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Paper detail

On the error estimate for cubature on Wiener space

It was pointed out in Crisan, Ghazali [2] that the error estimate for the cubature on Wiener space algorithm developed in Lyons, Victoir [11] requires an additional assumption on the drift. In this note we demonstrate that it is straightforward to adopt the analysis of Kusuoka [7] to obtain a general estimate without an additional assumptions on the drift. In the process we slightly sharpen the bounds derived in [7].

preprint2011arXivOpen access
Thomas CassChristian Litterer
math.PRmath.NA
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Thomas CassChristian Litterer

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