英文标题：
《Asset liquidation under drift uncertainty and regime-switching
volatility》
---
作者：
Juozas Vaicenavicius
---
最新提交年份：
2019
---
英文摘要：
Optimal liquidation of an asset with unknown constant drift and stochastic regime-switching volatility is studied. The uncertainty about the drift is represented by an arbitrary probability distribution; the stochastic volatility is modelled by $m$-state Markov chain. Using filtering theory, an equivalent reformulation of the original problem as a four-dimensional optimal stopping problem is found and then analysed by constructing approximating sequences of three-dimensional optimal stopping problems. An optimal liquidation strategy and various structural properties of the problem are determined. Analysis of the two-point prior case is presented in detail, building on which, an outline of the extension to the general prior case is given.
---
中文摘要：
研究了具有未知常数漂移和随机制度转换波动率的资产的最优清算问题。漂移的不确定性由任意概率分布表示；随机波动率由$m$状态马尔可夫链建模。利用滤波理论，将原问题等效为四维最优停止问题，然后通过构造三维最优停止问题的近似序列进行分析。确定了最优清算策略和问题的各种结构性质。详细分析了两点先验情况，在此基础上，给出了对一般先验情况的扩展。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
--

---
PDF下载：
-->