• Bulletin of the Korean Mathematical Society
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• v.48 no.2
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• pp.413-426
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• 2011

Two types of new methods with variable time steps are proposed in order to valuate binary options efficiently. Type I changes adaptively the size of the time step at each time based on the magnitude of the local error, while Type II combines two uniform meshes. The new methods are hybrid finite difference methods, namely starting the computation with a fully implicit finite difference method for a few time steps for accuracy then performing a ${\theta}$-method during the rest of computation for efficiency. Numerical experiments for standard European vanilla, binary and American options show that both Type I and II variable time step methods are much more efficient than the fully implicit method or hybrid methods with uniform time steps.

• Journal of Industrial Technology
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• v.21 no.A
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• pp.41-50
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• 2001

A comparison is made of the temperature distribution and heat loss from a trapezoidal profile fin using two different 3-dimensional methods. These two methods are analytical and finite difference methods. In the finite difference method 78 nodes are used for a fourth of the fin. A trapezoidal profile fin being the height of the fin tip is half of that of the fin base is chosen arbitrarily as the model. One of the results shows that the relative error in the total convection heat loss obtained by using 78 nodes in the finite difference method as compared to the heat conduction through the fin root obtained by analytic method seems to be good (i.e., -3.5%

• Journal of the Korean Mathematical Society
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• v.51 no.4
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• pp.679-702
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• 2014

Investigation of the numerical solution of singularly perturbed turning point problems dates back to late 1970s. However, due to the presence of layers, not many high order schemes could be developed to solve such problems. On the other hand, one could think of applying the convergence acceleration technique to improve the performance of existing numerical methods. However, that itself posed some challenges. To this end, we design and analyze a novel fitted operator finite difference method (FOFDM) to solve this type of problems. Then we develop a fitted mesh finite difference method (FMFDM). Our detailed convergence analysis shows that this FMFDM is robust with respect to the singular perturbation parameter. Then we investigate the effect of Richardson extrapolation on both of these methods. We observe that, the accuracy is improved in both cases whereas the rate of convergence depends on the particular scheme being used.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.12 no.2
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• pp.69-79
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• 2008

Multigrid methods finite element/finite volume methods and their convergence properties are reviewed in a general setting. Some early theoretical results in simple finite element methods in variational setting method are given and extension to nonnested-noninherited forms are presented. Finally, the parallel theory for nonconforming element[13] and for cell centered finite difference methods [15, 23] are discussed.

• Structural Engineering and Mechanics
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• v.17 no.6
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• pp.735-749
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• 2004

This work presents a direct integration scheme, based on a fourth order finite difference approach, for elastodynamics. The proposed scheme was chosen as an alternative for attenuating the errors due to the use of the central difference method, mainly when the time-step length approaches the critical time-step. In addition to eliminating the spurious numerical oscillations, the fourth order finite difference scheme keeps the advantages of the central difference method: reduced computer storage and no requirement of factorisation of the effective stiffness matrix in the step-by-step solution. A study concerning the stability of the fourth order finite difference scheme is presented. The Finite Element Method and the Boundary Element Method are employed to solve elastodynamic problems. In order to verify the accuracy of the proposed scheme, two examples are presented and discussed at the end of this work.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.7 no.2
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• pp.75-81
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• 2003

Compact schemes are shown to be effective for a class of problems including convection-diffusion equations when combined with multigrid algorithms [7, 8] and V-cycle convergence is proved[5]. We apply the multigrid algorithm for an semianalytic finite difference scheme, which is desinged to preserve high order accuracy despite of singularities.

• Proceedings of the IEEK Conference
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• 2000.11a
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• pp.489-492
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• 2000

Film Bulk Acoustic Wave Resonator(FBAR) used in microwave region was analyzed with Finite Difference Time-Domain Methods(FDTD) in this paper. FBAR have been analyzed with one dimensional Mason model analysis or Finite Element methods(FEM), but the first couldn't analyze effect of area variation and spurious characteristics, the second had difficulty in element separation because of thin electrode. So in this paper FBAR was analyzed by Finite Difference Time-Domain Methods and it's results were transformed to frequency domain using Discrete Fourier Transform.

• Journal of the Korean Society for Nondestructive Testing
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• v.20 no.2
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• pp.116-129
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• 2000

Due to the great complexity of the physical phenomena involved in most ultrasonic nondestructive testing, the numerical method is effective in many cases of their theoretical modeling. A brief overview is provided in this paper of the numerical methods used in modeling ultrasonic nondestructive testing, with an emphasis on the finite difference and the finite element methods. The procedures of execution, special considerations required, and some previous research results of the finite difference and the finite element methods are presented, with a rather extensive list of work reported in the literature. These numerical modeling techniques for ultrasonic nondestructive testing are expected to be more reliable and more convenient, as a result of the continuing technological development of computers.

• 한국전산유체공학회:학술대회논문집
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• 2006.10a
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• pp.22-25
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• 2006

Direct simulations of aerodynamic sound, especially sound emitted by rapidly rotating elliptic cylinder by the finite difference lattice Boltzmann method (FDLBM). Effect of pile-fabrics for noise reduction is also studied by the finite volume LBM (FVLBM) using an unstructured grid. Second order time integration and third order upwind scheme are shown to be enough for these simulations. Sound sources are detected to be doublets for both cases. For the elliptic cylinder, the doublet is generated in the interaction between the vortex and the edge. For the circular cylinders, they are generated synchronizing with the Karman vortex street, and it is also shown that the pile-fabrics covering the surface of the cylinder reduces the strength of the source.

• Journal of IKEEE
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• v.23 no.3
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• pp.817-825
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• 2019

Difference equation is useful for control algorithm in the microprocessor. To approximate a derivative values from sampled data, it is used the methods of forward, backward and central differences. The key of computing discrete derivative values is the finite difference coefficient. The focus of this paper is a new approach method of finite difference formula. And we apply the proposed method to the recursive least squares(RLS) algorithm.