Gapeev, Pavel V.

Number of items: 63.
Article
  • Gapeev, Pavel V., Peskir, Goran (2026). An optimal stopping problem for reflecting Brownian motions. Stochastic Processes and Their Applications, [In Press] picture_as_pdf
  • Gapeev, Pavel V., Jeanblanc, Monique, Wu, Dongli (2025). Projections in enlargements of filtrations under Jacod's absolute continuity hypothesis for marked point processes. Journal of Theoretical Probability, 38(4). https://doi.org/10.1007/s10959-025-01445-6 picture_as_pdf
  • Gapeev, Pavel V. (2025). Perpetual American compound fixed-strike lookback options on maxima drawdowns. Methodology and Computing in Applied Probability, 27(4). https://doi.org/10.1007/s11009-025-10199-x picture_as_pdf
  • Gapeev, Pavel V. (2025). Optimal stopping zero-sum games in continuous hidden Markov models. Advances in Applied Probability, https://doi.org/10.1017/apr.2025.10018 picture_as_pdf
  • Gapeev, Pavel V., Stoev, Yavor I. (2025). Quickest change-point detection problems for multidimensional Wiener processes. Methodology and Computing in Applied Probability, 27(1). https://doi.org/10.1007/s11009-024-10124-8 picture_as_pdf
  • Gapeev, Pavel V. (2024). Discounted nonzero-sum optimal stopping games under Poisson random intervention times. Stochastics: an International Journal of Probability and Stochastic Processes, 96(7), 1862 - 1892. https://doi.org/10.1080/17442508.2024.2360941 picture_as_pdf
  • Gapeev, Pavel V. (2024). Discounted optimal stopping zero-sum games in diffusion type models with maxima and minima. Advances in Applied Probability, https://doi.org/10.1017/apr.2024.41 picture_as_pdf
  • Gapeev, Pavel V., Jeanblanc, Monique (2024). On the construction of conditional probability densities in the Brownian and compound Poisson filtrations. ESAIM: Probability and Statistics, 28, 62 - 74. https://doi.org/10.1051/ps/2023022 picture_as_pdf
  • Gapeev, Pavel V., Al Motairi, Hessah (2022). Discounted optimal stopping problems in first-passage time models with random thresholds. Journal of Applied Probability, 59(3), 714 - 733. https://doi.org/10.1017/jpr.2021.85 picture_as_pdf
  • Gapeev, Pavel V., Li, Libo (2022). Perpetual American standard and lookback options with event risk and asymmetric information. SIAM Journal on Financial Mathematics, 13(3), 773 - 801. https://doi.org/10.1137/21M1396848 picture_as_pdf
  • Gapeev, Pavel V. (2022). Perpetual American double lookback options on drawdowns and drawups with floating strikes. Methodology and Computing in Applied Probability, 24(2), 749 - 788. https://doi.org/10.1007/s11009-021-09917-y picture_as_pdf
  • Gapeev, Pavel V., Kort, Peter M., Lavrutich, Maria N., Thijssen, Jacco J. J. (2022). Optimal double stopping problems for maxima and minima of geometric Brownian motions. Methodology and Computing in Applied Probability, 24(2), 789 - 813. https://doi.org/10.1007/s11009-022-09959-w picture_as_pdf
  • Gapeev, Pavel V., Li, Libo (2022). Optimal stopping problems for maxima and minima in models with asymmetric information. Stochastics: an International Journal of Probability and Stochastic Processes, 94(4), 602 - 628. https://doi.org/10.1080/17442508.2021.1979976 picture_as_pdf
  • Gapeev, Pavel V. (2022). Discounted optimal stopping problems in continuous hidden Markov models. Stochastics: an International Journal of Probability and Stochastic Processes, 94(3), 335 - 364. https://doi.org/10.1080/17442508.2021.1935952 picture_as_pdf
  • Gapeev, Pavel V., Rodosthenous, Neofytos (2021). Optimal stopping games in models with various information flows. Stochastic Analysis and Applications, 39(6), 1050 - 1094. https://doi.org/10.1080/07362994.2020.1871013 picture_as_pdf
