• Computers and Concrete
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• v.16 no.5
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• pp.775-793
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• 2015

Moisture transport in concrete in atmospheric environment was studied in this paper. Based on the simplified formula of the thickness of the adsorbed layer, the pore-size distribution function of cement paste was calculated utilizing the water adsorption isotherms. Taking into consideration of the hysteresis effect in cement paste, the moisture diffusivity of cement paste was obtained by the integration of the pore-size distribution. Concrete is regarded as a two-phase composite with cement paste and aggregate, neglecting the moisture diffusivity of aggregate, then moisture diffusivity of concrete was evaluated using the composite theory. Finally, numerical simulation of humidity response during both wetting and drying process was carried out by the finite difference method of partial differential equation for moisture transport, and the numerical results well capture the trend of the measured data.

• Journal of the Chungcheong Mathematical Society
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• v.33 no.1
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• pp.165-171
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• 2020

In this paper we consider a mixed fractional Brownian motion (mfBm) with jumps. The prices of European barrier options can be evaluated by solving a partial integro-differential equation (PIDE) with variable coefficients, which is derived from the mfBm with jumps. The 2-step backward differentiation formula (BDF2 method) proposed in [6] is applied with the second-order convergence rate in the time and spatial variables. Numerical simulations are carried out to observe the convergence behaviors of the BDF2 method under the mfBm with the Kou model.

• Coupled systems mechanics
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• v.12 no.1
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• pp.21-40
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• 2023

In thisstudy, the vibration problem ofthermo elastic carbon nanotubes conveying pulsating viscous nano fluid subjected to a longitudinal magnetic field is investigated via Euler-Bernoulli beam model. The controlling partial differential equation of motion is arrived by adopting Eringen's non local theory. The instability domain and pulsation frequency of the CNT is obtained through the Galerkin's method. The numerical evaluation of thisstudy is devised by Haar wavelet method (HWM). Then, the proposed model is validated by analyzing the critical buckling load computed in presentstudy with the literature. Finally, the numerical calculation ofsystem parameters are shown as dispersion graphs and tables over non local parameter, magnetic flux, temperature difference, Knudsen number and viscous parameter.

• Bulletin of the Korean Mathematical Society
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• v.48 no.4
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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 Advanced Marine Engineering and Technology
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• v.40 no.4
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• pp.264-269
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• 2016

This paper reports a fundamental study of temperature characteristics of a solar pond with an insulation layer. Further, these characteristics were compared with those of a solar pond without the insulation layer. The governing equation was discretized via finite difference method. The governing equations are two-dimensional unsteady-state second-order partial differential equations. The conclusions of the study are as follows: 1) If the depth of the solar pond was increased, the desired effect of increase in temperature was not produced because the amount of solar insolation received by the bottom of the solar pond decreased. 2) As the temperature of the soil during winter is higher than the temperature of the water in a solar pond, heat was transferred from the soil to the solar pond. 3) For the case of the solar pond with insulation layer, it was estimated that the dependence rate of solar energy was 83.3% and that of the boiler was 16.7%.

• Journal of the Korean Society of Marine Environment & Safety
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• v.21 no.5
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• pp.577-582
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• 2015

This paper is the fundamental study for the application of cold storage system to the transportation equipment by sea and land. This numerical study presents the solid-liquid phase change phenomenon of calcium chloride solution of 30wt %. The governing equations are 1-dimensional unsteady state heat transfer equations of $1^{st}$ order partial differential equations. This type of latent heat storage material is often usable in fishery vessel for controlling the temperature of container with constant condition. The governing equation was discretized with finite difference method and the program was composed with Mathcad program. The main parameters of this solution were the initial temperature of heat storage material, ambient temperature of cold air and the velocity of cold air. The data of boundary layer thickness becomes thin with the increasing of cold air flowing velocity and also the heat storage completion time become shorten.

• The Pure and Applied Mathematics
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• v.27 no.4
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• pp.231-249
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• 2020

We present an efficient and robust finite difference method for a two-asset jump diffusion model, which is a partial integro-differential equation (PIDE). To speed up a computational time, we compute a matrix so that we can calculate the non-local integral term fast by a simple matrix-vector operation. In addition, we use bilinear interpolation to solve integral term of PIDE. We can obtain more stable value by using the payoff-consistent extrapolation. We provide numerical experiments to demonstrate a performance of the proposed numerical method. The numerical results show the robustness and accuracy of the proposed method.

• The Pure and Applied Mathematics
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• v.22 no.2
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• pp.159-168
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• 2015

Abstract. We propose a fast and robust finite difference method for Merton's jump diffusion model, which is a partial integro-differential equation. To speed up a computational time, we compute a matrix so that we can calculate the non-local integral term fast by a simple matrix-vector operation. Also, we use non-uniform grids to increase efficiency. We present numerical experiments such as evaluation of the option prices and Greeks to demonstrate a performance of the proposed numerical method. The computational results are in good agreements with the exact solutions of the jump-diffusion model.

• Proceedings of the Korean Society for Agricultural Machinery Conference
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• 1993.10a
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• pp.443-452
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• 1993

Direct freezing tests of soybean seed by liquid nitrogen were carried out at various moisture contents and the following important conclusions were drawn from the results of temperature measurements of soybean seed and photographs of bubbles generated on its surface : 1) Assuming that the temperature gradient in a soybean seed is negligible because of its small seed size and the freezing ratio is followed the Heiss's formula, and a differential equation based on the heat energy balance was introduced . The equation was easily solved by the Runge-Kutta-Gill method and the predicted values of the temperature were in good agreement with the observed data. 2) The photographs of bubble generation during freezing showed the boiling mode was nucleate, and then the most suitable formula on the nucleate boiling heat transfer was introduced from many formulate proposed up to now by fitting the calculated values based on the formula to the observed data. The formula used for the predict on of the seed temperature was as follows: $\frac{{\partial}T_s}{\partial\theta}\;=\;-\frac{{\alpha}(T_s\;-\;T_L)^{3.3}}{W(C_s\;-\;\frac{{\delta}m(CT_s\;+\;{\sigma})}{T_s^2})}$ where C = difference of the specific heat between pure ice and water m=moisture content of soybean seed $T_s$ = seed temperature $T_L$ = Temperature of liquid nitrogen W = mass of soybean seed $\alpha$ = proportional constant $\delta$ = constant depends on variety or the type of seed $\theta$ = time $\sigma$ = latent heat of melting of pure ice This study will give important information in the hydro-freezing technique by liquid nitrogen, available as a new technique of processing agricultural products in the near future.

• Water for future
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• v.24 no.4
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• pp.49-58
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• 1991

Flood routing in the Youngsan River was performed for the flood event of July, 1989 by two finite difference methods. The Saint Venant eq., a kind of hyperbolic partial differential equation is employed as governing equation and the explicit scheme (Leap Frog) and implicit scheme (Preissmann) are used to discretize the GE. As for the external boundary conditions, discharge and tidal elevation are upstream and downstream BC, respectively and estuary dam is included in internal BC. Lateral inflows and upstream discharges are the hourly results from storage function method, At Naju station, a Relatively upstream points in this river, the outputs are interpreted as good ones by comparing two numerical results of FDMs with the observed data and the calibrated results by storage function method. and two computational results are compared at the other sites, from middle stream and downstream points, and thus are considered reliable. Therefore, we can conclude from this research that these numerical models are adaptable in simulating and forecasting the flood in natural channels in Korea as well as existing hydrologic models. And the study about optimal gate control at the flood time is expected as further study using these models.