Before revision: We consider a financial market with liquidity cost as in Cetin, Jarrow and Protter [2004], where the supply function S \epsilon (s, \nu ) depends on a parameter \epsilon with S0 (s, \nu )=s corresponding to the perfect liquid situation.
After revision: We consider a financial market with liquidity cost as in Cetin, Jarrow and Protter [2004], where the supply function S \epsilon (s, \nu ) depends on a parameter \epsilon \epsilon\geq 0 with S^0 (s, \nu )=s corresponding to the perfect liquid situation.