106 citations · 290 across the 24 of their papers we have counts for
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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…
math.CA2011
Rough Paths on Manifolds
Thomas Cass, Christian Litterer, Terry Lyons
We develop a fundamental framework for and extend the theory of rough paths to Lipschitz-gamma manifolds.