On a stochastic differential equation arising in a price impact model (Q1940246)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On a stochastic differential equation arising in a price impact model |
scientific article |
Statements
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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