Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25202
Authors: 
Hernández-Hernández, Daniel
Schied, Alexander
Year of Publication: 
2007
Series/Report no.: 
SFB 649 discussion paper 2007,030
Abstract: 
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.
Document Type: 
Working Paper

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