Abstract: | The problem of approximation of a solution to a reflecting stochastic differential equation (SDE) with jumps by a sequence of solutions to SDEs with penalization terms is considered. The approximating sequence is not relatively compact in the Skorokhod topology J 1 and so the methods of approximation based on the J 1-topology break down. In the paper, we prove our convergence results in the S-topology on the Skorokhod space D(R+,?R d ) introduced recently by Jakubowski. The S-topology is weaker than J 1 but stronger than the Meyer-Zheng topology and shares many useful properties with J 1. |