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Abstract or Description

We provide sufficient conditions for the existence and uniqueness of solutions to a stochastic differential equation which arises in the price impact model developed by Bank and Kramkov (2011) [1] and [2]. These conditions are stated as smoothness and boundedness requirements on utility functions or Malliavin differentiability of payoffs and endowments.


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Published In

Stochastic Processes and their Applications, 123, 3, 1160-1175.