11 citations · 31 across the 11 of their papers we have counts for
14 papers
Product formulas for multiple stochastic integrals associated with Lévy processes
Paolo Di Tella, Christel Geiss, Alexander Steinicke
In the present paper, we obtain an explicit product formula for products of multiple integrals w.r.t. a random measure associated with a Lévy process. As a building block, we use a…
Donsker-Type Theorem for BSDEs: Rate of Convergence
Philippe Briand, Christel Geiss, Stefan Geiss +1
In this paper, we study in the Markovian case the rate of convergence in the Wasserstein distance of an approximation of the solution to a BSDE given by a BSDE which is driven by a…
Product and Moment Formulas for Iterated Stochastic Integrals (associated with Lévy Processes)
Paolo Di Tella, Christel Geiss
In this paper, we obtain explicit product and moment formulas for products of iterated integrals generated by families of square integrable martingales associated with an arbitrary…
Mean square rate of convergence for random walk approximation of forward-backward SDEs
Christel Geiss, Céline Labart, Antti Luoto
Let (Y, Z) denote the solution to a forward-backward SDE. If one constructs a random walk B n from the underlying Brownian motion B by Skorohod embedding, one can show L 2 converge…
Random walk approximation of BSDEs with H{ö}lder continuous terminal condition
Christel Geiss, Céline Labart, Antti Luoto
In this paper we consider the random walk approximation of the solution of a Markovian BSDE whose terminal condition is a locally H{ö}lder continuous function of the Brownian motio…
Existence, Uniqueness and Malliavin Differentiability of Lévy-driven BSDEs with locally Lipschitz Driver
Christel Geiss, Alexander Steinicke
We investigate conditions for solvability and Malliavin differentiability of backward stochastic differential equations driven by a Lévy process. In particular, we are interested i…