Edit Profile (opens in new tab) Gapeev, Pavel V. Co-Author Distance Author ID: gapeev.pavel-v Published as: Gapeev, Pavel V.; Gapeev, P. V. External Links: MGP Documents Indexed: 55 Publications since 1997, including 1 Additional arXiv Preprint Reviewing Activity: 160 Reviews Co-Authors: 23 Co-Authors with 36 Joint Publications 622 Co-Co-Authors all top 5 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 Becherer, Dirk 1 Belomestny, Denis 1 Bernhardt, Thomas 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 all top 5 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 all top 5 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) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 46 Publications have been cited 291 times in 168 Documents Cited by ▼ Year ▼ The Wiener disorder problem with finite horizon. Zbl 1105.60027 Gapeev, P. V.; Peskir, G. 29 2006 The Wiener sequential testing problem with finite horizon. Zbl 1054.62087 Gapeev, P. V.; Peskir, G. 27 2004 Bayesian quickest detection problems for some diffusion processes. Zbl 1261.62077 Gapeev, Pavel V.; Shiryaev, Albert N. 21 2013 On the sequential testing problem for some diffusion processes. Zbl 1228.62098 Gapeev, Pavel V.; Shiryaev, Albert N. 17 2011 Perpetual convertible bonds in jump-diffusion models. Zbl 1076.60508 Gapeev, Pavel V.; Kühn, Christoph 16 2005 The disorder problem for compound Poisson processes with exponential jumps. Zbl 1068.60062 Gapeev, Pavel V. 15 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 15 2010 Discounted optimal stopping for maxima of some jump-diffusion processes. Zbl 1146.60037 Gapeev, Pavel V. 15 2007 Pricing of perpetual American options in a model with partial information. Zbl 1236.91131 Gapeev, Pavel V. 12 2012 On large deviations in testing Ornstein-Uhlenbeck-type models. Zbl 1204.62144 Gapeev, Pavel V.; Küchler, Uwe 11 2008 Optimal stopping problems in diffusion-type models with running maxima and drawdowns. Zbl 1312.60044 Gapeev, Pavel V.; Rodosthenous, Neofytos 11 2014 On the drawdowns and drawups in diffusion-type models with running maxima and minima. Zbl 1329.60229 Gapeev, Pavel V.; Rodosthenous, Neofytos 9 2016 Perpetual American options in diffusion-type models with running maxima and drawdowns. Zbl 1337.60072 Gapeev, Pavel V.; Rodosthenous, Neofytos 9 2016 Discounted optimal stopping problems for maxima of geometric Brownian motions with switching payoffs. Zbl 1497.60059 Gapeev, Pavel V.; Kort, Peter M.; Lavrutich, Maria N. 7 2021 Discounted optimal stopping for maxima in diffusion models with finite horizon. Zbl 1127.60037 Gapeev, Pavel V. 6 2006 On the structure of discounted optimal stopping problems for one-dimensional diffusions. Zbl 1250.60020 Gapeev, Pavel V.; Lerche, Hans Rudolf 5 2011 An optimal stopping problem in a diffusion-type model with delay. Zbl 1092.60017 Gapeev, Pavel V.; Reiß, Markus 5 2006 Some extensions of Norros’ lemma in models with several defaults. Zbl 1418.91571 Gapeev, Pavel V. 4 2014 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. 4 2017 The integral option in a model with jumps. Zbl 1221.60062 Gapeev, Pavel V. 4 2008 On the sequential testing and quickest change-point detection problems for Gaussian processes. Zbl 1394.60030 Gapeev, Pavel V.; Stoev, Yavor I. 4 2017 Optimal stopping problems for maxima and minima in models with asymmetric information. Zbl 1497.60060 Gapeev, Pavel V.; Li, Libo 4 2022 Pricing and filtering in a two-dimensional dividend switching model. Zbl 1207.91062 Gapeev, Pavel V.; Jeanblanc, Monique 3 2010 Robust replication in \(H\)-self-similar Gaussian market models under uncertainty. Zbl 1208.91171 Gapeev, Pavel