{
  "id": "1105.3996",
  "version": "v1",
  "published": "2011-05-19T22:20:33.000Z",
  "updated": "2011-05-19T22:20:33.000Z",
  "title": "On the error estimate for cubature on Wiener space",
  "authors": [
    "Thomas Cass",
    "Christian Litterer"
  ],
  "categories": [
    "math.PR",
    "math.NA"
  ],
  "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].",
  "revisions": [
    {
      "version": "v1",
      "updated": "2011-05-19T22:20:33.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "error estimate",
      "additional assumption",
      "general estimate",
      "wiener space algorithm",
      "demonstrate"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2011arXiv1105.3996C"
    }
  }
}