Before revision: We show how to set up a forward rate model in the presence of volatility uncertainty by using the theory of G-Brownian motion. In order to formulate the model, we extend the G-framework to integration with respect to two integrators and prove a version of Fubini's theorem for stochastic integrals. The evolution of the forward rate in the model is described by a diffusion process , which is driven by a G-Brownian motion  .
After revision: We show how to set up a forward rate model in the presence of volatility uncertainty . The forward rate is modeled as a diffusion process , which is driven by a G-Brownian motion .