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۱G– Brownian motion and It ҆s Applications
نویسنده(ها): ،
اطلاعات انتشار: دومین همایش ملی پژوهش های کاربردی در ریاضی و فیزیک، سال
تعداد صفحات: ۵
The cocept of G–Brownian motion and G–Ito integral has been introduced by peng. Also Ito Isometry lemma is proved for Ito integral and Brownin motion. In this paper we first investigate the Ito isometry lemma for G–Brownian motion and G–Ito Integral.Then after studying of MG 2,0–class functions we introduce GStratonovich (with respect toG–Bronian motion) for MG 2,0–class. Then we introduce G–Stratonovich integral for MG2,0–Class functions and present a special construction<\div>

۲Solutions of G–Backward Stochastic Differential Equations with Continuous Coefficients
نویسنده(ها): ،
اطلاعات انتشار: دومین همایش ملی پژوهش های کاربردی در ریاضی و فیزیک، سال
تعداد صفحات: ۹
In this paper, we study G–backward stochastic differential equations with continuous coefficients. Mingshang Hu, Shaolin Ji, Shige Peng, Yongsheng Song [1] proved an existence and uniqueness result when and are Lipschitz conditions in and in the G–framework. We give existence and uniqueness results for G–backward stochastic differential equations, when the generator is uniformly continuous in y, z, and the terminal value ξ ∈ L with 1 2. We consider the G–backward stochastic differential equations driven by a GBrownian motion in the following form: !, , #! $ !, , # B s 〈 〉 % # $ % &$ % & ,(1)where , and & are unknown and the random function , called the generator,and the random variable , called terminal value, are given. Our main result of this paper is the existence and uniqueness of a solution , ,& for (1) in the G framework.<\div>

۳The Pricing of Binary Options in a Financial Market with Probability Tools
نویسنده(ها): ،
اطلاعات انتشار: کنفرانس بین المللی پژوهش در مهندسی، علوم و تکنولوژی، سال
تعداد صفحات: ۶
In this paper we consider a Black–Scholes–Merton market in which the underling economy modelled by a special stochstic differential equation. In fact we study the pricing of binary options with probability tools when the price dynamics of the underling risky asset are assumed to follow a Markov modulated geometric Brownian motion. Then we drive closed–form solutions for binary option under considered conditions<\div>

۴G–Backward Stochastic Diferential Equations with Random Terminal Times
نویسنده(ها): ، ،
اطلاعات انتشار: کنفرانس بین المللی پژوهش در مهندسی، علوم و تکنولوژی، سال
تعداد صفحات: ۵
this paper, we study G–backward stochastic differential equations with random terminal times. We explain how to extend the results of the case of fixed terminal time to the case of a random terminal time. We present the existence and uniqueness of a solution for G–backward stochastic differential equations with a random terminal time. We consider the G–backward stochastic differential equations with the random terminal time in the following form (7) , Where is a stopping time with respect to natural filtration , the processes , and are unknown and the random functions and , said generators, and the random variable , said terminal value, are given. The process 0 is called a G–Brownian motion. We present the existence and uniqueness of a solution for G–BSDE (7).<\div>
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