We've found both gray and yellow ones like this on the same trees. The yellow one in Rollinford NH was on a shagbark hickory, the yellow and gray ones were on black locust leaves in Dover, NH. I was thinking maybe a yellow-based tussock caterpillar, but the tussock is the wrong color. I write a local nature column (google Sue Pike seacoastonline nature), if you help identify and want me to credit you please let me know.