We consider dynamic sublinear expectations (i.e., time-consistent coherent risk measures) whose scenario sets consist … of singular measures corresponding to a general form of volatility uncertainty. We derive a càdlàg nonlinear martingale … similar to the optional decomposition. Furthermore, we prove an optional sampling theorem for the nonlinear martingale and …

framework is model-free and allows for stresses on the output such as (a) the mean and variance, (b) any distortion risk measure … including the Value-at-Risk and Expected-Shortfall, and (c) expected utility type constraints, thus making the reverse … sensitivity analysis framework suitable for risk models. …