摘要翻译：
本文建立了一个连续时间框架下的效用模型，该模型捕获了决策者对驱动过程的漂移和波动的模糊关注。在技术层面上，分析需要与现有的连续时间建模有很大的不同，因为它不能在概率空间框架内完成。这是因为关于波动性的模糊性总是导致一组不等价的先验，也就是说，先验不同意哪些场景是可能的。
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英文标题：
《Ambiguous Volatility, Possibility and Utility in Continuous Time》
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作者：
Larry Epstein and Shaolin Ji
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最新提交年份：
2013
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  This paper formulates a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity about both the drift and volatility of the driving process. At a technical level, the analysis requires a significant departure from existing continuous time modeling because it cannot be done within a probability space framework. This is because ambiguity about volatility leads invariably to a set of nonequivalent priors, that is, to priors that disagree about which scenarios are possible.
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PDF链接：
https://arxiv.org/pdf/1103.1652