• 대한수학회논문집
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• 제11권2호
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• pp.471-480
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• 1996

Consider a strong Markov process $X^0$ that has continuous sample paths in the closed cone $\bar{G}$ in $R^d(d \geq 3)$ such that the process behaves like a ordinary Brownian motion in the interior of the cone, reflects instantaneously from the boundary of the cone and is absorbed at the vertex of the cone. It is shown that $X^0(t)$ has a representation $R(t) \ominus (t)$ where $R(t) \in [0, \infty)$ and $\ominus(t) \in S^{d-1}$, the surface of the unit ball.

• 대한수학회지
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• 제43권2호
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• pp.357-371
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• 2006

Let $X\;=\;(X_t,\;t{\in}[0, T])$ be a generalized Brownian motion(gBm) determined by mean function a(t) and variance function b(t). Let $L^2({\mu})$ denote the Hilbert space of square integrable functionals of $X\;=\;(X_t - a(t),\; t {in} [0, T])$. In this paper we consider a class of nonlinear functionals of X of the form F(. + a) with $F{in}L^2({\mu})$ and discuss their analysis. Firstly, it is shown that such functionals do not enjoy, in general, the square integrability and Malliavin differentiability. Secondly, we establish regularity conditions on F for which F(.+ a) is in $L^2({\mu})$ and has its Malliavin derivative. Finally we apply these results to compute the price and the hedging portfolio of a contingent claim in our financial market model based on a gBm X.

• 한국수학교육학회지시리즈B:순수및응용수학
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• 제28권2호
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• pp.119-142
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• 2021

In this paper, we first introduce a new L_p analytic Fourier-Feynman transform with respect to subordinate Brownian motion (AFFTSB), which extends the Fourier-Feynman transform in the Wiener space. We next examine several relationships involving the L_p-AFFTSB, the convolution product, and the gradient operator for several types of functionals.

• 대한수학회논문집
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• 제17권1호
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• pp.81-93
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• 2002

We consider the Hausdorff measure for Brownian motion(BM) in ι$_2$. Several path properties of BM in ι$_2$ are used to show the upper bound of Hausdorff measure. We also show the lower bound of it applying a law of iterated logarithm for the occupation time of BM in ι$_2$.

• 대한수학회논문집
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• 제38권4호
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• pp.1141-1151
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• 2023

Let C_a,b[0, T] denote the space of continuous sample paths of a generalized Brownian motion process (GBMP). In this paper, we study the structures which exist between the analytic generalized Fourier-Feynman transform (GFFT) and the generalized convolution product (GCP) for functions on the function space C_a,b[0, T]. For our purpose, we use the exponential type functions on the general Wiener space C_a,b[0, T]. The class of all exponential type functions is a fundamental set in L₂(C_a,b[0, T]).

• Journal of the Korean Society for Industrial and Applied Mathematics
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• 제26권2호
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• pp.108-120
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• 2022

We considered qualitative behaviour of the generalization of Einstein's model of Brownian motion when the key parameter of the time interval of free jump degenerates. Fluids will be characterised by number of particles per unit volume (density of fluid) at point of observation. Degeneration of the phenomenon manifests in two scenarios: a) flow of the fluid, which is highly dispersing like a non-dense gas and b) flow of fluid far away from the source of flow, when the velocity of the flow is incomparably smaller than the gradient of the density. First, we will show that both types of flows can be modeled using the Einstein paradigm. We will investigate the question: What features will particle flow exhibit if the time interval of the free jump is inverse proportional to the density and its gradient ? We will show that in this scenario, the flow exhibits localization property, namely: if at some moment of time t₀ in the region, the gradient of the density or density itself is equal to zero, then for some T during time interval [t₀, t₀ + T] there is no flow in the region. This directly links to Barenblatt's finite speed of propagation property for the degenerate equation. The method of the proof is very different from Barenblatt's method and based on the application of Ladyzhenskaya - De Giorgi iterative scheme and Vespri - Tedeev technique. From PDE point of view it assumed that solution exists in appropriate Sobolev type of space.

• 대한수학회논문집
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• 제19권1호
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• pp.93-111
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• 2004

In this paper, we use a generalized Brownian motion process to define a generalized Feynman integral and a generalized Fourier-Feynman transform. We also define the concepts of the multiple Lp analytic generalized Fourier-Feynman transform and the generalized convolution product of functional on function space $C_{a,\;b}[0,\;T]$. We then verify the existence of the multiple $L_{p}$ analytic generalized Fourier-Feynman transform for functional on function space that belong to a Banach algebra $S({L_{a,\;b}}^{2}[0, T])$. Finally we establish some relationships between the multiple $L_{p}$ analytic generalized Fourier-Feynman transform and the generalized convolution product for functionals in $S({L_{a,\;b}}^{2}[0, T])$.

• Journal of applied mathematics & informatics
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• 제12권1_2호
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• pp.385-393
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• 2003

Let Y(t) be a stochastic integral process represented by Brownian motion. We show that YHt (t) is continuous in t with probability one for Molder function Ht of exponent ${\beta}$ and finally we derive asymptotic self-similar process YM (t) which converges to Yw (t).

• Kyungpook Mathematical Journal
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• 제64권2호
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• pp.219-233
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• 2024

In this paper, we study the generalized Fourier-Feynman transform (GFFT) for functions on the general Wiener space C_a,b[0, T]. We establish an explicit evaluation formula for the analytic GFFT of bounded cylinder functions on C_a,b[0, T]. We start by examining certain cylinder functions which belong in a Banach algebra of bounded functions on C_a,b[0, T]. We then obtain an explicit formula for the analytic GFFT of the bounded cylinder functions.

• Communications for Statistical Applications and Methods
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• 제11권2호
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• pp.213-225
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• 2004

A fixed-strike lookback option is an option whose payoff is determined by the maximum (or minimum) price of the underlying asset within the option's life. Under the Black-Scholes framework, the time-t price of an equity asset follows a geometric Brownian motion. Applying the method of Esscher transforms, this paper will derive explicit pricing formulas for fixed-strike lookback call and put options, respectively. In addition, this paper will show a relationship (duality property) between the pricing formulas of the call and put options. Finally, this paper will derive explicit pricing formulas for the fixed-strike lookback options when their underlying asset pays dividends continuously at a rate proportional to its price.