On a stochastic differential equation arising in a price impact model-Reference-Cited by-同舟云学术

On a stochastic differential equation arising in a price impact model

Published:2013-03 Issue:3 Volume:123 Page:1160-1175
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Bank Peter,Kramkov Dmitry

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference7 articles.

1. Peter Bank, Dmitry Kramkov, A model for a large investor trading at market indifference prices. I: single-period case, arXiv:1110.3224v2, October 2011. URL: http://arxiv.org/abs/1110.3224v2.

2. Peter Bank, Dmitry Kramkov, A model for a large investor trading at market indifference prices. II: continuous-time case, arXiv:1110.3229v2, October 2011. URL: http://arxiv.org/abs/1110.3229v2.

3. An extension of Clark’s formula;Karatzas;Stoch. Stoch. Rep.,1991

4. Controlled Diffusion Processes;Krylov,1980

5. Stochastic Flows and Stochastic Differential Equations;Kunita,1990

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