Related papers: Moment Explosions in the Rough Heston Model

Decaying dark matter models generically modify the equation of state around the time of dark matter decay, and this in turn modifies the expansion rate of the Universe through the Friedmann equation. Thus, a priori, these models could solve…

In this article, we review finite-time blowup criteria for the family of complex Ginzburg-Landau equations $u_t = e^{ i\theta } [\Delta u + |u|^\alpha u] + \gamma u$ on ${\mathbb R}^N $, where $0 \le \theta \le \frac {\pi } {2}$, $\alpha…

We establish new conditions for obtaining uniform bounds on the moments of discrete-time stochastic processes. Our results require a weak negative drift criterion along with a state-dependent restriction on the sizes of the one-step jumps…

We consider call option prices in diffusion models close to expiry, in an asymptotic regime ("moderately out of the money") that interpolates between the well-studied cases of at-the-money options and out-of-the-money fixed-strike options.…

We consider certain one dimensional ordinary stochastic differential equations driven by additive Brownian motion of variance $\varepsilon ^2$. When $\varepsilon =0$ such equations have an unstable non-hyperbolic fixed point and the drift…

We obtain an improved blow-up criterion for solutions of the Navier-Stokes equations in critical Besov spaces. If a mild solution $u$ has maximal existence time $T^* < \infty$, then the non-endpoint critical Besov norms must become infinite…

In this paper we prove that for a certain class of initial data, smooth solutions of the hydrostatic Euler equations blow up in finite time.

The time to failure, $T$, of dynamical models of fracture for a hierarchical load-transfer geometry is studied. Using a probabilistic strategy and juxtaposing hierarchical structures of height $n$, we devise an exact method to compute $T$,…

This study focuses on the application of the Heston model to option pricing, employing both theoretical derivations and empirical validations. The Heston model, known for its ability to incorporate stochastic volatility, is derived and…

We characterize the dynamics of the finite time blow up solutions with minimal mass for the focusing mass critical Hartree equation with $H^1(\mathbb{R}^4)$ data and $L^2(\mathbb{R}^4)$ data, where we make use of the refined…

In the problem of steady free-fall onto a standing shockwave around acentral mass, the "antesonic" condition limits the regime of stable accretion to $c_T^2/v_\mathrm{esc}^2\leq3/16$, where $c_T$ is the isothermal sound speed in the…

It is numerically well known that moment-based tests for Gaussianity and estimators become increasingly unreliable at higher moment orders; however, this phenomenon has lacked rigorous mathematical justification. In this work, we establish…

In this paper, we obtain lower and upper bounds for the blow-up times to a system of semilinear stochastic partial differential equations. Under suitable assumptions, lower and upper bounds of explosion times are obtained by using explicit…

The problem of detecting the presence of a signal that can lead to a disaster is studied. A decision-maker collects data sequentially over time. At some point in time, called the change point, the distribution of data changes. This change…

In this work, we consider the following focusing inhomogeneous nonlinear Schr\"odinger equation \begin{align*} i\partial_t u+\Delta u +|x|^{-b}|u|^p u=0,\quad (t, x)\in\mathbb{R}\times\mathbb{R}^N \end{align*} with $0<b<\mbox{min}\{2, N\}$…

We simultaneously estimate the four parameters of a subcritical Heston process. We do not restrict ourself to the case where the stochastic volatility process never reaches zero. In order to avoid the use of unmanageable stopping times and…

This article concerns the formation of finite-time singularities in solutions to quasilinear hyperbolic systems with small initial data. By constructing a special test function, we first present a simpler proof of the main result in…

We consider a class of finite Markov moment problems with arbitrary number of positive and negative branches. We show criteria for the existence and uniqueness of solutions, and we characterize in detail the non-unique solution families.…

In this paper we study the distribution of hitting times for a class of random dynamical systems. We prove that for invariant measures with super-polynomial decay of correlations hitting times to dynamically defined cylinders satisfy…

In a new type of percolation phase transition, which was observed in a set of non-equilibrium models, each new connection between vertices is chosen from a number of possibilities by an Achlioptas-like algorithm. This causes preferential…