• Journal of the Korean Statistical Society
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• 제20권2호
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• pp.139-146
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• 1991

A generalization of an earlier diffusion model for system subject to continuous wear is presented. It is assumed that the state of the system is modelled by Brownian motion with negative drift and an absorbing barrier at the origin. A repairman arrives according to a stationary renewal process and increases the state of the system by a random amount if the state does not exceed a threshold. Various properties of this model are investigated including the distribution of the state of the system at time t, the first passage time to state 0 and the probability that the state of the system exceeds a certain level throughout a specified interval.

• 대한수학회보
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• 제50권1호
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• pp.217-231
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• 2013

In this paper we establish a Fubini theorem for generalized analytic Feynman integral and $L_1$ generalized analytic Fourier-Feynman transform for the functional of the form $$F(x)=f({\langle}{\alpha}_1,\;x{\rangle},\;{\cdots},\;{\langle}{{\alpha}_m,\;x{\rangle}),$$ where {${\alpha}_1$, ${\cdots}$, ${\alpha}_m$} is an orthonormal set of functions from $L_{a,b}^2[0,T]$. We then obtain several generalized analytic Feynman integration formulas involving generalized analytic Fourier-Feynman transforms.

• 충청수학회지
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• 제19권1호
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• pp.79-99
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• 2006

In this paper, we define a class of functional defined on a very general function space $C_{a,b}[0,T]$ like a Fresnel class of an abstract Wiener space. We then define the multiple $L_p$ analytic generalized Fourier-Feynman transform and the generalized convolution product of functionals on function space $C_{a,b}[0,T]$. Finally, we establish some relationships between the multiple $L_p$ analytic generalized Fourier-Feynman transform and the generalized convolution product for functionals in $\mathcal{F}(C_{a,b}[0,T])$.

• 충청수학회지
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• 제23권1호
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• pp.37-48
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• 2010

In this paper we use a generalized Brownian motion process to defined an analytic operator-valued generalized Feynman integral. We then obtain explicit formulas for the analytic operatorvalued generalized Feynman integrals for functionals of the form $$F(x)=f\({\int}^T_0{\alpha}_1(t)dx(t),{\cdots},{\int}_0^T{\alpha}_n(t)dx(t)\)$$, where x is a continuous function on [0, T] and {${\alpha}_1,{\cdots},{\alpha}_n$} is an orthonormal set of functions from ($L^2_{a,b}[0,T]$, ${\parallel}{\cdot}{\parallel}_{a,b}$).

• 대한수학회지
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• 제35권3호
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• pp.713-725
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• 1998

Let X and Y be Ito processes with dX$_{s}$ = $\phi$$_{s}$dB$_{s}$ ＋ $\psi$$_{s}$ds and dY$_{s}$ = (equation omitted)dB$_{s}$ ＋ ξ$_{s}$ds. Burkholder obtained a sharp bound on the distribution of the maximal function of Y under the assumption that │Y$_{0}$│$\leq$│X$_{0}$│,│ζ│$\leq$│$\phi$│, │ξ│$\leq$│$\psi$│ and that X is a nonnegative local submartingale. In this paper we consider a wider class of Ito processes, replace the assumption │ξ│$\leq$│$\psi$│ by a more general one │ξ│$\leq$$\alpha$ │$\psi$│ , where a $\geq$ 0 is a constant, and get a weak-type inequality between X and the maximal function of Y. This inequality, being sharp for all a $\geq$ 0, extends the work by Burkholder.der.urkholder.der.

• 대한수학회보
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• 제48권2호
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• pp.223-245
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• 2011

In this paper, we de ne an $L_p$ analytic generalized Fourier Feynman transform and a convolution product of functionals in a Ba-nach algebra $\cal{F}$($C_{a,b}$[0, T]) which is called the Fresnel type class, and in more general class $\cal{F}_{A_1;A_2}$ of functionals de ned on general functio space $C_{a,b}$[0, T] rather than on classical Wiener space. Also we obtain some relationships between the $L_p$ analytic generalized Fourier-Feynman transform and convolution product for functionals in $\cal{F}$($C_{a,b}$[0, T]) and in $\cal{F}_{A_1,A_2}$.

• Communications for Statistical Applications and Methods
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• 제22권3호
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• pp.277-283
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• 2015

Pickands constant $H_{\alpha}$ appears in the classical result about tail probabilities of the extremes of Gaussian processes and there exist several different representations of Pickands constant. However, the exact value of $H_{\alpha}$ is unknown except for two special Gaussian processes. Significant effort has been made to find numerical approximations of $H_{\alpha}$. In this paper, we attempt to compute numerically $H_{\alpha}$ based on its representation derived by $H{\ddot{u}}sler$ (1999) and Albin and Choi (2010). Our estimates are compared with the often quoted conjecture $H_{\alpha}=1/{\Gamma}(1/{\alpha})$ for 0 < ${\alpha}$ ${\leq}$ 2. This conjecture does not seem compatible with our simulation result for 1 < ${\alpha}$ < 2, which is also recently observed by Dieker and Yakir (2014) who devised a reliable algorithm to estimate these constants along with a detailed error analysis.

• Journal of applied mathematics & informatics
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• 제6권2호
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• pp.329-368
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• 1999

This paper surveys recent remarkable progress in the study of potential theory for symmetric stable processes. It also contains new results on the two-sided estimates for Green functions Poisson kernels and Martin kernels of discontinuous symmetric $alpha$ -stable process in bounded $C^{1,1}$ open sets. The new results give ex-plicit information on how the comparing constants depend on pa-rametrer $alpha$ and consequently recover the green function and Poisson kernel estimates for Brownian motion by passing $alpha{\uparrow}2$. In addition to these new estimates this paper surveys recent progress in the study of notions of harmonicity integral representation of harmonic func-tions boundary harnack inequality conditional gauge and intrinsic ultracontractivity for symmetric stable processes. Here is a table of contents.

• 대한수학회지
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• 제49권5호
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• pp.1065-1082
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• 2012

In this paper we first investigate the existence of the generalized Fourier-Feynman transform of the functional F given by $$F(x)={\hat{\nu}}((e_1,x)^{\sim},{\ldots},(e_n,x)^{\sim})$$, where $(e,x)^{\sim}$ denotes the Paley-Wiener-Zygmund stochastic integral with $x$ in a very general function space $C_{a,b}[0,T]$ and $\hat{\nu}$ is the Fourier transform of complex measure ${\nu}$ on $B({\mathbb{R}}^n)$ with finite total variation. We then define two sequential transforms. Finally, we establish that the one is to identify the generalized Fourier-Feynman transform and the another transform acts like an inverse generalized Fourier-Feynman transform.

• 대한수학회지
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• 제36권1호
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• pp.229-241
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• 1999

The fractal space is often associated with natural phenomena with many length scales and the functions defined on this space are usually not differentiable. First we define a $\sigma$-multifractal from $\sigma$-iterated function systems with probability. We introduce the measure derivative through the invariant measure of the $\sigma$-multifractal. We show that the non-differentiable function on the $\sigma$-multifractal can be differentiable with respect to this measure derivative. We apply this result to some examples of ordinary differential equations and diffusion processes on $\sigma$-multifractal spaces.