On the martingale property in the rough Bergomi model

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 ρ between the driving Brownian motions of the stock and the volatility is nonpositive. We also show that for each ρ <0 and m> 1 1-ρ ², the m-th moment of the stock price is infinite at each positive time.