On a stochastic differential equation arising in a price impact model (Q1940246)

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On a stochastic differential equation arising in a price impact model
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    title
    On a stochastic differential equation arising in a price impact model (English)
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    author
    Peter Bank
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    Dmitry Kramkov
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    publication date
    6 March 2013
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    Mathematics Subject Classification ID
    91B25
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    35Q91
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    60H15
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    zbMATH DE Number
    6142022
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    zbMATH Keywords
    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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    OpenAlex ID
    W1772288047
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    Wikidata QID
    Q115341150
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    arXiv ID
    1110.3250
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