SIAM Journal on Control and Optimization, Vol.48, No.5, 3589-3622, 2010
CONTINUOUS-TIME STOCHASTIC AVERAGING ON THE INFINITE INTERVAL FOR LOCALLY LIPSCHITZ SYSTEMS
We investigate stochastic averaging on the infinite time interval for a class of continuous-time nonlinear systems with stochastic perturbation and remove or weaken several restrictions present in existing results: global Lipschitzness of the nonlinear vector field, equilibrium preservation under the stochastic perturbation, global exponential stability of the average system, and compactness of the state space of the perturbation process. If an equilibrium of the average system is exponentially stable, we show that the original system is exponentially practically stable in probability. If, in addition, the original system has the same equilibrium as the average system, then the equilibrium of the original system is locally asymptotically stable in probability. These results extend the deterministic general averaging for aperiodic functions to the stochastic case.