Properties of the solutions of rational matrix difference equations
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Consider the matrix difference equation \[ \begin{multlined} X_t=A^*X_{t+1}A+Q+\Pi_1(X_{t+1})-[S+A^*X_{t+1}B+ \Pi_{12}(X_{t+1})]\times\\ \times[R+B^*X_{t+1}B+\Pi_2(X_{t+1})]^+[S+A^*X_{t+1} B+\Pi_{12}(X_{t+1})]^*\end{multlined}\tag{A} \] and the corresponding algebraic equations \[ \begin{multlined} A^*XA-X+Q+\Pi_1(X)-[S+A^*XB+\Pi_{12}(X)]\times\\ \times [R+B^*XB+\Pi_2(X)]^+[S+A^*XB+\Pi_{12}(X)]^*= 0.\end{multlined}\tag{B} \] Sufficient conditions for the existence and uniqueness of stabilizing solutions for (A) are established. Finally, it is shown that under certain conditions on the coefficients the solutions of (A) converge for any positive value to the stabilizing solutions of (B).
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