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Gapeev, Pavel V.

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Author ID: gapeev.pavel-v Recent zbMATH articles by "Gapeev, Pavel V."
Published as: Gapeev, P. V.; Gapeev, Pavel V.
External Links: MGP · Wikidata
Documents Indexed: 43 Publications since 1997
Reviewing Activity: 142 Reviews

Publications by Year

Citations contained in zbMATH

31 Publications have been cited 162 times in 111 Documents Cited by Year
The Wiener sequential testing problem with finite horizon. Zbl 1054.62087
Gapeev, P. V.; Peskir, G.
21
2004
The Wiener disorder problem with finite horizon. Zbl 1105.60027
Gapeev, P. V.; Peskir, G.
20
2006
Perpetual convertible bonds in jump-diffusion models. Zbl 1076.60508
Gapeev, Pavel V.; Kühn, Christoph
14
2005
Bayesian quickest detection problems for some diffusion processes. Zbl 1261.62077
Gapeev, Pavel V.; Shiryaev, Albert N.
11
2013
On the sequential testing problem for some diffusion processes. Zbl 1228.62098
Gapeev, Pavel V.; Shiryaev, Albert N.
11
2011
On large deviations in testing Ornstein-Uhlenbeck-type models. Zbl 1204.62144
Gapeev, Pavel V.; Küchler, Uwe
10
2008
The disorder problem for compound Poisson processes with exponential jumps. Zbl 1068.60062
Gapeev, Pavel V.
10
2005
Constructing random times with given survival processes and applications to valuation of credit derivatives. Zbl 1228.91070
Gapeev, Pavel V.; Jeanblanc, Monique; Li, Libo; Rutkowski, Marek
9
2010
Discounted optimal stopping for maxima of some jump-diffusion processes. Zbl 1146.60037
Gapeev, Pavel V.
6
2007
Discounted optimal stopping for maxima in diffusion models with finite horizon. Zbl 1127.60037
Gapeev, Pavel V.
6
2006
Optimal stopping problems in diffusion-type models with running maxima and drawdowns. Zbl 1312.60044
Gapeev, Pavel V.; Rodosthenous, Neofytos
5
2014
An optimal stopping problem in a diffusion-type model with delay. Zbl 1092.60017
Gapeev, Pavel V.; Reiß, Markus
5
2006
Pricing of perpetual American options in a model with partial information. Zbl 1236.91131
Gapeev, Pavel V.
4
2012
The integral option in a model with jumps. Zbl 1221.60062
Gapeev, Pavel V.
4
2008
On the Laplace transforms of the first exit times in one-dimensional non-affine jump-diffusion models. Zbl 1354.60089
Gapeev, Pavel V.; Stoev, Yavor I.
3
2017
Pricing and filtering in a two-dimensional dividend switching model. Zbl 1207.91062
Gapeev, Pavel V.; Jeanblanc, Monique
3
2010
Problems of the sequential discrimination of hypotheses for a compound Poisson process with exponential jumps. Zbl 1218.62080
Gapeev, P. V.
3
2002
On the structure of discounted optimal stopping problems for one-dimensional diffusions. Zbl 1250.60020
Gapeev, Pavel V.; Lerche, Hans Rudolf
2
2011
Robust replication in \(H\)-self-similar Gaussian market models under uncertainty. Zbl 1208.91171
Gapeev, Pavel V.; Sottinen, Tommi; Valkeila, Esko
2
2011
Pricing of contingent claims in a two-dimensional model with random dividends. Zbl 1182.91174
Gapeev, Pavel V.; Jeanblanc, Monique
2
2009
On some functionals of the first passage times in jump models of stochastic volatility. Zbl 1427.60170
Gapeev, Pavel V.; Stoev, Yavor I.
1
2020
Perpetual dual American barrier options for short sellers. Zbl 1434.62221
Gapeev, Pavel V.
1
2019
Defaultable claims in switching models with partial information. Zbl 1411.91599
Gapeev, Pavel V.; Jeanblanc, Monique
1
2019
On some functionals of the first passage times in models with switching stochastic volatility. Zbl 1395.91442
Gapeev, Pavel V.; Brockhaus, Oliver; Dubois, Mathieu
1
2018
On the construction of non-affine jump-diffusion models. Zbl 1373.60143
Gapeev, Pavel V.; Stoev, Yavor I.
1
2017
Perpetual American options in diffusion-type models with running maxima and drawdowns. Zbl 1337.60072
Gapeev, Pavel V.; Rodosthenous, Neofytos
1
2016
On the drawdowns and drawups in diffusion-type models with running maxima and minima. Zbl 1329.60229
Gapeev, Pavel V.; Rodosthenous, Neofytos
1
2016
An iterative procedure for solving integral equations related to optimal stopping problems. Zbl 1222.60035
Belomestny, Denis; Gapeev, Pavel V.
1
2010
Perpetual barrier options in jump-diffusion models. Zbl 1284.91544
Gapeev, Pavel V.
1
2007
