• 대한수학회논문집
• /
• 제29권1호
• /
• pp.173-185
• /
• 2014

In the present paper, we consider an anomalous diffusion problem in two dimensional space involving Caputo time and Riesz-Feller fractional derivatives and then solve it by using a series involving bilateral eigen-functions. Also, we obtain a numerical approximation formula of this problem and discuss some of its particular cases.

• Journal of the Korean Society for Industrial and Applied Mathematics
• /
• 제27권3호
• /
• pp.180-193
• /
• 2023

Approximating the implied volatilities and estimating the model parameters are important topics in quantitative finance. This study proposes an approximation formula for short-maturity near-the-money implied volatilities in stochastic volatility models. A general second-order nonlinear PDE for implied volatility is derived in terms of time-to-maturity and log-moneyness from the Feyman-Kac formula. Using regularity conditions and the Taylor expansion, an approximation formula for implied volatility is obtained for short-maturity nearthe-money call options in two stochastic volatility models: Heston model and SABR model. In addition, we proposed a novel numerical method to estimate model parameters. This method reduces the number of model parameters that should be estimated. Generating sample data on log-moneyness, time-to-maturity, and implied volatility, we estimate the model parameters fitting the sample data in the above two models. Our method provides parameter estimates that are close to true values.

• Industrial Engineering and Management Systems
• /
• 제7권2호
• /
• pp.143-149
• /
• 2008

There have been some approximation analysis methods for a GI/G/1 queueing system. As one of them, an approximation technique for the steady-state probability in the GI/G/1 queueing system based on the iteration numerical calculation has been proposed. As another one, an approximation formula of the average queue length in the GI/G/1 queueing system by using the diffusion approximation or the heuristics extended diffusion approximation has been developed. In this article, an approximation technique in order to analyze the GI/G/1 queueing system is considered and then the formulae of both the steady-state probability and the average queue length in the GI/G/1 queueing system are proposed. Through some numerical examples by the proposed technique, the existing approximation methods, and the Monte Carlo simulation, the effectiveness of the proposed approximation technique is verified.

• 대한수학회지
• /
• 제46권6호
• /
• pp.1267-1276
• /
• 2009

This paper presents a method for approximation of the standard normal distribution by using hyperbolic tangent based functions. The presented approximate formula for the cumulative distribution depends on one numerical coefficient only, and its accuracy is admissible. Furthermore, in some particular cases, closed forms of inverse formulas are derived. Numerical results of the present method are compared with those of an existing method.

• 충청수학회지
• /
• 제29권1호
• /
• pp.95-102
• /
• 2016

Multi-server queueing systems with retrials are widely used to model problems in a call center. We present an explicit formula for an approximation of the queue length distribution in a multi-server retrial queue, by using the Lerch transcendent. Accuracy of our approximation is shown in the numerical examples.

• 호남수학학술지
• /
• 제41권2호
• /
• pp.403-420
• /
• 2019

The Helmholtz equation represents acoustic or electromagnetic scattering phenomena. The Method of Lines are known to have many advantages in simulation of forward and inverse scattering problems due to the usage of angle rays and Bessel functions. However, the method does not account for the jump phenomena on obstacle boundary and the approximation includes many high order Bessel functions. The high order Bessel functions have extreme blow-up or die-out features in resonance region obstacle boundary. Therefore, in particular, when we consider shape reconstruction problems, the method is suffered from severe instabilities due to the logical confliction and the severe singularities of high order Bessel functions. In this paper, two approximation formulas for the Helmholtz equation are introduced. The formulas are new and powerful. The derivation is based on Method of Lines, Huygen's principle, boundary jump relations, Addition Formula, and the orthogonality of the trigonometric functions. The formulas reduce the approximation dimension significantly so that only lower order Bessel functions are required. They overcome the severe instability near the obstacle boundary and reduce the computational time significantly. The convergence is exponential. The formulas adopt the scattering jump phenomena on the boundary, and separate the boundary information from the measured scattered fields. Thus, the sensitivities of the scattered fields caused by the boundary changes can be analyzed easily. Several numerical experiments are performed. The results show the superiority of the proposed formulas in accuracy, efficiency, and stability.

