Hannah Geiss

Henkilökunnan yhteystiedot saatavilla yliopiston yhteystietohausta.

Aktiiviset JYU-affiliaatiot

Matematiikan ja tilastotieteen laitos, Yliopistonlehtori

Aiemmat, ei-aktiiviset tai muut työsuhteet

Matematiikan ja tilastotieteen laitos (Jyväskylän yliopisto), Yliopistonlehtori, Päättynyt

Tutkimuskuvaus

Our research concerns stochastic differential equations and backward stochastic equations appearing in Optimization as well as in Finance and Insurance, their approximation and their connection to partial differential equations. Especially I have been working on the further development of Malliavin calculus as a tool to investigate stochastic equations with jumps. The results are important to get fast computer simulations and enable to solve certain partial differential equations numerically.

Tieteenalat

111 Matematiikka (Luonnontieteet)

Seurantakohteet

Matematiikka (Matematiikan ja tilastotieteen laitos MATHS) MAT

Julkaisut ja muut tuotokset

Donsker-type theorem for BSDEs : Rate of convergence (2021) Briand, Philippe; et al.; A1; OA
Existence, uniqueness and Malliavin differentiability of Lévy-driven BSDEs with locally Lipschitz driver (2020) Geiss, Christel; et al.; A1; OA
Mean square rate of convergence for random walk approximation of forward-backward SDEs (2020) Geiss, Christel; et al.; A1; OA
Product and moment formulas for iterated stochastic integrals (associated with Lévy processes) (2020) Di Tella, Paolo; et al.; A2; OA
Random walk approximation of BSDEs with Hölder continuous terminal condition (2020) Geiss, Christel; et al.; A1; OA
On first exit times and their means for Brownian bridges (2019) Geiss, Christel; et al.; A1; OA
Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting (2018) Geiss, Christel; et al.; A1; OA
L2-variation of Lévy driven BSDEs with non-smooth terminal conditions (2016) Geiss, Christel; et al.; A1; OA
Malliavin derivative of random functions and applications to Lévy driven BSDEs (2016) Geiss, Christel; et al.; A1; OA
Simulation of BSDEs with jumps by Wiener Chaos expansion (2016) Geiss, Christel; et al.; A1
A note on Malliavin fractional smoothness for Lévy processes and approximation (2013) Geiss, Christel; et al.; A1; OA
Generalized fractional smoothness and $L_p$-variation of BSDEs with non-Lipschitz terminal condition (2012) Geiss, Christel; et al.; A1; OA
Denseness of certain smooth Levy functionals in D_{1,2} (2011) Geiss, Christel; et al.; A1
On an approximation problem for stochastic integrals where random time nets do not help (2006) Geiss, Christel; et al.; A1
On approximation of a class of stochastic integrals and interpolation (2004) Geiss, Christel; et al.; A1