On Wong-Zakai type approximations of reflected diffusions

Abstract

We study weak and strong convergence of Wong-Zakai type approximations of reflected stochastic differential equations on general domains satisfying the conditions (A) and (B)introduced by Lions and Sznitman. We assume that the diffusion coefficient is Lipschitz continuous but the drift coefficient need not be even continuous. In the case where the drift coefficient is also Lipschitz continuous we show that the rate of convergence is exactly the same as for usual Euler type approximation.