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We apply perturbation methods to solve in closed form a class of robust control problems, implied by Anderson, Hansen and Sargent setting of a preference for robustness. In the constant investment opportunity set case, we obtain closed form power series solutions for the arising robust Bellman equations. Explicit conditions on model parameters are given, which ensure that our solution is the unique classical solution of the robust control problem.

Perturbative Solutions of Hamilton Jacobi Bellman Equations in Robust Decision Making