Wong–Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces

Abstract

In this paper, we study the Wong–Zakai approximation of the solution to the stochastic differential equation on a domain D in a Euclidean space with normal reflection at the boundary. We prove the Lp convergence of the approximation in C([0,T]→D̄) under some general conditions on D.