{"paper":{"title":"Moments in Rough Bergomi and Boundary Attainment in Rough Heston","license":"http://creativecommons.org/licenses/by/4.0/","headline":"","cross_cats":[],"primary_cat":"math.PR","authors_text":"Arthur Bourdon, Thibault Jeannin","submitted_at":"2026-06-05T17:36:26Z","abstract_excerpt":"We address two open questions in the rough volatility literature. First, we prove finite positive moments for the rough Bergomi price process, and for a wider class of Gaussian Volterra Bergomi models, in the whole subcritical range under negative correlation. More precisely, if \\(\\rho\\in[-1,0)\\), then \\(\\E[S_T^p]<\\infty\\) for every \\(0<p<p_\\rho\\), where \\(p_{-1}=\\infty\\) and \\(p_\\rho=(1-\\rho^2)^{-1}\\) for \\(-1<\\rho<0\\). For the fractional rough Bergomi kernel, this gives the finite side of the sharp critical moment threshold, complementing the known explosion result above the threshold. Secon"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2606.07482","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2606.07482/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}