• The Korean Journal of Applied Statistics
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• v.23 no.2
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• pp.383-392
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• 2010

Modelling financial phenomena with diffusion processes is frequently used technique. This study reviews the earlier researches on the approximation problem of transition densities of diffusion processes, which takes important roles in estimating diffusion processes, and consider the method to obtain the coefficients of series efficiently, in series approximation method of transition densities. We developed a new efficient algorithm to compute the coefficients which are represented by repeated Dynkin operator on Hermite polynomial.

• Journal of the Korean Mathematical Society
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• v.32 no.2
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• pp.211-236
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• 1995

The purpose of this paper is to provide a transient diffusion approximation of queue size distribution for M/G/m/N system. The M/G/m/N system can be expressed as follows. The interarrival times of customers are exponential and the service times of customers have general distribution. The system can hold at most a total of N customers (including the customers in service) and any further arriving customers will be refused entry to the system and will depart immediately without service. The queueing system with finite capacity is more practical model than queueing system with infinite capacity. For example, in the design of a computer system one of the important problems is how much capacity is required for a buffer memory. It its capacity is too little, then overflow of customers (jobs) occurs frequently in heavy traffic and the performance of system deteriorates rapidly. On the other hand, if its capacity is too large, then most buffer memories remain unused.

• Journal of the Korean Operations Research and Management Science Society
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• v.34 no.4
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• pp.15-26
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• 2009

Bass diffusion model have played a central role in studying the diffusion of the new products since 1969, the year of publication of Bass model. Almost 750 publications based on the Bass diffusion model have explored extensions and applications. Extension models can be divided into two types. One is the model containing marketing-mix variables and the other is the model containing additional parameters. This paper presents another extension model of the latter type. Our model allows the time varying coefficients of innovation and imitation. Two pieces approximation of time varying coefficients is introduced and it's parameters are estimated based on NLS(Non-Linear Mean Square) method. Empirical studies are performed and the results show that our model is superior to the basic Bass model and the NUI(Non-Uniform Influence) model which is the well-known extension of the Bass model. The model developed in this paper is, also, transformed into the Bass model with the ready potential adopters in order to enhance the descriptive power.

• Proceedings of the Korean Institute of Electrical and Electronic Material Engineers Conference
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• 2001.05c
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• pp.164-167
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• 2001

The electron transport coefficients, the electron drift velocity W, the longitudinal diffusion coefficient $ND_L$ and $D_L/{\mu}$, in pure $CO_2$ were calculated over the wide E/N range from 0.01 to 500 Td at 1 Torr by two-term approximation of the Boltzmann equation for determination of electron collision cross sections set and for quantitative characteristic analysis of $CO_2$ molecular gas. And for propriety of two-term approximation of Boltzmann equation analysis, the calculated results compared with the electron transport coefficients measured by Nakamura.

• Bulletin of the Korean Chemical Society
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• v.32 no.4
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• pp.1336-1340
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• 2011

Molecular dynamics simulations have been performed to investigate the transport properties of self-diffusion coefficients in the penetrable-sphere model system. The resulting simulation data for the product of the packing fraction and the self-diffusion coefficient exhibit a transition from an increasing function of density in lower repulsive systems, where the soft-type collisions are dominant, to a decreasing function in higher repulsive systems, where most particle collisions are the hard-type reflections due to the low-penetrability effects. A modified Enskog-like equation implemented by the effective packing fraction with the mean-field energy correction is also proposed, and this heuristic approximation yields a reasonably good result even in systems of high densities and high repulsive energy barriers.

• Journal of the Korean Operations Research and Management Science Society
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• v.38 no.1
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• pp.201-216
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• 2013

Diffusion is a basic mathematical tool for modern financial engineering. The theory of the estimation methods for diffusion models is an important topic of the financial engineering. Many researches have been tried to apply the likelihood estimation method for estimating diffusion models. However, the likelihood estimation method for diffusion is complicated and needs much amount of computing. In this paper we develop the estimation methods which are simple enough to be compared to the Euler approximation method, and efficient enough statistically to be compared to the likelihood estimation method. We devise pseudo-likelihood and propose the maximum pseudo-likelihood estimation methods. The pseudo-likelihoods are obtained by approximating the transition density with normal distributions. The means and the variances of the distributions are obtained from the delta expansion suggested by Lee, Song and Lee (2012). We compare the newly suggested estimators with other existing estimators by simulation study. From the simulation study we find the maximum pseudo-likelihood estimator has very similar properties with the maximum likelihood estimator. Also the maximum pseudo-likelihood estimator is easy to apply to general diffusion models, and can be obtained by simple numerical steps.

• The Korean Journal of Applied Statistics
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• v.28 no.5
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• pp.895-906
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• 2015

Diffusion is a mathematical tool to explain the fluctuation of financial assets and the movement of particles in a micro time scale. There are ongoing statistical trials to develop an estimation method for diffusion models based on likelihood. When we estimate diffusion models by applying the maximum likelihood estimation method on data observed at discrete time points, we need to know the transition density of the diffusion. In order to approximate the transition densities of diffusion models, we suggests the method to approximate the path integral of the random process with normal random variables, and compare the numerical properties of the method with other approximation methods.

• Bulletin of the Korean Mathematical Society
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• v.35 no.4
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• pp.837-845
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• 1998

In this work, we consider Euler approxiamtion for one-dimensional jump-diffusion processes under Yamada-Watanabe type conditions on the coefficients which turns out to converge to the strong solution in uniform $L^1$-sense.

• Korean Journal of Mathematics
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• v.22 no.4
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• pp.599-609
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• 2014

We refer to the saturation assumptions on the finite element approximation for a one dimensional convection-diffusion model. By examining piecewise linear finite elements with refined mesh by half and hierarchical bases, we verify the saturation results, respectively.

• Proceedings of the Korea Society for Energy Engineering kosee Conference
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• 1993.11a
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• pp.99-102
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• 1993

A consistent general order nodal method for solving the three-dimensional neutron diffusion equation in (x-y-z) geometry has been derived by using a weighted integral technique and expanding the spatial variable by the Legendre orthogonal series function. The equation set derived can be converted into any order nodal schemes. It forms a compact system for general order of nodal moments. The method utilizes fewer unknown variables in the schemes for iterative-convergence solution than other nodal methods listed in the literatures, and because the method utilizes the analytic solutions of the transverse-integrated one dimensional equations and a consistent approximation for a given spatial variable through all the solution procedures, which renders the use of an approximation for the transverse leakages no longer necessary, we can expect extremely accurate solutions and the solution would converge exactly when the mesh width is decreased or the approximation order is increased.