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math.PR2011
On the error estimate for cubature on Wiener space
Thomas Cass, Christian Litterer
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 t…
math.PR2011★ 90 cited
Integrability and tail estimates for Gaussian rough differential equations
Thomas Cass, Christian Litterer, Terry Lyons
We derive explicit tail-estimates for the Jacobian of the solution flow for stochastic differential equations driven by Gaussian rough paths. In particular, we deduce that the Jaco…