V.; Sottinen, Tommi; Valkeila, Esko 3 2011 Problems of the sequential discrimination of hypotheses for a compound Poisson process with exponential jumps. Zbl 1218.62080 Gapeev, P. V. 3 2002 Defaultable claims in switching models with partial information. Zbl 1411.91599 Gapeev, Pavel V.; Jeanblanc, Monique 3 2019 Optimal stopping games in models with various information flows. Zbl 1490.60098 Gapeev, Pavel V.; Rodosthenous, Neofytos 3 2021 On the pricing of perpetual American compound options. Zbl 1418.91513 Gapeev, Pavel V.; Rodosthenous, Neofytos 2 2014 Bayesian switching multiple disorder problems. Zbl 1342.60059 Gapeev, Pavel V. 2 2016 Pricing of contingent claims in a two-dimensional model with random dividends. Zbl 1182.91174 Gapeev, Pavel V.; Jeanblanc, Monique 2 2009 On arbitrage and Markovian short rates in fractional bond markets. Zbl 1060.60083 Gapeev, Pavel V. 2 2004 Perpetual barrier options in jump-diffusion models. Zbl 1284.91544 Gapeev, Pavel V. 2 2007 On the problems of sequential statistical inference for Wiener processes with delayed observations. Zbl 1452.62597 Gapeev, Pavel V. 2 2020 Optimal stopping problems for running minima with positive discounting rates. Zbl 1464.60036 Gapeev, Pavel V. 2 2020 Credit default swaps in two-dimensional models with various informations flows. Zbl 1444.91217 Gapeev, Pavel V.; Jeanblanc, Monique 1 2020 Perpetual American options in a diffusion model with piecewise-linear coefficients. Zbl 1267.91069 Gapeev, Pavel V.; Rodosthenous, Neofytos 1 2013 An iterative procedure for solving integral equations related to optimal stopping problems. Zbl 1222.60035 Belomestny, Denis; Gapeev, Pavel V. 1 2010 Perpetual dual American barrier options for short sellers. Zbl 1434.62221 Gapeev, Pavel V. 1 2019 On Markovian short rates in term structure models driven by jump-diffusion processes. Zbl 1152.60065 Gapeev, Pavel V.; Küchler, Uwe 1 2006 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 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 Perpetual American standard and lookback options with event risk and asymmetric information. Zbl 1508.91559 Gapeev, Pavel V.; Li, Libo 1 2022 Perpetual American double lookback options on drawdowns and drawups with floating strikes. Zbl 1489.91259 Gapeev, Pavel V. 1 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. 1 2022 Discounted optimal stopping problems in continuous hidden Markov models. Zbl 1503.60049 Gapeev, Pavel V. 1 2022 On the construction of non-affine jump-diffusion models. Zbl 1373.60143 Gapeev, Pavel V.; Stoev, Yavor I. 1 2017 Optimal stopping problems for maxima and minima in models with asymmetric information. Zbl 1497.60060 Gapeev, Pavel V.; Li, Libo 4 2022 Perpetual American standard and lookback options with event risk and asymmetric information. Zbl 1508.91559 Gapeev, Pavel V.; Li, Libo 1 2022 Perpetual American double lookback options on drawdowns and drawups with floating strikes. Zbl 1489.91259 Gapeev, Pavel V. 1 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. 1 2022 Discounted optimal stopping problems in continuous hidden Markov models. Zbl 1503.60049 Gapeev, Pavel V. 1 2022 Discounted optimal stopping problems for maxima of geometric Brownian motions with switching payoffs. Zbl 1497.60059 Gapeev, Pavel V.; Kort, Peter M.; Lavrutich, Maria N. 7 2021 Optimal stopping games in models with various information flows. Zbl 1490.60098 Gapeev, Pavel V.; Rodosthenous, Neofytos 3 2021 On the problems of sequential statistical inference for Wiener processes with delayed observations. Zbl 1452.62597 Gapeev, Pavel V. 2 2020 Optimal stopping problems for running minima with positive discounting rates. Zbl 1464.60036 Gapeev, Pavel V. 2 2020 Credit default swaps in two-dimensional models with various informations flows. Zbl 1444.91217 Gapeev, Pavel V.; Jeanblanc, Monique 1 2020 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 Defaultable claims in switching models with partial information. Zbl 1411.91599 Gapeev, Pavel V.; Jeanblanc, Monique 3 2019 Perpetual dual American barrier options for short sellers. Zbl 1434.62221 Gapeev, Pavel V. 