Approximating systems of differential equations with random inputs or boundary conditions
Dominique Lépingle, A. Ould Eida · Stochastic Analysis and Applications · 1998
It is not very easy to get reasonable simulation schemes with high order of convergence for reflected stochastic differential equations, because of the intricate behavior of the diffusion near the boundary. But a simple Milstein-type scheme can be performed if diffusion and reflection act into separate directions; this is the case in many practical situations, some of which are presented.