  In this paper, we study the discrete-time approximation of multidimensional
reflected BSDEs of the type of those presented by Hu and Tang [Probab. Theory
Related Fields 147 (2010) 89-121] and generalized by Hamad\`ene and Zhang
[Stochastic Process. Appl. 120 (2010) 403-426]. In comparison to the penalizing
approach followed by Hamad\`{e}ne and Jeanblanc [Math. Oper. Res. 32 (2007)
182-192] or Elie and Kharroubi [Statist. Probab. Lett. 80 (2010) 1388-1396], we
study a more natural scheme based on oblique projections. We provide a control
on the error of the algorithm by introducing and studying the notion of
multidimensional discretely reflected BSDE. In the particular case where the
driver does not depend on the variable $Z$, the error on the grid points is of
order $1/2-\varepsilon$, $\varepsilon>0$.
