Convergence of the solution of a nonsymmetric matrix Riccati differential equation to its stable equilibrium solution (Q2488782)

The initial value problem \[ X'(t)=X(t)CX(t)-X(t)D-AX(t)+B,\quad X(0)=X_0, \] for a nonsymmetric matrix Riccati differential equation (RDE) is considered. \(A, B, C, D\) are real matrices of sizes \(m\times m,\) \(m\times n,\) \(n\times m,\) and \(n\times n\), respectively, such that the matrix \[ K=\begin{pmatrix} D&-C\\ -B&A \end{pmatrix} \] is a nonsingular \(M\)-matrix, or an irreductible singular \(M\)-matrix. Regarding matrix analysis, standard definitions and notations are provided in [\textit{A. Berman} and \textit{R. J. Plemmons}, Nonnegative matrices in the mathematical sciences Computer Science and Applied Mathematics. New York, San Francisco, London: Academic Press (1979; Zbl 0484.15016); \textit{R. A. Horn} and \textit{C. R. Johnson}, Matrix analysis. Cambridge etc.: Cambridge University Press (1985; Zbl 0576.15001); \textit{R. S. Varga}, Matrix iterative analysis. 2. printing Prentice-Hall Series in Automatic Computation. Englewood Cliffs, New Jersey: Prentice-Hall (1963; Zbl 0133.08602)]. The authors first present two results on nonsymmetric algebraic Riccati equations. Then, they prove that for some initial values, the Riccati differential equation has a global solution \(X(t)\) on \([0,\infty)\). The proof is established via integral form, Picard iteration and estimate on the iterates by induction. Convergence of solution to the stable equilibrium solution as \(t\) goes to infinity is also proved when \(K\) is a nonsingular \(M\)-matrix. An equilibrium solution is a solution of the algebraic Riccati equation \(XCX-XD-AX+B=0.\) Finally, this convergence is guaranteed for a wide range of initial values when \(K\) is either an irreducible nonsingular \(M\)-matrix or an irreductible singular \(M\)-matrix obeying an algebraic condition. The main theorems extend some results obtained by \textit{J. Juang} [J. Math. Anal. Appl. 258, 1--12 (2001; Zbl 0984.34041)].