On a stochastic differential equation arising in a price impact model
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 of creation:||Oct 2011|
|Date of revision:||Dec 2012|
|Publication status:||Published in Stochastic Processes and their Applications 123 (2013), 1160-1175|
|Contact details of provider:|| Web page: http://arxiv.org/|
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