From the 1 of 6 linked papers with an AI index.
6 papers
Strong order one-half convergence of a coupled tamed Euler--Peano scheme for reflected stochastic differential equations with super-linearly growing coefficients
Ziheng Chen, Caiyun Hua, Meng Cai
The paper proposes a coupled tamed Euler–Peano method for reflected stochastic differential equations with super‑linearly growing drift and diffusion, and proves it achieves strong…
Mesoscopic Rates of Convergence for Complex Wishart Matrices at the Leftmost Spectrum Edge
Mengchun Cai
This paper establishes mesoscopic rates of convergence in the -Wasserstein distance for eigenvalue determinantal point processes (DPPs) derived from the Laguerre Unitary Ensem…
Rates of Bulk Convergence for Ensembles of Classical Compact Groups
Mengchun Cai
This paper considers random matrices distributed according to Haar measure in different classical compact groups. Utilizing the determinantal point structures of their nontrivial e…
Mesoscopic Rates of Convergence for Hermitian Unitary Ensembles
Mengchun Cai, Kyle Taljan
This paper provides mesoscopic rates of convergence (ROC) with respect to the -Wasserstein distance for the eigenvalue determinantal point processes (DPPs) from the three majo…
Efficient simulation of prices for European call options under Heston stochastic-local volatility model: a comparison of methods
Meng cai, Tianze Li
The Heston stochastic-local volatility model, consisting of a asset price process and a Cox--Ingersoll--Ross-type variance process, offers a wide range of applications in the finan…
Strong convergence rates for a full discretization of stochastic wave equation with nonlinear damping
Meng Cai, David Cohen, Xiaojie Wang
The paper establishes the strong convergence rates of a spatio-temporal full discretization of the stochastic wave equation with nonlinear damping in dimension one and two. We disc…