  • Gapeev, Pavel V., Jeanblanc, Monique (2021). First-to-default and second-to-default options in models with various information flows. International Journal of Theoretical and Applied Finance, 24(4). https://doi.org/10.1142/S0219024921500229 picture_as_pdf
  • Gapeev, Pavel V., Kort, Peter M., Lavrutich, Maria (2021). Discounted optimal stopping problems for maxima of geometric Brownian motions with switching payoffs. Advances in Applied Probability, 53(1), 189 - 219. https://doi.org/10.1017/apr.2020.57 picture_as_pdf
  • Gapeev, Pavel V., Li, Libo, Wu, Zhuoshu (2021). Perpetual American cancellable standard options in models with last passage times. Algorithms, 14(1), 1 - 11. https://doi.org/10.3390/a14010003 picture_as_pdf
  • Gapeev, Pavel V., Jeanblanc, Monique, Wu, Dongli (2021). Projections of martingales in enlargements of Brownian filtrations under Jacod’s equivalence hypothesis. Electronic Journal of Probability, 26, 1 - 24. https://doi.org/10.1214/21-EJP694 picture_as_pdf
  • Gapeev, Pavel V. (2020). Optimal stopping problems for running minima with positive discounting rates. Statistics and Probability Letters, 167, https://doi.org/10.1016/j.spl.2020.108899 picture_as_pdf
  • Gapeev, Pavel V., Kuechler, Uwe (2020). Markovian short rates in multidimensional term structure Levy models. Banach Center Publications, 122, 93 - 106. https://doi.org/10.4064/bc122-6 picture_as_pdf
  • Gapeev, Pavel V. (2020). On the problems of sequential statistical inference for Wiener processes with delayed observations. Statistical Papers, 61(4), 1529-1544. https://doi.org/10.1007/s00362-020-01178-0 picture_as_pdf
  • Gapeev, Pavel V., Stoev, Yavor I. (2020). On some functionals of the first passage times in jump models of stochastic volatility. Stochastic Analysis and Applications, 38(1), 149-170. https://doi.org/10.1080/07362994.2019.1657023 picture_as_pdf
  • Gapeev, Pavel V., Rodosthenous, Neofytos, Chinthalapati, V.L Raju (2019). On the Laplace transforms of the first hitting times for drawdowns and drawups of diffusion-type processes. Risks, 7(3). https://doi.org/10.3390/risks7030087 picture_as_pdf
  • Gapeev, Pavel V., Jeanblanc, Monique (2019). Defaultable claims in switching models with partial information. International Journal of Theoretical and Applied Finance, 22(4). https://doi.org/10.1142/S0219024919500067 picture_as_pdf
  • Gapeev, Pavel V. (2019). Solving the dual Russian option problem by using change-of-measure arguments. High Frequency, 2(2), 76-84. https://doi.org/10.1002/hf2.10030 picture_as_pdf
  • Gapeev, Pavel V., Al Motairi, Hessah (2018). Perpetual American defaultable options in models with random dividends and partial information. Risks, 64(4). https://doi.org/10.3390/risks6040127 picture_as_pdf
  • Gapeev, Pavel V., Brockhaus, Olivier, Dubois, Mathieu (2018). On some functionals of the first passage times in models with switching stochastic volatility. International Journal of Theoretical and Applied Finance,
  • Gapeev, Pavel V., Stoev, Yavor I. (2017). On the construction of non-affine jump-diffusion models. Stochastic Analysis and Applications, 35(5), 900-918. https://doi.org/10.1080/07362994.2017.1333008
  • Gapeev, Pavel V., Stoev, Yavor I. (2017). On the Laplace transforms of the first exit times in one-dimensional non-affine jump–diffusion models. Statistics and Probability Letters, 121, 152-162. https://doi.org/10.1016/j.spl.2016.10.011
  • Gapeev, Pavel V., Stoev, Yavor I. (2017). On the sequential testing and quickest change-pointdetection problems for Gaussian processes. Stochastics: an International Journal of Probability and Stochastic Processes, https://doi.org/10.1080/17442508.2017.1284222
  • Gapeev, Pavel V. (2016). Bayesian switching multiple disorder problems. Mathematics of Operations Research, 41(3), 1108-1124. https://doi.org/10.1287/moor.2015.0770
