Items where Author is "Gapeev, Pavel V."
Number of items: 59.
Optimal stopping zero-sum games in continuous hidden Markov models. (2025)
Gapeev, Pavel V.
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Discounted nonzero-sum optimal stopping games under Poisson random intervention times. (2024)
Gapeev, Pavel V.
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Optimal stopping problems for maxima and minima in models with asymmetric information. (2022)
Gapeev, Pavel V. and Li, Libo
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Bayesian quickest detection problems for some diffusion processes.
Gapeev, Pavel V. and Shirayev, Albert N.
Bayesian switching multiple disorder problems.
Gapeev, Pavel V.
Defaultable claims in switching models with partial information.
Gapeev, Pavel V. and Jeanblanc, Monique
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Discounted optimal stopping for diffusions: free-boundary versus martingale approach.
Gapeev, Pavel V. and Lerche, Hans Rudolf
Discounted optimal stopping for maxima in diffusion models with finite horizon.
Gapeev, Pavel V.
Discounted optimal stopping for maxima of some jump-diffusion processes.
Gapeev, Pavel V.
Discounted optimal stopping problems for maxima of geometric Brownian motions with switching payoffs.
Gapeev, Pavel V. and Kort, Peter M. and Lavrutich, Maria
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Discounted optimal stopping problems in continuous hidden Markov models.
Gapeev, Pavel V.
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Discounted optimal stopping problems in first-passage time models with random thresholds.
Gapeev, Pavel V. and Al Motairi, Hessah
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Discounted optimal stopping zero-sum games in diffusion type models with maxima and minima.
Gapeev, Pavel V.
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First-to-default and second-to-default options in models with various information flows.
Gapeev, Pavel V. and Jeanblanc, Monique
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Markovian short rates in multidimensional term structure Levy models.
Gapeev, Pavel V. and Kuechler, Uwe
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On Markovian short rates in term structure models driven by different jump-diffusion processes.
Gapeev, Pavel V. and Küchler, U.
On Markovian sufficient statistics in non-additive disorder problems for jump-diffusion processes.
Gapeev, Pavel V.
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On arbitage and Markovian short rates for fractional bond markets.
Gapeev, Pavel V.
On large deviations in testing Ornstein–Uhlenbeck-type models.
Gapeev, Pavel V. and Küchler, U.
On ltration immersions and credit events.
Gapeev, Pavel V. and Jeanblanc, Monique
On optimal stopping problems with positive discounting rates and related Laplace transforms of first hitting times in models with geometric Brownian motions.
Gapeev, Pavel V.
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On some functionals of the first passage times in jump models of stochastic volatility.
Gapeev, Pavel V. and Stoev, Yavor I.
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On some functionals of the first passage times in models with switching stochastic volatility.
Gapeev, Pavel V. and Brockhaus, Olivier and Dubois, Mathieu
On the Laplace transforms of the first exit times in one-dimensional non-affine jump–diffusion models.
Gapeev, Pavel V. and Stoev, Yavor I.
On the Laplace transforms of the first hitting times for drawdowns and drawups of diffusion-type processes.
Gapeev, Pavel V. and Rodosthenous, Neofytos and Chinthalapati, V.L Raju
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On the construction of conditional probability densities in the Brownian and compound Poisson filtrations.
Gapeev, Pavel V. and Jeanblanc, Monique
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On the construction of non-affine jump-diffusion models.
Gapeev, Pavel V. and Stoev, Yavor I.
On the drawdowns and drawups in diffusion-type models with running maxima and minima.
Gapeev, Pavel V. and Rodosthenous, Neofytos
On the problems of sequential statistical inference for Wiener processes with delayed observations.
Gapeev, Pavel V.
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On the sequential testing and quickest change-pointdetection problems for Gaussian processes.
Gapeev, Pavel V. and Stoev, Yavor I.
On the sequential testing problem for some diffusion processes.
Gapeev, Pavel V. and Shiryaev, Albert N.
On the structure of discounted optimal stopping problems for one-dimensional diffusions.
Gapeev, Pavel V. and Lerche, Hans Rudolf
Optimal double stopping problems for maxima and minima of geometric Brownian motions.
Gapeev, Pavel V. and Kort, Peter M. and Lavrutich, Maria N. and Thijssen, Jacco J. J.
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Optimal stopping games in models with various information flows.
Gapeev, Pavel V. and Rodosthenous, Neofytos
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Optimal stopping problems for running minima with positive discounting rates.
Gapeev, Pavel V.
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Optimal stopping problems in diffusion-type models with running maxima and drawdowns.
Gapeev, Pavel V. and Rodosthenous, Neofytos
Perpetual American cancellable standard options in models with last passage times.
Gapeev, Pavel V. and Li, Libo and Wu, Zhuoshu
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Perpetual American defaultable options in models with random dividends and partial information.
Gapeev, Pavel V. and Al Motairi, Hessah
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Perpetual American double lookback options on drawdowns and drawups with floating strikes.
Gapeev, Pavel V.
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Perpetual American options in diffusion-typemodels with running maxima and drawdowns.
Gapeev, Pavel V. and Rodosthenous, Neofytos
Perpetual American standard and lookback options with event risk and asymmetric information.
Gapeev, Pavel V. and Li, Libo
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Perpetual barrier options in jump-diffusion models.
Gapeev, Pavel V.
Perpetual convertible bonds in jump-diffusion models.
Gapeev, Pavel V. and Kühn, C.
Perpetual dual American barrier options for short sellers.
Gapeev, Pavel V.
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Pricing and filtering in a two-dimensional dividend switching model.
Gapeev, Pavel V. and Jeanblanc, Monique
Pricing of contingent claims in a two-dimensional model with random dividends.
Gapeev, Pavel V. and Jeanblanc, Monique
Pricing of contingent claims in a two-dimensional model with random dividends.
Gapeev, Pavel V. and Jeanblanc, Monique
Pricing of perpetual American options in a model with partial information.
Gapeev, Pavel V.
Projections of martingales in enlargements of Brownian filtrations under Jacod’s equivalence hypothesis.
Gapeev, Pavel V. and Jeanblanc, Monique and Wu, Dongli
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Quickest change-point detection problems for multidimensional Wiener processes.
Gapeev, Pavel V. and Stoev, Yavor I.
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Solving the dual Russian option problem by using change-of-measure arguments.
Gapeev, Pavel V.
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The Wiener disorder problem with finite horizon.
Gapeev, Pavel V. and Peskir, G.
The Wiener sequential testing problem with finite horizen.
Gapeev, Pavel V. and Peskir, G.
The disorder problem for compound Poisson processes with exponential jumps.
Gapeev, Pavel V.
The integral option in a model with jumps.
Gapeev, Pavel V.
An iteration procedure for solving integral equations related to optimal stopping problems.
Belomestny, Denis and Gapeev, Pavel V.
An iterative procedure for solving integral equations related to optimal stopping problems.
Belomestny, Denis and Gapeev, Pavel V.
An optimal stopping problem in a diffusion-type model with delay.
Gapeev, Pavel V. and Reiss, M.
The spread option optimal stopping game.
Gapeev, Pavel V.