A numerical scheme using Itô excursions for simulating local time resp. Stochastic differential equations with reflection (Q1282252)

The author considers the problem of constructing discrete time approximations for stochastic differential equations that involve local times. These naturally occur, for instance, in the case of reflection at a boundary or for the so-called Skorochod problem. The author suggests a new numerical algorithm for simulating the local time. The rate of convergence is derived for that approximation.