• The Korean Journal of Financial Studies
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• v.10 no.1
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• pp.1-44
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• 2004

연속시간모형은 시간의 흐름에 대응되는 자본자산의 운동의 성질과 시간의 흐름에 따라 형성되는 자본자산의 가격을 동시적으로 파악할 수 있는 것이 큰 장점이다. 연속시간 확률미분방정식을 구성하는 표류함수와 확산함수가 폐형해나 해석적 형태로 존재하지 않는 경우가 대부분이다. 여기에서 모수추정의 어려움이 발생한다. 전이 확률밀도함수의 인지 또는 발견의 어려움과 표류함수와 확산함수의 적분 불가능성은 최대가능도법의 사용을 어렵게 만든다. 여기에서 모수방법 보다는 비모수방법을 통하여 연속 확률 미분방정식을 추정하려는 성향이 존재한다. 밀도를 모르면 표본적률을 사용하여 모수를 추정할 수 있으므로 일반화 적률법이 연속시간 확률미분방정식의 모수 추정과 검정에 사용되고 있다. 전이밀도의 값을 시뮬레이션을 통하여 얻는 마코브연쇄 몬테카를로 방법, 전이밀도를 무한소 생성작용소를 통하여 얻는 방법, 비 모수방법, 여러 종류의 전개에 의하여 얻은 표류함수와 확산함수의 전이밀도에 대한 최대가능도법 등 여러 종류의 연속시간 확률미분방정식의 실증분석에서 사용되고 있다. 이 논문에서는 연속시간 확률미분방정식의 실증분석 방법들을 정리하는데 목적이 있다. 이일균(2004)은 이 논문과의 자매논문으로 시뮬레이션에 의한 확률미분방정식의 추정을 다루고 있어 시뮬레이션방법은 그 논문에 미룬다.

• Journal of the Korean Chemical Society
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• v.50 no.4
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• pp.277-280
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• 2006

We report an exact relation between the survival probability, the revisit time distribution, and the reaction-free propagator of the continuous time random walker. The relation holds even for such a general case where the random walker has a distinct jump dynamics at each lattice site, which may be dependent also on the direction of the jump. The application range of the obtained relation is not limited to the nearest neighbor hopping in the bulk lattice either. The result is applicable to a higher dimensional system with the spherical symmetry as well as it is to the one-dimensional system.

• Fire Science and Engineering
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• v.13 no.1
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• pp.37-47
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• 1999

The spreading fire of very small floating particles after they are ignited is fast and t therefore dangerous. The research on this area has been limited to experiments and global simulations which treat them as dusts or gaseous fuel with certain concentration well m mixed with air. This research attempted micro-scale analysis of ignition of those particles modeling them as liquid droplets. For the beginning, the in-line array of fuel droplets is modeled by two-dimensional, unsteady conservation equations for mass, momentum, energy and species transport in the gas phase and an unsteady energy equation in the liquid phase. They are solved numerically in a generalized non-orthogonal coordinate. The single step chemical reaction with reaction rate controlled by Arrhenius’ law is assumed to a assess chemical reaction numerically. The calculated results show the variation of temperature and the concentration profile with time during evaporation and ignition process. Surrounding oxygen starts to mix with evaporating fuel vapor from the droplet. When the ignition condition is met, the exothermic reactions of the premixed gas initiate a and burn intensely. The maximum temperature position gradually approaches the droplet surface and maximum temperature increases rapidly following the ignition. The fuel and oxygen concentration distributions have minimum points near the peak temperature position. Therefore the moment of ignition seems to have a premixed-flame aspect. After this very short transient period minimum points are observed in the oxygen and fuel d distributions and the diffusion flame is established. The distance between droplets is an important parameter. Starting from far-away apart, when the distance between droplets decreases, the ignition-delay time decreases meaning faster ignition. When they are close and after the ignition, the maximum temperature moves away from the center line of the in-line array. It means that the oxygen at the center line is consumed rapidly and further supply is blocked by the flame. The study helped the understanding of the ignition of d droplet array and opened the possibility of further research.