The main aim of this paper is to investigate the exponential stability of stochastic functional differential equations with Markovian switching. The Razumikhin argument and the generalized Itô formula will play their important roles in this paper. Applying our new results to several important types of equations e.g. stochastic differential delay equations and stochastic differential equations, ...

Recently we initiated in 11] the study of exponential stability of neutral stochastic functional diierential equations and in this paper we shall further our study in this area. We should emphasize that the main technique employed in this paper is the well-known Razumikhin argument and is completely diierent from those used in our previous paper 11]. The results obtained in 11] can only be appl...

We study weak convergence of an Euler scheme for nonlinear stochastic delay differential equations (SDDEs) driven by multidimensional Brownian motion. The Euler scheme has weak order of convergence 1, as in the case of stochastic ordinary differential equations (SODEs) (i.e., without delay). The result holds for SDDEs with multiple finite fixed delays in the drift and diffusion terms. Although ...

We develop a weak numerical Euler scheme for non-linear stochastic delay differential equations (SDDEs) driven by multidimensional Brownian motion. The weak Euler scheme has order of convergence 1, as in the case of stochastic ordinary differential equations (SODEs) (i.e., without delay). The result holds for SDDEs with multiple finite fixed delays in the drift and diffusion terms. Although the...

We are concerned with the exponential mean-square stability of two-step Maruyama methods for stochastic differential equations with time delay. We propose a family of schemes and prove that it can maintain the exponential mean-square stability of the linear stochastic delay differential equation for every step size of integral fraction of the delay in the equation. Numerical results for linear ...

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In this paper, the existence of mild solutions for the fractional differential equations of neutral type with infinite delay is obtained under the conditions in respect of the Kuratowski’s measure of noncompactness. As an application, the existence of mild solution for some integrodifferential equation is obtained. keywords: fractional differential equation, neutral differential equation, mild ...