Hernández-Hernández, Daniel; Schied, Alexander - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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 risk … factor process. Our main results give conditions on the minimal penalty function of the robust utility functional under which …