The objective of this article is to derive a general martingale characterization of G-Brownian motion, which generalizes the results obtained in Xu [17]. For this end, we first study some extensions of stochastic calculus with respect to G-martingales under the sublinear expectation spaces

This paper studies dynamic asset allocation with interest rate risk and several sources of ambiguity. The market consists of a risk-free asset, a zero-coupon bond (both determined by a Vasicek model), and a stock. There is ambiguity about the risk premia, the volatilities, and the correlation....