• Journal of the Chungcheong Mathematical Society
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• v.6 no.1
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• pp.71-87
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• 1993

• Journal of the Korean Mathematical Society
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• v.35 no.3
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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.

• 제어로봇시스템학회:학술대회논문집
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• 1991.10a
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• pp.383-388
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• 1991

This paper analizes two numerical integration methods, both based on the Runge Kutta 4-th order formula for deterministic systems, for digital simulation of a differential equation driven by white noise. It is shown that a "standard' Runge Kutta method for stochasitic systems yields solutions of Stratonovich differential equations, while Riggs and Phillips' method results in solutions of Ito differential equations. Therefore the white noise differential equation must be converted into the equivalent Ito equation before the latter method is used. Digital simulation results for a simple differential equation are also presented.nted.

• Bulletin of the Korean Mathematical Society
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• v.38 no.1
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• pp.129-136
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• 2001

We consider a solution process of stochastic differential equation(SDE) driven by S'($R^d$)-valued Wiener process and study a large deviation type of estimates for the process. We get an upper bound in exit probability for such a process to leave a ball of radius $\tau$ before a finite time t. We apply the Ito formula to the SDE under the structure of nuclear space.

• Journal of the Korean Applied Science and Technology
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• v.31 no.4
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• pp.694-702
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• 2014

The micron-sized ITO(indium tin oxide) particles were prepared by spray pyrolysis from aqueous precursor solutions for indium, and tin and organic additives solution. Organic additives solution with citric acid(CA) and ethylene glycol(EG) were added to aqueous precursor solution for Indium and Tin. The obtained ITO particles prepared by spray pyrolysis from the aqueous solution without organic additives solution had spherical and filled morphologies whereas the obtained ITO particles with organic additives solution had more hollow and porous morphologies with increasing mole of organic additives. The micron-sized ITO particle with organic additives was changed fully to nano-sized ITO particle whereas the micron-sized ITO particle without organic additives was not changed fully to nano-sized ITO particle after post-treatment at $700^{\circ}C$ for 2 hours and wet-ball milling for 24 hours. The size of primary ITO particle by Debye-Scherrer formula and surface resistance of ITO pellet were measured.

• Transactions on Electrical and Electronic Materials
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• v.3 no.2
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• pp.32-37
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• 2002

This paper gives the basic mechanical properties of indium-tin-oxide (ITO) films on polymer substrates which are exposed to externally and thermally induced bending force. By using modified Storney formula including triple layer structure and bulge test measuring the conductive changes of patterned ITO islands as a function of bending curvature, the mechanical stability of ITO films on polymer substrates was intensively investigated. The numerical analyses and experimental results show thermally and externally induced mechanical stresses in the films are responsible for the difference of thermal expansion between the ITO film and the substrate, and leer substrate material and its thickness, respectively. Therefore, a gradually ramped heating process and an organic buffer layer were employed to improve the mechanical stability, and then, the effects of the buffer layer were also quantified in terms of conductivity-strain variations. As a result, it is uncovered that a buffer layer is also a critical factor determining the magnitude of mechanical stress and the layer with the Young's modulus lower than a specific value can contribute to relieving the mechanical stress of the films.

• Journal of the Korean Mathematical Society
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• v.41 no.5
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• pp.773-793
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• 2004

We consider a system of particles with locations { $X_{i}$ $^{n}$ (t):t$\geq$0,i＝1,…,n} in $R^{d}$ , time-varying weights { $A_{i}$ $^{n}$ (t) : t $\geq$0,i ＝ 1,…,n} and weighted empirical measure processes $V^{n}$ (t)＝1/n$\Sigma$$_{i=1}$$^{n}$ $A_{i}$ $^{n}$ (t)$\delta$ $X_{i}$ $^{n}$ (t), where $\delta$$_{x}$ is the Dirac measure. It is known that there exists the limit of { $V_{n}$ } in the week* topology on M( $R^{d}$ ) under suitable conditions. If { $X_{i}$ $^{n}$ , $A_{i}$ $^{n}$ , $V^{n}$ } satisfies some diffusion equations, applying Ito formula, we prove a central limit type theorem for the empirical process { $V^{n}$ }, i.e., we consider the convergence of the processes η$_{t}$ $^{n}$ ≡ n( $V^{n}$ -V). Besides, we study a characterization of its limit.t.

• Proceedings of the Korean Statistical Society Conference
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• 2002.05a
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• pp.55-60
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• 2002

We present an extension of the Wong-Zakai type approximation theorem for a multiple stochastic integral. Using a piecewise linear approximation $W^{(n)}$ of a Wiener process W, we prove that the multiple integral processes {${\int}_{0}^{t}{\cdots}{\int}_{0}^{t}f(t_{1},{\cdots},t_{m})W^{(n)}(t_{1}){\cdots}W^{(n)}(t_{m}),t{\in}[0,T]$} where f is a given symmetric function in the space $C([0,T]^{m})$, converge to the multiple Stratonovich integral of f in the uniform $L^{2}$-sense.

• Journal of the Korean Mathematical Society
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• v.35 no.3
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• pp.613-635
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• 1998

In this note we reformulate the white noise calculus on the classical Wiener space (C', C). It is shown that most of the examples and operators can be redefined on C without difficulties except the Hida derivative. To overcome the difficulty, we find that it is sufficient to replace C by L$_2$[0,1] and reformulate the white noise on the modified abstract Wiener space (C', L$_2$[0, 1]). The generalized white noise functionals are then defined and studied through their linear functional forms. For applications, we reprove the Ito formula and give the existence theorem of one-side stochastic integrals with anticipating integrands.

• Journal of applied mathematics & informatics
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• v.29 no.5_6
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• pp.1501-1509
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• 2011

In this study, assume that the stock price obeys the stochastic differential equation driven by mixed fractional Brownian motion, and the short rate follows the Vasicek model. Then, the Black-Scholes partial differential equation is held by using fractional Ito formula. Finally, the pricing formulae of the barrier option are obtained by partial differential equation theory. The results of Black-Scholes model are generalized.