On a stochastic differential equation arising in a price impact model

Peter Bank and Dmitry Kramkov
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Peter Bank: Technische Universit\"at Berlin
Dmitry Kramkov: Carnegie Mellon and Oxford

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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.

Date: 2011-10, Revised 2012-12
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Published in Stochastic Processes and their Applications 123 (2013), 1160-1175

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1110.3250

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