  We give explicit solutions for utility maximization of terminal wealth
problem $u(X_T)$ in the presence of Knightian uncertainty in continuous time
$[0,T]$ in a complete market. We assume there is uncertainty on both drift and
volatility of the underlying stocks, which induce nonequivalent measures on
canonical space of continuous paths $\O$. We take that the uncertainty set
resides in compact sets that are time dependent. In this framework, we solve
the robust optimization problem with logarithmic, power and exponential utility
functions, explicitly.
