• Proceedings of the Korean Society of Computational and Applied Mathematics Conference
• /
• 2003.09a
• /
• pp.10-10
• /
• 2003

Option pricing theory developed by Black and Sholes depends on an arbitrage opportunity argument. An investor can exactly replicate the returns to any option on that stock by continuously adjusting a portfolio consisting of a stock and a riskless bond. The value of the option equal the value of the replicating portfolio. However, transactions costs invalidate the Black-Sholes arbitrage argument for option pricing, since continuous revision implies infinite trading, Discrete revision using Black-Sholes deltas generates errors which are correlated with the market, and do not approach zero with more frequent revision when transactions costs are included. Stochastic calculus serves as a fundamental tool in the mathematical finance. We closely look at the utility maximization theory which is one of the main option valuation methods. We also see that how the stochastic optimal control problems and their solution methods are applied to the theory.

• Transactions of the Korean Society of Mechanical Engineers
• /
• v.7 no.1
• /
• pp.11-18
• /
• 1983

For the steady-state solutions of vibratory systems where the dynamics involves nonlinearity and discontinuity, a method of numerical simulation has been normally used. This paper presents a new approach which may overcome some difficulties in the simulation method. This approach is based on the fundamental assumption that the steady-state forced vibration is periodic, so that the problem is formulated as a two-point boundary-value problem and can be solved by Waner's algorithm. This method is demonstrated through the solutions of a linear system, a system with Coulomb friction and an impact pair. It is found that the method gives true solutions well both for linear and nonlinear systems, which convinces us of the usefulness of the method.

• 한국신재생에너지학회:학술대회논문집
• /
• 2008.05a
• /
• pp.239-242
• /
• 2008

As the distributed generation becomes more reliable and economically feasible, it is expected that a higher application of the distributed generation units would be interconnected to the existing grids. In this context, the Micro Gas Turbines (MGT) by using Bio-gas is being considered as a promising solution. In order to propose a feasible concept of those technologies such as improving environmental effect and economics, we performed a sensitivity study for a biomass fueled MGT using a simulation model. The study consists of 1) the fundamental modeling using manufacturer's technical specifications, 2) the correction with the experimental data, and 3) the prediction of off-design characteristics. The performance analysis model was developed by PEPSE-GT 72, commercial steam/gas turbine simulation technicque.

• Proceedings of the Korean Society for Noise and Vibration Engineering Conference
• /
• 2006.11a
• /
• pp.649-653
• /
• 2006

Engine Noise is composed of the mechanical and combustion noise. The contribution of combustion noise is generally bigger than the contribution of the mechanical noise at idle condition in DI diesel engine. That noise usually makes a roughness problem at the fundamental engine order. It is difficult to remove the modulation frequency so we have to directly reduce the combustion noise. The key effect of combustion noise reducing solution is the modification of the combustion pressure profile. It is accomplished by the multiple injection method and we solved the 400Hz combustion noise and improved the sound quality at idle condition in DI diesel engine.

• Proceedings of the Korean Institute of Building Construction Conference
• /
• 2005.05a
• /
• pp.73-76
• /
• 2005

Recently, Trouble of sand supply is occurred according to exhaustion of natural sand resources. therefore, various measures are proposed for solution of trouble of sand supply and crushed sand among measures is used as one of most universal measures. but crushed sand which have poor particle shape and plenty of makes micro particle the qualify of concrete deteriorated. Therefore, this study evaluated physical properties of mortar using crushed sand and applied evaluation result to fundamental data The result of this study have shown that quality of mortar using crushed sand independently is poor against general mortar. but, mortar flow and compressive strength is increased in case of using crushed sand according to mixing ratio properly.

• Proceedings of the Korean Institute of Building Construction Conference
• /
• 2005.05a
• /
• pp.33-36
• /
• 2005

Recently, Trouble of sand supply is occurred according to exhaustion of natural sand resources. therefore, various measures are proposed for solution of trouble of sand supply. also the government settled trouble of sand supply through application of EEZ sand and crushed sand. but because both EEZ sand and crushed sand are poor against general sand, they lead to lowering of quality of ready-mixed concrete. Therefore, this study evaluated physical properties of mortar using EEZ sand and crushed sand and applied evaluation result to fundamental data The result of this study have shown that quality of mortar using EEZ sand and crushed sand independently is poor against general mortar. but, mortar flow and compressive strength is increased in case of mixing 222 sand and crushed sand properly.

• Journal of the Korean Operations Research and Management Science Society
• /
• v.32 no.4
• /
• pp.51-60
• /
• 2007

In this study, we consider the minimum ADM problem which is the fundamental problem for the cost-effective design of SONET ADM embedded in WDM ring networks. To minimize the number of SONET ADMs, efficient algorithms for the routing and wavelength assignment are needed. We propose a mathematical model based on the graph theory for the problem and propose a branch-and-price approach to solve the suggested model effectively within reasonable time. By exploiting the mathematical structure of ring networks, we developed polynomial time algorithms for column generation subroutine at branch-and-bound tree. In a computer simulation study, the suggested approach can find the optimal solution for sufficient size networks and shows better performance than the greedy heuristic method.

• Proceedings of the Korea Concrete Institute Conference
• /
• 2001.11a
• /
• pp.787-792
• /
• 2001

The chloride ion penetrating into concrete is classified as the fixed chloride ion being bound in reacting to cement hydrate and the free chloride ion having a direct effect on rebar corrosion because being in solution inside porosity of concrete. Therefore, in order to study the diffusion properties of chloride ion, it is needed to evaluate binding chloride ion in concrete. In this study, we tried to give a fundamental information on diffusion of chloride ion in concrete with mineral admixtures through analysis of micro-structure transformations in concrete and effects on binding of chloride ion in cement paste when mixed with fly-ash, blast furnace slag, silica fume etc. which are used to improve durability and permeability of concrete

• Proceedings of the Korean Institute of Intelligent Systems Conference
• /
• 2001.12a
• /
• pp.314-318
• /
• 2001

Constructing a shortest path on a graph is a fundamental problem in the area of graph theory. In an application where we cannot exactly determine the weights of edges, fuzzy weights can be used instead of crisp weights, and Type-2 fuzzy weights will be more suitable if this uncertainty varies under some conditions. In this paper, shortest path problem in type-1 fuzzy weighted graphs is extended for type-2 fuzzy weighted graphes. A solution is also given based on possibility theory and extension principle.

• Journal of the Korea Institute of Military Science and Technology
• /
• v.5 no.4
• /
• pp.57-66
• /
• 2002

본 연구는 굽힘 하중하에서 탄성평판 구조 해석을 위한 경계적분방법 구성을 주목적으로 하고 체계적인 모듈화시스템 개발의 첫 이론 부분을 확립하였다. 굽힘 문제에서의 4개의 고유변수인 처짐, 기울기, 굽힘모우멘트, 상당 전단력의 항으로 경계적분방정식을 구성하였다. 물리적인 의미를 갖는 두 새로운 핵함수 도입으로 구성된 이들 적분방정식은 경계요소 구성시 나타나는 특이거동의 문제점을 간단한 두 탄성해에 의해 정규화 시켰으며 수치 적분 과정도 Cauchy 주치 적분 수렴성에서의 특별취급과는 달리 효율적으로 일반화시켰다. 경계적분식의 수치해석방법을 서술하였으며 집중하중하의 비대칭문제의 근사수치해를 도시하였다.