On a stochastic differential equation arising in a price impact model (Q1940246): Difference between revisions
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| Property / DOI: 10.1016/J.SPA.2012.10.011 / rank | |||
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Latest revision as of 14:17, 16 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On a stochastic differential equation arising in a price impact model |
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On a stochastic differential equation arising in a price impact model (English)
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6 March 2013
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Clark-Ocone formula
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large investor
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Malliavin derivative
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Pareto allocation
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price impact
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Sobolev embedding
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stochastic differential equation
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