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1

On the sequential testing problem for some diffusion processes

Gapeev, Pavel V., Shiryaev, Albert N.

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2011

Language:

english

File:

PDF, 312 KB

english, 2011

2

An iterative procedure for solving integral equations related to optimal stopping problems

Belomestny, Denis, Gapeev, Pavel V.

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2010

Language:

english

File:

PDF, 177 KB

english, 2010

3

Perpetual barrier options in jump-diffusion models

Gapeev, Pavel V.

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2007

Language:

english

File:

PDF, 346 KB

english, 2007

4

PRICING OF CONTINGENT CLAIMS IN A TWO-DIMENSIONAL MODEL WITH RANDOM DIVIDENDS

GAPEEV, PAVEL V., JEANBLANC, MONIQUE

Journal:

International Journal of Theoretical and Applied Finance

Year:

2009

Language:

english

File:

PDF, 216 KB

english, 2009

5

PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION

GAPEEV, PAVEL V.

Journal:

International Journal of Theoretical and Applied Finance

Year:

2012

Language:

english

File:

PDF, 273 KB

english, 2012

6

PRICING AND FILTERING IN A TWO-DIMENSIONAL DIVIDEND SWITCHING MODEL

GAPEEV, PAVEL V., JEANBLANC, MONIQUE

Journal:

International Journal of Theoretical and Applied Finance

Year:

2010

Language:

english

File:

PDF, 231 KB

english, 2010

7

On the structure of discounted optimal stopping problems for one-dimensional diffusions

Gapeev, Pavel V., Lerche, Hans Rudolf

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2011

Language:

english

File:

PDF, 289 KB

english, 2011

8

Bayesian quickest detection problems for some diffusion processes

Gapeev, Pavel V., Shiryaev, Albert N.

Journal:

Advances in Applied Probability

Year:

2013

Language:

english

File:

PDF, 264 KB

english, 2013

9

ON SOME FUNCTIONALS OF THE FIRST PASSAGE TIMES IN MODELS WITH SWITCHING STOCHASTIC VOLATILITY

GAPEEV, PAVEL V., BROCKHAUS, OLIVER, DUBOIS, MATHIEU

Journal:

International Journal of Theoretical and Applied Finance

Year:

2018

Language:

english

File:

PDF, 278 KB

english, 2018

10

On the Pricing of Perpetual American Compound Options

Gapeev, Pavel V., Rodosthenous, Neofytos

Journal:

SSRN Electronic Journal

Year:

2010

Language:

english

File:

PDF, 543 KB

english, 2010

11

An optimal stopping problem in a diffusion-type model with delay

Pavel V. Gapeev, Markus Reiß

Journal:

Statistics & Probability Letters

Year:

2006

Language:

english

File:

PDF, 193 KB

english, 2006

12

On large deviations in testing Ornstein–Uhlenbeck-type models

Pavel V. Gapeev, Uwe Küchler

Journal:

Statistical Inference for Stochastic Processes

Year:

2008

Language:

english

File:

PDF, 217 KB

english, 2008

13

On arbitrage and Markovian short rates in fractional bond markets

Pavel V. Gapeev

Journal:

Statistics & Probability Letters

Year:

2004

Language:

english

File:

PDF, 238 KB

english, 2004

14

The integral option in a model with jumps

Pavel V. Gapeev

Journal:

Statistics & Probability Letters

Year:

2008

Language:

english

File:

PDF, 677 KB

english, 2008

15

Perpetual convertible bonds in jump-diffusion models

Gapeev, Pavel V., Kühn, Christoph

Journal:

Statistics & Decisions

Year:

2005

Language:

english

File:

PDF, 198 KB

english, 2005

16

Robust replication in H-self-similar Gaussian market models under uncertainty

Gapeev, Pavel V., Sottinen, Tommi, Valkeila, Esko

Journal:

Statistics & Decisions

Year:

2011

Language:

english

File:

PDF, 174 KB

english, 2011

17

On Markovian short rates in term structure models driven by jump-diffusion processes

Gapeev, Pavel V., Küchler, Uwe

Journal:

Statistics & Decisions

Year:

2006

Language:

english

File:

PDF, 200 KB

english, 2006

18

Perpetual American options in a diffusion model with piecewise-linear coefficients

Gapeev, Pavel V., Rodosthenous, Neofytos

Journal:

Statistics & Risk Modeling

Year:

2013

Language:

english

File:

PDF, 214 KB

english, 2013

19

Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes

Pavel V. Gapeev

Journal:

Journal of Applied Probability

Year:

2007

Language:

english

File:

PDF, 1.41 MB

english, 2007

20

On the drawdowns and drawups in diffusion-type models with running maxima and minima

Gapeev, Pavel V., Rodosthenous, Neofytos

Journal:

Journal of Mathematical Analysis and Applications

Year:

2016

Language:

english

File:

PDF, 596 KB

english, 2016

21

Optimal Stopping Problems in Diffusion-Type Models with Running Maxima and Drawdowns

Gapeev, Pavel V., Rodosthenous, Neofytos

Journal:

Journal of Applied Probability

Year:

2014

Language:

english

File:

PDF, 271 KB

english, 2014

22

Bayesian Quickest Detection Problems for Some Diffusion Processes

Gapeev, Pavel V., Shiryaev, Albert N.

