By the same authors

From the same journal

From the same journal

On the error estimate for cubature on wiener space

Research output: Contribution to journalArticle

Published copy (DOI)

Author(s)

Department/unit(s)

Publication details

JournalProceedings of the Edinburgh Mathematical Society
DateE-pub ahead of print - 29 Nov 2013
DatePublished (current) - Jun 2014
Issue number2
Volume57
Number of pages15
Pages (from-to)377-391
Early online date29/11/13
Original languageEnglish

Abstract

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

Discover related content

Find related publications, people, projects, datasets and more using interactive charts.

View graph of relations