• Communications for Statistical Applications and Methods
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• v.28 no.3
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• pp.251-265
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• 2021

This paper discusses the pricing of autocallable structured product with knock-in (KI) feature using the exit probability with the Brownian Bridge technique. The explicit pricing formula of autocallable ELS derived in the existing paper handles the part including the minimum of the Brownian motion using the inclusion-exclusion principle. This has the disadvantage that the pricing formula is complicate because of the probability with minimum value and the computational volume increases dramatically as the number of autocall chances increases. To solve this problem, we applied an efficient and robust simulation method called the Brownian Bridge technique, which provides the probability of touching the predetermined barrier when the initial and terminal values of the process following the Brownian motion in a certain interval are specified. We rewrite the existing pricing formula and provide a brief theoretical background and computational algorithm for the technique. We also provide several numerical examples computed in three different ways: explicit pricing formula, the Crude Monte Carlo simulation method and the Brownian Bridge technique.

• Journal of the Korea Computer Graphics Society
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• v.14 no.4
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• pp.7-18
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• 2008

To realistically produce fluids such as smoke for the visual effects in the films or animations, we need two main processes: a physics-based modeling of smoke and a rendering of smoke simulation data, based on light transport theory. In the computer graphics community, the physics-based fluids simulation is generally adopted for smoke modeling. Recently, the interest of the particle-based Lagrangian simulation methods is increasing due to the advantages at simulation time, instead of the grid-based Eulerian simulation methods which was widely used. As a result, because the smoke rendering technique depends heavily on the modeling method, the research for rendering of the particle-based smoke data still remains challenging while the research for rendering of the grid-based smoke data is actively in progress. This paper focuses on realistic rendering technique for the smoke particles produced by Lagrangian simulation method. This paper introduces a technique which is called particle map, that is the expansion and modification of photon mapping technique for the particle data. And then, this paper suggests the novel particle map technique and shows the differences and improvements, compared to previous work. In addition, this paper presents irradiance map technique which is the pre-calculation of the multiple scattering term in the volume rendering equation to enhance efficiency at rendering time.

• Proceedings of the Korean Society of Tribologists and Lubrication Engineers Conference
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• 2002.10b
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• pp.319-320
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• 2002

Numerical simulation of chip formation during high speed machining requires knowing the friction at tool/chip interface. This parameter is hardly identified and generally the loadings (temperature, force) during the identification are not similar to those encountered during machining. Thus, Coulomb friction identified with pin-on-disc device is often used to conduct numerical simulation. The used of this technique cannot leads to good numerical results of chip formation compared to the experimental tests especially in the case of low uncut chip thickness. In this contribution, we propose a new method to evaluate the friction at tool/chip interface. In fact several Coulomb friction parameters are identified corresponding to several parts of the cutting tool. Experimental tests have been conducted allowed us to determinate both the level and the distribution of the Coulomb friction. Experimental results are also compared to the results of orthogonal cutting simulation. We show that this technique allows predicting accuracy results of chip formation.

• Journal of computational fluids engineering
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• v.4 no.3
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• pp.63-70
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• 1999

A Direct simulation Monte-Carlo (DSMC) code is developed, which employs the Monte-Carlo statistical sampling technique to investigate hypersonic rarefied gas flows accompanying chemical reactions. The DSMC method is a numerical simulation technique for analyzing the Boltzmann equation by modeling a real gas flow using a representative set of molecules. Due to the limitations in computational requirements. the present method is applied to a flow around a simple two-dimensional object in exit velocity of 7.6 km/sec at an altitude of 90 km. For the calculation of chemical reactions an air model with five species (O₂, N₂, O, N, NO) and 19 chemical reactions is employed. The simulated result showed various rarefaction effects in the hypersonic flow with chemical reactions.

