  For time-homogeneous stochastic differential equations (SDEs) it is enough to
know that the coefficients are Lipschitz to conclude existence and uniqueness
of a solution, as well as the existence of a strongly convergent numerical
method for its approximation. Here we introduce a notion of piecewise Lipschitz
functions and study SDEs with a drift coefficient satisfying only this weaker
regularity condition. For these SDEs we can construct a strongly convergent
approximation scheme, if the set of discontinuities is a sufficiently smooth
hypersurface satisfying the geometrical property of being of positive reach. We
then arrive at similar conclusions as in the Lipschitz case. We will see that,
although SDEs are in the center of our interest, we will talk surprisingly
little about probability theory here.
