Title: On the martingale property in the rough Bergomi model,
Abstract: We consider a class of fractional stochastic volatility models (including the
so-called rough Bergomi model), where the volatility is a superlinear function
of a fractional Gaussian process. We show that the stock price is a true
martingale if and only if the correlation $\rho$ between the driving Brownian
motions of the stock and the volatility is nonpositive. We also show that for
each $\rho<0$ and $m> \frac{1}{1-\rho^2}$, the $m$-th moment of the stock
price is infinite at each positive time.