• Proceedings of the Korean Society for Noise and Vibration Engineering Conference
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• 1996.10a
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• pp.275-281
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• 1996

In order to examine the validity of an asymptotic solution obtained from the method of multiple scales, we investigate a third-order subharmonic resonance response of a bar constrained by a nonlinear spring to a harmonic excitation. The motion of the bar is governed by a linear partial differential equation with a nonlinear boundary condition. The nonlinear boundary value problem is solved by using the finite difference method. The numerical solution is compared with the asymptotic solution.

• The Pure and Applied Mathematics
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• v.17 no.4
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• pp.289-298
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• 2010

In this paper, we propose a second-order prediction/correction (SPC) domain decomposition method for solving one dimensional linear hyperbolic partial differential equation $u_{tt}+a(x,t)u_t+b(x,t)u=c(x,t)u_{xx}+{\int}(x,t)$. The method can be applied to variable coefficients problems and singular problems. Unconditional stability and error analysis of the method have been carried out. Numerical results support stability and efficiency of the method.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.14 no.3
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• pp.175-187
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• 2010

This paper presents the numerical valuation of the two-asset step-down equitylinked securities (ELS) option by using the operator-splitting method (OSM). The ELS is one of the most popular financial options. The value of ELS option can be modeled by a modified Black-Scholes partial differential equation. However, regardless of whether there is a closedform solution, it is difficult and not efficient to evaluate the solution because such a solution would be represented by multiple integrations. Thus, a fast and accurate numerical algorithm is needed to value the price of the ELS option. This paper uses a finite difference method to discretize the governing equation and applies the OSM to solve the resulting discrete equations. The OSM is very robust and accurate in evaluating finite difference discretizations. We provide a detailed numerical algorithm and computational results showing the performance of the method for two underlying asset option pricing problems such as cash-or-nothing and stepdown ELS. Final option value of two-asset step-down ELS is obtained by a weighted average value using probability which is estimated by performing a MC simulation.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.19 no.1
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• pp.1-21
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• 2015

This paper presents two algorithms based on the Jamshidian equation which is from the Black-Scholes partial differential equation. The first algorithm is for American call options and the second one is for American put options. They compute numerically free boundary and then option price, iteratively, because the free boundary and the option price are coupled implicitly. By the upwind finite-difference scheme, we discretize the Jamshidian equation with respect to asset variable s and set up a linear system whose solution is an approximation to the option value. Using the property that the coefficient matrix of this linear system is an M-matrix, we prove several theorems in order to formulate a bisection method, which generates a sequence of intervals converging to the fixed interval containing the free boundary value with error bound h. These algorithms have the accuracy of O(k + h), where k and h are step sizes of variables t and s, respectively. We prove that they are unconditionally stable. We applied our algorithms for a series of numerical experiments and compared them with other algorithms. Our algorithms are efficient and applicable to options with such constraints as r > d, $r{\leq}d$, long-time or short-time maturity T.

• Journal of the Computational Structural Engineering Institute of Korea
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• v.29 no.3
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• pp.237-244
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• 2016

This paper presents a nonlinear Moving Least Squares(MLS) difference method for material nonlinearity problem. The MLS difference method, which employs strong formulation involving the fast derivative approximation, discretizes governing partial differential equation based on a node model. However, the conventional MLS difference method cannot explicitly handle constitutive equation since it solves solid mechanics problems by using the Navier's equation that unifies unknowns into one variable, displacement. In this study, a double derivative approximation is devised to treat the constitutive equation of inelastic material in the framework of strong formulation; in fact, it manipulates the first order derivative approximation two times. The equilibrium equation described by the divergence of stress tensor is directly discretized and is linearized by the Newton method; as a result, an iterative procedure is developed to find convergent solution. Stresses and internal variables are calculated and updated by the return mapping algorithm. Effectiveness and stability of the iterative procedure is improved by using algorithmic tangent modulus. The consistency of the double derivative approximation was shown by the reproducing property test. Also, accuracy and stability of the procedure were verified by analyzing inelastic beam under incremental tensile loading.

