## Gapeev, Pavel V.

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 Author ID: gapeev.pavel-v Published as: Gapeev, Pavel V.; Gapeev, P. V. External Links: MGP
 Documents Indexed: 54 Publications since 1997 Reviewing Activity: 152 Reviews Co-Authors: 21 Co-Authors with 35 Joint Publications 546 Co-Co-Authors
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### Co-Authors

 19 single-authored 7 Jeanblanc, Monique 6 Rodosthenous, Neofytos 4 Stoev, Yavor I. 3 Küchler, Uwe 3 Li, Libo 2 Kort, Peter M. 2 Lavrutich, Maria N. 2 Peskir, Goran 2 Shiryaev, Al’bert Nikolaevich 1 Al Motairi, Hessah 1 Belomestny, Denis 1 Brockhaus, Oliver 1 Dubois, Mathieu S. 1 Kuhn, Christoph 1 Lerche, Hans Rudolf 1 Reiß, Markus 1 Rutkowski, Marek 1 Sottinen, Tommi 1 Thijssen, Jacco J. J. 1 Valkeila, Esko 1 Wu, Dongli
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### Serials

 7 International Journal of Theoretical and Applied Finance 7 Stochastics 5 Russian Mathematical Surveys 5 Statistics & Probability Letters 3 Journal of Applied Probability 3 Stochastic Analysis and Applications 3 Statistics & Decisions 2 Advances in Applied Probability 2 Stochastic Processes and their Applications 2 Electronic Journal of Probability 2 Methodology and Computing 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 Statistical Inference for Stochastic Processes 1 SIAM Journal on Financial Mathematics 1 Statistics & Risk Modeling
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### Fields

 45 Probability theory and stochastic processes (60-XX) 38 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 13 Statistics (62-XX) 11 Ordinary differential equations (34-XX) 9 Partial differential equations (35-XX) 3 Integral equations (45-XX) 1 Numerical analysis (65-XX)

