Related papers: Moment Explosions in the Rough Heston Model
It is known that the price of call options in the Heston model is determined in a non-unique way. In this paper, this problem is analyzed from the point of view of the existing mathematical theory of uniqueness classes for degenerate…
Moment-closure methods are popular tools to simplify the mathematical analysis of stochastic models defined on networks, in which high dimensional joint distributions are approximated (often by some heuristic argument) as functions of lower…
First, we present a concise glossary of formulas for composition of standard, cumulant, factorial, and factorial cumulant moments in superposition (compound) models, where final particles are created via independent emission from a…
In dynamical critical site percolation on the triangular lattice or bond percolation on \Z^2, we define and study a local time measure on the exceptional times at which the origin is in an infinite cluster. We show that at a typical time…
This contribution aims at studying the behaviour of the classical sample moment estimator, $S(n,q)= \sum_{k=1}^n X_k^{q}/n $, as a function of the number of available samples $n$, in the case where the random variables $X$ are positive,…
Under very general conditions the hitting time of a set by a stochastic process is a stopping time. We give a new simple proof of this fact. The section theorems for optional and predictable sets are easy corollaries of the proof.
A free boundary problem modeling a microelectromechanical system (MEMS) consisting of a fixed ground plate and a deformable top plate is considered, the plates being held at different electrostatic potentials. It couples a second order…
Collapse and reverse to collapse explosion transition in self-gravitating systems are studied by molecular dynamics simulations. A microcanonical ensemble of point particles confined to a spherical box is considered; the particles interact…
We give conditions to prove the existence of an Extremal Index for general stationary stochastic processes by detecting the presence of one or more underlying periodic phenomena. This theory, besides giving general useful tools to identify…
We consider the 2-dimensional focusing mass critical NLS with an inhomogeneous nonlinearity: $i\partial_tu+\Delta u+k(x)|u|^{2}u=0$. From standard argument, there exists a threshold $M_k>0$ such that $H^1$ solutions with $\|u\|_{L^2}<M_k$…
Out of equilibrium quantum systems, on top of quantum fluctuations, display complex temporal patterns. Such time fluctuations are generically exponentially small in the system volume and can be therefore safely ignored in most of the cases.…
We study the creation and propagation of exponential moments of solutions to the spatially homogeneous $d$-dimensional Boltzmann equation. In particular, when the collision kernel is of the form $|v-v_*|^\beta b(\cos(\theta))$ for $\beta…
We study a rumour propagation model along the lines of \cite{lebensztayn2008disk} as a long-range percolation model on $\Z$. We begin by showing a sharp phase transition-type behaviour in the sense of exponential decay of the survival time…
A new energy-based stochastic extension of the Schrodinger equation for which the wave function collapses after the passage of a finite amount of time is proposed. An exact closed-form solution to the dynamical equation, valid for all…
This paper develops a unified finite-time theory for the ordinary least squares estimation of possibly unstable and even slightly explosive vector autoregressive models under linear restrictions, with the applicable region $\rho(A)\leq…
Asymptotic theories on record values and times, including central limit theorems, make sense only if the sequence of records values (and of record times) is infinite. If not, such theories could not even be an option. In this paper, we give…
We address the critical norm blow-up problem for the nonlinear heat equation $u_t-\Delta u=|u|^{p-1}u$ in $\mathbf{R}^n\times(0,T)$. In the supercritical range $p>(n+2)/(n-2)$, we prove that if the maximal existence time $T$ is finite, then…
The spatially homogeneous Boltzmann equation with hard potentials is considered for measure valued initial data having finite mass and energy. We prove the existence of \emph{weak measure solutions}, with and without angular cutoff on the…
We consider a mass critical nonlinear Schr\"{o}dinger equation with a real-valued potential. In this work, we construct a minimal mass solution that blows up at finite time, under weaker assumptions on spatial dimensions and potentials than…
We consider the inhomogeneous Landau equation with $\gamma \in (\sqrt{3},2]$ and construct smooth, strictly positive initial data that develop a finite time singularity. The $C^{\alpha}$-norm of the distribution function blows up for every…