Before revision:  These fall outside the scope of known wellposedness results, but can be solved numerically using the simulation-based deep-learning approach of \mbox{%DIFAUXCMD han.al.17 . In a calibration to time series of returns, bid-ask spreads, and trading volume, transaction costs substantially affect equilibrium asset prices. In contrast, the effects of different cost specifications are rather similar, justifying the use of quadratic costs as a proxy for other less tractable specifications.
After revision:  These fall outside the scope of known wellposedness results, but can be solved numerically using the simulation-based deep-learning approach of \mbox{%DIFAUXCMD han.al.17 . In a calibration to time series of returns, bid-ask spreads, and trading volume, realistic liquidity premia are accompanied by a moderate increase in volatility. The effects of different cost specifications are rather similar, justifying the use of quadratic costs as a proxy for other less tractable specifications.