .eta./sub apr/, that is a function of predominant harmonic number is suggested. The settlements are represented by the Fourier series. Each term in the series contains two coefficients; the amplitude and the phase angle. It is assumed that phase angles are random variables and amplitudes are deterministic. To investigate the characteristics of .eta. and .eta./sub apr/, 100 phase angles for two types of artificial amplitudes spectra are used in the analysis. .eta. and .eta./sub apr/, are almost constant regardless of amplitude type, position of a shell or type of responses; they fall into from 2.0 to 2.5. .eta./sub apr/ is always close to .eta., but tends to be somewhat greater. It may be concluded that a maximum responses of rotational shells subjected to uneven settlements are .eta./sub apr/ (about 2.5) times of its standard deviation. It is considered that this result is used when we design rotational shell structures subjected to differential settlements.