Ferrante, Marco; Kohatsu-Higa, Arturo; Sanz-Solé, Marta - In: Stochastic Processes and their Applications 61 (1996) 2, pp. 323-337
We study the Euler approximation scheme for solutions of stochastic differential equations with boundary conditions in two different examples: (a) the one-dimensional case with linear boundary condition, and (b) the multidimensional case with constant diffusion coefficient and general boundary...