Convergence of numerical solutions to stochastic differential delay equations with Poisson jump and Markovian switching (Q2371996)

The authors tackle the question of approximating the solutions of such equations as mentioned in the title. A step size is chosen first, and a discrete Markov chain is simulated to account for the Markovian switching. Then an explicit Euler-Maruyama approximation scheme is set out. Strong convergence to the exact solution under local Lipschitz conditions is investigated.