This paper considers model uncertainty for multistage stochastic programs. The data and information structure of the baseline model is a tree, on which the decision problem is defined. We consider “ambiguity neighborhoods” around this tree as alternative models which are close to the...

We study the risk assessment of uncertain cash flows in terms of dynamic convex risk measures for processes as introduced in Cheridito et al. (Electron. J. Probab. 11(3):57–106, <CitationRef CitationID="CR11">2006</CitationRef>). These risk measures take into account not only the amounts but also the timing of a cash flow. We discuss...</citationref>

The classical valuation of an uncertain cash flow in discrete time consists in taking the expectation of the sum of the discounted future payoffs under a fixed probability measure, which is assumed to be known. Here we discuss the valuation problem in the context of Knightian uncertainty. Using...