Projection scheme for stochastic differential equations with convex constraints

A numerical scheme for stochastic differential equations with convex constr aints is considered. The solutions to the SDEs are constrained to the domai n of convex lower semicontinuous function through a multivalued monotone dr ift component and a variational inequality. The projection scheme is a time discrete version of the constrained SDE. In the particular case when the c onstraining function is an indicator of a closed convex domain, the SDE is reflected. Previous convergence results for the projection scheme applied t o reflected SDEs are recovered. (C) 2000 Elsevier Science B.V. All rights r eserved. MSC: 60H10; 60H20; 60H99; 60F25.