Related papers: Moment Explosions in the Rough Heston Model

The paper is concerned with the problem of explosive solutions for a class of nonlinear stochastic wave equations in a domain $\mathcal{D}\subset\mathbb{R}^d$ for $d\leq3$. Under appropriate conditions on the initial data, the nonlinear…

We establish a new connection between moments of $n \times n$ random matrices $X_n$ and hypergeometric orthogonal polynomials. Specifically, we consider moments $\mathbb{E}\mathrm{Tr} X_n^{-s}$ as a function of the complex variable $s \in…

We show how to compute lower bounds for the supremum Bayes error if the class-conditional distributions must satisfy moment constraints, where the supremum is with respect to the unknown class-conditional distributions. Our approach makes…

For graphs $H$, we study the extremal function $M_H(n)$ which is the maximum running time (until stabilisation) of an $H$-bootstrap percolation process on $n$ vertices. Building on previous work in the clique case $H=K_k$, we develop a…

We study the distribution of the time to explosion for one-dimensional diffusions. We relate this question to computing the expectations of suitable nonnegative local martingales, and to the distributions of related diffusions with unit…

In connection with the recent proposal for possible singularity formation at the boundary for solutions of 3d axi-symmetric incompressible Euler's equations (Luo and Hou, 2013), we study models for the dynamics at the boundary and show that…

In this paper, we investigate the robust models for $\Lambda$-quantiles with partial information regarding the loss distribution, where $\Lambda$-quantiles extend the classical quantiles by replacing the fixed probability level with a…

Identification of the parameters of stable linear dynamical systems is a well-studied problem in the literature, both in the low and high-dimensional settings. However, there are hardly any results for the unstable case, especially…

In this paper, we present a novel Newton-based extremum seeking controller for the solution of multivariable model-free optimization problems in static maps. Unlike existing asymptotic and fixed-time results in the literature, we present a…

In order to anticipate rare and impactful events, we propose to quantify the worst-case risk under distributional ambiguity using a recent development in kernel methods -- the kernel mean embedding. Specifically, we formulate the…

We study asymptotic properties of maximum likelihood estimators for Heston models based on continuous time observations of the log-price process. We distinguish three cases: subcritical (also called ergodic), critical and supercritical. In…

We prove finite time extinction for stochastic sign fast diffusion equations driven by linear multiplicative space-time noise, corresponding to the Bak-Tang-Wiesenfeld model for self-organized criticality. This solves a problem posed and…

This work presents an exact solution to the generalized Heston model, where the model parameters are assumed to have linear time dependence The solution for the model in expressed in terms of confluent hypergeometric functions.

We consider a general problem of inelastic collision of particles interacting with power-law potentials. Using quantum defect theory we derive an analytical formula for the energy-dependent complex scattering length, valid for arbitrary…

In this paper we find tight sufficient conditions for the continuity of the value of the utility maximization problem from terminal wealth with respect to the convergence in distribution of the underlying processes. We also establish a weak…

We examine the possibility of finite-time blow-up of solutions to the fully parabolic quasilinear Keller--Segel model \begin{align}\tag{$\star$}\label{prob:star} \begin{cases} u_t = \nabla \cdot ((u+1)^{m-1}\nabla u - u(u+1)^{q-1}\nabla v)…

In this paper, we study stochastic volatility models in regimes where the maturity is small, but large compared to the mean-reversion time of the stochastic volatility factor. The problem falls in the class of averaging/homogenization…

We consider the problem of detecting jumps in an otherwise smoothly evolving trend whilst the covariance and higher-order structures of the system can experience both smooth and abrupt changes over time. The number of jump points is allowed…

Finite-dimensional state-space representations of unsteady aerodynamics implicitly assume a system with fading memory. However, the impulse response of the two-dimensional inviscid (Euler) equations is characterized by an asymptotic…

The paper studies the possible blowup of the total variation for entropy weak solutions of the p-system, modeling isentropic gas dynamics. It is assumed that the density remains uniformly positive, while the initial data can have…