Optimal Selling of an Asset under Incomplete Information
نویسندگان
چکیده
منابع مشابه
Optimal Selling of an Asset under Incomplete Information
We consider an agent who wants to liquidate an asset with unknown drift. The agent believes that the drift takes one of two given values and has initially an estimate for the probability of either of them. As time goes by, the agent observes the asset price and can therefore update his beliefs about the probabilities for the drift distribution. We formulate an optimal stopping problem that desc...
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ژورنال
عنوان ژورنال: International Journal of Stochastic Analysis
سال: 2011
ISSN: 2090-3332,2090-3340
DOI: 10.1155/2011/543590