Some remarks on approximation of solutions of SDEʹs with reflecting boundary conditions Original Research Article

Let D be either a convex domain in Rd or a domain satisfying the conditions (A) and (B) considered by Lions and Sznitman (1981) and Saisho (1987). We estimate the rate of convergence for Euler scheme for stochastic differential equations in D with normal reflection at the boundary of the form where W is a d-dimensional Wiener process.