• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.23 no.1
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• pp.19-30
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• 2019

In this paper, we develop an accurate explicit finite difference method for the two-dimensional Black-Scholes equation with a hybrid boundary condition. In general, the correlation term in multi-asset options is problematic in numerical treatments partially due to cross derivatives and numerical boundary conditions at the far field domain corners. In the proposed hybrid boundary condition, we use a linear boundary condition at the boundaries where at least one asset is zero. After updating the numerical solution by one time step, we reduce the computational domain so that we do not need boundary conditions. To demonstrate the accuracy and efficiency of the proposed algorithm, we calculate option prices and their Greeks for the two-asset European call and cash-or-nothing options. Computational results show that the proposed method is accurate and is very useful for nonlinear boundary conditions.

• Transactions of the Korean Society of Automotive Engineers
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• v.23 no.6
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• pp.583-590
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• 2015

Automobile crash optimization is nonlinear dynamic response structural optimization that uses highly nonlinear crash analysis in the time domain. The equivalent static loads (ESLs) method has been proposed to solve such problems. The ESLs are the static load sets generating the same displacement field as that of nonlinear dynamic analysis. Linear static response structural optimization is employed with the ESLs as multiple loading conditions. Nonlinear dynamic analysis and linear static structural optimization are repeated until the convergence criteria are satisfied. Nonlinear dynamic crash analysis for frontal analysis may not have boundary conditions, but boundary conditions are required in linear static response optimization. This study proposes a method to use the inertia relief method to overcome the mismatch. An optimization problem is formulated for the design of an automobile frontal structure and solved by the proposed method.

• Advances in nano research
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• v.7 no.5
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• pp.311-324
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• 2019

The present study aims to evaluate the nonlinear and post-buckling behaviors of orthotropic graphene sheets exposed to end-shortening strain by implementing a semi-Galerkin technique, as a new approach. The nano-sheets are regarded to be on elastic foundations and different out-of-plane boundary conditions are considered for graphene sheets. In addition, nonlocal elasticity theory is employed to achieve the post-buckling behavior related to the nano-sheets. In the present study, first, out-of-plane deflection function is considered as the only displacement field in the proposed technique, which is hypothesized by an appropriate deflected form. Then, the exact nonlocal stress function is calculated through a complete solution of the von-Karman compatibility equation. In the next step, Galerkin's method is used to solve the unknown parameters considered in the proposed technique. In addition, three different scenarios, which are significantly different with respect to concept, are used to satisfy the natural in-plane boundary conditions and completely attain the stress function. Finally, the post-buckling behavior of thin graphene sheets are evaluated for all three different scenarios, and the impacts of boundary conditions, polymer substrate, and nonlocal parameter are examined in each scenario.

• Ocean Systems Engineering
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• v.1 no.4
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• pp.355-372
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• 2011

Based on the fully nonlinear velocity potential theory, the liquid sloshing in a three dimensional tank under random excitation is studied. The governing Laplace equation with fully nonlinear boundary conditions on the moving free surface is solved using the indirect desingularized boundary integral equation method (DBIEM). The fourth-order predictor-corrector Adams-Bashforth-Moulton scheme (ABM4) and mixed Eulerian-Lagrangian (MEL) method are used for the time-stepping integration of the free surface boundary conditions. A smoothing scheme, B-spline curve, is applied to both the longitudinal and transverse directions of the tank to eliminate the possible saw-tooth instabilities. When the tank is undergoing one dimensional regular motion of small amplitude, the calculated results are found to be in very good agreement with linear analytical solution. In the simulation, the normal standing waves, travelling waves and bores are observed. The extensive calculation has been made for the tank undergoing specified random oscillation. The nonlinear effect of random sloshing wave is studied and the effect of peak frequency used for the generation of random oscillation is investigated. It is found that, even as the peak value of spectrum for oscillation becomes smaller, the maximum wave elevation on the side wall becomes bigger when the peak frequency is closer to the natural frequency.

