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Most of the existing proofs of the convergence of the Euler-Maruyama scheme (and other methods as well) are based on the assumption that the drift and diffusion functions \\(f\\) and \\(g\\) satisfy a linear growth condition and are globally Lipschitz-continuous. These conditions are rather restrictive, as a lot of interesting nonlinear models do not meet these requirements. In this article, the authors relax these conditions, first they replace global Lipschitz-continuity by local Lipschitz-continuity. Second, instead of the linear growth condition, they give a weaker condition, using a Lyapunov-type function, ensuring that the solution will not explode in finite time. Then they prove convergence in probability of the Euler-Maruyama method. Two illustrative examples are provided, these models are studied analytically by the authors in two forthcoming articles, where also numerical case studies are performed. Thus the current paper also provides support for these case studies. 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