Captain Gepard Montrose is an Imperial Watch Guard Captain for the guards in the Imperial Prison Sewers in the Dark Brotherhood quest Scheduled for Execution.
He is in the room that the Hero goes through right after the Emperor's death.
Captain Gepard is the author of Notes: Captain Montrose.
In Thirsk, a History, it is mentioned that a Breton named Alain Montrose was delivered to Fort Frostmoth. Given the similarity in names and race, it is possible that Gepard and Alain are related.