Abstract
The main aim of this paper is to discuss the almost surely asymptotic stability of the neutral stochastic differential delay equations (NSDDEs) with Markovian switching. Linear NSDDEs with Markovian switching and nonlinear examples will be discussed to illustrate the theory.
| Original language | English |
|---|---|
| Pages (from-to) | 1385-1406 |
| Number of pages | 21 |
| Journal | Stochastic Processes and their Applications |
| Volume | 118 |
| Issue number | 8 |
| Early online date | 22 Sep 2007 |
| DOIs | |
| Publication status | Published - Aug 2008 |
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Keywords
- asymptotic stability
- exponential stability
- generalized It^o formula
- Brownian motion
- Markov chain.
Cite this
Mao, X., Shen, Y., Yuan, C., EPSRC (U.K.) (Funder), & National Natural Science Foundation of China (Funder) (2008). Almost surely asymptotic stability of neutral stochastic differential delay equations with Markovian switching. Stochastic Processes and their Applications, 118(8), 1385-1406. https://doi.org/10.1016/j.spa.2007.09.005