Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: An Optimal Execution Problem with Market Impact   We study an optimal execution problem in a continuous-time market model that
considers market impact. We formulate the problem as a stochastic control
problem and investigate properties of the corresponding value function. We find
that right-continuity at the time origin is associated with the strength of
market impact for large sales, otherwise the value function is continuous.
Moreover, we show the semi-group property (Bellman principle) and characterise
the value function as a viscosity solution of the corresponding
Hamilton-Jacobi-Bellman equation. We introduce some examples where the forms of
the optimal strategies change completely, depending on the amount of the
trader's security holdings and where optimal strategies in the Black-Scholes
type market with nonlinear market impact are not block liquidation but gradual
liquidation, even when the trader is risk-neutral.

18
The categories of this paper are: econ
30
The categories of this paper are: q-alg
7
The categories of this paper are: hep-th
6
The categories of this paper are: astro-ph
26
The categories of this paper are: bayes-an
25
The categories of this paper are: patt-sol
8
The categories of this paper are: hep-ex
12
The categories of this paper are: nucl-th
34
The categories of this paper are: chem-ph
9
The categories of this paper are: nlin
11
The categories of this paper are: hep-lat
19
The categories of this paper are: eess
37
The categories of this paper are: supr-con
0
The categories of this paper are: hep-ph
5
The categories of this paper are: gr-qc
28
The categories of this paper are: alg-geom