Edit Profile Gapeev, Pavel V. Compute Distance To: Compute Author ID: 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 all top 5 Co-Authors 17 single-authored 5 Jeanblanc, Monique 5 Rodosthenous, Neofytos 4 Stoev, Yavor I. 2 Küchler, Uwe 2 Peskir, Goran 2 Shiryaev, Al’bert Nikolaevich 1 Belomestny, Denis 1 Brockhaus, Oliver 1 Dubois, Mathieu S. 1 Kuhn, Christoph 1 Lerche, Hans Rudolf 1 Li, Libo 1 Reiß, Markus 1 Rutkowski, Marek 1 Sottinen, Tommi 1 Valkeila, Esko all top 5 Serials 6 International Journal of Theoretical and Applied Finance 5 Russian Mathematical Surveys 5 Statistics & Probability Letters 5 Stochastics 3 Statistics & Decisions 2 Journal of Applied Probability 2 Stochastic Analysis and Applications 2 Stochastic Processes and their Applications 1 Advances in Applied Probability 1 Journal of Mathematical Analysis and Applications 1 Mathematics of Operations Research 1 The Annals of Applied Probability 1 Stochastics and Stochastics Reports 1 Statistical Papers 1 Electronic Journal of Probability 1 Statistical Inference for Stochastic Processes 1 Statistics & Risk Modeling all top 5 Fields 34 Probability theory and stochastic processes (60-XX) 28 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 12 Statistics (62-XX) 10 Ordinary differential equations (34-XX) 6 Partial differential equations (35-XX) 3 Integral equations (45-XX) 1 Numerical analysis (65-XX) Publications by Year all cited Publications top 5 cited Publications 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 1054.62087Gapeev, P. V.; Peskir, G. 21 2004 The Wiener disorder problem with finite horizon. Zbl 1105.60027Gapeev, P. V.; Peskir, G. 20 2006 Perpetual convertible bonds in jump-diffusion models. Zbl 1076.60508Gapeev, Pavel V.; Kühn, Christoph 14 2005 Bayesian quickest detection problems for some diffusion processes. Zbl 1261.62077Gapeev, Pavel V.; Shiryaev, Albert N. 11 2013 On the sequential testing problem for some diffusion processes. Zbl 1228.62098Gapeev, Pavel V.; Shiryaev, Albert N. 11 2011 On large deviations in testing Ornstein-Uhlenbeck-type models. Zbl 1204.62144Gapeev, Pavel V.; Küchler, Uwe 10 2008 The disorder problem for compound Poisson processes with exponential jumps. Zbl 1068.60062Gapeev, Pavel V. 10 2005 Constructing random times with given survival processes and applications to valuation of credit derivatives. Zbl 1228.91070Gapeev, Pavel V.; Jeanblanc, Monique; Li, Libo; Rutkowski, Marek 9 2010 Discounted optimal stopping for maxima of some jump-diffusion processes. Zbl 1146.60037Gapeev, Pavel V. 6 2007 Discounted optimal stopping for maxima in diffusion models with finite horizon. Zbl 1127.60037Gapeev, Pavel V. 6 2006 Optimal stopping problems in diffusion-type models with running maxima and drawdowns. Zbl 1312.60044Gapeev, Pavel V.; Rodosthenous, Neofytos 5 2014 An optimal stopping problem in a diffusion-type model with delay. Zbl 1092.60017Gapeev, Pavel V.; Reiß, Markus 5 2006 Pricing of perpetual American options in a model with partial information. Zbl 1236.91131Gapeev, Pavel V. 4 2012 The integral option in a model with jumps. Zbl 1221.60062Gapeev, Pavel V. 4 2008 On the Laplace transforms of the first exit times in one-dimensional non-affine jump-diffusion models. Zbl 1354.60089Gapeev, Pavel V.; Stoev, Yavor I. 3 2017 Pricing and filtering in a two-dimensional dividend switching model. Zbl 1207.91062Gapeev, Pavel V.; Jeanblanc, Monique 3 2010 Problems of the sequential discrimination of hypotheses for a compound Poisson process with exponential jumps. Zbl 1218.62080Gapeev, P. V. 3 2002 On the structure of discounted optimal stopping problems for one-dimensional diffusions. Zbl 1250.60020Gapeev, Pavel V.; Lerche, Hans Rudolf 2 2011 Robust replication in \(H\)-self-similar Gaussian market models under uncertainty. Zbl 1208.91171Gapeev, Pavel V.; Sottinen, Tommi; Valkeila, Esko 2 2011 Pricing of contingent claims in a two-dimensional model with random dividends. Zbl 1182.91174Gapeev, Pavel V.; Jeanblanc, Monique 2 2009 On some functionals of the first passage times in jump models of stochastic volatility. Zbl 1427.60170Gapeev, Pavel V.; Stoev, Yavor I. 1 2020 Perpetual dual American barrier options for short sellers. Zbl 1434.62221Gapeev, Pavel V. 1 2019 Defaultable claims in switching models with partial information. Zbl 1411.91599Gapeev, Pavel V.; Jeanblanc, Monique 1 2019 On some functionals of the first passage times in models with switching stochastic volatility. Zbl 1395.91442Gapeev, Pavel V.; Brockhaus, Oliver; Dubois, Mathieu 1 2018 On the construction of non-affine jump-diffusion models. Zbl 1373.60143Gapeev, Pavel V.; Stoev, Yavor I. 1 2017 Perpetual American options in diffusion-type models with running maxima and drawdowns. Zbl 1337.60072Gapeev, Pavel V.; Rodosthenous, Neofytos 1 2016 On the drawdowns and drawups in diffusion-type models with running maxima and minima. Zbl 1329.60229Gapeev, Pavel V.; Rodosthenous, Neofytos 1 2016 An iterative procedure for solving integral equations related to optimal