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.
After revision:  These fall outside the scope of known wellposedness results, but can be solved numerically using the simulation-based deep-learning approach of Han, Jentzen and E (2018) . In a calibration to time series of returns, bid-ask spreads, and trading volume, transaction costs substantially affect equilibrium asset prices.