47 citations · 60 across the 10 of their papers we have counts for
11 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
We study strong numerical approximations for reflected stochastic differential equations in possibly unbounded convex domains with super-linearly growing drift and diffusion coeffi…
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…
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…
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…
Long-time dynamics of stochastic wave equation with dissipative damping and its full discretization: exponential ergodicity and strong law of large numbers
Meng Cai, Chuchu Chen, Jialin Hong +1
For stochastic wave equation, when the dissipative damping is a non-globally Lipschitz function of the velocity, there are few results on the long-time dynamics, in particular, the…
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…
Strong convergence rates of a fully discrete scheme for the Cahn-Hilliard-Cook equation
Ruisheng Qi, Meng Cai, Xiaojie Wang
The first aim of this paper is to examine existence, uniqueness and regularity for the Cahn-Hilliard-Cook (CHC) equation in space dimension . By applying a spectral Galerk…
Strong convergence rates of an explicit scheme for stochastic Cahn--Hilliard equation with additive noise
Meng Cai, Ruisheng Qi, Xiaojie Wang
In this paper, we propose and analyze an explicit time-stepping scheme for a spatial discretization of stochastic Cahn--Hilliard equation with additive noise. The fully discrete ap…
Weak convergence of the backward Euler method for stochastic Cahn--Hilliard equation with additive noise
Meng Cai, Siqing Gan, Yaozhong Hu
We prove a weak rate of convergence of a fully discrete scheme for stochastic Cahn--Hilliard equation with additive noise, where the spectral Galerkin method is used in space and t…
Weak convergence rates for an explicit full-discretization of stochastic Allen-Cahn equation with additive noise
Meng Cai, Siqing Gan, Xiaojie Wang
We discretize the stochastic Allen-Cahn equation with additive noise by means of a spectral Galerkin method in space and a tamed version of the exponential Euler method in time. Th…