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From the same journal

On the error estimate for cubature on wiener space

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Publication details

JournalProceedings of the Edinburgh Mathematical Society
DateE-pub ahead of print - 29 Nov 2013
DatePublished (current) - Jun 2014
Issue number2
Number of pages15
Pages (from-to)377-391
Early online date29/11/13
Original languageEnglish


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

    Research areas

  • cubature, signature, stochastic differential equations

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