• Journal of Institute of Control, Robotics and Systems
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• v.14 no.11
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• pp.1155-1164
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• 2008

Supervisory control theory, which was first proposed by Ramadge and Wonahm, is a well-suited control theory for the control of complex systems such as semiconductor manufacturing systems, automobile manufacturing systems, and chemical processes because these are better modeled by discrete event models than by differential or difference equation models at higher levels of abstraction. Moreover, decentralized supervisory control is an efficient method for large complex systems according to the divide-and-conquer principle. Decentralized supervisors cannot observe the events those of which occur only within the other supervisors. Therefore decentralized supervisors can be designed according to supervisory control theory under partial observation. This paper presents a solution and a design procedure of supervisory control problem (SCP) for the case of decentralized control and SCP under partial observation (SCPPO). We apply the proposed design procedure to an experimental CIM Testbed. And we compare and analyze the designed decentralized supervisors and partially observed supervisors.

• Transactions of the Korean Society of Mechanical Engineers
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• v.15 no.6
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• pp.1897-1907
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• 1991

An analysis is presented for the primary resonance of a clamped-hinged beam, which occurs when the frequency of excitation is near one of the natural frequencies, .omega.$_{n}$. Three mode interactions, .omega.$_{2}$=3.omega.$_{1}$, and .omega.$_{3}$=.omega.$_{1}$+2.omega.$_{2}$, are considered and their influence on the response is studied. The case of two mode interaction, .omega.$_{2}$=3.omega.$_{1}$, is also considered in order to compare it with the case of three mode interactions. The straight beam experiencing mid-plane stretching is governed by a nonlinear partial differential equation. By using Galerkin's method the governing equation is reduced to a system of nonautonomous nonlinear ordinary differential equations. The method of multiple scales is applied to obtain steady-state responses of the system. Results of numerical investions show that there exists no significant difference between both modal interactions.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.25 no.3
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• pp.93-106
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• 2021

In this paper, an efficient hybrid numerical method for solving two-asset option pricing problem is presented based on the Crank-Nicolson and the radial basis function methods. For this purpose, the two-asset Black-Scholes partial differential equation is considered. Also, the convergence of the proposed method are proved and implementation of the proposed hybrid method is specifically studied on Exchange and Call on maximum Rainbow options. In addition, this method is compared to the explicit finite difference method as the benchmark and the results show that the proposed method can achieve a noticeably higher accuracy than the benchmark method at a similar computational time. Furthermore, the stability of the proposed hybrid method is numerically proved by considering the effect of the time step size to the computational accuracy in solving these problems.

• Journal of Korean Society of Steel Construction
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• v.12 no.3 s.46
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• pp.291-302
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• 2000

In recent years the development of high modulus, high strength and low density boron and graphite fibers bonded together has brought renewed interestes in structural elements. When a plate with arbitrarily oriented layers and clamped boundary conditions is subjected to uniform loading, it is difficult to analyze and apply, compared with isotropic and orthotropic cases. Therefore the numerical methods, such as finite difference method or finite element method, should be emloyed to analyse such problems. In this study the finite difference technique is used to formulate the bending analysis of symmetric composite laminated skew plates. When this technique is used to solve the problem, it is desirable to reduce the order of the derivatives in order to minimize the number of the pivotal points involved in each equation. The 4th order partial differential equations of laminated skew plates are converted to an equivalent three of 2nd order partial differential equations with three dependant variables.

• Journal of KSNVE
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• v.7 no.1
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• pp.55-60
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• 1997

In order to examine the validity of an asymptotic solution obtained from the method of multiple scales, we investigate a third-order subharmonic resonance response of a bar constrained by a nonlinear spring to a harmonic excitation. The motion of the bar is governed by a linear partial differential equation with a nonlinear boundary condition. The nonlinear boundary value problem is solved by using the finite difference method. The numerical solution is compared with the asymptotic solution.