A symmetrized Euler scheme for an efficient approximation of reflected diffusions

@inproceedings{Bossy2004ASE,
  title={A symmetrized Euler scheme for an efficient approximation of reflected diffusions},
  author={Mireille Bossy and Emmanuel Gobet and Denis Talay},
  year={2004}
}
In this article, we analyse the error induced by the Euler scheme combined with a symmetry procedure near the boundary for the simulation of diffusion processes with an oblique reflection on a smooth boundary. This procedure is easy to implement and, in addition, accurate: indeed, we prove that it yields a weak rate of convergence of order 1 with respect to the time-discretization step. 

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