• 대한수학회지
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• 제50권1호
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• pp.111-125
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• 2013

In this paper, we consider a continuous time risk model involving two types of dependent claims, namely main claims and by-claims. The by-claim is induced by the main claim and the occurrence of by-claim may be delayed depending on associated main claim amount. Using Rouch$\acute{e}$'s theorem, we first derive the closed-form solution for the Laplace transform of the survival probability in the dependent risk model from an integro-differential equations system. Then, using the Laplace transform, we derive a defective renewal equation satisfied by the survival probability. For the exponential claim sizes, we present the explicit formula for the survival probability. We also illustrate the influence of the model parameters in the dependent risk model on the survival probability by numerical examples.

• 대한수학회보
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• 제46권2호
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• pp.209-227
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• 2009

We examine a unified approach of calculating the closed form solutions of option price under stochastic volatility models using stochastic calculus and the Fourier inversion formula. In particular, we review and derive the option pricing formulas under Heston and correlated Stein-Stein models using a systematic and comprehensive approach which were derived individually earlier. We compare the empirical performances of the two stochastic volatility models and the Black-Scholes model in pricing KOSPI 200 index options.

• 한국통신학회논문지
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• 제30권11C호
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• pp.1045-1052
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• 2005

The symbol error probability of M-ary PSK (MPSK) and QAM (MQAM) systems using the branch with the largest signal-to-noise ratio (SNR) at the output of L-branch selection combining (SC) in frequency-nonselective slow Nakagami fading channels with an additive white Gaussian noise (AWGN) is derived theoretically For integer values of the Nakagami fading parameter m, the general formula for evaluating symbol error rate (SER) of MPSK signals in the independent branch diversity system comprises numerical analyses with the integral-form expressions. An exact closed-form SER performance of MQAM signals under the effect of SC diversity via numerical integration is presented. These performance evaluations allow designers to determine M-ary modulation methods for Nakagami fading channels.

• 한국전산구조공학회:학술대회논문집
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• 한국전산구조공학회 2004년도 가을 학술발표회 논문집
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• pp.110-117
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• 2004

The aim of a benchmark study is carried out nine methods are employed for ULS analysis which implicitly predict the ultimate strength of aluminium stiffened panels under axial compression. For this purpose, DNV PULS, experimental and numerical data on the ultimate strength of panels were collected. Comparison of these experimental / numerical, DNV PULS / numerical, results with theoretical solutions by the candidate methods is performed. Also it's compared that ALPS/ULSAP program is based on closed-form formula for the ULS of plates and grillages under axial compression. It is considered that ALPS/ULSAP methodology provides quite accurate and reasonable ULS calculations by a comparison with more refined FEA. Comparison of these experimental data, numerical, computational software results with the simplified solutions obtained by the candidate methods is then performed. The model uncertainties associated with the candidate methods are studied in terms of mean bias and COV (i.e., coefficient of variation) against experiments and numerical solutions, and the relative performance of the various methods is discussed.

• 제어로봇시스템학회논문지
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• 제10권4호
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• pp.304-311
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• 2004

In this paper we present a technique of discrete-time sliding mode controller design for assigning eigenvalues of sliding mode and determining a convergence rate to sliding surface. First the sliding mode coefficient is designed via Ackermann s formula. Then a linear controller is designed to enforce sliding mode such that the resulting closed loop yields the desired eigenvalues. As we use a linear control instead of nonlinear control, chattering is nearly eliminated. Simulation and experimental results are included to show the effectiveness of the proposed method for Laser Marking System.

• JSTS:Journal of Semiconductor Technology and Science
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• 제13권5호
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• pp.482-491
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• 2013

This paper explains modeling and analysis of RC-dominant wires for high-speed wireline transceiver design. A closed form formula derived from telegrapher's equation accurately describes a frequency response of an RC-dominant wire, yet it is simple and intuitive for designers to easily understand design trade-offs without a complex numerical equation solver. This paper explains how the model is derived and how it can help designers in example transceiver designs.

• 한국해양공학회:학술대회논문집
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• 한국해양공학회 2006년 창립20주년기념 정기학술대회 및 국제워크샵
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• pp.74-79
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• 2006

General formula are presented for the maximum power available from the tidal head in a closed basin and from the tidal currents in a channel connecting two large bodies of water. In the latter case, the available energy cannot be estimated from the kinetic energy flux in the undisturbed state, but can be obtained from knowledge of the tidal head between the ends of the channel and the maximum volume flux in the undisturbed state. The results are supported by detailed calculations for Johnstone Strait, British Columbia, using a two-dimensional finite element model. The model also allows an extension to the case of multiple channels. More work is needed to allow for partial tidal fences which do not occupy the whole cross-section of a channel.

• 대한수학회보
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• 제53권5호
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• pp.1497-1530
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• 2016

External barrier options are two-asset options with stochastic variables where the payoff depends on one underlying asset and the barrier depends on another state variable. The barrier state variable determines whether the option is knocked in or out when the value of the variable is above or below some prescribed barrier level. This paper derives the explicit analytic solution of the chained option with an external single or double barrier by utilizing the probabilistic methods - the reflection principle and the change of measure. Before we do this, we examine the closed-form solution of the external barrier option with a single or double-curved barrier using the methods of image and double Mellin transforms. The exact solution of the external barrier option price enables us to obtain the pricing formula of the chained option with the external barrier more easily.

• Journal of Electrical Engineering and Technology
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• 제5권3호
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• pp.497-502
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• 2010

In this paper, the O-mode ultrashort-pulse reflectometry (USPR) millimeter-wave signals that propagate into the plasma and cover a frequency bandwidth of 33-158 GHz are examined numerically using MATLAB. Two important processes are involved in the computation: the propagation of the USPR impulse signal through a waveguide and the frequency up-conversion using millimeter-wave mixers. These mixers are limited to intermediate frequency signals that are less than 500 mV; thus, it is necessary to disperse the impulse signal into a chirped waveform using the waveguide. The stationary phase method is utilized to derive a closed-form formula for a chirped waveform under the assumption that the USPR impulse is Gaussian. In the process of frequency up-conversion, the chirped waveform is mixed with the mixer LO signal, and the lower frequency components of the RF signal are removed using high pass filters.

• 대한전기학회논문지:전기물성ㆍ응용부문C
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• 제48권1호
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• pp.34-38
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• 1999

In order to develop a thin type ESP(Electrostatic Precipitator) for high efficient air-conditioner with low concentration of ozone generation, collecting electrode spacing should be narrower than that from Deutsch formula and minimizes discharge current in ionizer. In this paper, the effect of applied voltage on the precipitation efficiency and ozone concentration of scroll type ESP was studied. As a result, precipitation efficiency(one pass) was improved by about 30[%] from increment of collector voltage(3.5[㎸]). Precipitation efficiency was increased with increasing ionizer voltage. And after some point, the efficiency was saturated. At the point, voltage and ionizer current was 5.2[㎸] and 95$[\muA]$ per meter respectively. At these applied voltage conditions, ozone concentration was saturated about 0.01[ppm] after 3 hours in 23$[m^3]$ closed room test.