In this paper, we study a stochastic optimal control for max-min utility admitting volatility ambiguity. By standard assumptions, we establish the dynamic programming principle and the related Hamilton-Jacobi-Bellman (HJB) equation. Finally, we show that the value function is a viscosity...

We derive an algorithm in the spirit of Rogers and Davis & Burstein that leads to upper bounds for stochastic control problems. Our bounds complement lower biased estimates recently obtained in Guyon & Henry-Labordère. We evaluate our estimates in numerical examples motivated from mathematical...