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. 4 2017 On the sequential testing and quickest change-point detection problems for Gaussian processes. Zbl 1394.60030 Gapeev, Pavel V.; Stoev, Yavor I. 4 2017 On the construction of non-affine jump-diffusion models. Zbl 1373.60143 Gapeev, Pavel V.; Stoev, Yavor I. 1 2017 On the drawdowns and drawups in diffusion-type models with running maxima and minima. Zbl 1329.60229 Gapeev, Pavel V.; Rodosthenous, Neofytos 9 2016 Perpetual American options in diffusion-type models with running maxima and drawdowns. Zbl 1337.60072 Gapeev, Pavel V.; Rodosthenous, Neofytos 9 2016 Bayesian switching multiple disorder problems. Zbl 1342.60059 Gapeev, Pavel V. 2 2016 Optimal stopping problems in diffusion-type models with running maxima and drawdowns. Zbl 1312.60044 Gapeev, Pavel V.; Rodosthenous, Neofytos 11 2014 Some extensions of Norros’ lemma in models with several defaults. Zbl 1418.91571 Gapeev, Pavel V. 4 2014 On the pricing of perpetual American compound options. Zbl 1418.91513 Gapeev, Pavel V.; Rodosthenous, Neofytos 2 2014 Bayesian quickest detection problems for some diffusion processes. Zbl 1261.62077 Gapeev, Pavel V.; Shiryaev, Albert N. 21 2013 Perpetual American options in a diffusion model with piecewise-linear coefficients. Zbl 1267.91069 Gapeev, Pavel V.; Rodosthenous, Neofytos 1 2013 Pricing of perpetual American options in a model with partial information. Zbl 1236.91131 Gapeev, Pavel V. 12 2012 On the sequential testing problem for some diffusion processes. Zbl 1228.62098 Gapeev, Pavel V.; Shiryaev, Albert N. 17 2011 On the structure of discounted optimal stopping problems for one-dimensional diffusions. Zbl 1250.60020 Gapeev, Pavel V.; Lerche, Hans Rudolf 5 2011 Robust replication in \(H\)-self-similar Gaussian market models under uncertainty. Zbl 1208.91171 Gapeev, Pavel V.; Sottinen, Tommi; Valkeila, Esko 3 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 15 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 11 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. 15 2007 Perpetual barrier options in jump-diffusion models. Zbl 1284.91544 Gapeev, Pavel V. 2 2007 The Wiener disorder problem with finite horizon. Zbl 1105.60027 Gapeev, P. V.; Peskir, G. 29 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 16 2005 The disorder problem for compound Poisson processes with exponential jumps. Zbl 1068.60062 Gapeev, Pavel V. 15 2005 The Wiener sequential testing problem with finite horizon. Zbl 1054.62087 Gapeev, P. V.; Peskir, G. 27 2004 On arbitrage and Markovian short rates in fractional bond markets. Zbl 1060.60083 Gapeev, Pavel V. 2 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 cited Publications top 5 cited Publications all top 5 Cited by 177 Authors 30 Gapeev, Pavel V. 10 Buonaguidi, Bruno 9 Ekström, Erik 9 Sezer, Semih Onur 8 Jeanblanc, Monique 7 Dayanik, Savas 7 Li, Libo 7 Peskir, Goran 6 Antonelli, Fabio 6 Kyprianou, Andreas E. 5 Ramponi, Alessandro 5 Rodosthenous, Neofytos 5 Scarlatti, Sergio 4 Bayraktar, Erhan 4 Glover, Kristoffer J. 4 Jiang, Hui 4 Muliere, Pietro 4 Muravlev, Alexey A. 4 Shiryaev, Al’bert Nikolaevich 4 Zhao, Shoujiang 3 De Angelis, Tiziano 3 Palmowski, Zbigniew 