• Communications of the Korean Mathematical Society
• /
• 제10권2호
• /
• pp.419-438
• /
• 1995

We investigate a tansient diffusion approximation of queue size distribution in $M^{X}/G^{Y}/c$ system using the diffusion process with elementary return boundary. We choose an appropriate diffusion process which approxiamtes the queue size in the system and derive the transient solution of Kolmogorov forward equation of the diffusion process. We derive an approximation formula for the transient queue size distribution and mean queue size, and then obtain the stationary solution from the transient solution. Accuracy evalution is presented by comparing approximation results for the mean queue size with the exact results or simulation results numerically.

• Communications of the Korean Mathematical Society
• /
• 제10권3호
• /
• pp.715-733
• /
• 1995

We present a transient queue size distribution for $M/G/m/N$ queue with state dependent arrival rates, using the diffusion process with piecewise constant diffusion parameters, with state space [0, N] and elementary return boundaries at x = 0 and x = N. The model considered here contains not only many basic model but the practical models such as as two-node cyclic queue, repairmen model and overload control in communication system with finite storage buffer. For the accuracy check, we compare the approximation results with the exact and simulation results.

• Journal of computational fluids engineering
• /
• 제11권1호
• /
• pp.8-15
• /
• 2006

The existing approximations of diffusion flux in unstructured cell-centered finite volume methods are examined in detail with each other and clarified to have indefinite expressions in several respects. A new numerical approximation of diffusion flux at cell face center is then proposed, which is second-order accurate even on irregular grids and may be easily implemented in CFD code using cell-centered finite volume method with unstructured grids composed of arbitrary convex polyhedral shape.

• Bulletin of the Korean Chemical Society
• /
• 제34권5호
• /
• pp.1454-1456
• /
• 2013

The fluctuations in concentrations of reactants dominate the long-time dynamics of the single (A + A ${\rightarrow}$ 0) and two species (A + B ${\rightarrow}$ 0) diffusion-influenced annihilation reactions. Although hierarchical Smoluchowski approaches can provide a systematic and flexible framework to deal with the fluctuation effects, their results are too complicated to be analytically solved. For the efficient numerical calculation of the complicated fluctuation effect terms, we show that the presented point particle approximation is not only practical but also quite accurate for most conditions in diffusion-influenced reaction systems.

• Bulletin of the Korean Chemical Society
• /
• 제27권8호
• /
• pp.1181-1185
• /
• 2006

By using two different computer simulation methods, of which one produces exact results while the other is based on the Wilemski-Fixman closure approximation, we evaluate the utility of closure approximation in calculating the rates of diffusion-controlled reactions involving a reactant with multiple reaction sites. We find that errors in the estimates of steady-state rate constants due to closure approximation are not so large. We thus propose an approximate analytic expression for the rate constant based on the closure approximation.

• Communications for Statistical Applications and Methods
• /
• 제17권3호
• /
• pp.367-376
• /
• 2010

Recently various methods were suggested and reviewed for estimating diffusion processes. Out of suggested estimation method, we mainly concerns on the estimation method using saddlepoint approximation method, and we suggest a term saddlepoint approximation(ASP) method which is the simplest saddlepoint approximation method. We will show that ASP method provides fast estimator as much as Euler approximation method(EAM) in computing, and the estimator also has good statistical properties comparable to the maximum likelihood estimator(MLE). By simulation study we compare the properties of ASP estimator with MLE and EAM, for Ornstein-Uhlenbeck diffusion processes.

• Industrial Engineering and Management Systems
• /
• 제7권2호
• /
• pp.143-149
• /
• 2008

There have been some approximation analysis methods for a GI/G/1 queueing system. As one of them, an approximation technique for the steady-state probability in the GI/G/1 queueing system based on the iteration numerical calculation has been proposed. As another one, an approximation formula of the average queue length in the GI/G/1 queueing system by using the diffusion approximation or the heuristics extended diffusion approximation has been developed. In this article, an approximation technique in order to analyze the GI/G/1 queueing system is considered and then the formulae of both the steady-state probability and the average queue length in the GI/G/1 queueing system are proposed. Through some numerical examples by the proposed technique, the existing approximation methods, and the Monte Carlo simulation, the effectiveness of the proposed approximation technique is verified.

• Journal of applied mathematics & informatics
• /
• 제25권1_2호
• /
• pp.269-282
• /
• 2007

In this paper, we consider a two-dimensional fractional space-time diffusion equation (2DFSTDE) on a finite domain. We examine an implicit difference approximation to solve the 2DFSTDE. Stability and convergence of the method are discussed. Some numerical examples are presented to show the application of the present technique.

• Journal of Korean Institute of Industrial Engineers
• /
• 제38권4호
• /
• pp.249-253
• /
• 2012

This paper suggests a numerical method for valuation of American options under the Kou model (double exponential jump diffusion model). The method is based on approximation of underlying asset price using a finite-state, time-homogeneous Markov chain. We examine the effectiveness of the proposed method with simulation results, which are compared with those from the conventional numerical method, the finite difference method for PIDE (partial integro-differential equation).

• Communications of the Korean Mathematical Society
• /
• 제29권1호
• /
• pp.173-185
• /
• 2014

In the present paper, we consider an anomalous diffusion problem in two dimensional space involving Caputo time and Riesz-Feller fractional derivatives and then solve it by using a series involving bilateral eigen-functions. Also, we obtain a numerical approximation formula of this problem and discuss some of its particular cases.