Duality in Robust Utility Maximization with Unbounded Claim via a Robust   Extension of Rockafellar's Theorem
  We study the convex duality method for robust utility maximization in the presence of a random endowment. When the underlying price process is a locally bounded semimartingale, we show that the fundamental duality relation holds true for a wide class of utility functions on the whole real line and unbounded random endowment. To obtain this duality, we prove a robust version of Rockafellar's theorem on convex integral functionals and apply Fenchel's general duality theorem. 
Keita Owari
q-fin.CP math.OC math.PR q-fin.PM