Mean-square stability of Milstein method for linear hybrid stochastic delay integro-differential equations

Abstract

In this paper we study the mean-square (MS) stability of the Milstein method for linear stochastic delay integro-differential equations (SDIDE) with Markovian switching by extending the techniques of [Z. Wang, C. Zhang, An analysis of stability of Milstein method for stochastic differential equations with delay, Computers and Mathematics with Applications 51 (2006) 1445–1452; L. Ronghua, H. Yingmin, Convergence and stability of numerical solutions to SDDEs with Markovian switching, Applied Mathematics and Computation 175 (2006) 1080–1091]. It is established that the Milstein method is MS-stable for linear stochastic delay differential equations (Wang and Zhang (2006); in the above reference). Here we prove that it is MS-stable for linear SDIDE with Markovian switching also under suitable conditions on the integral term. A numerical example is provided to illustrate the theoretical results.