Duality theory for robust utility maximisation

• Main Authors: Bartl, Daniel, Kupper, Michael, Neufeld, Ariel
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2022
• Subjects: Science::Mathematics; Bipolar Theorem; Drift and Volatility Uncertainty
• Online Access: https://hdl.handle.net/10356/162314
• Institution: Nanyang Technological University

In this paper, we present a duality theory for the robust utility maximisation problem in continuous time for utility functions defined on the positive real line. Our results are inspired by – and can be seen as the robust analogues of – the seminal work of Kramkov and Schachermayer (Ann. Appl. Prob...