The book presents and discusses theoretical and practical developments in the field of optimization. All papers contain new results and the emphasis has been put on the accessibility of each paper for researchers working in optimization. The topics covered in this volume include: Mathematical...

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 terms of...