Items where Author is "Gapeev, Pavel V."

Number of items: 59.
Article
  • Optimal stopping zero-sum games in continuous hidden Markov models. (2025) Gapeev, Pavel V. picture_as_pdf
  • Discounted nonzero-sum optimal stopping games under Poisson random intervention times. (2024) Gapeev, Pavel V. picture_as_pdf
  • Optimal stopping problems for maxima and minima in models with asymmetric information. (2022) Gapeev, Pavel V. and Li, Libo picture_as_pdf
  • 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 picture_as_pdf
  • 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 picture_as_pdf
  • Discounted optimal stopping problems in continuous hidden Markov models. Gapeev, Pavel V. picture_as_pdf
  • Discounted optimal stopping problems in first-passage time models with random thresholds. Gapeev, Pavel V. and Al Motairi, Hessah picture_as_pdf
  • Discounted optimal stopping zero-sum games in diffusion type models with maxima and minima. Gapeev, Pavel V. picture_as_pdf
  • First-to-default and second-to-default options in models with various information flows. Gapeev, Pavel V. and Jeanblanc, Monique picture_as_pdf
  • Markovian short rates in multidimensional term structure Levy models. Gapeev, Pavel V. and Kuechler, Uwe picture_as_pdf
  • On Markovian short rates in term structure models driven by different jump-diffusion processes. Gapeev, Pavel V. and Küchler, U.
  • 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 some functionals of the first passage times in jump models of stochastic volatility. Gapeev, Pavel V. and Stoev, Yavor I. picture_as_pdf
  • 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 picture_as_pdf
  • On the construction of conditional probability densities in the Brownian and compound Poisson filtrations. Gapeev, Pavel V. and Jeanblanc, Monique picture_as_pdf
  • 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. picture_as_pdf
  • 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. picture_as_pdf
  • Optimal stopping games in models with various information flows. Gapeev, Pavel V. and Rodosthenous, Neofytos picture_as_pdf
  • Optimal stopping problems for running minima with positive discounting rates. Gapeev, Pavel V. picture_as_pdf
  • 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 picture_as_pdf
  • Perpetual American defaultable options in models with random dividends and partial information. Gapeev, Pavel V. and Al Motairi, Hessah picture_as_pdf
  • Perpetual American double lookback options on drawdowns and drawups with floating strikes. Gapeev, Pavel V. picture_as_pdf
  • 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 picture_as_pdf
  • Perpetual barrier options in jump-diffusion models. Gapeev, Pavel V.
  • Perpetual convertible bonds in jump-diffusion models. Gapeev, Pavel V. and Kühn, C.
  • 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 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 picture_as_pdf
  • Quickest change-point detection problems for multidimensional Wiener processes. Gapeev, Pavel V. and Stoev, Yavor I. picture_as_pdf
  • Solving the dual Russian option problem by using change-of-measure arguments. Gapeev, Pavel V. picture_as_pdf
  • 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 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.
    • Chapter
  • On Markovian sufficient statistics in non-additive disorder problems for jump-diffusion processes. Gapeev, Pavel V. picture_as_pdf
  • 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. picture_as_pdf
  • The spread option optimal stopping game. Gapeev, Pavel V.
    • Conference or Workshop Item
  • Perpetual dual American barrier options for short sellers. Gapeev, Pavel V. picture_as_pdf
    • Report
  • Discounted optimal stopping for diffusions: free-boundary versus martingale approach. Gapeev, Pavel V. and Lerche, Hans Rudolf
  • On ltration immersions and credit events. Gapeev, Pavel V. and Jeanblanc, Monique
  • Pricing of contingent claims in a two-dimensional model with random dividends. Gapeev, Pavel V. and Jeanblanc, Monique
    • Working paper
  • An iteration procedure for solving integral equations related to optimal stopping problems. Belomestny, Denis and Gapeev, Pavel V.