On a stochastic differential equation arising in a price impact model

Published 14 Oct 2011 in q-fin.TR and math.PR | (1110.3250v5)

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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