Title of article
On a stochastic differential equation arising in a price impact model
Author/Authors
Bank، نويسنده , , Peter and Kramkov، نويسنده , , Dmitry، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2013
Pages
16
From page
1160
To page
1175
Abstract
We provide sufficient conditions for the existence and uniqueness of solutions to a stochastic differential equation which arises in the price impact model developed by Bank and Kramkov (2011) [1,2]. These conditions are stated as smoothness and boundedness requirements on utility functions or Malliavin differentiability of payoffs and endowments.
Keywords
Malliavin derivative , Pareto allocation , Large investor , Sobolev embedding , stochastic differential equation , Clark–Ocone formula , Price impact
Journal title
Stochastic Processes and their Applications
Serial Year
2013
Journal title
Stochastic Processes and their Applications
Record number
1578857
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