Resource title

Robust maximization of consumption with logarithmic utility

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Resource description

We anlyze 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 consisten convex risk measure. The underlying market is modeled by a diffusion process whose coefficients are driven by an external stochastic factor process: Our main results give conditions on the minimal penalty function of the robust utility functional under which the value function of our problem can be identified with the unique classical solution of a quasilinear PDE within a class of functions satisfying certain growth conditions.

Resource author

Daniel Hernández-Hernández, Alexander Schied

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/25202

Resource license

Adapt according to the presented license agreement and reference the original author.