Pettersson, Roger - In: Stochastic Processes and their Applications 59 (1995) 2, pp. 295-308
We consider convergence of a recursive projection scheme for a stochastic differential equation reflecting on the boundary of a convex domain G. If G satisfies Condition (B) in Tanaka (1979), we obtain mean square convergence, pointwise, with the rate O(([delta]log1/[delta])1/2), and if G is a...