On a stochastic differential equation arising in a price impact model

DOI10.1016/J.SPA.2012.10.011zbMath1258.91069arXiv1110.3250OpenAlexW1772288047WikidataQ115341150 ScholiaQ115341150MaRDI QIDQ1940246

Peter Bank, Dmitry Kramkov

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

zbMATH Keywords

stochastic differential equationClark-Ocone formulaMalliavin derivativeSobolev embeddingprice impactlarge investorPareto allocation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (3)

Optimal investment, derivative demand, and arbitrage under price impact ⋮ 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.

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