• 대한수학회보
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• 제53권5호
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• pp.1497-1530
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• 2016

External barrier options are two-asset options with stochastic variables where the payoff depends on one underlying asset and the barrier depends on another state variable. The barrier state variable determines whether the option is knocked in or out when the value of the variable is above or below some prescribed barrier level. This paper derives the explicit analytic solution of the chained option with an external single or double barrier by utilizing the probabilistic methods - the reflection principle and the change of measure. Before we do this, we examine the closed-form solution of the external barrier option with a single or double-curved barrier using the methods of image and double Mellin transforms. The exact solution of the external barrier option price enables us to obtain the pricing formula of the chained option with the external barrier more easily.

• Journal of Advanced Marine Engineering and Technology
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• 제22권5호
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• pp.670-679
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• 1998

The solution of hyperbolic equation with wave nature has sharp discontinuties in the medium at the wave front. Difficulties encounted in the numrtical solution of such problem in clude among oth-ers numerical oscillation and the representation of sharp discontinuities with good resolution at the wave front. In this work inviscid Burgers equation and modified heat conduction equation is intro-duced as hyperboic equation. These equations are caculated by numerical methods(explicit method MacCormack method Total Variation Diminishing(TVD) method) along various Courant numbers and numerical solutions are compared with the exact analytic solution. For inviscid Burgers equa-tion TVD method remains stable and produces high resolution at sharp wave front but for modified heat Conduction equation MacCormack method is recommmanded as numerical technique.

• Journal of Communications and Networks
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• 제11권5호
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• pp.480-488
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• 2009

Cooperative transmission is an effective solution to improve the performance of wireless communications over fading channels without the need for physical co-located antenna arrays. In this paper, selection combining is used at the destination instead of maximal ratio combing to optimize the structure of destination and to reduce power consumption in selective decode-and-forward relaying networks. For an arbitrary number of relays, an exact and closed-form expression of the bit error rate (BER) is derived for M-PAM, M-QAM, and M-PSK, respectively, in both independent identically distributed and independent but not identically distributed Rayleigh fading channels. A variety of simulations are performed and show that they match exactly with analytic ones. In addition, our results show that the optimum number of relays depend not only on channel conditions (operating SNRs) but also on modulation schemes which to be used.

• ETRI Journal
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• 제30권3호
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• pp.492-494
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• 2008

While the retrial phenomenon plays an important role in communication networks and should not be ignored, retrial systems do not present an exact analytic solution, so approximate techniques are required. To the best of our knowledge, all the existing techniques are based on computing the steady states probabilities. We propose another approach based on the relative state values which appear in the Howard equations. The results of the numerical evaluation carried out show that this solution outperforms previous approaches in terms of both accuracy and computation time.

• 대한조선학회지
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• 제13권4호
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• pp.19-24
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• 1976

Some method of analysis of rectangular plates under distributed load of various intensity with all edges built in are presented in. Analysis of many structures such as bottom, side shell, and deck plate of ship hull, and flat slab, deck systems of bridges is a problem of plate with continuous supports or clamped edges. When the four edges of rectangular plate is simply supported, the double fourier series solution developed by Navier can represent an exact result of this problem. If two opposite edges are simply supported, Levy's method is available to give an "exact" solution. When the loading condition and boundary condition of a plate does not fall into these cases, no simple analytic method seems to be feasible. Analysis of a plate under distributed loads of various intensity with all edges built in is carried out by applying Navier solution and Levy's method as well as "Principle of Superposition" In discussing this problem we start with the solution of the problem for a simply supported rectangular plate and superpose on the deflection of such a plate the deflections of the plate by slopes distributed along the all edges. These slopes we adjust in such a manner as to satisfy the condition of no rotation at the boundary of the clamped plate. This method can be applied for the cases of plates under irregularly distributed loads of various intensity with two opposite edges simply supported and the other two edges clamped and all edges simply supported and this method can also be used to solve the influence values of deflection, moment and etc. at arbitrary position of plates under the live load.

