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A sufficient condition of exponential stability is established for a class of neutral stochastic differential functional equations Markovian jumping parameters. The analysis consist in using Burkholder-Davis-Gundy lemma and Ito's formula derived for our stability purposes. The stability results derived also are applied to a piecewise deterministic system which arises quite often in practice in systems with multiple modes. An application to neutral stochastic differential functional equation is studied to illustrate our theory.