UNIFORM IN TIME CONVERGENCE OF A TAMED-ADAPTIVE EULER-MARUYAMA SCHEME FOR SDES WITH MARKOVIAN SWITCHING, UNDER NON-LIPSCHITZ CONDITIONS

DOI: 10.18173/2354-1059.2023-0022

Abstract

In this paper, we introduce a tamed-adaptive Euler-Maruyama approximation scheme for stochastic differential equations with Markovian switching. We show that the scheme converges in L1-norm when applying for SDEs with locally Lipschitz continuous drift and locally Holder continuous ¨ diffusion. The rates of convergence are obtained for both finite and infinite time interval approximations.