Near the end of the first game (when you visit Aralbad for the second time), choosing the dialogue topic "Kate" while talking to Oscar gives you this:
Kate: You know something, Oscar? Despite all our mishaps and your grating personality, I think I'm going to miss you.
Oscar: Why? Are you leaving us, Kate Walker?
Kate: Yes. When I've found Hans Voralberg, I'm going to have to go back to New York.
Oscar: (quietly) That's... your decision, Kate Walker.