On a stochastic differential equation arising in a price impact model

Peter Bank and Dmitry Kramkov

Stochastic Processes and their Applications, 2013, vol. 123, issue 3, 1160-1175

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) [1,2]. These conditions are stated as smoothness and boundedness requirements on utility functions or Malliavin differentiability of payoffs and endowments.

Keywords: Clark–Ocone formula; Large investor; Malliavin derivative; Pareto allocation; Price impact; Sobolev embedding; Stochastic differential equation (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:123:y:2013:i:3:p:1160-1175

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DOI: 10.1016/j.spa.2012.10.011

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