### Citations contained in zbMATH Open

44 Publications have been cited 254 times in 142 Documents Cited by Year
The Wiener disorder problem with finite horizon. Zbl 1105.60027
Gapeev, P. V.; Peskir, G.
2006
The Wiener sequential testing problem with finite horizon. Zbl 1054.62087
Gapeev, P. V.; Peskir, G.
2004
Bayesian quickest detection problems for some diffusion processes. Zbl 1261.62077
Gapeev, Pavel V.; Shiryaev, Albert N.
2013
Perpetual convertible bonds in jump-diffusion models. Zbl 1076.60508
Gapeev, Pavel V.; Kühn, Christoph
2005
On the sequential testing problem for some diffusion processes. Zbl 1228.62098
Gapeev, Pavel V.; Shiryaev, Albert N.
2011
Discounted optimal stopping for maxima of some jump-diffusion processes. Zbl 1146.60037
Gapeev, Pavel V.
2007
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
2010
On large deviations in testing Ornstein-Uhlenbeck-type models. Zbl 1204.62144
Gapeev, Pavel V.; Küchler, Uwe
2008
Optimal stopping problems in diffusion-type models with running maxima and drawdowns. Zbl 1312.60044
Gapeev, Pavel V.; Rodosthenous, Neofytos
2014
The disorder problem for compound Poisson processes with exponential jumps. Zbl 1068.60062
Gapeev, Pavel V.
2005
Perpetual American options in diffusion-type models with running maxima and drawdowns. Zbl 1337.60072
Gapeev, Pavel V.; Rodosthenous, Neofytos
2016
Discounted optimal stopping problems for maxima of geometric Brownian motions with switching payoffs. Zbl 07458584
Gapeev, Pavel V.; Kort, Peter M.; Lavrutich, Maria N.
2021
On the drawdowns and drawups in diffusion-type models with running maxima and minima. Zbl 1329.60229
Gapeev, Pavel V.; Rodosthenous, Neofytos
2016
Pricing of perpetual American options in a model with partial information. Zbl 1236.91131
Gapeev, Pavel V.
2012
Discounted optimal stopping for maxima in diffusion models with finite horizon. Zbl 1127.60037
Gapeev, Pavel V.
2006
On the structure of discounted optimal stopping problems for one-dimensional diffusions. Zbl 1250.60020
Gapeev, Pavel V.; Lerche, Hans Rudolf
2011
An optimal stopping problem in a diffusion-type model with delay. Zbl 1092.60017
Gapeev, Pavel V.; Reiß, Markus
2006
Optimal stopping problems for maxima and minima in models with asymmetric information. Zbl 07533902
Gapeev, Pavel V.; Li, Libo
2022
The integral option in a model with jumps. Zbl 1221.60062
Gapeev, Pavel V.
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.
2017
Problems of the sequential discrimination of hypotheses for a compound Poisson process with exponential jumps. Zbl 1218.62080
Gapeev, P. V.
2002
Pricing and filtering in a two-dimensional dividend switching model. Zbl 1207.91062
Gapeev, Pavel V.; Jeanblanc, Monique
2010
On the sequential testing and quickest change-point detection problems for Gaussian processes. Zbl 1394.60030
Gapeev, Pavel V.; Stoev, Yavor I.
2017
Some extensions of Norros’ lemma in models with several defaults. Zbl 1418.91571
Gapeev, Pavel V.
2014
Pricing of contingent claims in a two-dimensional model with random dividends. Zbl 1182.91174
Gapeev, Pavel V.; Jeanblanc, Monique
2009
Robust replication in $$H$$-self-similar Gaussian market models under uncertainty. Zbl 1208.91171
Gapeev, Pavel V.; Sottinen, Tommi; Valkeila, Esko
2011
Optimal stopping problems for running minima with positive discounting rates. Zbl 1464.60036
Gapeev, Pavel V.
2020
On arbitrage and Markovian short rates in fractional bond markets. Zbl 1060.60083
Gapeev, Pavel V.
2004
On the pricing of perpetual American compound options. Zbl 1418.91513
Gapeev, Pavel V.; Rodosthenous, Neofytos
2014
Defaultable claims in switching models with partial information. Zbl 1411.91599
Gapeev, Pavel V.; Jeanblanc, Monique
2019
Optimal stopping games in models with various information flows. Zbl 1490.60098
Gapeev, Pavel V.; Rodosthenous, Neofytos
2021
Perpetual American double lookback options on drawdowns and drawups with floating strikes. Zbl 1489.91259
Gapeev, Pavel V.
2022
Optimal double stopping problems for maxima and minima of geometric Brownian motions. Zbl 1490.60097
Gapeev, Pavel V.; Kort, Peter M.; Lavrutich, Maria N.; Thijssen, Jacco J. J.
2022
On Markovian short rates in term structure models driven by jump-diffusion processes. Zbl 1152.60065
Gapeev, Pavel V.; Küchler, Uwe
2006
Perpetual barrier options in jump-diffusion models. Zbl 1284.91544
Gapeev, Pavel V.
2007
An iterative procedure for solving integral equations related to optimal stopping problems. Zbl 1222.60035
Belomestny, Denis; Gapeev, Pavel V.
2010
Perpetual American options in a diffusion model with piecewise-linear coefficients. Zbl 1267.91069
Gapeev, Pavel V.; Rodosthenous, Neofytos
2013
On some functionals of the first passage times in jump models of stochastic volatility. Zbl 1427.60170
Gapeev, Pavel V.; Stoev, Yavor I.
2020
Credit default swaps in two-dimensional models with various informations flows. Zbl 1444.91217
Gapeev, Pavel V.; Jeanblanc, Monique
2020
Perpetual dual American barrier options for short sellers. Zbl 1434.62221
Gapeev, Pavel V.
2019
On the problems of sequential statistical inference for Wiener processes with delayed observations. Zbl 1452.62597
Gapeev, Pavel V.
2020
On the construction of non-affine jump-diffusion models. Zbl 1373.60143
Gapeev, Pavel V.; Stoev, Yavor I.
2017
On some functionals of the first passage times in models with switching stochastic volatility. Zbl 1395.91442
Gapeev, Pavel V.; Brockhaus, Oliver; Dubois, Mathieu
2018
Bayesian switching multiple disorder problems. Zbl 1342.60059
Gapeev, Pavel V.
2016
Optimal stopping problems for maxima and minima in models with asymmetric information. Zbl 07533902
Gapeev, Pavel V.; Li, Libo
2022
Perpetual American double lookback options on drawdowns and drawups with floating strikes. Zbl 1489.91259
Gapeev, Pavel V.
2022
Optimal double stopping problems for maxima and minima of geometric Brownian motions. Zbl 1490.60097
Gapeev, Pavel V.; Kort, Peter M.; Lavrutich, Maria N.; Thijssen, Jacco J. J.
2022
Discounted optimal stopping problems for maxima of geometric Brownian motions with switching payoffs. Zbl 07458584
Gapeev, Pavel V.; Kort, Peter M.; Lavrutich, Maria N.
2021
Optimal stopping games in models with various information flows. Zbl 1490.60098
Gapeev, Pavel V.; Rodosthenous, Neofytos
2021
Optimal stopping problems for running minima with positive discounting rates. Zbl 1464.60036
Gapeev, Pavel V.
2020
On some functionals of the first passage times in jump models of stochastic volatility. Zbl 1427.60170
Gapeev, Pavel V.; Stoev, Yavor I.
2020
Credit default swaps in two-dimensional models with various informations flows. Zbl 1444.91217
Gapeev, Pavel V.; Jeanblanc, Monique
2020
On the problems of sequential statistical inference for Wiener processes with delayed observations. Zbl 1452.62597
Gapeev, Pavel V.
2020
Defaultable claims in switching models with partial information. Zbl 1411.91599
Gapeev, Pavel V.; Jeanblanc, Monique
2019
Perpetual dual American barrier options for short sellers. Zbl 1434.62221
Gapeev, Pavel V.
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
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.
2017
On the sequential testing and quickest change-point detection problems for Gaussian processes. Zbl 1394.60030
Gapeev, Pavel V.; Stoev, Yavor I.
2017
On the construction of non-affine jump-diffusion models. Zbl 1373.60143
Gapeev, Pavel V.; Stoev, Yavor I.
2017
Perpetual American options in diffusion-type models with running maxima and drawdowns. Zbl 1337.60072
Gapeev, Pavel V.; Rodosthenous, Neofytos
2016
On the drawdowns and drawups in diffusion-type models with running maxima and minima. Zbl 1329.60229
Gapeev, Pavel V.; Rodosthenous, Neofytos
2016
Bayesian switching multiple disorder problems. Zbl 1342.60059
Gapeev, Pavel V.
2016
Optimal stopping problems in diffusion-type models with running maxima and drawdowns. Zbl 1312.60044
Gapeev, Pavel V.; Rodosthenous, Neofytos
2014
Some extensions of Norros’ lemma in models with several defaults. Zbl 1418.91571
Gapeev, Pavel V.
2014
On the pricing of perpetual American compound options. Zbl 1418.91513
Gapeev, Pavel V.; Rodosthenous, Neofytos
2014
Bayesian quickest detection problems for some diffusion processes. Zbl 1261.62077
Gapeev, Pavel V.; Shiryaev, Albert N.
2013
Perpetual American options in a diffusion model with piecewise-linear coefficients. Zbl 1267.91069
Gapeev, Pavel V.; Rodosthenous, Neofytos
2013
Pricing of perpetual American options in a model with partial information. Zbl 1236.91131
Gapeev, Pavel V.
2012
On the sequential testing problem for some diffusion processes. Zbl 1228.62098
Gapeev, Pavel V.; Shiryaev, Albert N.
2011
On the structure of discounted optimal stopping problems for one-dimensional diffusions. Zbl 1250.60020
Gapeev, Pavel V.; Lerche, Hans Rudolf
2011
Robust replication in $$H$$-self-similar Gaussian market models under uncertainty. Zbl 1208.91171
Gapeev, Pavel V.; Sottinen, Tommi; Valkeila, Esko
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
2010
Pricing and filtering in a two-dimensional dividend switching model. Zbl 1207.91062
Gapeev, Pavel V.; Jeanblanc, Monique
2010
An iterative procedure for solving integral equations related to optimal stopping problems. Zbl 1222.60035
Belomestny, Denis; Gapeev, Pavel V.
2010
Pricing of contingent claims in a two-dimensional model with random dividends. Zbl 1182.91174
Gapeev, Pavel V.; Jeanblanc, Monique
2009
On large deviations in testing Ornstein-Uhlenbeck-type models. Zbl 1204.62144
Gapeev, Pavel V.; Küchler, Uwe
2008
The integral option in a model with jumps. Zbl 1221.60062
Gapeev, Pavel V.
2008
Discounted optimal stopping for maxima of some jump-diffusion processes. Zbl 1146.60037
Gapeev, Pavel V.
2007
Perpetual barrier options in jump-diffusion models. Zbl 1284.91544
Gapeev, Pavel V.
2007
The Wiener disorder problem with finite horizon. Zbl 1105.60027
Gapeev, P. V.; Peskir, G.
2006
Discounted optimal stopping for maxima in diffusion models with finite horizon. Zbl 1127.60037
Gapeev, Pavel V.
2006
An optimal stopping problem in a diffusion-type model with delay. Zbl 1092.60017
Gapeev, Pavel V.; Reiß, Markus
2006
On Markovian short rates in term structure models driven by jump-diffusion processes. Zbl 1152.60065
Gapeev, Pavel V.; Küchler, Uwe
2006
Perpetual convertible bonds in jump-diffusion models. Zbl 1076.60508
Gapeev, Pavel V.; Kühn, Christoph
2005
The disorder problem for compound Poisson processes with exponential jumps. Zbl 1068.60062
Gapeev, Pavel V.
2005
The Wiener sequential testing problem with finite horizon. Zbl 1054.62087
Gapeev, P. V.; Peskir, G.
2004
On arbitrage and Markovian short rates in fractional bond markets. Zbl 1060.60083
Gapeev, Pavel V.
2004
Problems of the sequential discrimination of hypotheses for a compound Poisson process with exponential jumps. Zbl 1218.62080
Gapeev, P. V.
2002
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### Cited by 142 Authors

