Analytical approximate solutions and error bounds for nonsymmetric Riccati matrix differential equations (Q1195400)

Analytical approximate solutions for the nonsymmetric Riccati matrix differential equation \(w'(t)=C-Dw(t)-w(t)A-w(t)Bw(t)\), \(w(0)=w_ 0\), with \(w(t)\), \(C\), \(D\), \(B\) and \(W_ 0\) to be \(n\times n\) complex matrices, are constructed. This type of equations appears in the optimal control theory and in the imbedding context. An interval is determined here where the approximate solution is constructed in such a way that its error is smaller than \(\varepsilon > 0\) for all the points of the interval and for a given admissible error \(\varepsilon\).