The Euler-Maruyama approximation of state-dependent regime switching diffusions

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The authors consider the state-dependent regime switching diffusion process \((X(t), R(t))_{t\geq 0},\) where the drift term does not necessarily satisfy the dissipative condition for certain states of the switching component. The Lindeberg replacement trick and a change-of-measure technique are used to obtain the convergence rate between the law of \((X(t), R(t))_{t\geq 0}\) and that of its Euler-Maruyama scheme with constant and decreasing step sizes. This convergence rate is quantified in terms of a function-class distance. The ergodicity property of the Euler-Maruyama scheme is also established. \newline To illustrate the theoretical findings, the authors present in detail an example.



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