Approximations of Euler-Maruyama type for stochastic differential equations with Markovian switching, under non-Lipschitz conditions (Q885945): Difference between revisions

The authors consider the stochastic differential equation with Markovian switching \[ dy(t)=f(y(t),r(t))dt+g(y(t),r(t))dw(t) \] where \(w(t)\) is a \(d\)-dimensional Brownian motion, \(r(t)\) is a right-continuous Markov chain, and \(w\) and \(r\) are independent. It is proved that the approximate solutions generated by the Euler-Maruyama numerical method converge in the \(L^1\) sense and the \(L^2\) sense under hypotheses sufficiently less restrictive to include some important equations arising in finance and engineering.