Received: 6 January 2019  Accepted: 24 June 2020
DOI: 10.1111/mafi.12283

ORIGINAL ARTICLE


Asymptotics for small nonlinear price impact:
A PDE approach to the multidimensional case
Erhan Bayraktar1             Thomas Cayé2           Ibrahim Ekren3
1Department of Mathematics, University
of Michigan, Ann Arbor, Michigan           Abstract
2School of Mathematical Sciences,          We provide an asymptotic expansion of the value func-
Dublin City University, Glasnevin,          tion of a multidim ...