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arXiv · 1410.3551

Exponential stability of the exact solutions and $θ$-EM approximations to neutral SDDEs with Markov switching

Guangqiang Lan·Chenggui Yuan
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Abstract

Exponential stability of the exact solutions as well as $θ$-EM ($\frac{1}{2}<θ\le 1$) approximations to neutral stochastic differential delay equations with Markov switching will be investigated in this paper. Sufficient conditions are obtained to ensure the $p$-th moment ($p\ge1$) and almost sure exponential stability of the exact solutions as well as $θ$-EM approximations ($p=2$). An example will be presented to support our conclusions.

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Guangqiang Lan, Chenggui Yuan. 2014-10-14. Exponential stability of the exact solutions and $θ$-EM approximations to neutral SDDEs with Markov switching. https://arxiv.org/abs/1410.3551

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