On a stochastic differential equation arising in a price impact model
AbstractWe 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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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1110.3250.
Date of creation: Oct 2011
Date of revision: Dec 2012
Publication status: Published in Stochastic Processes and their Applications 123 (2013), 1160-1175
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-11-01 (All new papers)
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