• East Asian mathematical journal
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• v.27 no.1
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• pp.91-100
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• 2011

It is important to find an optimal strategy which maximize the surplus of the insurance company at the maturity time T. The purpose of this paper is to give an explicit expression for the optimal reinsurance and investment strategy, under the CEV model, which maximizes the expected exponential utility of the final value of the surplus at T. To do this optimization problem, the corresponding Hamilton-Jacobi-Bellman equation will be transformed a linear partial differential equation by applying a Legendre transform.

• Journal of the Korean Mathematical Society
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• v.59 no.2
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• pp.311-335
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• 2022

This paper treats Merton's classical portfolio optimization problem for a market participant who invests in safe assets and risky assets to maximize the expected utility. When the state process is a d-dimensional Markov diffusion, this problem is transformed into a problem of solving a Hamilton-Jacobi-Bellman (HJB) equation. The main purpose of this paper is to solve this HJB equation by a deep learning algorithm: the deep Galerkin method, first suggested by J. Sirignano and K. Spiliopoulos. We then apply the algorithm to get the solution to the HJB equation and compare with the result from the finite difference method.

• Honam Mathematical Journal
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• v.39 no.2
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• pp.267-273
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• 2017

The objective of this note is to establish three results between q-products and combinatorial partition identities in a elementary way. Several closely related q-product identities such as (for example)continued fraction identities and Jacobis triple product identities are also considered.

• The Transactions of the Korean Institute of Electrical Engineers
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• v.37 no.10
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• pp.733-739
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• 1988

Adaptive controllers for linear system whose nominal values of coefficients only are known, that is corrupted by disturbance, are designed by signal synthesis model reference adaptive control (MRAC). This design is stemmed from the Lyapunov direct method. To reduce the model following error and to improve the conrergence rate of the design, an indirect suboptimal control law is de rived using the Hamilton Jacobi Beellman equation. Proper compensaton for the effects of time varying coefficients and plant disturbance are suggested. In the design procedure no complete identification of unknown coefficients are required.

• The Transactions of the Korean Institute of Electrical Engineers
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• v.31 no.7
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• pp.18-24
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• 1982

We derived an optimal control of the Stochastic Bilinear Systems. For that we, firstly, formulated stochastic bilinear system and estimated its state when the system state is not directly observable. Optimal control problem of this system is reviewed on the line of three optimization techniques. An optimal control is derived using Hamilton-Jacobi-Bellman equation via dynamic programming method. It consists of combination of linear and quadratic form in the state. This negative feedback control, also, makes the system stable as far as value function is chosen to be a Lyapunov function. Several other properties of this control are discussed.

• Transactions of the Korean Society of Mechanical Engineers A
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• v.24 no.5 s.176
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• pp.1215-1230
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• 2000

Parallel Approaches using Cray T3E which is NIPP (Massively Parallel Processors) machine are presented for the efficient computation of the finite element analysis of 3-D shape rolling processes. D omain decomposition method coupled with parallel linear equation solver is used. Domain decomposition is applied for obtaining element tangent stifffiess matrices and residual vectors. Direct and iterative parallel algorithms are used for solving the linear equations. Direct algorithm is_parallel version of direct banded matrix solver. For iterative algorithms, the well-known preconditioned conjugate gradient solver with Jacobi preconditioner is also employed. Moreover a new effective iterative scheme with block inverse matrix preconditioner, which is named by present authors, is presented and its results are compared with the one using Jacobi preconditioner. PVM and MPI are used for message passing and synchronization between processors. The performance and efficiency of each algorithm is discussed and comparisons are made among different algorithms.

• Journal of the Computational Structural Engineering Institute of Korea
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• v.15 no.4
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• pp.619-628
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• 2002

This paper deals with the FE analysis for the free vibration of sloshing in horizontal cylindrical tank with baffles. We use Laplace equation based on potential theory as governing equation. This problem is solved by FEM using lineal isoparametric elements. We assume that the tank as well as baffles is rigid body and by separating nodes into two at the baffle location, baffle effect is obtained by separating nodes into two at the baffle location. For the calculation of natural frequencies and mode shapes, we introduce Lanczos transformation and Jacobi iteration methods. Numerical results of the first longitudinal and transverse modes, while comparing with literature cited, are very good. In order for the baffle effects on the free vibration of sloshing, various combinations of baffle parameters, which are location, inner diameter and number, are examined.

• Communications of the Korean Mathematical Society
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• v.12 no.4
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• pp.935-950
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• 1997

When $\tau$ is a quasi-definite moment functional on P, the vector space of all real polynomials, we consider a symmetric bilinear form $\phi(\cdot,\cdot)$ on $P \times P$ defined by $$ \phi(p,q) = \lambad p(a)q(a) + \mu p(b)q(b) + <\tau,p'q'>, $$ where $\lambda,\mu,a$, and b are real numbers. We first find a necessary and sufficient condition for $\phi(\cdot,\cdot)$ and show that such orthogonal polynomials satisfy a fifth order differential equation with polynomial coefficients.

• 제어로봇시스템학회:학술대회논문집
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• 1994.10a
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• pp.354-358
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• 1994

This study is concerned with H$_{\infty}$ control theory of nonlinear systems. Recently H$_{\infty}$ control theory has been developed to nonlinear systems, and especially nonlinear H$_{\infty}$ control theory based on the Hamilton-Jacobi inequality has been proposed. This corresponds to linear H$_{\infty}$ control theory based on the Riccati equation. In this paper, we apply it to a semi-active dynamic vibration absorber for multi-degree-of-freedom structure, and we design its state feedback controller via the Riccati equation. In the simulation, we show that it is effective for a vibration control.rol.

• Journal of applied mathematics & informatics
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• v.18 no.1_2
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• pp.205-228
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• 2005

Let I(f) be the integral defined by : $I(f) = \int\limits_{a}^{b} f(x)w(x)dx$ with f a given function, w a nonclassical weight function and [a, b] an interval of IR (of finite or infinite length). We propose to calculate the approximate value of I(f) by using a new scheme for deriving a non-linear system, satisfied by the three-term recurrence coefficients of semi-classical orthogonal polynomials. Finally we studies the Stability and complexity of this scheme.