Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Stochastic Maximum Principle for Optimal Liquidation with
  Control-dependent Terminal Time   In this paper we study a general optimal liquidation problem with a
control-dependent stopping time which is the first time the stock holding
becomes zero or a fixed terminal time, whichever comes first. We prove a
stochastic maximum principle (SMP) which is markedly different in its
Hamiltonian condition from that of the standard SMP with fixed terminal time.
We present a simple example in which the optimal solution satisfies the SMP in
this paper but fails the standard SMP in the literature.

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The categories of this paper are: astro-ph
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The categories of this paper are: nucl-ex
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The categories of this paper are: cs
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The categories of this paper are: q-alg
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The categories of this paper are: nlin
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The categories of this paper are: acc-phys
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The categories of this paper are: hep-ex
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The categories of this paper are: stat
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The categories of this paper are: mtrl-th
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The categories of this paper are: q-fin
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The categories of this paper are: nucl-th
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The categories of this paper are: q-bio
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The categories of this paper are: hep-lat
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The categories of this paper are: math-ph
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The categories of this paper are: hep-ph
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The categories of this paper are: physics