{"id":"https://openalex.org/W1781649738","doi":"https://doi.org/10.1137/15m1033265","title":"Optimal Liquidation of an Asset under Drift Uncertainty","display_name":"Optimal Liquidation of an Asset under Drift Uncertainty","publication_year":2016,"publication_date":"2016-01-01","ids":{"openalex":"https://openalex.org/W1781649738","doi":"https://doi.org/10.1137/15m1033265","mag":"1781649738"},"language":"en","primary_location":{"id":"doi:10.1137/15m1033265","is_oa":false,"landing_page_url":"https://doi.org/10.1137/15m1033265","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5103101959","display_name":"Erik Ekstr\u00f6m","orcid":null},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Erik Ekstr\u00f6m","raw_affiliation_strings":[],"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5005206255","display_name":"Juozas Vaicenavi\u010dius","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Juozas Vaicenavicius","raw_affiliation_strings":[],"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5103101959"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":7.6605,"has_fulltext":false,"cited_by_count":34,"citation_normalized_percentile":{"value":0.97018053,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"7","issue":"1","first_page":"357","last_page":"381"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.998199999332428,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.998199999332428,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11976","display_name":"Capital Investment and Risk Analysis","score":0.9958999752998352,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9937000274658203,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/optimal-stopping","display_name":"Optimal stopping","score":0.6859186291694641},{"id":"https://openalex.org/keywords/monotonic-function","display_name":"Monotonic function","score":0.6596167683601379},{"id":"https://openalex.org/keywords/monotone-polygon","display_name":"Monotone polygon","score":0.5610496997833252},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.5051491856575012},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.47733074426651},{"id":"https://openalex.org/keywords/bayesian-probability","display_name":"Bayesian probability","score":0.4620681405067444},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.46064311265945435},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4394654333591461},{"id":"https://openalex.org/keywords/stopping-time","display_name":"Stopping time","score":0.4273306727409363},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.4245743751525879},{"id":"https://openalex.org/keywords/nonlinear-system","display_name":"Nonlinear system","score":0.4194614589214325},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.3620946705341339},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.35732242465019226},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.2692456841468811},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.19400370121002197},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.17021065950393677},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.13954231142997742}],"concepts":[{"id":"https://openalex.org/C99414536","wikidata":"https://www.wikidata.org/wiki/Q7098950","display_name":"Optimal stopping","level":2,"score":0.6859186291694641},{"id":"https://openalex.org/C72169020","wikidata":"https://www.wikidata.org/wiki/Q194404","display_name":"Monotonic function","level":2,"score":0.6596167683601379},{"id":"https://openalex.org/C2834757","wikidata":"https://www.wikidata.org/wiki/Q4925424","display_name":"Monotone polygon","level":2,"score":0.5610496997833252},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5051491856575012},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.47733074426651},{"id":"https://openalex.org/C107673813","wikidata":"https://www.wikidata.org/wiki/Q812534","display_name":"Bayesian probability","level":2,"score":0.4620681405067444},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.46064311265945435},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4394654333591461},{"id":"https://openalex.org/C99888217","wikidata":"https://www.wikidata.org/wiki/Q1288707","display_name":"Stopping time","level":2,"score":0.4273306727409363},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4245743751525879},{"id":"https://openalex.org/C158622935","wikidata":"https://www.wikidata.org/wiki/Q660848","display_name":"Nonlinear system","level":2,"score":0.4194614589214325},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.3620946705341339},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.35732242465019226},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.2692456841468811},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.19400370121002197},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.17021065950393677},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.13954231142997742},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1137/15m1033265","is_oa":false,"landing_page_url":"https://doi.org/10.1137/15m1033265","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":28,"referenced_works":["https://openalex.org/W604762380","https://openalex.org/W1532235374","https://openalex.org/W1545370368","https://openalex.org/W1573874356","https://openalex.org/W1979823188","https://openalex.org/W1983973130","https://openalex.org/W1995522593","https://openalex.org/W1996175061","https://openalex.org/W2016633523","https://openalex.org/W2037704244","https://openalex.org/W2042775870","https://openalex.org/W2115527256","https://openalex.org/W2119184451","https://openalex.org/W2122930722","https://openalex.org/W2124279555","https://openalex.org/W2135224574","https://openalex.org/W2137478067","https://openalex.org/W2151078973","https://openalex.org/W2153906005","https://openalex.org/W2156536863","https://openalex.org/W2253832899","https://openalex.org/W2495642310","https://openalex.org/W3020860551","https://openalex.org/W3105603474","https://openalex.org/W3106354936","https://openalex.org/W3123651574","https://openalex.org/W3124827703","https://openalex.org/W4247206600"],"related_works":["https://openalex.org/W4316830005","https://openalex.org/W1489292980","https://openalex.org/W3097642646","https://openalex.org/W2022139826","https://openalex.org/W2795079910","https://openalex.org/W2951610245","https://openalex.org/W1430963189","https://openalex.org/W3037410748","https://openalex.org/W4319835971","https://openalex.org/W2081685205"],"abstract_inverted_index":{"We":[0,100],"study":[1,102],"a":[2,18,84,96],"problem":[3],"of":[4,26,54,79],"finding":[5],"an":[6,12,27,34],"optimal":[7,69],"stopping":[8,70],"strategy":[9],"to":[10,38,50,95,107],"liquidate":[11],"asset":[13,113],"with":[14,105],"unknown":[15],"drift.":[16],"Taking":[17],"Bayesian":[19],"approach,":[20],"we":[21],"model":[22],"the":[23,30,40,43,52,55,59,62,75,80,92,108,112],"initial":[24],"beliefs":[25,57],"individual":[28],"about":[29,42,58],"drift":[31,44,60],"by":[32],"allowing":[33],"arbitrary":[35],"probability":[36],"distribution":[37,110],"characterize":[39],"uncertainty":[41],"parameter.":[45],"Filtering":[46],"theory":[47],"is":[48,65,72],"used":[49],"describe":[51],"evolution":[53],"posterior":[56,81],"once":[61],"price":[63],"process":[64],"being":[66],"observed.":[67],"An":[68],"time":[71,78],"determined":[73],"as":[74,91],"first":[76],"passage":[77],"mean":[82],"below":[83],"monotone":[85],"boundary,":[86],"which":[87],"can":[88],"be":[89],"characterized":[90],"unique":[93],"solution":[94],"nonlinear":[97],"integral":[98],"equation.":[99],"also":[101],"monotonicity":[103],"properties":[104],"respect":[106],"prior":[109],"and":[111],"volatility.":[114]},"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":5},{"year":2022,"cited_by_count":5},{"year":2021,"cited_by_count":3},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":7},{"year":2018,"cited_by_count":4},{"year":2017,"cited_by_count":3},{"year":2016,"cited_by_count":3}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}