  This paper is a continuation of Ishitani and Kato (2015), in which we derived
a continuous-time value function corresponding to an optimal execution problem
with uncertain market impact as the limit of a discrete-time value function.
Here, we investigate some properties of the derived value function. In
particular, we show that the function is continuous and has the semigroup
property, which is strongly related to the Hamilton-Jacobi-Bellman
quasi-variational inequality. Moreover, we show that noise in market impact
causes risk-neutral assessment to underestimate the impact cost. We also study
typical examples under a log-linear/quadratic market impact function with
Gamma-distributed noise.
