Ambiguous Volatility, Possibility and Utility in Continuous Time
  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. 
Larry Epstein and Shaolin Ji
q-fin.GN math.PR