  • Gapeev, Pavel V., Rodosthenous, Neofytos (2016). Perpetual American options in diffusion-typemodels with running maxima and drawdowns. Stochastic Processes and Their Applications, 126(7), 2038-2061. https://doi.org/10.1016/j.spa.2016.01.003
  • Gapeev, Pavel V., Rodosthenous, Neofytos (2015). On the drawdowns and drawups in diffusion-type models with running maxima and minima. Journal of Mathematical Analysis and Applications, 434(1), 413-431. https://doi.org/10.1016/j.jmaa.2015.09.013
  • Gapeev, Pavel V., Rodosthenous, Neofytos (2014). Optimal stopping problems in diffusion-type models with running maxima and drawdowns. Journal of Applied Probability, 51(3), 799-817. https://doi.org/10.1239/jap/1409932675
  • Gapeev, Pavel V., Shirayev, Albert N. (2013). Bayesian quickest detection problems for some diffusion processes. Advances in Applied Probability, 45(1), 164-185. https://doi.org/10.1239/aap/1363354107
  • Gapeev, Pavel V. (2012). Pricing of perpetual American options in a model with partial information. International Journal of Theoretical and Applied Finance, 15(1), 1-22. https://doi.org/10.1142/S0219024911006450
  • Gapeev, Pavel V., Shiryaev, Albert N. (2011). On the sequential testing problem for some diffusion processes. Stochastics: an International Journal of Probability and Stochastic Processes, 83(4-6), 519-535. https://doi.org/10.1080/17442508.2010.530349
  • Gapeev, Pavel V., Lerche, Hans Rudolf (2011). On the structure of discounted optimal stopping problems for one-dimensional diffusions. Stochastics: an International Journal of Probability and Stochastic Processes, 83(4-6), 537-554. https://doi.org/10.1080/17442508.2010.532874
  • Gapeev, Pavel V., Jeanblanc, Monique (2010). Pricing and filtering in a two-dimensional dividend switching model. International Journal of Theoretical and Applied Finance, 13(7), 1001-1017. https://doi.org/10.1142/S021902491000608X
  • Belomestny, Denis, Gapeev, Pavel V. (2010). An iterative procedure for solving integral equations related to optimal stopping problems. Stochastics: an International Journal of Probability and Stochastic Processes, 82(4), 365-380. https://doi.org/10.1080/17442500903371002
  • Gapeev, Pavel V., Jeanblanc, Monique (2009). Pricing of contingent claims in a two-dimensional model with random dividends. International Journal of Theoretical and Applied Finance, 12(8), 1091-1104. https://doi.org/10.1142/S0219024909005592
  • Gapeev, Pavel V., Küchler, U. (2008). On large deviations in testing Ornstein–Uhlenbeck-type models. Statistical Inference for Stochastic Processes, 11(2), 143-155. https://doi.org/10.1007/s11203-007-9012-1
  • Gapeev, Pavel V. (2008). The integral option in a model with jumps. Statistics and Probability Letters, 78(16), 2623-2631. https://doi.org/10.1016/j.spl.2008.02.028
  • Gapeev, Pavel V. (2007). Discounted optimal stopping for maxima of some jump-diffusion processes. Journal of Applied Probability, 44(3), 713-731. https://doi.org/10.1239/jap/1189717540
  • Gapeev, Pavel V. (2007). Perpetual barrier options in jump-diffusion models. Stochastics: an International Journal of Probability and Stochastic Processes, 79(1), 139-154. https://doi.org/10.1080/17442500601086381
  • Gapeev, Pavel V., Küchler, U. (2006). On Markovian short rates in term structure models driven by different jump-diffusion processes. Statistics and Decisions, 24(2), 255-271. https://doi.org/10.1524/stnd.2006.24.2.255
  • Gapeev, Pavel V., Peskir, G. (2006). The Wiener disorder problem with finite horizon. Stochastic Processes and Their Applications, 116(12), 1770-1791. https://doi.org/10.1016/j.spa.2006.04.005
  • Gapeev, Pavel V. (2006). Discounted optimal stopping for maxima in diffusion models with finite horizon. Electronic Journal of Probability, 11(38), 1031-1048.
