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 2017Show all

2 papers · 1 filter

math.PR2017★ 1 cited

On first exit times and their means for Brownian bridges

Christel Geiss, Antti Luoto, Paavo Salminen

For a Brownian bridge from $0$ to $y$ we prove that the mean of the first exit time from interval $(- h, h), h > 0,$ behaves as $O (h^{2})$ when $h ↓ 0.$ Similar behavior is…

math.PR2017★ 9 cited

Existence, Uniqueness and Comparison Results for BSDEs with Lévy Jumps in an Extended Monotonic Generator Setting

Christel Geiss, Alexander Steinicke

We show existence of a unique solution and a comparison theorem for a one-dimensional backward stochastic differential equation with jumps that emerge from a Lévy process. The cons…