Carnegie Mellon University
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On a stochastic differential equation arising in a price impact model

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journal contribution
posted on 2013-01-01, 00:00 authored by Peter Bank, Dmitry KramkovDmitry Kramkov

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] and [2]. These conditions are stated as smoothness and boundedness requirements on utility functions or Malliavin differentiability of payoffs and endowments.


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