Before revision: We study the problem of a trader who wants to maximize the expected revenue from liquidating a given stock position. We model the stock price dynamics as a geometric pure jump process with local characteristics driven by an unobservable finite-state Markov chain and by the liquidation rate.
After revision: We study the optimal liquidation problem in a market model where the bid price follows a geometric pure jump process with local characteristics driven by an unobservable finite-state Markov chain and by the liquidation rate.