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On The Error Estimate for Cubature on Wiener Space
Thomas Cass, Christian Litterer
Journal:

Proceedings of the Edinburgh Mathematical Society / Volume 57 / Issue 2 / June 2014

Published online by Cambridge University Press:

29 November 2013, pp. 377-391
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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.