I. Introduction
Neutral delay systems (NDSs) is a class of differential difference equation [1], in which the time delay presented in the derivative of system state is referred to as the neutral time delay. Motivated by their applications in chemical process, the theory of aeroelasticity, classical mechanics, and Lotka–Volterra systems, many studies, see [2], [3] and the references therein, have considered the stability analysis of NDSs. When these systems are subject to environmental disturbances, their dynamical behavior can be characterized by neutral stochastic delay systems (NSDSs) [4]. Stochastic stability and some important control problems for NSDSs have been extensively investigated over past few years, (see [5], [6]). If the systems’ structure and parameters in the NSDSs experience abrupt changes described by the continuous-time Markov chains [8], NSDSs with Markovian switching have been proposed [8]. Some novel works about the stability analysis of stochastic differential equations with Markovian switching and NDSs with Markovian switching were given in [9], [10] and the references therein. Recently, stochastic stability and synthesis analysis of NSDSs with Markovian switching have been considered in [8], [11], [12], and the references therein.