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This paper addresses exponential stability problem for a class of stochastic hybrid systems with time-varying delay. The time delay is any continuous function belonging to a given interval, but not necessary to be differentiable. By constructing a suitable augmented Lyapunov-Krasovskii functional combined with Leibniz-Newton’s formula, new delay-dependent sufficient conditions for exponential stability of stochastic hybrid systems with time-varying delay are first established in terms of LMIs.

EXPONENTIAL STABILITY OF STOCHASTIC HYBRID SYSTEMS WITH NONDIFFERENTIABLE AND INTERVAL TIME-VARYING DELAY