  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.
