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Probability and Computational Finance Seminar
Dmitry Kramkov
Carnegie Mellon University
Title: On a stochastic differential equation arising in a price impact model

Abstract: We provide sufficient conditions for the existence and uniqueness of solutions to a stochastic differential equation which arises in a price impact model. These conditions are stated as smoothness and boundedness requirements on utility functions or Malliavin differentiability of payoffs and endowments. The presentation is based on a joint paper with Peter Bank.

Date: Monday, October 24, 2011
Time: 5:00 pm
Location: Wean Hall 6423
Submitted by:  Dmitry Kramkov