Robust utility maximization of terminal wealth with drift and volatility uncertainty
Uğurlu K.
2021Taylor and Francis Ltd.
Optimization
2021#70Issue 102081 - 2102 pp.
We give explicit solutions for utility maximization of terminal wealth problem (Formula presented.) in the presence of Knightian uncertainty (Formula presented.) in continuous time (Formula presented.). We assume there is uncertainty on both drift and volatility of the underlying stocks, which induce nonequivalent measures on canonical space of continuous paths Ω. We take that the uncertainty set resides in compact sets that are time dependent. In this framework, we solve the robust optimization problem with logarithmic, power and exponential utility functions, explicitly. Numerical simulations revealing the effects of uncertainty on the dynamics are also presented.
Knightian uncertainty , mathematical finance , optimal control
Text of the article Перейти на текст статьи
Department of Mathematics, Nazarbayev University, Astana, Kazakhstan
Department of Mathematics
10 лет помогаем публиковать статьи Международный издатель
Книга Публикация научной статьи Волощук 2026 Book Publication of a scientific article 2026