This paper is concerned with the problem of simulation of (Xt)0≤t≤T, the
solution of a stochastic differential equation constrained by some boundary conditions in a smooth domain
D: namely, we consider the case where the boundary ∂D is killing, or where it is instantaneously
reflecting in an oblique direction. Given N discretization times equally spaced on the interval [0,T],
we propose new discretization schemes: they are fully implementable and provide a weak error of order
N-1 under some conditions. The construction of these schemes is based on a natural principle of local
approximation of the domain into a half space, for which efficient simulations are available.