Lifshits.Gaussian Random Functions, volume 322 ofMathematics and Its Appli- cations

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math.PR · 2026-06-05 · unverdicted · novelty 8.0

Proves finite moments E[S_T^p] < ∞ for p < p_ρ in rough Bergomi under ρ ∈ [-1,0) and positive atom at zero for rough Heston variance process.

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Moments in Rough Bergomi and Boundary Attainment in Rough Heston math.PR · 2026-06-05 · unverdicted · none · ref 25
Proves finite moments E[S_T^p] < ∞ for p < p_ρ in rough Bergomi under ρ ∈ [-1,0) and positive atom at zero for rough Heston variance process.