• 응용통계연구
• /
• 제24권2호
• /
• pp.347-357
• /
• 2011

본 논문은 M/$E_n$/1 큐에서 overshoot에 대한 근사식을 제안한다. overshoot은 큐의 작업부하량과정이 어떤 한계점을 처음으로 초과한 순간에 그 초과량을 의미하는데, overshoot의 분포 및 1차, 2차 적률은 큐의 최적화문제를 푸는데 중요한 역할을 한다. 본 논문에서는 그동안 이루어진 overshoot의 분포에 대한 이론적인 결과를 바탕으로 하여 overshoot의 분포를 고객의 서비스시간의 분포와 지수분포의 선형결합으로 표현하는 근사식을 제안한다. 그리고 제안된 근사식의 정확성을 확인하기 위하여 시뮬레이션을 통해 구한 overshoot의 분포와 비교한다.

• 한국통신학회논문지
• /
• 제25권10A호
• /
• pp.1566-1575
• /
• 2000

이 논문은 일반화된 감마 신호원에 최소 평균제곱오차 왜곡을 갖도록 설계된 양자기가 다른 신호원에 사용될때 발생하는 양자기 불일치에 대한 연구로서, 양자기의 여러 불일치 가운데, 설계 신호원과 사용 신호원의 분산이 불일치된, 분산 불일치 문제를 다루었다. 주 내용은 베넷 적분식을 기반으로 하여 유도한 양자기 왜곡의 두 근사수식으로, 첫째 근사식은 양자기의 맨 바깥 경계값의 함수로 표시된 제1차 왜곡 근사식이며, 둘째 근사식은 이 맨바깥 경계값의 근사식을 사용한 제2차 왜곡 근사식이다. 일반화된 감마 신호원의 일종인 라플라스 신호원의 경우에 다양한 분산 불일치에 대해, 양자기의 실제 왜곡을 수치로 구하였으며, 이 실제 왜곡과 두 근사식을 비교하였다. 제1차 및 2차 근사식은 모두, 설계 신호원의 분산에 대한 사용 신호원의 분산 비율이 클수록, 더 작은 양자점수에서도 실제 왜곡에 근접하였으며, 또 양자점의 개수가 64 이상일 때 실제 왜곡의 2~4% 이내의 오차를 보여, 높은 정확도를 갖는 것이 관찰되었다. 이를 종합할 때, 이 논문에서 제시하는 근사식들은, 수식이라는 측면과 정확도라는 측면에서, 가치있는 것으로 평가된다.

• 한국경영과학회지
• /
• 제19권3호
• /
• pp.93-109
• /
• 1994

Even though sojourn time distributions are essential information in analyzing queueing networks, there are few methods to compute them accurately in non-product form queueing networks. In this study, we model the location process of a typical customer as a GMPH semi-Markov chain and develop computationally useful formula for the transition function and the first-passage time distribution in the GMPH semi-Markov chain. We use the formula to develop an effcient method for approximating sojourn time distributions in the non-product form queueing networks under quite general situation. We demonstrate its validity through numerical examples.

• 한국수학교육학회지시리즈B:순수및응용수학
• /
• 제12권4호
• /
• pp.275-287
• /
• 2005

Geometric invariants are basic tools for geometric processing and computer vision. In this paper, we give a linear approximation for the differentiation of the binormal vector field of a space curve by using the forward and backward differences of discrete binormal vectors. Two kind of discrete torsion, say, back-ward torsion $T_b$ and forward torsion $T_f$ can be defined by the dot product of the (backward and forward) discrete differentiation of binormal vectors that are linear approximations of torsion. Using Frenet formula and Taylor series expansion, we give error estimations for the discrete torsions. We also give numerical tests for a curve. Notably the average of $T_b$ and $T_f$ looks more stable in errors.