| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1155707 | Stochastic Processes and their Applications | 2013 | 16 Pages |
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] and [2]. These conditions are stated as smoothness and boundedness requirements on utility functions or Malliavin differentiability of payoffs and endowments.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Peter Bank, Dmitry Kramkov,