On Markovian short rates in term structure models driven by jump-diffusion processes. Zbl 1152.60065
Gapeev, Pavel V.; Küchler, Uwe
1
2006
On arbitrage and Markovian short rates in fractional bond markets. Zbl 1060.60083
Gapeev, Pavel V.
1
2004
On some functionals of the first passage times in jump models of stochastic volatility. Zbl 1427.60170
Gapeev, Pavel V.; Stoev, Yavor I.
1
2020
Perpetual dual American barrier options for short sellers. Zbl 1434.62221
Gapeev, Pavel V.
1
2019
Defaultable claims in switching models with partial information. Zbl 1411.91599
Gapeev, Pavel V.; Jeanblanc, Monique
1
2019
On some functionals of the first passage times in models with switching stochastic volatility. Zbl 1395.91442
Gapeev, Pavel V.; Brockhaus, Oliver; Dubois, Mathieu
1
2018
On the Laplace transforms of the first exit times in one-dimensional non-affine jump-diffusion models. Zbl 1354.60089
Gapeev, Pavel V.; Stoev, Yavor I.
3
2017
On the construction of non-affine jump-diffusion models. Zbl 1373.60143
Gapeev, Pavel V.; Stoev, Yavor I.
1
2017
Perpetual American options in diffusion-type models with running maxima and drawdowns. Zbl 1337.60072
Gapeev, Pavel V.; Rodosthenous, Neofytos
1
2016
On the drawdowns and drawups in diffusion-type models with running maxima and minima. Zbl 1329.60229
Gapeev, Pavel V.; Rodosthenous, Neofytos
1
2016
Optimal stopping problems in diffusion-type models with running maxima and drawdowns. Zbl 1312.60044
Gapeev, Pavel V.; Rodosthenous, Neofytos
5
2014
Bayesian quickest detection problems for some diffusion processes. Zbl 1261.62077
Gapeev, Pavel V.; Shiryaev, Albert N.
11
2013
Pricing of perpetual American options in a model with partial information. Zbl 1236.91131
Gapeev, Pavel V.
4
2012
On the sequential testing problem for some diffusion processes. Zbl 1228.62098
Gapeev, Pavel V.; Shiryaev, Albert N.
11
2011
On the structure of discounted optimal stopping problems for one-dimensional diffusions. Zbl 1250.60020
Gapeev, Pavel V.; Lerche, Hans Rudolf
2
2011
Robust replication in \(H\)-self-similar Gaussian market models under uncertainty. Zbl 1208.91171
Gapeev, Pavel V.; Sottinen, Tommi; Valkeila, Esko
2
2011
Constructing random times with given survival processes and applications to valuation of credit derivatives. Zbl 1228.91070
Gapeev, Pavel V.; Jeanblanc, Monique; Li, Libo; Rutkowski, Marek
9
2010
Pricing and filtering in a two-dimensional dividend switching model. Zbl 1207.91062
Gapeev, Pavel V.; Jeanblanc, Monique
3
2010
An iterative procedure for solving integral equations related to optimal stopping problems. Zbl 1222.60035
Belomestny, Denis; Gapeev, Pavel V.
1
2010
Pricing of contingent claims in a two-dimensional model with random dividends. Zbl 1182.91174
Gapeev, Pavel V.; Jeanblanc, Monique
2
2009
On large deviations in testing Ornstein-Uhlenbeck-type models. Zbl 1204.62144
Gapeev, Pavel V.; Küchler, Uwe
10
2008
The integral option in a model with jumps. Zbl 1221.60062
Gapeev, Pavel V.
4
2008
Discounted optimal stopping for maxima of some jump-diffusion processes. Zbl 1146.60037
Gapeev, Pavel V.
6
2007
Perpetual barrier options in jump-diffusion models. Zbl 1284.91544
Gapeev, Pavel V.
1
2007
The Wiener disorder problem with finite horizon. Zbl 1105.60027
Gapeev, P. V.; Peskir, G.
20
2006
Discounted optimal stopping for maxima in diffusion models with finite horizon. Zbl 1127.60037
Gapeev, Pavel V.
6
2006
An optimal stopping problem in a diffusion-type model with delay. Zbl 1092.60017
Gapeev, Pavel V.; Reiß, Markus
5
2006
On Markovian short rates in term structure models driven by jump-diffusion processes. Zbl 1152.60065
Gapeev, Pavel V.; Küchler, Uwe
1
2006
Perpetual convertible bonds in jump-diffusion models. Zbl 1076.60508
Gapeev, Pavel V.; Kühn, Christoph
14
2005
The disorder problem for compound Poisson processes with exponential jumps. Zbl 1068.60062
Gapeev, Pavel V.
10
2005
The Wiener sequential testing problem with finite horizon. Zbl 1054.62087
Gapeev, P. V.; Peskir, G.
21
2004
On arbitrage and Markovian short rates in fractional bond markets. Zbl 1060.60083
Gapeev, Pavel V.
1
2004
Problems of the sequential discrimination of hypotheses for a compound Poisson process with exponential jumps. Zbl 1218.62080
Gapeev, P. V.
3
2002
all top 5

