A new delay-dependent stability criterion for stochastic systems with time-varying delay

Based on the Lyapunov-Krasovskii method, the exponential stability in the mean square sense is investigated for Itô stochastic system with time-varying delay. The statistic properties of Itô diffusions, some relaxation matrices, and the convex combination condition on time-varying delay are employed for computing the constructed Lyapunov-Krasovskii functional of a rather general form. A delay-dependent stability criterion is established in terms of linear matrix inequality (LMI). An illustrative example is given to demonstrate the method.

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