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arXiv · 2511.21620

Mean-square exponential stability of exact and numerical solutions for neutral stochastic delay differential equations with Markovian switching

Jina Yang·Ky Quan Tran
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Abstract

This paper investigates the mean-square exponential stability of neutral stochastic differential delay equations (NSDDEs) with Markovian switching. The analysis addresses the complexities arising from the interaction between the neutral term, time-varying delays, and structural changes governed by a continuous-time Markov chain. We establish novel and practical criteria for the mean-square exponential stability of both the underlying system and its numerical approximations via the Euler-Maruyama method. Furthermore, we prove that the numerical scheme can reproduce the exponential decay rate of the true solution with arbitrary accuracy, provided the step size is sufficiently small. The theoretical results are supported by a numerical example that illustrates their effectiveness.

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Jina Yang, Ky Quan Tran. 2025-11-26. Mean-square exponential stability of exact and numerical solutions for neutral stochastic delay differential equations with Markovian switching. https://arxiv.org/abs/2511.21620

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