Moment explosions in the rough Heston model
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DOI: 10.1007/s10203-019-00267-6
Abstract: We show that the moment explosion time in the rough Heston model, introduced by El Euch and Rosenbaum in 2016, is finite if and only if it is finite for the classical Heston model. Upper… read more here.
Keywords: rough heston; explosion time; moment; heston model ... See more keywords
Viscosity characterization of the explosion time distribution for diffusions
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DOI: 10.3150/15-bej752
Abstract: We show that the tail distribution $U$ of the explosion time for a multidimensional diffusion (and more generally, a suitable function $\mathscr{U}$ of the Feynman-Kac type involving the explosion time) is a viscosity solution of… read more here.
Keywords: viscosity; explosion time; solution; explosion ... See more keywords