• 충청수학회지
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• 제12권1호
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• pp.133-146
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• 1999

Let {X(t), $t{\geq}0$} be a stochastic integral process represented by stable random measure or multiple Ito-Wiener integrals. Under some conditions, we prove the continuity and self-similarity of these stochastic integral processes. As an application, we get Gaussian chaos which has some shift continuous function.

• Journal of applied mathematics & informatics
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• 제20권1_2호
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• pp.585-594
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• 2006

We consider a stochastic integral process represented by multiple Ito-Wiener integrals. We derive gaussian chaos which has some shift continuous function. We get continuity property of self-similar process represented by multiple integrals and finally we show that $Y_{H_t}$ (t) is continuous in t with probability one for Holder function $H_t$ of exponent $\beta$.

• 한국통계학회:학술대회논문집
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• 한국통계학회 2002년도 춘계 학술발표회 논문집
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• pp.55-60
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• 2002

We present an extension of the Wong-Zakai type approximation theorem for a multiple stochastic integral. Using a piecewise linear approximation $W^{(n)}$ of a Wiener process W, we prove that the multiple integral processes {${\int}_{0}^{t}{\cdots}{\int}_{0}^{t}f(t_{1},{\cdots},t_{m})W^{(n)}(t_{1}){\cdots}W^{(n)}(t_{m}),t{\in}[0,T]$} where f is a given symmetric function in the space $C([0,T]^{m})$, converge to the multiple Stratonovich integral of f in the uniform $L^{2}$-sense.

• 충청수학회지
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• 제6권1호
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• pp.71-87
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• 1993

• Communications for Statistical Applications and Methods
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• 제20권1호
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• pp.15-22
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• 2013

We find a sufficient condition for optimal Berry-Esseen bounds in the normal approximation of functionals of Gaussian fields studied by Nourdin and Peccati (2009b).

• Communications for Statistical Applications and Methods
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• 제19권3호
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• pp.303-313
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• 2012

By using the techniques of a Malliavin calculus, we study the asymptotic behavior of the weighted cross-variation of a fractional Brownian sheet with a Hurst parameter $H=(H_1,H_2)$ such that 0 < $H_1$ < 1/2 and 0 < $H_1$ < 1/2.

• Communications for Statistical Applications and Methods
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• 제18권6호
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• pp.851-857
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• 2011

By using Malliavin calculus, we study a central limit theorem of the cross variation related to fractional Brownian sheet with Hurst parameter H = ($H_1$, $H_2$) such that 1/4 < $H_1$ < 1/2 and 1/4 < $H_2$ < 1/2.

• 한국전산구조공학회논문집
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• 제20권6호
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• pp.789-799
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• 2007

본 논문에서는 구조의 재료물성치와 기하학적 인수의 공간적 불확실성에 의한 구조 응답변화도 산정을 위한 정식화를 제안하였다. 정식화는 추계론적 유한요소해석의 해석법 중의 하나인 가중적분법을 기본으로 하였다. 해석 대상 구조는 전단변형을 포함하는 평판구조로서, 평판구조에 나타날 수 있는 불확실 인수로는 재료적 측면에서는 재료탄성계수와 포아송비가 있으며, 기하학적 인수로는 평판의 두께를 들 수 있다. 선형탄성 영역에서 선형성을 나타내는 재료탄성계수와는 달리 평판의 두께는 3차함수로 강성에 기여하고, 포아송비의 경우 분수의 형태로 강성에 기여하므로 직접적으로는 이를 추계론적 해석에 고려할 수 없다. 따라서 본 연구에서는 적합행렬내의 포아송비를 Taylor전개하여 사용하였다. 제안된 정식화에 의한 결과는 기존 연구결과는 물론 몬테카를로 해석에 의한 결과와도 비교하여 제안한 정식화를 검증하였다.

• 전자공학회논문지B
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• 제33B권5호
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• pp.52-59
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• 1996

The boroadband ISDN will transprot the traffics for a wide range of applications with different quality-of-service (QOS) requirements and the priorit control mechanism is an effective method to support multiple classes of services. This paper proposes a new mechanism to satisfy simultaneously the different levels of cell loss performance for the two classes of heterogeneous nonreal-time ATM traffics as well as the delay and loss requirements of real-time traffics. Its performance is analyzed using the stochastic integral approach with the cell arrivals of input streams modeled as markov modulated poisson processes.