C. Geiss

activity

20082023

most cited

L_{2}

-variation of Lévy driven BSDEs with non-smooth terminal conditions

11 citations · 31 across the 11 of their papers we have counts for

collaborators

Showing 2012 · math.PRShow all

2 papers · 2 filters

math.PR2012★ 11 cited

$L_{2}$ -variation of Lévy driven BSDEs with non-smooth terminal conditions

Christel Geiss, Alexander Steinicke

We consider the $L_{2}$ -regularity of solutions to backward stochastic differential equations (BSDEs) with Lipschitz generators driven by a Brownian motion and a Poisson random measu…

math.PR2012★ 2 cited

A note on Malliavin fractional smoothness for Lévy processes and approximation

Christel Geiss, Stefan Geiss, Eija Laukkarinen

Assume a Lévy process $X$ on the time interval $[0, 1]$ that is an $L_{2}$ -martingale and let $Y$ be either its stochastic exponential or $X$ itself. We consider Riemann-approximation…

L2​-variation of Lévy driven BSDEs with non-smooth terminal conditions

A note on Malliavin fractional smoothness for Lévy processes and approximation

$L_{2}$ -variation of Lévy driven BSDEs with non-smooth terminal conditions