摘要翻译：
本文给出了价格冲击模型中随机微分方程解存在唯一性的充分条件。这些条件被描述为效用函数的光滑性和有界性要求，或者报酬和禀赋的马利亚文可微性。
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英文标题：
《On a stochastic differential equation arising in a price impact model》
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作者：
Peter Bank (Technische Universit\"at Berlin) and Dmitry Kramkov
  (Carnegie Mellon and Oxford)
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最新提交年份：
2012
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  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.
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PDF链接：
https://arxiv.org/pdf/1110.3250