Exponential Stability of Ito Differential Systems of Neutral Type with Markov Switching

Abstract

Ito differential systems of neutral type with Markov switching are discussed in this paper. By constructing stochastic Lyapunov-Krasovskii functional candidate, and applying Ito differential formula to compute the derivative of such functional candidate along the solution to such systems, we give the sufficient condition for the exponential stability in mean square for such systems in linear matrix form using the generalized Ito formula, and the estimation for convergence exponential is also obtained. And numerical example is given to show the effective of this method.