Cited by 119 Authors

21 Gapeev, Pavel V.
7 Jeanblanc, Monique
7 Sezer, Semih Onur
5 Buonaguidi, Bruno
5 Dayanik, Savas
5 Kyprianou, Andreas E.
4 Ekström, Erik
4 Muliere, Pietro
4 Peskir, Goran
4 Rodosthenous, Neofytos
4 Shiryaev, Al’bert Nikolaevich
4 Zhao, Shoujiang
3 Bayraktar, Erhan
3 Jiang, Hui
3 Li, Libo
3 Stoev, Yavor I.
3 Vaicenavicius, Juozas
3 Van Schaik, Kees
2 Baurdoux, Erik Jan
2 Nguyen Tien Dung
2 Federico, Salvatore
2 Gao, Fuqing
2 Kifer, Yuri
2 Kitapbayev, Yerkin
2 Kuang, Nenghui
2 Kuhn, Christoph
2 Muravlev, Alexey A.
2 Ott, Curdin
2 Pardo, Juan Carlos
2 Poor, Harold Vincent
2 Rutkowski, Marek
2 Song, Shiqi
2 Sottinen, Tommi
1 Ai, Xiaohui
1 Aliev, A. F.
1 Alili, Larbi
1 Antonelli, Fabio
1 Attard, Natalie
1 Belomestny, Denis
1 Belyavskiĭ, Grigoriĭ I.
1 Brockhaus, Oliver
1 Capponi, Agostino
1 Chadam, John M.
1 Chen, Xinfu
1 Christensen, Soren
1 Cialenco, Igor
1 Cohen, Asaf
1 Danilova, Natal’ya V.
1 Di Crescenzo, Antonio
1 Dubois, Mathieu S.
1 Dyrssen, Hannah
1 El Karoui, Nicole
1 Elhiwi, Majdi
1 Figueroa-López, José E.
1 Glover, Kristoffer J.
1 Gorban, S. D.
1 Hadjiliadis, Olympia
1 Hamadene, Saïd
1 Henderson, Vicky
1 Huang, Wenli
1 Hulley, Hardy
1 Irle, Albrecht
1 Jiao, Ying
1 Jin, Zhiming
1 Johnson, Peter R.
1 Johnson, Philip J.
1 Kladívko, Kamil
1 Kravitz, Ross
1 Krawiec, Michał
1 Kruse, Thomas
1 Li, Shenghong
1 Lisovskii, Dmitrii I.
1 Liu, Junfeng
1 Liu, Qiaojing
1 Løkka, Arne
1 Ludkovski, Michael
1 Miao, Jie
1 Mitra, Sovan
1 Monoyios, Michael
1 Moriarty, John
1 Nisen, Jeffrey A.
1 Nussbaum, Michael
1 Ohashi, Alberto Masayoshi F.
1 Øksendal, Bernt Karsten
1 Palmowski, Zbigniew
1 Płociniczak, Łukasz
1 Qiu, Shi
1 Rainer, Catherine
1 Ramponi, Alessandro
1 Reisinger, Christoph
1 Saunders, David A.
1 Scarlatti, Sergio
1 Shokrollahi, Foad
1 Sokko, A. A.
1 Song, Shiyu
1 Stibůrek, David
1 Strack, Philipp
1 Sun, Yang
1 Tankov, Peter
1 Tecuapetla-Gómez, Inder
...and 19 more Authors
all top 5

Cited in 46 Serials

11 Stochastic Processes and their Applications
9 The Annals of Applied Probability
9 International Journal of Theoretical and Applied Finance
9 Stochastics
8 Statistics & Probability Letters
8 Sequential Analysis
4 Mathematics of Operations Research
3 Journal of Mathematical Analysis and Applications
3 Applied Mathematics and Optimization
3 Journal of Applied Probability
3 SIAM Journal on Financial Mathematics
2 Journal of Statistical Planning and Inference
2 Statistical Papers
2 Mathematical Finance
1 Advances in Applied Probability
1 Moscow University Mathematics Bulletin
1 Russian Mathematical Surveys
1 Theory of Probability and its Applications
1 Applied Mathematics and Computation
1 Proceedings of the American Mathematical Society
1 Transactions of the American Mathematical Society
1 Stochastic Analysis and Applications
1 Acta Applicandae Mathematicae
1 Annals of Operations Research
1 Automation and Remote Control
1 Communications in Statistics. Theory and Methods
1 Potential Analysis
1 Applied Mathematics. Series B (English Edition)
1 Applied Mathematical Finance
1 Finance and Stochastics
1 Doklady Mathematics
1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
1 Mathematical Methods of Operations Research
1 Journal of Applied Mathematics and Decision Sciences
1 Statistical Inference for Stochastic Processes
1 Methodology and Computing in Applied Probability
1 Stochastic Models
1 Stochastics and Dynamics
1 Advances in Difference Equations
1 Statistical Methodology
1 Proceedings of the Steklov Institute of Mathematics
1 Frontiers of Mathematics in China
1 Journal of Probability and Statistics
1 ISRN Probability and Statistics
1 East Asian Journal on Applied Mathematics
1 Philosophical Transactions of the Royal Society of London. A. Mathematical, Physical and Engineering Sciences

Citations by Year

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