On a stochastic differential equation arising in a price impact model
From MaRDI portal
Publication:1940246
DOI10.1016/j.spa.2012.10.011zbMath1258.91069arXiv1110.3250WikidataQ115341150 ScholiaQ115341150MaRDI QIDQ1940246
Publication date: 6 March 2013
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1110.3250
stochastic differential equation; Clark-Ocone formula; Malliavin derivative; Sobolev embedding; price impact; large investor; Pareto allocation
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
35Q91: PDEs in connection with game theory, economics, social and behavioral sciences
Related Items
The stochastic field of aggregate utilities and its saddle conjugate, A model for a large investor trading at market indifference prices. II: Continuous-time case.