• Proceedings of the Korea Water Resources Association Conference
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• 2008.05a
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• pp.1235-1239
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• 2008

최근 기상이변 및 이상기후로 인해 예상치 못한 극치사상이 빈번하게 발생하고 있으며, 이로 인한 수자원관리 측면에 있어 많은 어려움을 겪고 있다. 특히 집중호우나 태풍 사상과 같이 단 시간 내에 많은 양의 강수량을 동반한 경우 댐과 같은 대형 수공구조물의 파괴로 인해 인명 및 재산피해의 가능성을 증가시키고 있다. 따라서 본 연구에서는 우리나라에 발생하는 시간강수량에 대한 평가를 하기 위해 우리나라에 발생하는 시간강수량과 수문기상인자인 해수면 온도 및 습윤지수와의 상관관계 분석을 통해 수문기상인자가 우리나라 강수량에 미치는 영향을 평가하였다. 또한, 우리나라에 발생하는 극한강우를 발생 원인별로 태풍 사상과 집중호우 사상으로 구분하여 수문기상인자와의 상관성 분석 결과를 바탕으로 Empirical Simulation Technique 기법을 적용하여 집중호우와 태풍으로 발생하는 강우의 특성을 평가하였다.

• 제어로봇시스템학회:학술대회논문집
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• 1992.10a
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• pp.165-170
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• 1992

In this paper, the Hardware-In-The-Loop Simulation(HILS) of missile systems are studied. The HILS is an effective performance evaluation technique that bridges the simulation fidelity gap between analytic all-digital simulations and actual flight tests of missile systems. The HILS may be required to perform system integration tests, performance evaluation at system or subsystem level. Major elements of this HILS facility will include the flight table, simulation computers, I/O computer and peripheral equipments. HILS of missile systems typically involve computer modeling of flight dynamics coupled with a hardware guidance and control(G/C) systems. This paper describes a real time performance evaluation technique of a G/C system, Development of a HILS for a Autopilot of SAM G/C will be used as an example.

• Proceedings of the KIPE Conference
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• 2010.07a
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• pp.222-223
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• 2010

TOP245P driver IC modeling technique are proposed for the LED Driver design. Analog behavioral model of TOP245P IC including the shunt regulator, under-voltage(UV) detection, over-voltage(OV) shut-down and SR flip-flop is developed by using PSPICE. The averaged-model and switching-model is applied to the LED driver simulation. The simulation results by the proposed TOP245P IC modeling technique are in good agreement with that in the data sheet and an experiment data.

• Proceedings of the Korean Society of Surveying, Geodesy, Photogrammetry, and Cartography Conference
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• 2004.11a
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• pp.519-522
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• 2004

The purpose of this research is to design a road using digital photogrammatry method to generate DEM(digital elevation model) and digital ortho image based on GSIS which was applied to the road simulation. The example study area was the suburbs of Jeju city. To this study, 1/5,000 digital map and GSIS technique were used for optimum road design of the island based on Arc View software. Using this software we can Set an overlay map by combination of hill shade map, slope map, aspect map, and building buffer map. Based on this overlap map, we designed the best road line and along this line we performed three dimensional road simulation using Microstation CAD and Inroads road design programs. From the results, we found that the DEM and digital ortho image acquired from stereoairphoto using digital photogrammatry was satisfied for choosing the best roadline and the developed three dimensional road simulation technique using GSIS technique was very useful to estimate the reasonable road design before the real road construction works.

• Proceedings of the Korean Powder Metallurgy Institute Conference
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• 2006.09b
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• pp.998-999
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• 2006

A new mathematical simulation technique for physico-mechanical properties of multi-component powder materials is proposed in this paper. The main advantage of the technique is that finite elements representing different components are placed into a common mesh and may exchange their properties. The output data are properties of material after sintering. The technique allows us to investigate the influence of each component of a material on the properties and distribution of properties inside the sample. The comparative analysis of materials with different compositions is based on simulation results that are well concordant with the results of the laboratory experiments.

• Proceedings of the KIEE Conference
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• 2003.07a
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• pp.636-638
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• 2003

This paper presents a new approach which is able to determine the reasonable incentive levels of direct load control using sequential Monte Carlo simulation techniques. The economic analysis needs to determine the reasonable incentive level. However, the conventional methods have been based on the scenario methods because they had not considered all cases of the direct load control situations. To overcome there problems, this paper proposes a new technique using sequential Monte Carlo simulation. The Monte Carlo method is a simple and flexible tool to consider large scale systems and complex models for the components of the system. To show its effectiveness, numerical studies were performed to indicate the possible applications of the proposed technique.