Comparison and uniqueness theorems for periodic Riccati differential equations (Q4257740)

The class of periodic Riccati differential equations (PRDEs): \[ \dot P(t)= -Q(t)- A'(t) P(t)- P(t) A(t)+ P(t) R(t) P(t) \] is considered, where \(A(\cdot)\), \(Q(\cdot)\) and \(R(\cdot)\) are periodic matrices of period \(T\) with \(Q(t)= Q'(t)\) and \(R(t)= R'(t)\) for all \(t\). Only a \(T\)-periodic solution \(P(\cdot)\) is considered. First, the case \(R(t)= B(t) B'(t)\) is considered. The results obtained before for a periodic Lyapunov equation play a crucial role. Theorem 1 shows a condition such that the maximal solution exists under the assumption of stabilizability of \((A(\cdot), B(\cdot))\). Some applications of Theorem 1 are stated as Theorems 2, 3 and 4. Specifically, in Theorem 4 it is shown that if \((A(\cdot), B(\cdot))\) is stabilizable and a stabilizing solution exists, the stabilizing solution is maximal and hence unique, but the uniqueness results are slightly weaker than those obtained for algebraic Riccati equations (AREs). Next, the case \(Q(t)= C'(t) C(t)\) is considered. Theorem 5 says that if \(C'(t) C(t)> 0\), the PRDEs have at most one stabilizing solution. Finally the general case, where there are no sign-definite assumptions on \(R(\cdot)\) and \(Q(\cdot)\), is considered. Theorem 6 says that the stabilizing solution (if any) is unique. Some comparison theorems for PRDEs have been determined. Based on these results some uniqueness theorems of stabilizing solutions have been proven. These results are considered as extension to PRDEs of AREs.