In this paper we study a robust utility maximization problem in continuous time under model uncertainty. The model … characteristics are prescribed by a set-valued function that depends on time and path. We show that the robust utility maximization …

compact: Theorem 2.1: Suppose that dom h is compact. Then the value function u of the robust utility maximization problem … the value function u of the robust utility maximization problem satisfies u(x) = (1 + T)logx + v(T,Y0) where v is the … u of the robust utility maximization problem satisfiesu(x) = (1+T)logx+v(T,Y0) wherev is the unique classical solution …