• 대한조선학회지
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• 제13권1호
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• pp.17-23
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• 1976

Some methods of analysis of rectangular plates under distributed load of various intensity with interior supports are presented herein. Analysis of many structures such as bottom, side shell, and deck plate of ship hull and flat slab, with or without internal supports, Floor systems of bridges, included crthotropic bridges is a problem of plate with elastic supports or continuous edges. When the four edges of rectangular plate is simply supported, the double Fourier series solution developed by Navier can represent an exact result of this problem. If two opposite edges are simply supported, Levy's method is available to give an "exact" solution. When the loading condition and supporting condition of a plate does not fall into these cases, no simple analytic method seems to be feasible. Analysis of a simply supported rectangular plate under irregularly distributed loads of various intensity with internal supports is carried out by applying Navier solution well as the "Principle of Superposition." Finite difference technique is used to solve plates under irregularly distributed loads of various intensity with internal supports and with various boundary conditions. When finite difference technique is applied to the Lagrange's plate bending equation, any of fourth order derivative term in this equation produces at least five pivotal points leading to some troubles when the resulting linear algebraic equations are to be solved. This problem was solved by reducing the order of the derivatives to two: the fourth order partial differential equation with one dependent variable, namely deflection, is changed to an equivalent pair of second order partial differential equations with two dependent variables. Finite difference technique is then applied to transform these equations to a set of simultaneous linear algebraic equations. Principle of Superposition is then applied to handle the problems caused by concentrated loads and interior supports. This method can be used for the cases of plates under irregularly distributed loads of various intensity with arbitrary conditions such as elastic supports, or continuous edges with or without interior supports, and this method can also be solve the influence values of deflection, moment and etc. at arbitrary position of plates under the live load.

• 한국통신학회논문지
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• 제19권5호
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• pp.833-841
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• 1994

본 논문에서는 일반적인 큐잉 시스팀의 큐길이 분포에 대한 근사 이론을 제안하였다. 제안된 근사 이론은 하한치와 상한치를 단계적으로 찾는 2단계 해석적인 근사 방법을 기초로 한다. 이를 이용하면 다양한 트래픽원이 다중화된 모델의 큐길이 분포를 신속히 계산할 수 있다. 본 논문에서는 M+ N D /M / 1 큐잉 시스팀에서 도착하는 고객이나 떠나는 고객이 관측한 큐길이 분포를 계산하고 시뮬레이션을 통해 얻은 결과와 비교하여 제안된 근사이론이 시뮬레이션 결과에 근접함을 확인하였다. 특히 M/M/1큐에 대해 근사이론으로 유도된 공식은 정해와 같았으며, D/M/1 큐에 대해서는 간단한 해석적인 공식을 얻을 수 있었다.

• 대한기계학회논문집A
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• 제26권5호
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• pp.952-959
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• 2002

The natural frequencies of a flexible spinning disk misaligned with the axis of rotation are studied in an analytic manner. The effects of misalignment on the natural frequency need to be investigated, because the misalignment between the axis of symmetry and the axis of relation cannot be avoided in the removable disks such as CD-R, CD-RW or DVD disks. Assuming that the in -plane displacements are in steady state and the out-of-plane displacement is in dynamic state, the equations of motion are derived for the misaligned spinning disk. After the exact solutions are obtained fur the steady -state in-plane displacements, they are plugged into the equation for the dynamic-state out-of-plane motion. The resultant equation is a linear equation for the out -of-plane displacement, which is discretized by the Galerkin method. Based on the discretized dquations, the effects of the misalignment are analyzed on the vibration characteristics of the spinning disk, i.e., the natural frequencies and the critical speed.

• Bulletin of the Korean Chemical Society
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• 제33권3호
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• pp.1020-1028
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• 2012

This work compares various models for geminate reversible diffusion influenced reactions. The commonly utilized contact reactivity model (an extension of the Collins-Kimball radiation boundary condition) is augmented here by a volume reactivity model, which extends the celebrated Feynman-Kac equation for irreversible depletion within a reaction sphere. We obtain the exact analytic solution in Laplace space for an initially bound pair, which can dissociate, diffuse or undergo "sticky" recombination. We show that the same expression for the binding probability holds also for "mixed" reaction products. Two different derivations are pursued, yielding seemingly different expressions, which nevertheless coincide numerically. These binding probabilities and their Laplace transforms are compared graphically with those from the contact reactivity model and a previously suggested coarse grained approximation. Mathematically, all these Laplace transforms conform to a single generic equation, in which different reactionless Green's functions, g(s), are incorporated. In most of parameter space the sensitivity to g(s) is not large, so that the binding probabilities for the volume and contact reactivity models are rather similar.

• 한국전자파학회논문지
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• 제7권5호
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• pp.440-446
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• 1996

다중 ridge 원형 도파관을 퓨리에 급수 전개와 모드 정합법을 이용하여 정확하게 해석하였다. 경계 조건을 이용하여 두 급수식을 전개하고 이를 풀어 모드를 정확하게 구하였다. 다중 ridge 원형 도파관의 ridge의 수, 길이, 폭에 따른 차단 파수(cutoff wavenumber)의 변화를 살펴보았다. 구한 해는 정확하고 수렴성이 뛰어나며 dominant mode에 대해서는 간단한 근사식을 제시하였다.