• Communications for Statistical Applications and Methods
• /
• v.14 no.2
• /
• pp.267-280
• /
• 2007

In this paper, we consider the robust estimation for diffusion processes when the sample is observed discretely. As a robust estimator, we consider the minimizing density power divergence estimator (MDPDE) proposed by Basu et al. (1998). It is shown that the MDPDE for diffusion process is weakly consistent. A simulation study demonstrates the robustness of the MDPDE.

• Bulletin of the Korean Mathematical Society
• /
• v.35 no.4
• /
• pp.837-845
• /
• 1998

In this work, we consider Euler approxiamtion for one-dimensional jump-diffusion processes under Yamada-Watanabe type conditions on the coefficients which turns out to converge to the strong solution in uniform $L^1$-sense.

• Journal of the Korean Mathematical Society
• /
• v.35 no.3
• /
• pp.637-658
• /
• 1998

One-dimensional diffusion processes are characterized by Feller's data of canonical scales and speed measures and, if we apply the theory of spectral functions of strings developed by M. G. Krein, Feller's data are determined by paris of spectral characteristic functions so that theses pairs may be considered as invariants of diffusions under the homeomorphic change of state spaces. We show by examples how these invariants are useful in the study of one-dimensional diffusion processes.

• The Korean Journal of Applied Statistics
• /
• v.23 no.2
• /
• pp.383-392
• /
• 2010

Modelling financial phenomena with diffusion processes is frequently used technique. This study reviews the earlier researches on the approximation problem of transition densities of diffusion processes, which takes important roles in estimating diffusion processes, and consider the method to obtain the coefficients of series efficiently, in series approximation method of transition densities. We developed a new efficient algorithm to compute the coefficients which are represented by repeated Dynkin operator on Hermite polynomial.

• Proceedings of the Korean Nuclear Society Conference
• /
• 1995.05a
• /
• pp.707-712
• /
• 1995

Grain boundary diffusion plays significant role in the fission gas release, which is one of the crucial processes dominating nuclear fuel performance. Gaseous fission products such as Xe and Kr generated inside fuel pellet have to diffuse in the lattice and in the grain boundary before they reach open space in the fuel rod. In the mean time, the grains in the fuel pellet grow and shrink according to grain growth kinetics, especially at elevated temperature at which nuclear reactors are operating. Thus the boundary movement ascribed to the grain growth greatly influences the fission gas release rate by lengthening or shortening the lattice diffusion distance, which is the rate limiting step. Sweeping fission gases by the moving boundary contributes to the increment of the fission gas release as well. Lattice and grain boundary diffusion processes in the fission gas release can be studied by 'tracer diffusion' technique, by which grain boundary diffusion can be estimated and used directly for low burn-up fission gas release analysis. However, even for tracer diffusion analysis, taking both the intragranular grain growth and the diffusion processes simultaneously into consideration is not easy. Only a few models accounting for the both processes are available and mostly handle them numerically. Numerical solutions are limited in the practical use. Here in this paper, an approximate analytical solution of the lattice and stationary grain boundary diffusion in a polycrystalline solid is developed for the tracer diffusion techniques. This short closed-form solution is compared to available exact and numerical solutions and turns out to be acceptably accurate. It can be applied to the theoretical modeling and the experimental analysis, especially PIE (post irradiation examination), of low burn up fission. gas release.

• Journal of the Korean Mathematical Society
• /
• v.33 no.4
• /
• pp.823-855
• /
• 1996

We study Dirichlet forms and the associated diffusion processes for the Gibbs measures related to the quantum unbounded spin systems (lattice boson systems) interacting via superstable and regular potentials. This work is a continuation of the author's previous study on the classical systems [LPY] to the quantum cases. In [LPY], we constructed Dirichlet forms and the associated diffusion processes for the Gibbs measures of classical unbounded spin systems. Furthermore, we also showed the essential self-adjointness of the Dirichlet operator and the log-Sobolev inequality for any Gibbs measure under appropriate conditions on the potentials. In this atudy we try to extend the results of the classical systems to the quantum cases. Because of some technical difficulties, we are only able to construct a Dirichlet form and the associated diffusion process for any Gibbs measure of the quantum systems. We utilize the general scheme of the previous work on the theory in infinite dimensional spaces [AH-K1-2, AKR, AR1-2, Kus, MR, Ro, Sch] and the ideas we employed in our study of the calssical systems ]LPY].

