2011/05/19 by Cass, Thomas, Litterer, Christian
#FOS: Mathematics #Numerical Analysis (math.NA) #Probability (math.PR)
paper · doi:10.48550/arxiv.1105.3996
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].