Journal:

Advances in Applied Probability

Year:

2013

Language:

english

File:

PDF, 180 KB

english, 2013

23

Optimal Stopping Problems in Diffusion-Type Models with Running Maxima and Drawdowns

Gapeev, Pavel V., Rodosthenous, Neofytos

Journal:

Journal of Applied Probability

Year:

2014

Language:

english

File:

PDF, 271 KB

english, 2014

24

Perpetual American options in diffusion-type models with running maxima and drawdowns

Gapeev, Pavel V., Rodosthenous, Neofytos

Journal:

Stochastic Processes and their Applications

Year:

2016

Language:

english

File:

PDF, 382 KB

english, 2016

25

Bayesian Switching Multiple Disorder Problems

Gapeev, Pavel V.

Journal:

Mathematics of Operations Research

Year:

2016

Language:

english

File:

PDF, 390 KB

english, 2016

26

On the Laplace transforms of the first exit times in one-dimensional non-affine jump–diffusion models

Gapeev, Pavel V., Stoev, Yavor I.

Journal:

Statistics & Probability Letters

Year:

2016

Language:

english

File:

PDF, 526 KB

english, 2016

27

On the construction of non-affine jump-diffusion models

Gapeev, Pavel V., Stoev, Yavor I.

Journal:

Stochastic Analysis and Applications

Year:

2017

Language:

english

File:

PDF, 1.08 MB

english, 2017

28

On the sequential testing and quickest change-point detection problems for Gaussian processes

Gapeev, Pavel V., Stoev, Yavor I.

Journal:

Year:

2017

Language:

english

File:

PDF, 1.96 MB

english, 2017

29

Some Extensions of Norros' Lemma in Models with Several Defaults

Gapeev, Pavel V.

Journal:

SSRN Electronic Journal

Year:

2010

Language:

english

File:

PDF, 151 KB

english, 2010

30

The disorder problem for compound Poisson processes with exponential jumps

Gapeev, Pavel V.

Journal:

The Annals of Applied Probability

Year:

2005

File:

PDF, 116 KB

2005

31

Optimal Stopping Problems in Diffusion-Type Models with Running Maxima and Drawdowns

Gapeev, Pavel V., Rodosthenous, Neofytos

Journal:

Journal of Applied Probability

Year:

2014

Language:

english

File:

PDF, 303 KB

english, 2014

32

Perpetual American Defaultable Options in Models with Random Dividends and Partial Information

V. Gapeev, Pavel, Al Motairi, Hessah

Journal:

Year:

2018

File:

PDF, 392 KB

2018

33

Solving the dual Russian option problem by using change‐of‐measure arguments

Gapeev, Pavel V.

Journal:

Year:

2019

Language:

english

File:

PDF, 601 KB

english, 2019

34

On some functionals of the first passage times in jump models of stochastic volatility

Gapeev, Pavel V., Stoev, Yavor I.

Journal:

Stochastic Analysis and Applications

Year:

2019

Language:

english

File:

PDF, 1.72 MB

english, 2019

35

Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes

Gapeev, Pavel V.

Journal:

Journal of Applied Probability

Year:

2007

Language:

english

File:

PDF, 238 KB

english, 2007

36

Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes

Gapeev, Pavel V.

Journal:

Journal of Applied Probability

Year:

2007

File:

PDF, 238 KB

2007

37

Credit Default Swaps in Two-Dimensional Models with Various Information Flows

Gapeev, Pavel V., Jeanblanc, Monique

Journal:

International Journal of Theoretical and Applied Finance

Year:

2020

File:

PDF, 671 KB

2020

38

On the problems of sequential statistical inference for Wiener processes with delayed observations

Gapeev, Pavel V.

Journal:

Statistical Papers

Year:

2020

File:

PDF, 329 KB

2020

39

Optimal stopping problems for running minima with positive discounting rates

Gapeev, Pavel V.

Journal:

Statistics & Probability Letters

Year:

2020

File:

PDF, 608 KB

2020

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