Robust utility maximization for a diffusion market model with misspecified coefficients
研究了扩散金融市场中，当风险资产趋势和波动系数被误设时，如何从终端财富中稳健最大化效用，通过HJBI方程给出显式解。
The paper studies the robust maximization of utility from terminal wealth in a diffusion financial market model. The underlying model consists of a tradable risky asset whose price is described by a diffusion process with misspecified trend and volatility coefficients, and a non-tradable asset with a known parameter. The robust functional is defined in terms of a utility function. An explicit characterization of the solution is given via the solution of the Hamilton–Jacobi–Bellman–Isaacs (HJBI) equation. Copyright The Author(s) 2013