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What is Robust Utility Maximization Control about?
This paper presents a stochastic control approach for maximizing robust utility functionals defined by logarithmic utility and time-consistent penalties in an incomplete financial market. The authors derive conditions under which the value function corresponds to a unique classical solution of a quasilinear Hamilton–Jacobi–Bellman PDE, facilitating the application of numerical algorithms. Key findings include the characterization of optimal investment strategies and the formulation of penalty functions in t
- Author
- zarihunzarihun211
- Language
- EN