most citedThe rate of Lp-convergence for the Euler-Maruyama method of the stochastic differential equations with Markovian switching

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math.NA2022★ 1 cited

The rate of Lp-convergence for the Euler-Maruyama method of the stochastic differential equations with Markovian switching

Minghui Song, Yuhang Zhang, Mingzhu Liu

This work deals with the Euler-Maruyama (EM) scheme for stochastic differential equations with Markovian switching (SDEwMSs). We focus on the Lp-convergence rate (p is greater than…