Upper and lower bounds for the solution of the general matrix Riccati differential equation (Q2640011)

The authors establish the solutions of the general matrix Riccati differential equations (1) \(R'(t)=A(t)+B(t)R(t)+R(t)B^*(t)- R(t)C(t)R(t)\) with (2) \(R(0)=E,\) where \(R(t),\) \(A(t),\) \(B(t),\) and \(C(t)\) are square matrices of order n, whose components are continuous functions on some closed interval J, \(A(t)\) and \(C(t)\) are positive definite symmetric matrices, and E is a constant square matrix of order n. \(B^*(t)\) denotes the transpose of \(B(t).\) They apply the quasi- linearization technique to equation (1) to obtain a linear equation. The solution of the linearized equation in terms of fundamental matrices is obtained and thereby upper and lower bounds for the solution of (1) are found. The monotonicity of the successive approximations is studied.