Hannah Geiss

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Active JYU affiliations

Department of Mathematics and Statistics, Senior Lecturer

Previous, inactive or other affiliations

Department of Mathematics and Statistics (University of Jyväskylä), Senior Lecturer, Ended

Research interests

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.

Fields of science

111 Mathematics (Natural sciences)

Follow-up groups

Mathematics (Department of Mathematics and Statistics MATHS) MAT

Publications and other outputs

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