On a stochastic differential equation arising in a price impact model

Details On a stochastic differential equation arising in a price impact model On a stochastic differential equation arising in a price impact model

2011-10-14

arxiv.org/abs/1110.3250v3

Economy

Quantitative Finance

Trading and Market Microstructure

21 pages. Keywords: Clark-Ocone formula, large investor, Malliavin derivative, Pareto allocation, price impact, Sobolev's embe

Scientific paper

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.

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