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arXiv · 1105.3996

On the error estimate for cubature on Wiener space

Thomas Cass·Christian Litterer
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Abstract

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].

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Thomas Cass, Christian Litterer. 2011-05-19. On the error estimate for cubature on Wiener space. https://arxiv.org/abs/1105.3996

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