stopping problems. Zbl 1222.60035Belomestny, Denis; Gapeev, Pavel V. 1 2010 Perpetual barrier options in jump-diffusion models. Zbl 1284.91544Gapeev, Pavel V. 1 2007 On Markovian short rates in term structure models driven by jump-diffusion processes. Zbl 1152.60065Gapeev, Pavel V.; Küchler, Uwe 1 2006 On arbitrage and Markovian short rates in fractional bond markets. Zbl 1060.60083Gapeev, Pavel V. 1 2004 On some functionals of the first passage times in jump models of stochastic volatility. Zbl 1427.60170Gapeev, Pavel V.; Stoev, Yavor I. 1 2020 Perpetual dual American barrier options for short sellers. Zbl 1434.62221Gapeev, Pavel V. 1 2019 Defaultable claims in switching models with partial information. Zbl 1411.91599Gapeev, Pavel V.; Jeanblanc, Monique 1 2019 On some functionals of the first passage times in models with switching stochastic volatility. Zbl 1395.91442Gapeev, 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 1354.60089Gapeev, Pavel V.; Stoev, Yavor I. 3 2017 On the construction of non-affine jump-diffusion models. Zbl 1373.60143Gapeev, Pavel V.; Stoev, Yavor I. 1 2017 Perpetual American options in diffusion-type models with running maxima and drawdowns. Zbl 1337.60072Gapeev, Pavel V.; Rodosthenous, Neofytos 1 2016 On the drawdowns and drawups in diffusion-type models with running maxima and minima. Zbl 1329.60229Gapeev, Pavel V.; Rodosthenous, Neofytos 1 2016 Optimal stopping problems in diffusion-type models with running maxima and drawdowns. Zbl 1312.60044Gapeev, Pavel V.; Rodosthenous, Neofytos 5 2014 Bayesian quickest detection problems for some diffusion processes. Zbl 1261.62077Gapeev, Pavel V.; Shiryaev, Albert N. 11 2013 Pricing of perpetual American options in a model with partial information. Zbl 1236.91131Gapeev, Pavel V. 4 2012 On the sequential testing problem for some diffusion processes. Zbl 1228.62098Gapeev, Pavel V.; Shiryaev, Albert N. 11 2011 On the structure of discounted optimal stopping problems for one-dimensional diffusions. Zbl 1250.60020Gapeev, Pavel V.; Lerche, Hans Rudolf 2 2011 Robust replication in \(H\)-self-similar Gaussian market models under uncertainty. Zbl 1208.91171Gapeev, Pavel V.; Sottinen, Tommi; Valkeila, Esko 2 2011 Constructing random times with given survival processes and applications to valuation of credit derivatives. Zbl 1228.91070Gapeev, Pavel V.; Jeanblanc, Monique; Li, Libo; Rutkowski, Marek 9 2010 Pricing and filtering in a two-dimensional dividend switching model. Zbl 1207.91062Gapeev, Pavel V.; Jeanblanc, Monique 3 2010 An iterative procedure for solving integral equations related to optimal stopping problems. Zbl 1222.60035Belomestny, Denis; Gapeev, Pavel V. 1 2010 Pricing of contingent claims in a two-dimensional model with random dividends. Zbl 1182.91174Gapeev, Pavel V.; Jeanblanc, Monique 2 2009 On large deviations in testing Ornstein-Uhlenbeck-type models. Zbl 1204.62144Gapeev, Pavel V.; Küchler, Uwe 10 2008 The integral option in a model with jumps. Zbl 1221.60062Gapeev, Pavel V. 4 2008 Discounted optimal stopping for maxima of some jump-diffusion processes. Zbl 1146.60037Gapeev, Pavel V. 6 2007 Perpetual barrier options in jump-diffusion models. Zbl 1284.91544Gapeev, Pavel V. 1 2007 The Wiener disorder problem with finite horizon. Zbl 1105.60027Gapeev, P. V.; Peskir, G. 20 2006 Discounted optimal stopping for maxima in diffusion models with finite horizon. Zbl 1127.60037Gapeev, Pavel V. 6 2006 An optimal stopping problem in a diffusion-type model with delay. Zbl 1092.60017Gapeev, Pavel V.; Reiß, Markus 5 2006 On Markovian short rates in term structure models driven by jump-diffusion processes. Zbl 1152.60065Gapeev, Pavel V.; Küchler, Uwe 1 2006 Perpetual convertible bonds in jump-diffusion models. Zbl 1076.60508Gapeev, Pavel V.; Kühn, Christoph 14 2005 The disorder problem for compound Poisson processes with exponential jumps. Zbl 1068.60062Gapeev, Pavel V. 10 2005 The Wiener sequential testing problem with finite horizon. Zbl 1054.62087Gapeev, P. V.; Peskir, G. 21 2004 On arbitrage and Markovian short rates in fractional bond markets. Zbl 1060.60083Gapeev, Pavel V. 1 2004 Problems of the sequential discrimination of hypotheses for a compound Poisson process with exponential jumps. Zbl 1218.62080Gapeev, P. V. 3 2002 all cited Publications top 5 cited Publications 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 all top 5 Cited in 13 Fields 100 Probability theory and stochastic processes (60-XX) 51 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 44 Statistics (62-XX) 10 Ordinary differential equations (34-XX) 8 Partial differential equations (35-XX) 5 Systems theory; control (93-XX) 4 Numerical analysis (65-XX) 2 Integral equations (45-XX) 2 Biology and other natural sciences (92-XX) 1 Special functions (33-XX) 1 Operator theory (47-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Classical thermodynamics, heat transfer (80-XX) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. Updates and corrections should be made in Wikidata.