Ergodic robust maximization of asymptotic growth with stochastic factor processes

Understand

We consider a robust asymptotic growth problem under model uncertainty in the presence of stochastic factors.

• We fix two inputs representing the instantaneous covariance for the asset price process $X$, which depends on an additional stochastic factor process $Y$, as well as the invariant density of $X$ together with $Y$.
• The stochastic factor process $Y$ has continuous trajectories but is not even required to be a semimartingale.
• Our setup allows for drift uncertainty in $X$ and model uncertainty for the local dynamics of $Y$.