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arXiv · 1110.3250

On a stochastic differential equation arising in a price impact model

Peter Bank·Dmitry Kramkov
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Abstract

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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Peter Bank, Dmitry Kramkov. 2012-12-28. On a stochastic differential equation arising in a price impact model. https://doi.org/10.1016/j.spa.2012.10.011

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