 30 Gapeev, Pavel V. 8 Jeanblanc, Monique 7 Buonaguidi, Bruno 7 Ekström, Erik 7 Peskir, Goran 7 Sezer, Semih Onur 6 Kyprianou, Andreas E. 5 Dayanik, Savas 5 Li, Libo 5 Rodosthenous, Neofytos 4 Antonelli, Fabio 4 Bayraktar, Erhan 4 Jiang, Hui 4 Muliere, Pietro 4 Muravlev, Alexey A. 4 Ramponi, Alessandro 4 Scarlatti, Sergio 4 Shiryaev, Al’bert Nikolaevich 4 Zhao, Shoujiang 3 Stoev, Yavor I. 3 Vaicenavicius, Juozas 3 Van Schaik, Kees 3 Zhitlukhin, Mikhail V. 2 Baurdoux, Erik Jan 2 De Angelis, Tiziano 2 Nguyen Tien Dung 2 Ernst, Philip A. 2 Federico, Salvatore 2 Gao, Fuqing 2 Glover, Kristoffer J. 2 Kifer, Yuri 2 Kitapbayev, Yerkin 2 Kort, Peter M. 2 Kuang, Nenghui 2 Kuhn, Christoph 2 Lavrutich, Maria N. 2 Ott, Curdin 2 Pardo, Juan Carlos 2 Poor, Harold Vincent 2 Qiu, Shi 2 Rutkowski, Marek 2 Song, Shiqi 2 Sottinen, Tommi 1 Ai, Xiaohui 1 Al Motairi, Hessah 1 Aliev, A. F. 1 Alili, Larbi 1 Alvarez E., Luis H. R. 1 Ankirchner, Stefan 1 Attard, Natalie 1 Belomestny, Denis 1 Blanchet-Scalliet, Christophette 1 Brockhaus, Oliver 1 Çağlar, Mine 1 Cai, Liang 1 Capponi, Agostino 1 Chadam, John M. 1 Chen, Fang 1 Chen, Xinfu 1 Christensen, Soren 1 Cialenco, Igor 1 Cohen, Asaf 1 Danilova, Natal’ya V. 1 Di Crescenzo, Antonio 1 Dorobantu, Diana 1 Dubois, Mathieu S. 1 Dyrssen, Hannah 1 El Karoui, Nicole 1 Elhiwi, Majdi 1 Figueroa-López, José E. 1 Gay, Laura 1 Gensbittel, Fabien 1 Gorban, S. D. 1 Guo, Jia 1 Guo, Xianping 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 Kladívko, Kamil 1 Kravitz, Ross 1 Krawiec, Michał 1 Kruse, Thomas 1 Küchler, Uwe 1 Li, Lingfei 1 Li, Shenghong 1 Liao, Zhongwei 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 Nisen, Jeffrey A. ...and 42 more Authors
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### Cited in 49 Serials