• Proceedings of the Earthquake Engineering Society of Korea Conference
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• 2002.03a
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• pp.177-184
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• 2002

Large amplitude sloshing can occur in contained fluid region due to the seismic ground motion. Also, The pressure by large amplitude sloshing damages the connections between the wall and roof of a fluid container and causes outflow of contained fluid. Therefore, to predict the dynamic behavior accurately, three dimensional analysis with the nonlinear boundary condition must be performed. In this study, the numerical solution procedure is developed using the boundary element method with the Lagrangian particle approach. In order to demonstrate the accuracy and validity of the developed method, the fluid motion for a free oscillation with small amplitude and a forced vibration are analyzed. And the numerical results are compared with the linear theory results and the previous studies with the nonlinear boundary condition.

• Journal of applied mathematics & informatics
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• v.28 no.3_4
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• pp.763-772
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• 2010

This paper deals with the existence of triple positive solutions for the nonlinear second-order three-point boundary value problem z"(t)+a(t)f(t, z(t), z'(t))=0, t $\in$ (0, 1), $z(0)={\nu}z(1)\;{\geq}\;0$, $z'(\eta)=0$, where 0 < $\nu$ < 1, 0 < $\eta$ < 1 are constants. f : [0, 1] $\times$ [0, $+{\infty}$) $\times$ R $\rightarrow$ [0, $+{\infty}$) and a : (0, 1) $\rightarrow$ [0, $+{\infty}$) are continuous. First, Green's function for the associated linear boundary value problem is constructed, and then, by means of a fixed point theorem due to Avery and Peterson, sufficient conditions are obtained that guarantee the existence of triple positive solutions to the boundary value problem. The interesting point is that the nonlinear term f is involved with the first-order derivative explicitly.

• Journal of applied mathematics & informatics
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• v.32 no.5_6
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• pp.585-598
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• 2014

In this paper we consider the nonlinear parabolic problems with mixed boundary condition. Under comparatively mild conditions of the coefficients related to the problem, we construct the discontinuous Galerkin approximation of the solution to the nonlinear parabolic problem. We discretize spatial variables and construct the finite element spaces consisting of discontinuous piecewise polynomials of which the semidiscrete approximations are composed. We present the proof of the convergence of the semidiscrete approximations in $L^{\infty}(H^1)$ and $L^{\infty}(L^2)$ normed spaces.

• Bulletin of the Korean Mathematical Society
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• v.47 no.1
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• pp.81-87
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• 2010

In this paper, we consider the existence of nontrivial solutions for the nonlinear fractional differential equation boundary-value problem(BVP) $-D_0^{\alpha}+u(t)=\lambda[f(t, u(t))+q(t)]$, 0 < t < 1 u(0) = u(1) = 0, where $\lambda$ > 0 is a parameter, 1 < $\alpha$ $\leq$ 2, $D_{0+}^{\alpha}$ is the standard Riemann-Liouville differentiation, f : [0, 1] ${\times}{\mathbb{R}}{\rightarrow}{\mathbb{R}}$ is continuous, and q(t) : (0, 1) $\rightarrow$ [0, $+\infty$] is Lebesgue integrable. We obtain serval sufficient conditions of the existence and uniqueness of nontrivial solution of BVP when $\lambda$ in some interval. Our approach is based on Leray-Schauder nonlinear alternative. Particularly, we do not use the nonnegative assumption and monotonicity which was essential for the technique used in almost all existed literature on f.

• Journal of Korean Society of Coastal and Ocean Engineers
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• v.3 no.3
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• pp.176-183
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• 1991

In this paper. boundary element method is applied to the analysis of nonlinear free surface wave. A particular concern is given to the treatment of the open boundaries at the in-flow boundary and out-flow boundary, which uses the mass-flux and energy-flux considering the continuity of fluid. By assuming the fluid to be inviscid and incompressible and the flow to be irrotational. the problem is formulated mathematically as a two-dimentional nonlinear problem in terms of a velocity potential. The equation(Laplace equation) and the boundary conditions are transformed into two boundary integral equations. Due to the nonlinearity of the problem. the incremental method is used for the numerical analysis. Numerical results obtained by the present boundary element method are compared with those obtained by the finite element method and also with experimental values.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.7 no.1
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• pp.33-45
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• 2003

In this paper we establish a set of sufficient conditions for the boundary controllability of nonlinear integrodifferential systems and Sobolev type integrodifferential systems in Banach spaces by using fixed point theorems.