I'm reading Avellaneda & Stoikov (2006) model for market making. On section 3.1, one can read
we are able to simplify the problem with the ansatz
$u(s,x,q,t)=-\exp(-\gamma x)\exp (-\gamma\theta(s,q,t))$
Direct substitution yields the following equation for $\theta$:
How the reservation prices $r^b$ and $r^a$ have been introduced in the equation?
Thank you
