Items where Author is "Gapeev, Pavel V."

Article

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 and Stoev, Yavor I. (2024) Quickest change-point detection problems for multidimensional Wiener processes. Methodology and Computing in Applied Probability. ISSN 1387-5841 (In Press)

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 (2024) Discounted nonzero-sum optimal stopping games under Poisson random intervention times. Stochastics: an International Journal of Probability and Stochastic Processes. ISSN 1744-2508

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 (2024) Discounted optimal stopping zero-sum games in diffusion-type models with maxima and minima. Advances in Applied Probability. ISSN 0001-8678 (In Press)

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 and Jeanblanc, Monique (2024) On the construction of conditional probability densities in the Brownian and compound Poisson filtrations. ESAIM: Probability and Statistics, 28. 62 - 74. ISSN 1292-8100

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 and Al Motairi, Hessah (2022) Discounted optimal stopping problems in first-passage time models with random thresholds. Journal of Applied Probability, 59 (3). 714 - 733. ISSN 0021-9002

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 and Li, Libo (2022) Perpetual American standard and lookback options with event risk and asymmetric information. SIAM Journal on Financial Mathematics, 13 (3). 773 - 801. ISSN 1945-497X

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 (2022) Perpetual American double lookback options on drawdowns and drawups with floating strikes. Methodology and Computing in Applied Probability, 24 (2). 749 - 788. ISSN 1387-5841

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074, Kort, Peter M., Lavrutich, Maria N. and 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. ISSN 1387-5841

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 and 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. ISSN 1744-2508

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 (2022) Discounted optimal stopping problems in continuous hidden Markov models. Stochastics: an International Journal of Probability and Stochastic Processes, 94 (3). 335 - 364. ISSN 1744-2508

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 and Rodosthenous, Neofytos (2021) Optimal stopping games in models with various information flows. Stochastic Analysis and Applications, 39 (6). 1050 - 1094. ISSN 0736-2994

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 and 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). ISSN 0219-0249

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074, Kort, Peter M. and Lavrutich, Maria (2021) Discounted optimal stopping problems for maxima of geometric Brownian motions with switching payoffs. Advances in Applied Probability, 53 (1). 189 - 219. ISSN 0001-8678

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074, Li, Libo and Wu, Zhuoshu (2021) Perpetual American cancellable standard options in models with last passage times. Algorithms, 14 (1). 1 - 11. ISSN 1999-4893

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074, Jeanblanc, Monique and Wu, Dongli (2021) Projections of martingales in enlargements of Brownian filtrations under Jacod’s equivalence hypothesis. Electronic Journal of Probability, 26. 1 - 24. ISSN 1083-6489

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 (2020) Optimal stopping problems for running minima with positive discounting rates. Statistics and Probability Letters, 167. ISSN 0167-7152

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 and Kuechler, Uwe (2020) Markovian short rates in multidimensional term structure Levy models. Banach Center Publications, 122. 93 - 106. ISSN 0137-6934

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 (2020) On the problems of sequential statistical inference for Wiener processes with delayed observations. Statistical Papers, 61 (4). pp. 1529-1544. ISSN 0932-5026

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 and Stoev, Yavor I. (2020) On some functionals of the first passage times in jump models of stochastic volatility. Stochastic Analysis and Applications, 38 (1). pp. 149-170. ISSN 0736-2994

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074, Rodosthenous, Neofytos and 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). ISSN 2227-9091

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 and Jeanblanc, Monique (2019) Defaultable claims in switching models with partial information. International Journal of Theoretical and Applied Finance, 22 (4). ISSN 0219-0249

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 (2019) Solving the dual Russian option problem by using change-of-measure arguments. High Frequency, 2 (2). pp. 76-84. ISSN 2470-6981

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 and Al Motairi, Hessah (2018) Perpetual American defaultable options in models with random dividends and partial information. Risks, 64 (4). ISSN 2227-9091

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074, Brockhaus, Olivier and Dubois, Mathieu (2018) On some functionals of the first passage times in models with switching stochastic volatility. International Journal of Theoretical and Applied Finance. ISSN 0219-0249

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 and Stoev, Yavor I. (2017) On the construction of non-affine jump-diffusion models. Stochastic Analysis and Applications, 35 (5). pp. 900-918. ISSN 0736-2994

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 and 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. pp. 152-162. ISSN 0167-7152

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 and 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. ISSN 1744-2508

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 (2016) Bayesian switching multiple disorder problems. Mathematics of Operations Research, 41 (3). pp. 1108-1124. ISSN 0364-765X

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 and Rodosthenous, Neofytos (2016) Perpetual American options in diffusion-typemodels with running maxima and drawdowns. Stochastic Processes and Their Applications, 126 (7). pp. 2038-2061. ISSN 0304-4149

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 and 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). pp. 413-431. ISSN 0022-247X

