Generalized Riccati difference and differential equations
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The authors investigate the comparison, convergence and monotonic dependence on coefficients and initial values for the solutions to the vector valued Riccati differential and difference equations which are generalized by adding semidefinite terms.
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Cites work
- A comparison theorem for matrix Riccati difference equations
- A Galois correspondence between sets of semidefinite solutions of continuous-time algebraic Riccati equations
- An existence and monotonicity theorem for the discrete algebraic matrix Riccati equation
- Comparison theorems for the matrix riccati equation
- Controllability, observability and discrete-time markovian jump linear quadratic control
- Disconjugacy
- Existence and comparison theorems for algebraic Riccati equations for continuous- and discrete-time systems
- scientific article; zbMATH DE number 3918176 (Why is no real title available?)
- Maximal solution of a certain class of periodic Riccati differential equations
- Monotoneity Properties of Solutions of Hermitian Riccati Matrix Differential Equations
- Monotonicity of maximal solutions of algebraic Riccati equations
- On a Certain Asymptotic Behaviour of Time-Invariant Riccati Matrix Differential Equations
- On a Matrix Riccati Equation of Stochastic Control
- On stabilizing properties of solutions of the Riccati difference equation
- On the solution of discrete-time Markovian jump linear quadratic control problems
- Robust-controller design for systems with large parameter variations
- Solution and asymptotic behavior of coupled Riccati equations in jump linear systems
Cited in
(19)- Time-varying discrete Riccati equation: Some monotonicity results
- On a class of rational matrix differential equations arising in stochastic control.
- A survey of nonsymmetric Riccati equations
- Perturbations and projections of Kalman-Bucy semigroups
- Differential transcendence of solutions of difference Riccati equations and Tietze's treatment
- Optimal investment for insurers with the extended CIR interest rate model
- On the robustness of Riccati flows to complete model misspecification
- Generalized continuous-time Riccati theory
- Generalized Riccati Wick differential equation and applications
- Rich dynamics in some generalized difference equations
- Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
- Feedback strategies for discrete-time linear-quadratic two-player descriptor games
- Generalized Riccati equations arising in stochastic games
- On the lack of monotonicity of Newton-Hewer updates for Riccati equations
- Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading
- Solution of initial interval value problem of Riccati's and Bernoulli's generalized difference equations
- scientific article; zbMATH DE number 4030121 (Why is no real title available?)
- Generalized Ricci curvature bounds for three dimensional contact subriemannian manifolds
- Differential equations with positive evolutions and some applications
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