Frequency-domain criteria for stability of a class of nonlinear stochastic systems

The problem of finding frequency-domain conditions that are sufficient to ensure asymptotic stability with probability one (ASWP 1) of a Lure-type system with white-noise input disturbance is considered. It is shown that, if the noise is linearly related to the state of the system, a relatively simple frequency-domain inequality that guarantees ASWP 1 of the system exists. The stochastic version of the second method of Lyapunov, along with a Meyer-Kalman-Yakubovich(MKY)-type lemma, is used to derive such a condition, assuming first that only sector information of the nonlinearity is available. A modification of this lemma is subsequently used to derive an improved stability condition, assuming that both sector and slope information of the nonlinearity are available. Finally, the case of a differential system with white-noise parameter perturbation is considered and an illustrative example is presented.