3 papers
math.PR2026
Approximation of certain stochastic integrals with anticipating integrands
Hannah Geiss, Stefan Geiss, Onni Hinkkanen
We study the quantitative approximation of certain stochastic integrals, where we use discrete time approximations under initial enlargement of filtration. It turns out that the ap…
math.PR2025
Locally Lipschitz Path Dependent FBSDEs with Unbounded Terminal Conditions in Brownian and L{é}vy Settings
Hannah Geiss, Céline Labart, Adrien Richou +1
This paper is dedicated to the analysis of forward backward stochastic differential equations driven by a L{é}vy process. We assume that the generator and the terminal condition a…
math.PR2025
Convergence rate for random walk approximations of mean field BSDEs
Boualem Djehiche, Hannah Geiss, Stefan Geiss +2
We study the rate of convergence w.r.t.~a Wasserstein type distance for random walk approximations of mean field BSDEs. Our method does not use the particle method but instead a fr…