Pettersson, Roger Penalization schemes for reflecting stochastic differential equations. (English) Zbl 0899.60053 Bernoulli 3, No. 4, 403-414 (1997). This paper deals with discrete penalization schemes for reflecting stochastic differential equations. The author investigates the Euler approximation for the penalizing stochastic differential equations and obtains fine convergence results. He also compares the penalization scheme with the recursive projection scheme. Reviewer: M.Nisio (Osaka) Cited in 1 ReviewCited in 18 Documents MSC: 60H10 Stochastic ordinary differential equations (aspects of stochastic analysis) Keywords:penalization scheme; reflection; stochastic differential equation PDFBibTeX XMLCite \textit{R. Pettersson}, Bernoulli 3, No. 4, 403--414 (1997; Zbl 0899.60053) Full Text: DOI Euclid