Abstract
We develop the Euler–Maruyama scheme for a class of stochastic differential equations with Markovian switching (SDEwMSs) under non-Lipschitz conditions. Both L 1 and L 2 -convergence are discussed under different non-Lipschitz conditions. To overcome the mathematical difficulties arisen from the Markovian switching as well as the non-Lipschitz coefficients, several new analytical techniques have been developed in this paper which should prove to be very useful in the numerical analysis of stochastic systems.
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