On the error estimate for cubature on Wiener space
Probability
2011-05-23 v1 Numerical Analysis
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].
Cite
@article{arxiv.1105.3996,
title = {On the error estimate for cubature on Wiener space},
author = {Thomas Cass and Christian Litterer},
journal= {arXiv preprint arXiv:1105.3996},
year = {2011}
}