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 and Rodosthenous, Neofytos (2014) Optimal stopping problems in diffusion-type models with running maxima and drawdowns. Journal of Applied Probability, 51 (3). pp. 799-817. ISSN 0021-9002

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 and Shirayev, Albert N. (2013) Bayesian quickest detection problems for some diffusion processes. Advances in Applied Probability, 45 (1). pp. 164-185. ISSN 0001-8678

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 (2012) Pricing of perpetual American options in a model with partial information. International Journal of Theoretical and Applied Finance, 15 (1). pp. 1-22. ISSN 0219-0249

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 and 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). pp. 519-535. ISSN 1744-2508

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 and 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). pp. 537-554. ISSN 1744-2508

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 and Jeanblanc, Monique (2010) Pricing and filtering in a two-dimensional dividend switching model. International Journal of Theoretical and Applied Finance, 13 (7). pp. 1001-1017. ISSN 0219-0249

Belomestny, Denis and Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 (2010) An iterative procedure for solving integral equations related to optimal stopping problems. Stochastics: an International Journal of Probability and Stochastic Processes, 82 (4). pp. 365-380. ISSN 1744-2508

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 and Jeanblanc, Monique (2009) Pricing of contingent claims in a two-dimensional model with random dividends. International Journal of Theoretical and Applied Finance, 12 (8). pp. 1091-1104. ISSN 0219-0249

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 and Küchler, U. (2008) On large deviations in testing Ornstein–Uhlenbeck-type models. Statistical Inference for Stochastic Processes, 11 (2). pp. 143-155. ISSN 1387-0874

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 (2008) The integral option in a model with jumps. Statistics and Probability Letters, 78 (16). pp. 2623-2631. ISSN 0167-7152

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 (2007) Discounted optimal stopping for maxima of some jump-diffusion processes. Journal of Applied Probability, 44 (3). pp. 713-731. ISSN 0021-9002

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 (2007) Perpetual barrier options in jump-diffusion models. Stochastics: an International Journal of Probability and Stochastic Processes, 79 (1). pp. 139-154. ISSN 1744-2508

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 and Küchler, U. (2006) On Markovian short rates in term structure models driven by different jump-diffusion processes. Statistics and Decisions, 24 (2). pp. 255-271. ISSN 0721-2631

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 and Peskir, G. (2006) The Wiener disorder problem with finite horizon. Stochastic Processes and Their Applications, 116 (12). pp. 1770-1791. ISSN 0304-4149

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 (2006) Discounted optimal stopping for maxima in diffusion models with finite horizon. Electronic Journal of Probability, 11 (38). pp. 1031-1048. ISSN 1083-6489

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 and Reiss, M. (2006) An optimal stopping problem in a diffusion-type model with delay. Statistics and Probability Letters, 76 (6). pp. 601-608. ISSN 0167-7152

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 and Kühn, C. (2005) Perpetual convertible bonds in jump-diffusion models. Statistics and Decisions, 23 (1). pp. 15-31. ISSN 0721-2631

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 (2005) The disorder problem for compound Poisson processes with exponential jumps. Annals of Applied Probability, 15 (1A). pp. 487-499. ISSN 1050-5164

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 (2004) On arbitage and Markovian short rates for fractional bond markets. Statistics and Probability Letters, 70 (3). pp. 211-222. ISSN 0167-7152

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 and Peskir, G. (2004) The Wiener sequential testing problem with finite horizen. Stochastics and Stochastic Reports, 76 (1). pp. 59-75. ISSN 1045-1129

Book Section

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: Proceedings of 24th International Congress on Modelling and Simulation: Track A1. Computational statistics and data analysis. UNSPECIFIED. (In Press)

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 (2005) The spread option optimal stopping game. In: Kyprianou, A., Schoutens, W. and Wilmott, P., (eds.) Exotic Option Pricing and Advanced Levy Models. John Wiley & Sons, Chichester, UK, pp. 293-305. ISBN 0470016841

Monograph

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 and Lerche, Hans Rudolf (2009) Discounted optimal stopping for diffusions: free-boundary versus martingale approach. CDAM research report (LSE-CDAM-2009-03). CDAM@LSE, London, UK.

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 and Jeanblanc, Monique (2008) On ltration immersions and credit events. CDAM Research Reports (LSE-CDAM-2008-07). CDAM, London, UK.

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 and Jeanblanc, Monique (2008) Pricing of contingent claims in a two-dimensional model with random dividends. . CDAM, London School of Economics and Political Science, London, UK.

Belomestny, Denis and Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 (2006) An iteration procedure for solving integral equations related to optimal stopping problems. SFB 649 discussion paper. Humboldt-Universität zu Berlin, Berlin, Germany. ISBN 1860-5664

Conference or Workshop Item

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 (2019) Perpetual dual American barrier options for short sellers. In: 14th Workshop on Stochastic Models, Statistics and their Application, 2019-03-06 - 2019-03-08, Technical University of Dresden, Dresden, Germany, DEU.