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math.AP2019
Mesh-free error integration in arbitrary dimensions: a numerical study of discrepancy functions
Philippe G. LeFloch, Jean-Marc Mercier
We are interested in mesh-free formulas based on the Monte-Carlo methodology for the approximation of multi-dimensional integrals, and we investigate their accuracy when the functi…
math.AP2019★ 1 cited
The Transport-based Mesh-free Method (TMM) and its applications in finance: a review
Philippe G. LeFloch, Jean-Marc Mercier
We review a numerical technique, referred to as the Transport-based Mesh-free Method (TMM), and we discuss its applications to mathematical finance. We recently introduced this met…