Simple bounds for utility maximization with small transaction costs

Using elementary arguments, we show how to derive Lp-error bounds for the approximation of frictionless wealth process in markets with proportional transaction costs. For utilities bounded risk aversion, these estimates yield lower frictional value function, which pave way its asymptotic analysis using stability results viscosity solutions. tools from Malliavin calculus, also simple sufficient conditions regularity optimal trading strategies, second main ingredient small