Expected utility maximization problem under state constraints and model uncertainty (Q2278901)

A robust expected utility maximization problem under state constraints over a finite horizon is studied. The problem is a consumption-investment utility problem, which includes financial models with constrained portfolios, labour income and large investor models. Mathematical formulation leads to a stochastic control problem. The existence and uniqueness of its solution is proved. The structure of the solution is described using duality. An application example with convex constraints on the portfolio under state constraints is studied. Perspectives of further research are briefly outlined in the conclusions.