The optimal value and optimal control for the stochastic Mayer problem in markets with transaction costs are continuous under approximations of the price process in the general geometric framework with processes S and K.
Annales de l’IHP Probabilités et statistiques,20, 353–372 (1984)
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On convergence of the Mayer problems arising in the theory of financial markets with transaction cost
The optimal value and optimal control for the stochastic Mayer problem in markets with transaction costs are continuous under approximations of the price process in the general geometric framework with processes S and K.