Ambiguous volatility, possibility and utility in continuous time

Journal of Mathematical Economics

Volumn 50, Issue 1, 2014, Pages 269-282

  Epstein, Larry G ^a   Ji, Shaolin ^b  

^a USA   (United States)

^b SHANDONG UNIVERSITY   (China)

Author keywords

Ambiguity; G Brownian motion; Quasisure analysis; Recursive utility; Robust stochastic volatility; Undominated measures

Indexed keywords

EID: 84893810922     PISSN: 03044068     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jmateco.2013.09.005     Document Type: Article

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