  • Gapeev, Pavel V., Reiss, M. (2006). An optimal stopping problem in a diffusion-type model with delay. Statistics and Probability Letters, 76(6), 601-608. https://doi.org/10.1016/j.spl.2005.09.006
  • Gapeev, Pavel V., Kühn, C. (2005). Perpetual convertible bonds in jump-diffusion models. Statistics and Decisions, 23(1), 15-31. https://doi.org/10.1524/stnd.2005.23.1.15
  • Gapeev, Pavel V. (2005). The disorder problem for compound Poisson processes with exponential jumps. Annals of Applied Probability, 15(1A), 487-499. https://doi.org/10.1214/105051604000000981
  • Gapeev, Pavel V. (2004). On arbitage and Markovian short rates for fractional bond markets. Statistics and Probability Letters, 70(3), 211-222. https://doi.org/10.1016/j.spl.2004.10.008
  • Gapeev, Pavel V., Peskir, G. (2004). The Wiener sequential testing problem with finite horizen. Stochastics and Stochastic Reports, 76(1), 59-75. https://doi.org/10.1080/10451120410001663753
    • Chapter
  • Gapeev, Pavel V. (2025). On Markovian sufficient statistics in non-additive disorder problems for jump-diffusion processes. In Chigansky, P. & Kordzakhia, N. (Eds.), Statistics of Random Processes and Optimal Control - A.N. Shiryaev’s Festschrift . Springer. [In Press] picture_as_pdf
  • Gapeev, Pavel V. (2021). On optimal stopping problems with positive discounting rates and related Laplace transforms of first hitting times in models with geometric Brownian motions. In Vervoort, R., Voinov, A., Evans, J. & Marshall, L. (Eds.), MODSIM2021, 24th International Congress on Modelling and Simulation (pp. 29 - 35). Modelling and Simulation Society of Australia and New Zealand. https://doi.org/10.36334/modsim.2021.A1.gapeev picture_as_pdf
  • Gapeev, Pavel V. (2005). The spread option optimal stopping game. In Kyprianou, A., Schoutens, W. & Wilmott, P. (Eds.), Exotic Option Pricing and Advanced Levy Models (pp. 293-305). John Wiley & Sons.
    • Conference or Workshop Item
  • Gapeev, Pavel V. (2019-03-06 - 2019-03-08) Perpetual dual American barrier options for short sellers [Paper]. 14th Workshop on Stochastic Models, Statistics and their Application, Technical University of Dresden, Dresden, Germany, DEU. picture_as_pdf
    • Report
  • Gapeev, Pavel V., Lerche, Hans Rudolf (2009). Discounted optimal stopping for diffusions: free-boundary versus martingale approach. (CDAM research report LSE-CDAM-2009-03). CDAM@LSE.
  • Gapeev, Pavel V., Jeanblanc, Monique (2008). On ltration immersions and credit events. (CDAM Research Reports LSE-CDAM-2008-07). CDAM.
  • Gapeev, Pavel V., Jeanblanc, Monique (2008). Pricing of contingent claims in a two-dimensional model with random dividends. CDAM, London School of Economics and Political Science.
  • Gapeev, Pavel V, Sottinen, T, Valkeila, E (2007). Robust replication under model uncertainty. (LSE-CDAM-2007-28). London School of Economics and Political Science.
    • Working paper
  • Belomestny, Denis, Gapeev, Pavel V. (2006). An iteration procedure for solving integral equations related to optimal stopping problems. (SFB 649 discussion paper). Humboldt-Universität zu Berlin.