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I am reading this market making paper, and am trying to understand the transformation presented on page 6. A good resource for background relevant to the transformation is this other market-making paper. Could anyone point me to a resource on this transformation?

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  • $\begingroup$ What is exactly your question? How it is derived, or what is the intuition behind it? If you plug in the exponential intensity from page 4 into the equation, you can calculate the suprema explicitly, so the equation becomes linear. And it's not uncommon for parabolic equations to have factorization as in Proposition 1 (for example, in terms of eigenfunctions). $\endgroup$
    – starovoitovs
    Dec 27, 2022 at 23:06
  • $\begingroup$ Please do not provide links for the majority of the question. Please make the question more fully formed from a stand alone perspective. $\endgroup$
    – Attack68 ♦
    Dec 30, 2022 at 9:32

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