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1. El Karoui ,Peng, quenez .Backward stochastic differrential equations in finance ,Mathematical Finance, Vol 7, 1997.1-71.
2. Chen , Epstein, AMBIGUITY, RISK, AND ASSET RETURNS
IN CONTINUOUS TIME, Econometrica, Vol. 70, No. 4 (July, 2002), 1403–1443.
Models of utility in stochastic continuous-time settings typically assume that beliefs are
represented by a probability measure, hence ruling out a priori any concern with ambiguity.
This paper formulates a continuous-time intertemporal version of multiple-priors utility,
where aversion to ambiguity is admissible. In a representative agent asset market setting,
the model delivers restrictions on excess returns that admit interpretations reflecting a
premium for risk and a separate premium for ambiguity.
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