• Journal of the Korean Statistical Society
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• 제36권2호
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• pp.237-256
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• 2007

This paper studies the problem of option pricing in an incomplete market. The market incompleteness comes from the discontinuity of the underlying asset price process which is, in particular, assumed to be a compound Poisson process. To find a reasonable price for a European contingent claim, we first find the unique minimal martingale measure and get a price by taking an expectation of the payoff under this measure. To get a closed-form price, we use an asymptotic expansion. In case where the minimal martingale measure is a signed measure, we use a sequence of martingale measures (probability measures) that converges to the equivalent martingale measure in the limit to compute the price. Again, we get a closed form of asymptotic option price. It is the Black-Scholes price and a correction term, when the distribution of the return process has nonzero skewness up to the first order.

• 제어로봇시스템학회논문지
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• 제6권12호
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• pp.1093-1098
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• 2000

This paper presents an efficient algorithm for including the kinematic calibration data into the motion controller to improve the positioning accuracy of the manipulators. Rather than spending several iterations for finding the inverse solution of the calibrated kinematics, our approach requires only the nominal inverse solution and the calibrated forward kinematics for providing a better position command promptly. Thus, real-time application is guaranteed whenever the manipulators nominal inverse solution can be expressed in a closed form. Experimental results show that the line tracking performances can be remarkably improved by employing our algorithm.

• 전기학회논문지P
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• 제56권2호
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• pp.83-89
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• 2007

The LC filter design procedure of the inverter output filter is described. The transfer function of the filter output voltage to the load current is described with the capacitor value and the system time constant considering the system controller. By using the closed form of the relation between the filter capacitor value and the system time constant, the capacitor value can be calculated with the given system time constant and vice versa. It is more practical for the implementation of power and control circuit of inverter. And as the effect of the load current to the voltage distortion can be calculated from the closed form, it is possible to analyze the system how much the voltage waveform is distorted in case of the nonlinear load. All the proposed design procedure is verified with the simulation and experimental results.

• 전기학회논문지
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• 제59권6호
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• pp.1173-1178
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• 2010

In this note, a systematic design of a new robust nonlinear integral variable structure controller based on state dependent nonlinear form is presented for the control of uncertain more affine nonlinear systems with mismatched uncertainties and matched disturbance. After an affine uncertain nonlinear system is represented in the form of state dependent nonlinear system, a systematic design of a new robust nonlinear integral variable structure controller is presented. To be linear in the closed loop resultant dynamics and remove the reaching phase problems, the linear integral sliding surface is suggested. A corresponding control input is proposed to satisfy the closed loop exponential stability and the existence condition of the sliding mode on the linear integral sliding surface, which will be investigated in Theorem 1. Through a design example and simulation studies, the usefulness of the proposed controller is verified.

• 전기학회논문지
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• 제59권8호
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• pp.1406-1415
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• 2010

As process technology for semiconductor goes beyond the ultra-deep submicrometer regime, interconnect reliability on a chip has become a serious design concern. As process parameters scale, interconnect widths are reduced rapidly while the current flowing through the interconnect does not decrease in a proportional manner. This trend increases current densities in metal interconnects which may lead to poor reliability for electromigration. Hence, it is critical to estimate the current amount passing through the interconnects earlier in semiconductor design stages. The purpose of this paper is to propose a fast yet accurate current estimation technique that can offer not only analysis time equivalent to those offered by the previous approximation methods but also a relatively precise estimation by using closed-form equations. The accuracy of the proposed technique was confirmed to be about 8 times better on average when compared to the previous work.

• 전기학회논문지
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• 제60권9호
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• pp.1754-1760
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• 2011

In this paper, a systematic design of a robust nonlinear multivariable variable structure controller based on state dependent nonlinear form is presented for the control of MIMO uncertain affine nonlinear systems with mismatched uncertainties and matched disturbance. After a MIMO uncertain affine nonlinear system is represented in the form of state dependent nonlinear system, a systematic design of a robust nonlinear variable structure controller is presented. To be linear in the closed loop resultant dynamics, the linear sliding surface is applied. A corresponding diagonalized control input is proposed to satisfy the closed loop global exponential stability and the existence condition of the sliding mode on the linear sliding surface, which will be investigated in Theorem 1. Through a design example and simulation study, the usefulness of the proposed controller is verified.

• 전기학회논문지
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• 제58권3호
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• pp.639-644
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• 2009

This paper presents a modified CFS (Closed-Form Solution) for FLAOA (Forward Link AOA) measurements. During when the pseudo-measurement equation for FLAOA is derived, the angle measurement noise is treated more carefully in approximation. As the covariance matrix of the pseudo-measurement noise is influenced by unknown user positions and azimuth, a two-step estimation technique is used in the proposed CFS. The performance of the proposed CFS for FLAOA is compared to that of the conventional CFS for FLAOA and RLAOA (Reverse Link AOA) in a computer simulation. Simulation results show that the proposed method is potentially suitable for applications involving the localization and guidance of indoor mobile robots.

• 산업공학
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• 제11권3호
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• pp.55-63
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• 1998

In this study we consider a CONWIP system in which the processing times at each station follow an exponential distribution and the demands for the finished products arrive according to a compound Poisson process. The demands that are not satisfied instantaneously are assumed to be lost. We assume that the lot size at each station is greater than one. For this system we develop an approximation method to obtain the performance measures such as steady state probabilities of the number of parts at each station, average number of parts at each station and the proportion of lost demands. For the analysis of the proposed CONWIP system, we model the CONWIP system as a closed queueing network with a synchronization station and analyze the closed queueing network using a product form approximation method. A recursive technique is used to solve the subnetwork in the application of the product-form approximation method. To test the accuracy of the approximation method, the results obtained from the approximation method were compared with those obtained by simulation. Comparisons with simulation have shown that the accuracy of the approximate method is acceptable.

• Structural Engineering and Mechanics
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• 제62권3호
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• pp.311-324
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• 2017

In this paper a new eight-unknown higher order shear deformation theory is proposed for functionally graded (FG) material plates. The theory based on full twelve-unknown higher order shear deformation theory, simultaneously satisfy zeros transverse stresses at top and bottom surface of FG plates. Equations of motion are derived from principle of virtual displacement. Exact closed-form solutions are obtained for simply supported rectangular FG plates under uniform loading. The accuracy of present numerical results has been verified by comparing it with generalized shear deformation theory. The effect of power law index of functionally graded material, side-to-thickness ratio, and aspect ratio on static behavior of FG plates is investigated.

• 한국통신학회논문지
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• 제33권11A호
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• pp.1053-1062
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• 2008

본 논문은 레일리 페이딩 채널에서 확률밀도함수와 최대비 결합기 출력의 최대모멘트 생성 함수를 일반적이고 간결한 수식적 접근을 통해 보여주었다. 또한, 이를 이용하여 M-PSK, M-PAM, M-QAM의 closed form BER을 증명하였다. 마지막으로 다양한 모의 실험을 통해 증명한 수식이 모의 실험 결과와 정확하게 일치함을 알 수 있다.