• 대한수학회보
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• 제39권4호
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• pp.705-714
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• 2002

We consider a jump-diffusion model generated by a Levy process for an asset price. We present an error estimate for the option prices between the jump-diffusion model and the Black-scholes model when the former converges weakly to the latter.

• 한국자기공명학회논문지
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• 제13권1호
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• pp.35-55
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• 2009

The two correlation times previously obtained in our coupled $^{13}C$ relaxation measurement for the methyl group in 2,6-dichlorotoluene may be used as a criterion for evaluating the reorientation dynamics of an internal rotor. We numerically tested an extended diffusion model and the Smoluchowski diffusion equation to see how the rotational inertial effect and jump character contribute to the internal correlation time ratio of the internal rotor. We also analytically solved the general jump model with three different rate constants in a sixfold symmetric potential barrier. By assuming that the internal rotation of the methyl group in 2,6-dichlorotoluene can be described in terms of jumps among sixfold harmonic potential wells, we can conclude that the jump model satisfactorily reproduce the experimental data and the rate for sixfold jump is at least 1.53 times as great as that of a threefold jump.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• 제13권2호
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• pp.87-100
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• 2009

Hedging strategy for European option of jump-type semimartingale asset model, which is derived from stochastic differential equation whose driving process is a jump-type semimartingle, is discussed.

• 대한산업공학회지
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• 제38권4호
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• pp.249-253
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• 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).

• 대한수학회지
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• 제51권4호
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• pp.735-749
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• 2014

This paper studies the asymptotic behavior of the finite-time ruin probability in a jump-diffusion risk model with constant force of interest, upper tail asymptotically independent claims and a general counting arrival process. Particularly, if the claim inter-arrival times follow a certain dependence structure, the obtained result also covers the case of the infinite-time ruin probability.

• 한국산업융합학회 논문집
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• 제20권5호
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• pp.431-439
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• 2017

Since the power transmission line(PTL) passes through the high mountain and heavy snowfall region, it is necessary to keep the stability of the PTL. In this study, PTL is modeled as a mass-spring-damper system by using RecurDyn. The lumped mass model is verified by calculated from the simulation comparing the deflection analysis according to the sag and tension. In order to analyze the dynamic behavior of PTL, a damping coefficient for a multi-body model is derived by using the free vibration test and Rayleigh damping theory. Sleet jump simulation according to the region is performed. The maximum jump height, icing sag and amount of jump are confirmed. Also, the amount of jump and the reaction force at the supporting point according to the tension and load of ice are analyzed, respectively. As a result, it is noted that the amount of jump and reaction force are influenced more by the load of ice than by the tension of PTL.

• 한국수자원학회논문집
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• 제54권11호
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• pp.1011-1019
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• 2021

본 연구에서는 제방 형태의 보를 월류하는 수중도수와 잠긴흐름을 수치모의 하였다. 수치모의를 위하여 URANS 방정식을 해석하였으며, 난류폐합식으로 k-𝜔 모형을 사용하였다. 기존의 실험결과를 이용하여 수치모형을 검증하였는데, 모의된 롤러의 형상, 자유수면, 그리고 평균유속분포가 실험결과와 비교적 잘 일치하는 것을 확인하였다. 수중도수와 잠긴흐름에서 물의 체적비 분포를 비교하였으며, 각 흐름에 대한 2중 평균된 체적비의 특성을 제시하였다. 수치모의를 이용하여 보의 길이, 유량, 그리고 하류 수위에 따라 수중도수에서 잠긴흐름으로 천이되는 조건을 검토하였으며, 천이가 발생할 때의 상대 월류수심을 침수비의 함수로 제시하였다.

• 한국초전도ㆍ저온공학회논문지
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• 제19권3호
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• pp.8-12
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• 2017

If the part of the HTS magnet is exposed to the outside of the cryogenic coolant due to the fluctuation of the height of the cooling liquid or the vapor generation, the uncooled part becomes very unstable. In this paper, the unstable equilibrium temperature distribution of the uncooled part of a superconductor is obtained, and the maximum temperature and energy are calculated as a function of the uncooled length. Similar to the superconductor stability problem, the current sharing model was applied to derive the theoretical formula and calculated by numerical integration. We also applied a jump model, which assumes that joule heat is generated in all of the uncooled segment, and compares it with the current sharing model results. As a result of the analysis, the stable equilibrium state and the critical uncooled length in the jump model are not shown in the current sharing model. The stability of the conductors to external disturbances was discussed based on the obtained temperature distribution, maximum temperature, and energy.

• Communications for Statistical Applications and Methods
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• 제10권3호
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• pp.655-663
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• 2003

The fundamental tenn structure model is based on the modelling of the short rate. It is well-known that the short rate depends on the interest rate policy of monetary authorities, especially on the official rate. Babbs and Webber(1994) modelled the tenn structure of interest rates using the official rate. They assume that the official rate follows a jump process. This reflects that the official rate infrequently changes. In this paper, we test this official tenn structure model and compare the jump-diffusion model with the pure diffusion model.

• 소음진동
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• 제6권2호
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• pp.197-203
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• 1996

This study is to analyze the rotordynamic effect of surface-friction- factor characteristics on an annular seal. The honeycomb geometry which shows friction-factor-jump phenomena is used in this study. A rotordynamic analysis for a contered annular seal has been developed by incorporating empirical friction-factor model for honeycomb stator surfaces. The results of the analysis for the honeycomb seal showing the friction-factor jump is compared to the non- friction-factor-jump case. The results yield that the friction-factor-jump decreasesdirect stiffness and cross coupled stiffness coefficients, and increases damping coefficient to stabilize rotating machinery in a rotordynamic point of view. The analysis of the honeyeomb seal for the friction-factor-jump case shows reasonably good compared to experimental results, especially, for cross coupled and damping coeffcients.