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Year: 2014 | Volume: 13 | Issue: 7 | Page No.: 1463 - 1466
Hua Yang and Feng Jiang
Abstract
Stability of stochastic systems with Markovian switching has come to play an important role in information science and engineering. The aim of the study is to discuss the stability of the semi-implicit Milstein scheme of stochastic differential delay equations with Markovian switching. The conditions of the General Mean-square (GMS) stability and Mean-square (MS) stability of the semi-implicit Milstein scheme are given by means of the conditions of the analytical solution. The obtained result shows that the numerical scheme reproduces the stability of the analytical solution to stochastic differential delay equations with Markovian switching under some conditions.