Ambiguous volatility, possibility and utility in continuous time
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Publication:2441233
DOI10.1016/j.jmateco.2013.09.005zbMath1284.91148arXiv1103.1652OpenAlexW2160581414MaRDI QIDQ2441233
Publication date: 24 March 2014
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1103.1652
ambiguityrecursive utility\(G\)-Brownian motionquasisure analysisrobust stochastic volatilityundominated measures
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