Hernández-Hernández, Daniel; Schied, Alexander - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007
We analyze the stochastic control approach to the dynamic maximization of the robust utility of consumption and investment. The robust utility functionals are defined in terms of logarithmic utility and a dynamically consistent convex riskmeasure. The underlying market is modeled by a diffusion...
