On a class of rational matrix differential equations arising in stochastic control. (Q1426291)
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| English | On a class of rational matrix differential equations arising in stochastic control. |
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On a class of rational matrix differential equations arising in stochastic control. (English)
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14 March 2004
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The authors investigate a class of generalized Riccati equations appearing in stochastic control theory. These so-called rational matrix differential equations are studied. A new comparison theorem is obtained. Also various sufficient conditions for the asymptotic behaviour of solutions are provided.
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rational matrix differential equations
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generalized Riccati differential equations
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generalized stabilizability and detectability
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comparison theorem
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existence and convergence results
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