Robust utility maximization in a stochas
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HernΓ‘ndez-HernΓ‘ndez, Daniel; Schied, Alexander
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Article
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2006
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Oldenbourg Wissenschaftsverlag
β 149 KB
## SUMMARY We give an explicit PDE characterization for the solution of a robust utility maximization problem in an incomplete market model, whose volatility, interest rate process, and long-term trend are driven by an external stochastic factor process. The robust utility functional is defined in