On a stochastic differential equation arising in a price impact model (Q1940246)
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scientific article; zbMATH DE number 6142022
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | On a stochastic differential equation arising in a price impact model |
scientific article; zbMATH DE number 6142022 |
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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0.7576607465744019
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0.7564445734024048
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0.7515642046928406
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0.7495264410972595
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0.7406089305877686
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