Approximate solutions of stochastic differential delay equations with Markovian switching (Q2496259)

The Euler-Maruyama method is applied to the approximation of these equations where the coefficients depend on the evolution of an independent finite state space Markov chain. Mean square convergence with order 1/2 is obtained under a global Lipschitz condition. Under a local Lipschitz and linear growth (or bounded moment) condition, mean square convergence still holds true. Under a local Lipschitz condition and an additional Lyapunov condition, convergence in probability is proved. Application is given to stochastic delay Lotka-Volterra equations with Markovian switching.