• 한국해양공학회지
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• 제14권4호
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• pp.73-78
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• 2000

Presented are the estimation of the probability distribution of fatigue crack growth life and reliability assessment of structures by simulating material resistance to fatigue crack growth along a crack path. The material resistance is treated as a Weibull stochastic process. A non-Gaussian stochastic fields simulation method proposed by shimozuka, et al is applied with the statistical data obtained experimentally. Test results are obtained for $\delta K$ constant amplitude load in tension with stress ratio of R=0.2 and three specimen thicknesses of 6,12 and 18mm. This simulation method is useful to estimate the probability distribution of fatigue crack growth life and the smallest life.

• ETRI Journal
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• 제35권5호
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• pp.849-858
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• 2013

In this paper, we propose a new adaptive single model to track a maneuvering target with abrupt accelerations. We utilize the stochastic differential equation to model acceleration of a maneuvering target with stochastic volatility (SV). We assume the generalized autoregressive conditional heteroscedasticity (GARCH) process as the model for the tracking procedure of the SV. In the proposed scheme, to track a high maneuvering target, we modify the Kalman filtering by introducing a new GARCH model for estimating SV. The proposed tracking algorithm operates in both the non-maneuvering and maneuvering modes, and, unlike the traditional decision-based model, the maneuver detection procedure is eliminated. Furthermore, we stress that the improved performance using the GARCH acceleration model is due to properties inherent in GARCH modeling itself that comply with maneuvering target trajectory. Moreover, the computational complexity of this model is more efficient than that of traditional methods. Finally, the effectiveness and capabilities of our proposed strategy are demonstrated and validated through Monte Carlo simulation studies.

• 대한수학회지
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• 제57권5호
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• pp.1167-1186
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• 2020

This paper considers the case of pricing discretely-sampled variance swaps under the class of equity-interest rate hybridization. Our modeling framework consists of the equity which follows the dynamics of the Heston stochastic volatility model, and the stochastic interest rate is driven by the Cox-Ingersoll-Ross (CIR) process with full correlation structure imposed among the state variables. This full correlation structure possesses the limitation to have fully analytical pricing formula for hybrid models of variance swaps, due to the non-affinity property embedded in the model itself. We address this issue by obtaining an efficient semi-closed form pricing formula of variance swaps for an approximation of the hybrid model via the derivation of characteristic functions. Subsequently, we implement numerical experiments to evaluate the accuracy of our pricing formula. Our findings confirm that the impact of the correlation between the underlying and the interest rate is significant for pricing discretely-sampled variance swaps.

• Coupled systems mechanics
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• 제11권2호
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• pp.167-198
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• 2022

In this paper we deal with classical instability problems of heterogeneous Euler beam under conservative loading. It is chosen as the model problem to systematically present several possible solution methods from simplest deterministic to more complex stochastic approach, both of which that can handle more complex engineering problems. We first present classical analytic solution along with rigorous definition of the classical Euler buckling problem starting from homogeneous beam with either simplified linearized theory or the most general geometrically exact beam theory. We then present the numerical solution to this problem by using reduced model constructed by discrete approximation based upon the weak form of the instability problem featuring von Karman (virtual) strain combined with the finite element method. We explain how such numerical approach can easily be adapted to solving instability problems much more complex than classical Euler's beam and in particular for heterogeneous beam, where analytic solution is not readily available. We finally present the stochastic approach making use of the Duffing oscillator, as the corresponding reduced model for heterogeneous Euler's beam within the dynamics framework. We show that such an approach allows computing probability density function quantifying all possible solutions to this instability problem. We conclude that increased computational cost of the stochastic framework is more than compensated by its ability to take into account beam material heterogeneities described in terms of fast oscillating stochastic process, which is typical of time evolution of internal variables describing plasticity and damage.