• Korea-Australia Rheology Journal
• /
• v.18 no.2
• /
• pp.51-65
• /
• 2006

Of concern in the present theoretical investigation is the study of blood flow and convection-dominated diffusion processes in a model bifurcated artery under stenotic conditions. The geometry of the bifurcated arterial segment having constrictions in both the parent and its daughter arterial lumen frequently appearing in the diseased arteries causing malfunction of the cardiovascular system, is constructed mathematically with the introduction of suitable curvatures at the lateral junction and the flow divider. The streaming blood contained in the bifurcated artery is treated to be Newtonian. The flow dynamical analysis applies the two-dimensional unsteady incompressible nonlinear Wavier-Stokes equations for Newtonian fluid while the mass transport phenomenon is governed by the convection diffusion equation. The motion of the arterial wall and its effect on local fluid mechanics is, however, not ruled out from the present model. The main objective of this study is to demonstrate the effects of constricted flow characteristics and the wall motion on the wall shear stress, the concentration profile and on the mass transfer. The ultimate numerical solutions of the coupled flow and diffusion processes following a radial coordinate transformation are based on an appropriate finite difference technique which attain appreciable stability in both the flow phenomena and the convection-dominated diffusion processes.

• Journal of the Korean Mathematical Society
• /
• v.38 no.2
• /
• pp.311-319
• /
• 2001

We show that it is possible to associate diffusion processes to second order perturbations of the Ornstein-Uhlenbeck operator L on the Wiener space of the form L = L + 1/2∑L$^2$(sub)ξ(sub)$\kappa$ where the ξ(sub)$\kappa$ are "tangent processes" (i.e., semimartingales with antisymmetric diffusion coefficients).

• Journal of the Korean Operations Research and Management Science Society
• /
• v.29 no.2
• /
• pp.45-57
• /
• 2004

The purpose of this paper is studying the valuation of option prices in Incomplete markets. A market is said to be incomplete if the given traded assets are insufficient to hedge a contingent claim. This situation occurs, for example, when the underlying stock process follows jump-diffusion processes. Due to the jump part, it is impossible to construct a hedging portfolio with stocks and riskless assets. Contrary to the case of a complete market in which only one equivalent martingale measure exists, there are infinite numbers of equivalent martingale measures in an incomplete market. Our research here is focusing on risk minimizing hedging strategy and its associated minimal martingale measure under the jump-diffusion processes. Based on this risk minimizing hedging strategy, we characterize the dynamics of a risky asset and derive the valuation formula for an option price. The main contribution of this paper is to obtain an analytical formula for a European option price under the jump-diffusion processes using the minimal martingale measure.

• Nuclear Engineering and Technology
• /
• v.29 no.1
• /
• pp.7-14
• /
• 1997

Grain boundary diffusion plays a significant role in fission gas release, which is one of the crucial processes dominating nuclear fuel performance. Gaseous fission produce such as Xe and Kr generated during nuclear fission have to diffuse in the grain lattice and the boundary inside fuel pellets before they reach the open spaces in a fuel rod. These processes can be studied by 'tracer diffusion' techniques, by which grain boundary diffusivity can be estimated and directly used for low burn-up fission gas release analysis. However, only a few models accounting for the both processes are available and mostly handle them numerically due to mathematical complexity. Also the numerical solution has limitations in a practical use. In this paper, an approximate analytical solution in case of stationary grain boundary in a polycrystalline solid is developed for the tracer diffusion techniques. This closed-form solution is compared to available exact and numerical solutions and it turns out that it makes computation not only greatly easier but also more accurate than previous models. It can be applied to theoretical modelings for low bum-up fission gas release phenomena and experimental analyses as well, especially for PIE (post irradiation examination).