Related papers: Moment Explosions in the Rough Heston Model
We start by showing that the finite-time absolute ruin probability in the classical risk model with constant interest force can be expressed in terms of the transition probability of a positive Ornstein-Uhlenbeck type process, say X. Our…
We consider the Constrained-degree percolation model on the hypercubic lattice, $\mathbb L^d=(\mathbb Z^d,\mathbb E^d)$ for $d\geq 3$. It is a continuous time percolation model defined by a sequence, $(U_e)_{e\in\mathbb E^d}$, of i.i.d.…
The phenomenon of time resonances (or explosions) can explain the exponential reduction of the energy, which is accompanied for the certain degree by slight fluctuations under some conditions in the range of the energy strongly overlapped…
A workload model using the infinite source Poisson model for bursts is combined with the on--off model for within burst activity. Burst durations and on--off durations are assumed to have heavy-tailed distributions with infinite variance…
In the last twenty years, there have been significant advances in the study of the blow-up phenomenon for the critical generalized Korteweg-de Vries equation, including the determination of sufficient conditions for blowup, the stability of…
We report the critical point for site percolation for the "explosive" type for 2D square lattices using Monte Carlo simulations and compare it to the classical well known percolation. We use similar algorithms as have been recently reported…
We study small random perturbations by additive white-noise of a spatial discretization of a reaction-diffusion equation with a stable equilibrium and solutions that blow up in finite time. We prove that the perturbed system blows up with…
The purpose of this paper is to study the problem of estimating a compactly supported density of probability from noisy observations of its moments. In fact, we provide a statistical approach to the famous Hausdorff classical moment…
We consider non-convex stochastic optimization using first-order algorithms for which the gradient estimates may have heavy tails. We show that a combination of gradient clipping, momentum, and normalized gradient descent yields convergence…
We study local asymptotic properties of likelihood ratios of certain Heston models. We distinguish three cases: subcritical, critical and supercritical models. For the drift parameters, local asymptotic normality is proved in the…
We study the Unitary Hitting Time Problem (UHTP) in quantum dynamics. Given computably described pure states |a>, |b> and a time-dependent unitary U(t), define the hitting time as the infimum of t > 0 such that the fidelity between U(t)|a>…
We give a detailed treatment of the back-reaction effects on the Hawking spectrum in the late-time expansion within the semiclassical approach to the Hawking radiation. We find that the boundary value problem defining the action of the…
We prove that the second moment of the number of critical points of any sufficiently regular random field, for example with almost surely $ C^3 $ sample paths, defined over a compact Whitney stratified manifold is finite. Our results hold…
We construct explicit expressions for quantum averages in coherent states for a Hamiltonian of degree 4 with a hyperbolic stagnation point. These expressions are valid for all times and "collapse" (i.e., become infinite) along a discrete…
In the linear random effects model, when distributional assumptions such as normality of the error variables cannot be justified, moments may serve as alternatives to describe relevant distributions in neighborhoods of their means.…
The main aim of the current work is the study of the conditions under which (finite-time) blow-up of a non-local stochastic parabolic problem occurs. We first establish the existence and uniqueness of the local-in-time weak solution for…
This paper considers a distributionally robust chance constraint model with a general ambiguity set. We show that a sample based approximation of this model converges under suitable sufficient conditions. We also show that upper and lower…
In this paper we use the It\^o's formula and comparison theorems to study the blow-up in finite time of stochastic differential equations driven by a Brownian motion. In particular, we obtain an extension of Osgood criterion, which can be…
Dense stellar systems such as globular clusters, galactic nuclei and nuclear star clusters are ideal loci to study stellar dynamics due to the very high densities reached, usually a million times higher than in the solar neighborhood; they…
We establish conditions for uniform $r$-th moment bound of certain $\R^d$-valued functions of a discrete-time stochastic process taking values in a general metric space. The conditions include an appropriate negative drift together with a…