Research output: Contribution to journal › Article

Journal | Proceedings of the Edinburgh Mathematical Society |
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Date | E-pub ahead of print - 29 Nov 2013 |

Date | Published (current) - Jun 2014 |

Issue number | 2 |

Volume | 57 |

Number of pages | 15 |

Pages (from-to) | 377-391 |

Early online date | 29/11/13 |

Original language | English |

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.

- cubature, signature, stochastic differential equations

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