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On a stochastic differential equation arising in a price impact model |
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| Authors: | Peter Bank Dmitry Kramkov |
| Affiliation: | 1. Technische Universität Berlin, Institut für Mathematik, Straße des 17. Juni 136, 10623 Berlin, Germany;2. Carnegie Mellon University, Department of Mathematical Sciences, 5000 Forbes Avenue, Pittsburgh, PA, 15213-3890, United States;3. Mathematical Institute, Oxford OX1 3LB, England, United Kingdom |
| Abstract: | 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) and . These conditions are stated as smoothness and boundedness requirements on utility functions or Malliavin differentiability of payoffs and endowments. |
| Keywords: | 90A09 90A10 90C26 |
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