• 대한수학회보
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• 제47권1호
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• pp.39-51
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• 2010

In this paper we consider the uniform central limit theorem for a martingale-difference array of a function-indexed stochastic process under the uniformly integrable entropy condition. We prove a maximal inequality for martingale-difference arrays of process indexed by a class of measurable functions by a method as Ziegler [19] did for triangular arrays of row wise independent process. The main tools are the Freedman inequality for the martingale-difference and a sub-Gaussian inequality based on the restricted chaining. The results of present paper generalizes those of Ziegler [19] and other results of independent problems. The results also generalizes those of Bae and Choi [3] to martingale-difference array of a function-indexed stochastic process. Finally, an application to classes of functions changing with n is given.

• 대한수학회보
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• 제51권1호
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• pp.221-227
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• 2014

Our goal is to relax a sufficient condition for the exponential almost sure stability of a certain class of stochastic differential equations. Compared to the existing theory, we prove the almost sure stability, replacing Lipschitz continuity and linear growth conditions by the existence of a strong solution of the underlying stochastic differential equation. This result is extendable for the regime-switching system. An explicit example is provided for the illustration purpose.

• Interaction and multiscale mechanics
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• 제3권4호
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• pp.333-342
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• 2010

The Pseudo-Excitation Method (PEM) is applied to study the stochastic space vibration responses of train-bridge coupling system. Each vehicle is modeled as a four-wheel mass-spring-damper system with two layers of suspension system possessing 15 degrees-of- freedom. The bridge is modeled as a spatial beam element, and the track irregularity is assumed to be a uniform random process. The motion equations of the vehicle system are established based on the d'Alembertian principle, and the motion equations of the bridge system are established based on the Hamilton variational principle. Separate iteration is applied in the solution of equations. Comparisons with the Monte Carlo simulations show the effectiveness and satisfactory accuracy of the proposed method. The PSD of the 3-span simply-supported girder bridge responses, vehicle responses and wheel/rail forces are obtained. Based on the $3{\sigma}$ rule for Gaussian stochastic processes, the maximum responses of the coupling system are suggested.

• 한국정밀공학회:학술대회논문집
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• 한국정밀공학회 1994년도 추계학술대회 논문집
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• pp.653-657
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• 1994

A symbolic performance analysis approach for flexible for manufactring systems (FMS) can be formulated based on the integration of Petri Nets (PN) and moment generating function (MGF) concept. In this method, generalized stochastic Petri Nets are used to define performance models for FMS, then MGF nased approach for evaluating stochastic PN is used to derive performance parameters of PN, and finally system performance is calculated. A GSPN model of machine cell is shown to illustrate the proposed method for evaluating such performance indices as production rate, utilization, work-in-process and lead time. The major advantage of this method over existing performance evaluation of FMS is the ability to compute symbolic solutions for performance. Finally future research toward automating performance measure for GSPN models of FMS is discussed.

• 디지털융복합연구
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• 제7권1호
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• pp.73-80
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• 2009

In this study, the pricing performances of alternative simple option models are examined by creating a simulated market environment in which asset prices evolve according to a stochastic volatility process. To do this, option prices fully consistent with Heston[9]'s model are generated. Assuming this prices as market prices, the trading positions utilizing the Black-Scholes[4] model, a semi-parametric Corrado-Su[7] model and an ad-hoc modified Black-Scholes model are evaluated with respect to the true option prices obtained from Heston's stochastic volatility model. The simulation results suggest that both the Corrado-Su model and the modified Black-Scholes model perform well in this simulated world substantially reducing the biases of the Black-Scholes model arising from stochastic volatility. Surprisingly, however, the improvements of the modified Black-Scholes model over the Black-Scholes model are much higher than those of the Corrado-Su model.

• 대한수학회지
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• 제56권1호
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• pp.149-167
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• 2019

In this work, we study the existence, uniqueness and stability in the ${\alpha}$-norm of solutions for some stochastic partial functional integrodifferential equations. We suppose that the linear part has an analytic resolvent operator in the sense given in Grimmer [8] and the nonlinear part satisfies a $H{\ddot{o}}lder$ type condition with respect to the ${\alpha}$-norm associated to the linear part. Firstly, we study the existence of the mild solutions. Secondly, we study the exponential stability in pth moment (p > 2). Our results are illustrated by an example. This work extends many previous results on stochastic partial functional differential equations.