 13 Stochastic Processes and their Applications 11 The Annals of Applied Probability 11 International Journal of Theoretical and Applied Finance 11 Stochastics 10 Sequential Analysis 8 Statistics & Probability Letters 6 Mathematics of Operations Research 5 Journal of Applied Probability 4 Advances in Applied Probability 4 SIAM Journal on Financial Mathematics 3 Journal of Mathematical Analysis and Applications 3 Applied Mathematics and Optimization 3 Methodology and Computing in Applied Probability 2 Journal of Statistical Planning and Inference 2 Stochastic Analysis and Applications 2 Annals of Operations Research 2 European Journal of Operational Research 2 Statistical Papers 2 Applied Mathematical Finance 2 Mathematical Finance 2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 2 Stochastic Models 2 Stochastics and Dynamics 1 Moscow University Mathematics Bulletin 1 Russian Mathematical Surveys 1 Theory of Probability and its Applications 1 Applied Mathematics and Computation 1 Journal of Optimization Theory and Applications 1 Proceedings of the American Mathematical Society 1 Transactions of the American Mathematical Society 1 Acta Applicandae Mathematicae 1 Automation and Remote Control 1 Communications in Statistics. Theory and Methods 1 Potential Analysis 1 Applied Mathematics. Series B (English Edition) 1 Electronic Communications in Probability 1 Finance and Stochastics 1 Doklady Mathematics 1 Mathematical Methods of Operations Research 1 Journal of Applied Mathematics and Decision Sciences 1 Statistical Inference for Stochastic Processes 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
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### Cited in 14 Fields

 127 Probability theory and stochastic processes (60-XX) 66 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 58 Statistics (62-XX) 13 Partial differential equations (35-XX) 11 Ordinary differential equations (34-XX) 5 Systems theory; control (93-XX) 4 Integral equations (45-XX) 4 Numerical analysis (65-XX) 3 Operations research, mathematical programming (90-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)