• Journal of applied mathematics & informatics
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• 제15권1_2호
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• pp.185-200
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• 2004

A stochastic optimal LQR control problem under some integral quadratic (IQ) constraints is studied, with cross terms in both the cost and the constraint functionals, allowing all the control weighting matrices being indefinite. Sufficient conditions for the well-posedness of this problem are given. When these conditions are satisfied, the optimal control is explicitly derived via dual theory.

• 한국통계학회:학술대회논문집
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• 한국통계학회 2003년도 춘계 학술발표회 논문집
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• pp.25-30
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• 2003

We prove that the logarithm of the flow of stochastic differential equations is an element of the free Lie algebra generated by a finite set consisting of vector fields being coefficients of equations. As an application, we directly obtain a formula of the solution of stochastic differential equations given by Castell(1993) without appealing to an expansion for ordinary differential equations given by Strichartz (1987).

• East Asian mathematical journal
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• 제29권1호
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• pp.13-22
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• 2013

As a fuzzy counterpart of stochastic calculus, fuzzy calculus including Liu integral and Liu formula were introduced. In order to deal with the problems with several fuzzy dynamic factors, Liu process, Liu integral and Liu formula are extended to the case of multi-dimensional in this paper.

• 대한수학회지
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• 제34권3호
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• pp.707-717
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• 1997

The square of Brownian density process $Q^\lambda$ is defined where $\lambda$ is a parameter. Applying limit theorems of stochastic integrals w.r.t. martingale measure, we prove a weak limit theorem for $Q^\lambda$ in $D_{S'(R^d)}[0,1]$.

• 대한수학회지
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• 제50권1호
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• pp.41-59
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• 2013

In this paper, we investigate the existence and controllability results for a class of abstract stochastic evolution differential inclusions with nonlocal conditions where the linear part is nondensely defined and satisfies the Hille-Yosida condition. The results are obtained by using integrated semigroup theory and a fixed point theorem for condensing map due to Martelli.

• Korean Journal of Mathematics
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• 제29권3호
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• pp.639-647
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• 2021

In this paper, we consider the integral of a stochastic process with respect of a sequence of square integrable semimartingales. By this integrals, we construct a reproducing kernel Hilbert space and study the correspondence between this space with the concepts of arbitrage and viability in mathematical finance.

• 대한수학회보
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• 제36권4호
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• pp.809-822
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• 1999

In this paper, we introduce conditional Yeh-Wiener in-tegrals for generalized conditioning functions including vector-valued functions. And also we establish various evaluation formulas of conditional Yeh-Wiener integrals for generalized conditioning functions.

• 충청수학회지
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• 제6권1호
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• pp.71-87
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• 1993

• 전산구조공학
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• 제8권1호
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• pp.127-136
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• 1995

본 연구는 가중적분법을 이용한 추계론적 유한요소해석에 관한 것으로 구조계 내에 존재하는 재료상수와 기하학적 상수의 임의성을 해석에 고려하여 추계론적 해석을 수행하였으며 대상 구조로는 평판구조를 택하였다. 재료와 기하학적 해석인자의 임의성을 포함한 요소강성행렬의 유도를 위해서 임의장을 가장하였으며 임의장의 평균은 0이고 표준편차 값은 0.1을 사용하였다. 이러한 임의장의 특성은 auto-correlation 함수에 의해서 표현되었으며 이 함수는 반응변화도를 얻는 과정에 사용되었다. 본 연구에서는 평판의 두께에 대한 임의성을 고려하기 위해서 새로운 auto-correlation 함수가 유도되었다. 유도된 새로운 auto-correlation 함수는 재료탄성계수의 임의장 특성을 나타내는 기존의 함수와 임의장 분산 계수의 함수로 나타났다. 수치해석결과는 몬테카를로 시뮬레이션 결과와 비교되었으며 상호 잘 일치하는 좋은 결과를 나타내었고 이들 결과는 제시된 이론적인 수렴치와도 잘 일치하였다. 평판두께에 대한 해석의 경우 역시 Lawrence의 결과는 물론 몬테카를로 시뮬레이션과 제시된 이론치와도 잘 일치하였다.

• 대한수학회논문집
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• 제11권1호
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• pp.175-190
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• 1996

In this paper we establish the existence of the conditional Feynman integral of certain functions which are not in the Banach algebra S of functions on Wiener space which are a kind of stochastic Fourier transform of complex Borel measures on $L^2[a, b]$. This result is used to provide the fundamental solution for the Schr$\ddot{o}$dinger equation for the forced harmonic potential.