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 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.

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Year of publication:	2013
Authors:	Bank, Peter ; Kramkov, Dmitry
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 123.2013, 3, p. 1160-1175
Publisher:	Elsevier
Subject:	Clark–Ocone formula \| Large investor \| Malliavin derivative \| Pareto allocation \| Price impact \| Sobolev embedding \| Stochastic differential equation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011065130