A well-known result in linear control theory is the so-called ''small
gain'' theorem stating that if given two plants with transfer matrix f
unctions T-1 and T-2 in H-infinity such that parallel to T-1 parallel
to < gamma and parallel to T-2 parallel to < 1/gamma, when coupling T-
2 to T-1 such that u(2) = y(1) and u(1) = y(2) one obtains an internal
ly stable closed system. The aim of the present paper is to describe a
corresponding result for stochastic systems with state-dependent whit
e noise. (C) 1997 Elsevier Science B.V.