• 자원ㆍ환경경제연구
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• 제12권4호
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• pp.545-557
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• 2003

양분형 조건부가치평가모형의 준모수적 추정 방법을 소위 회귀함수 1차 도함수의 밀도가중평균(density weighted average derivative or regression function) 추정을 응용하여 제안한다. 논문에서 제안된 준모수 추정량의 소표본 특성은 몬데칼로 시뮬레이션 결과를 제시함으로써 간접적으로 나타난다. 또 추정량을 동강보존을 위한 지불용의액을 조사한 조건부가치평가자료에 실제 적용함으로써 현실 적용 가능성을 보여준다.

• 대한수학회논문집
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• 제19권3호
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• pp.557-567
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• 2004

We prove the sufficient conditions for optimality in differential inclusion problem by using the value function. For this purpose, we assume at first that the value function is locally Lipschitz. Secondly, without this assumption, we use the viability theory.

• 대한수학회지
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• 제38권5호
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• pp.1031-1046
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• 2001

The paper studies the evolution of the financial markets and pays the basic attention to the role of financial innovations (derivative securities) in this process. A characterization of both complete and incomplete markets is given through an identification of the sets of contingent claims and terminal wealths of self-financing portfolios. the dynamics of the financial system is described as a movement of incomplete markets to a complete one when the volume of financial innovations is growing up and the spread tends to zero (the Merton financial innovation spiral). Namely in this context the paper deals with the problem of pricing risks in both field: finance and insurance.

• 대한수학회지
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• 제43권2호
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• pp.357-371
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• 2006

Let $X\;=\;(X_t,\;t{\in}[0, T])$ be a generalized Brownian motion(gBm) determined by mean function a(t) and variance function b(t). Let $L^2({\mu})$ denote the Hilbert space of square integrable functionals of $X\;=\;(X_t - a(t),\; t {in} [0, T])$. In this paper we consider a class of nonlinear functionals of X of the form F(. + a) with $F{in}L^2({\mu})$ and discuss their analysis. Firstly, it is shown that such functionals do not enjoy, in general, the square integrability and Malliavin differentiability. Secondly, we establish regularity conditions on F for which F(.+ a) is in $L^2({\mu})$ and has its Malliavin derivative. Finally we apply these results to compute the price and the hedging portfolio of a contingent claim in our financial market model based on a gBm X.