On a stochastic differential equation arising in a price impact model
  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. 
Peter Bank (Technische Universit\"at Berlin) and Dmitry Kramkov   (Carnegie Mellon and Oxford)
q-fin.TR math.PR