Bank, Peter; Kramkov, Dmitry - In: Stochastic Processes and their Applications 123 (2013) 3, pp. 1160-1175
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...