• Journal of applied mathematics & informatics
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• 제22권1_2호
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• pp.223-235
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• 2006

By applying the Landau-type transformation, we transform a Stefan problem with nonlinear free boundary condition into a system consisting of a parabolic equation and the ordinary differential equations. Fully discrete finite element method is developed to approximate the solution of a system of a parabolic equation and the ordinary differential equations. We derive optimal orders of convergence of fully discrete approximations in $L_2,\;H^1$ and $H^2$ normed spaces.

• Korean Journal of Mathematics
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• 제16권1호
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• pp.25-40
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• 2008

We are concerned with a free boundary problem for the 2D Stokes channel flows, which determines the profile of the wing for the channel, so that the given traction force is to be distributed along the wing of the channel. Using the domain embedding technique, the free boundary problem is transferred into the shape optimization problem through the compliant formulation by releasing the traction condition along the variable boundary. The justification of the formulation will be discussed.

• International Journal of Ocean System Engineering
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• 제2권1호
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• pp.32-36
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• 2012

This paper presents a comparison of potential and viscous computational codes for the water entry problem. A po-tential code was developed which adopted the boundary element method to solve the problem. A nonlinear free surface boundary condition was integrated to find new locations of free surface. The dynamic boundary condition was simplified by taking constant potential values for every time steps. The simplified dynamic boundary condition was applied in the new position of the free surface not at the mean level, which is the usual practice for linearized theory. The commercial code FLUENT was used to solve the water entry problem from the viscosity point of view. The movement of the air-liquid interface is traced by distribution of the volume fraction of water in a computational cell. The pressure coefficients were compared with each other, while experimental results published by other researchers were also examined. The characteristics of each method were discussed to clarify merits and limitations when they were applied to the water entry problems.

• 대한수학회지
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• 제37권1호
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• pp.31-44
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• 2000

We study a free boundary problem satisfying Bernoulli type boundary condition along which the gradient of a piecewise harmonic solution jumps zero to a given constant value. In such problem, the free boundary splits the domain into two regions, the zero set and the harmonic region. Our main interest is to identify the global shape and the location of the zero set. In this paper, we find the lower and the upper bound of the zero set. In a convex domain, easier estimation of the upper bound and faster disk test technique are given to find a rough shape of the zero set. Also a simple proof on the convexity of zero set is given for a connected zero set in a convex domain.

• Selected Papers of The Society of Naval Architects of Korea
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• 제2권1호
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• pp.63-78
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• 1994

This paper deals with the treatment of the open boundary in two-dimensional free-surface wave problems. Two numerical schemes are investigated for the implementation of the open boundary condition. One is to add the artificial damping term to the dynamic free-surface boundary condition, in which the determination of suitable damping coefficient and the damping zone is the most important. The other is a modified Orlanski's method, which is known to be very useful for the uni-directional waves. Using these two schemes, numerical tests have been conducted for a few typical free-surface wave problems. To obtain the numerical solution of the free-surface boundary value problem, the fundamental source-distribution method is used and the fully nonlinear free-surface boundary conditions are applied. The computed results are presented in comparison with those of others for the proof of practicality of these two schemes.

• 한국소음진동공학회논문집
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• 제26권5호
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• pp.602-608
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• 2016

The paper proposes a practical meshless method for the free vibration analysis of clamped plates having arbitrary shapes by extending the non-dimensional dynamic influence function (NDIF) method, which was developed by the author in 1999. In the proposed method, the domain and boundary of the plate of interest are discretized using only nodes without elements unlike FEM and the system matrices are obtained by making domain nodes and boundary nodes satisfy the governing differential equation and boundary conditions, respectively. However, since the above system matrices are not square ones, the problem of free vibrations of clamped plates is not reduced to an algebraic eigenvalue problem. An additional theoretical treatment is considered to produce an algebraic eigenvalue problem. It is revealed from case studies that the proposed method is valid and accurate.

• Journal of applied mathematics & informatics
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• 제14권1_2호
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• pp.97-113
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• 2004

In this paper we shall study moving boundary problems, and we introduce an approach for solving a wide range of them by using calculus of variations and optimization. First, we transform the problem equivalently into an optimal control problem by defining an objective function and artificial control functions. By using measure theory, the new problem is modified into one consisting of the minimization of a linear functional over a set of Radon measures; then we obtain an optimal measure which is then approximated by a finite combination of atomic measures and the problem converted to an infinite-dimensional linear programming. We approximate the infinite linear programming to a finite-dimensional linear programming. Then by using the solution of the latter problem we obtain an approximate solution for moving boundary function on specific time. Furthermore, we show the path of moving boundary from initial state to final state.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• 제12권4호
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• pp.271-287
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• 2008

This paper deals with American call and put options. Determining the fair price and the free boundary of an American option is a very difficult problem since they depends on each other. This paper presents numerical algorithms of finite element method based on the three-level scheme to compute both the price and the free boundary. One algorithm is designed for American call options and the other one for American put options. These algorithms are formulated on the system of the Jamshidian equation for the option price and the free boundary. Here, the Jamshidian equation is of a kind of the nonhomogeneous Black-Scholes equations. We prove the existence and uniqueness of the numerical solution by the Lax-Milgram lemma and carried out extensive numerical experiments to compare with various methods.

• 대한수학회보
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• 제48권4호
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• pp.791-812
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• 2011

This is a survey on American options. An American option allows its owner the privilege of early exercise, whereas a European option can be exercised only at expiration. Because of this early exercise privilege American option pricing involves an optimal stopping problem; the price of an American option is given as a free boundary value problem associated with a Black-Scholes type partial differential equation. Up until now there is no simple closed-form solution to the problem, but there have been a variety of approaches which contribute to the understanding of the properties of the price and the early exercise boundary. These approaches typically provide numerical or approximate analytic methods to find the price and the boundary. Topics included in this survey are early approaches(trees, finite difference schemes, and quasi-analytic methods), an analytic method of lines and randomization, a homotopy method, analytic approximation of early exercise boundaries, Monte Carlo methods, and relatively recent topics such as model uncertainty, backward stochastic differential equations, and real options. We also provide open problems whose answers are expected to contribute to American option pricing.

• Journal of Mechanical Science and Technology
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• 제19권12호
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• pp.2231-2244
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• 2005

An efficient boundary-based optimization technique is applied in the numerical computation of free surface flow problems, by reformulating them into the equivalent optimal shape design problems. While the sensitivity in the boundary method has mainly been calculated using the boundary element method (BEM) as an analysis means, the finite element method (FEM) is used in this study because of its popularity and easy-to-use features. The advantage of boundary method is that the design velocity vectors are needed only on the boundary, not over the whole domain. As such, a determination of the complicated domain design velocity field, which is necessary in the domain method, is eliminated, thereby making the process easy to implement and efficient. Seepage and supercavitating flow problem are chosen to illustrate the accuracy and effectiveness of the proposed method.