Solving coupled Riccati matrix differential systems (Q810219)

The paper continues the above reviewed paper. It gives an explicit (exponential) expression for the solution to a pair of coupled matrix Riccati differential equations (appearing in nonzero-sum linear quadratic differential games) in a neighborhood of a terminal time where terminal conditions are fixed. The result is proved under algebraic conditions providing existence of a solution of the associated algebraic matrix Riccati equation; in terms of the latter, the desired solution is expressed.