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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.

preprint2012arXivOpen access
Peter BankDmitry Kramkov
math.PRq-fin.TR
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Peter BankDmitry Kramkov

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