On a stochastic differential equation arising in a price impact model

We provide sufficient conditions for the existence and uniqueness of solutions to a stochastic differential equation which arises in a price impact model. These conditions are stated as smoothness and boundedness requirements on utility functions or Malliavin differentiability of payoffs and endowments.

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Year of publication:	2011-10
Authors:	Bank, Peter ; Kramkov, Dmitry
Institutions:	arXiv.org

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Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Published in Stochastic Processes and their Applications 123 (2013), 1160-1175
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009325477