• Corpus ID: 250088896

Robust utility maximization with nonlinear continuous semimartingales

@inproceedings{Criens2022RobustUM,
  title={Robust utility maximization with nonlinear continuous semimartingales},
  author={David Criens and Lars Niemann},
  year={2022}
}
. In this paper we study a robust utility maximization problem in continuous time under model uncertainty. The model uncertainty is governed by a continuous semimartingale with uncertain local characteristics. Here, the differential characteristics are prescribed by a set-valued function that depends on time and path. We show that the robust utility maximization problem is in duality with a conjugate problem, and study the existence of optimal portfolios for logarithmic, exponential and power… 

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