We propose a general approximation method for the determination of optimal trading strategies in markets with proportional transaction costs, with a polynomial approximation of the residual value function. The method is exemplified by several problems, from optimally tracking benchmarks and...

We study approximations of reflected Itô diffusions on convex subsets D of Rd by solutions of stochastic differential equations with penalization terms. We assume that the diffusion coefficients are merely measurable functions. In the case of Lipschitz continuous coefficients we give the rate...