3 Rutkowski, Marek 3 Stoev, Yavor I. 3 Vaicenavicius, Juozas 3 Van Schaik, Kees 3 Zhitlukhin, Mikhail V. 2 Alòs, Elisa 2 Baurdoux, Erik Jan 2 Nguyen Tien Dung 2 Ernst, Philip A. 2 Federico, Salvatore 2 Gao, Fuqing 2 Kifer, Yuri 2 Kitapbayev, Yerkin 2 Kort, Peter M. 2 Krawiec, Michał 2 Kuang, Nenghui 2 Kuhn, Christoph 2 Lavrutich, Maria N. 2 Li, Lingfei 2 Ott, Curdin 2 Pardo, Juan Carlos 2 Poor, Harold Vincent 2 Qiu, Shi 2 Song, Shiqi 2 Sottinen, Tommi 2 Wang, Yuqiong 2 Yamazaki, Kazutoshi 2 Zhang, Gongqiu 1 Ai, Xiaohui 1 Aksamit, Anna 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 Bosserhoff, Frank 1 Brockhaus, Oliver 1 Bucheli, Herbert 1 Çağlar, Mine 1 Cai, Cheng 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 D’Ambrosio, Raffaele 1 Dammann, Felix 1 Danilova, Natal’ya Viktorovna 1 Dassios, Angelos 1 Di Crescenzo, Antonio 1 Dorobantu, Diana 1 Dubois, Mathieu S. 1 Dyrssen, Hannah 1 El Karoui, Nicole 1 Elhiwi, Majdi 1 Ferrari, Giorgio 1 Figueroa-López, José E. 1 Gallo, Ivan 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 Jacobovic, Royi 1 Jiao, Ying 1 Jin, Zhiming ...and 77 more Authors all top 5 Cited in 59 Serials 17 Stochastic Processes and their Applications 11 The Annals of Applied Probability 11 International Journal of Theoretical and Applied Finance 11 Stochastics 10 Sequential Analysis 9 Statistics & Probability Letters 7 Journal of Applied Probability 6 Mathematics of Operations Research 5 SIAM Journal on Financial Mathematics 4 Advances in Applied Probability 4 Mathematical Finance 4 Methodology and Computing in Applied Probability 3 Journal of Mathematical Analysis and Applications 3 Applied Mathematics and Optimization 3 Statistical Papers 2 Applied Mathematics and Computation 2 Journal of Optimization Theory and Applications 2 Journal of Statistical Planning and Inference 2 Stochastic Analysis and Applications 2 Annals of Operations Research 2 European Journal of Operational Research 2 Applied Mathematical Finance 2 Finance and Stochastics 2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 2 Stochastic Models 2 Stochastics and Dynamics 1 Computers & Mathematics with Applications 1 Moscow University Mathematics Bulletin 1 Russian Mathematical Surveys 1 Chaos, Solitons and Fractals 1 Theory of Probability and its Applications 1 Proceedings of the American Mathematical Society 1 SIAM Journal on Control and Optimization 1 Transactions of the American Mathematical Society 1 Insurance Mathematics & Economics 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 Journal of Probability 1 Electronic Communications in Probability 1 Bernoulli 1 Doklady Mathematics 1 Mathematical Methods of Operations Research 1 Journal of Applied Mathematics and Decision Sciences 1 Statistical Inference for Stochastic Processes 1 Applied Stochastic Models in Business and Industry 1 Quantitative Finance 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 European Actuarial Journal 1 Bayesian Analysis 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 15 Fields 151 Probability theory and stochastic processes (60-XX) 82 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 67 Statistics (62-XX) 15 Partial differential equations (35-XX) 11 Ordinary differential equations (34-XX) 9 Systems theory; control (93-XX) 6 Numerical analysis (65-XX) 4 Integral equations (45-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 2 Operations research, mathematical programming (90-XX) 2 Biology and other natural sciences (92-XX) 1 General and overarching topics; collections (00-XX) 1 Special functions (33-XX) 1 Operator theory (47-XX) 1 Classical thermodynamics, heat transfer (80-XX) Citations by Year