Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case
Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case
In the context of the multi-dimensional infinite horizon optimal consumption investment problem with small proportional transaction costs, we prove an asymptotic expansion. Similar to the one-dimensional derivation in our accompanying paper, the first order term is expressed in terms of a singular ergodic control problem. Our arguments are based on …